ITEM 1. |
REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
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Semi-Annual Report
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May 31, 2022 |
WESTERN ASSET
INVESTMENT GRADE
DEFINED OPPORTUNITY
TRUST INC. (IGI)
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INVESTMENT PRODUCTS: NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE |
Fund objectives
The Funds primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Funds 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.
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II |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
Letter from the chairman
Dear Shareholder,
We are pleased to provide the semi-annual report of Western Asset Investment Grade Defined Opportunity Trust Inc. for the six-month reporting period ended May 31,
2022. Please read on for Fund performance information during the Funds reporting period.
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:
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Fund prices and performance, |
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Market insights and commentaries from our portfolio managers, and |
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A host of educational resources. |
We look forward to helping you meet your financial goals.
Sincerely,
Jane Trust, CFA
Chairman, President and Chief Executive Officer
June 30, 2022
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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III |
Performance review
For the six months ended May 31, 2022, Western Asset Investment Grade Defined Opportunity
Trust Inc. returned -12.21% based on its net asset value (NAV)i and -18.33% based on its New York Stock Exchange (NYSE) market price per share. The Funds unmanaged
benchmark, the Bloomberg U.S. Credit Indexii, returned -11.57% for the same period. The Lipper Corporate Debt BBB-Rated Closed-End Funds Category Averageiii returned -10.57% over the same time frame. Please note that Lipper performance returns are based on each funds 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 Funds investment
strategy and may reduce the Funds NAV. The Funds manager believes the practice helps maintain the Funds competitiveness and may benefit the Funds market price and premium/discount to the Funds NAV.
During the six-month period, the Fund made distributions to shareholders totaling $0.40 per share. As of May 31, 2022, the Fund estimates that 95% of the
distributions were sourced from net investment income and 5% constituted a return of capital.* The performance table shows the Funds six-month total return based on its NAV and market price as of May 31, 2022. Past performance is no
guarantee of future results.
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Performance Snapshot as of May 31, 2022 (unaudited) |
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Price Per Share |
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6-Month Total Return** |
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$18.47 (NAV) |
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-12.21% |
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$17.62 (Market Price) |
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-18.33% |
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All figures represent past performance and are not a guarantee of future results. Performance figures for periods shorter than one year
represent cumulative figures and are not annualized.
** 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, including returns of capital, if any, at NAV.
Total return assumes the reinvestment of all distributions, including returns of capital, if any, in additional shares in accordance with the Funds
Dividend Reinvestment Plan.
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
* |
These estimates are not for tax purposes. The Fund will issue a Form 1099 with final composition of the distributions for
tax purposes after year-end. A return of capital is not taxable and results in a reduction in the tax basis of a shareholders investment. For more information about a distributions composition, please refer to the Funds
distribution press release or, if applicable, the Section 19 notice located in the press release section of our website, www.franklintempleton.com. |
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IV |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
Performance review (contd)
XIGIX on most financial websites. Barrons and The Wall Street
Journals 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.fraklintempleton.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 Funds current NAV, market price and other information.
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 Funds investment goals.
Sincerely,
Jane Trust, CFA
Chairman, President and Chief Executive Officer
June 30, 2022
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 Funds common stock is traded on the New York Stock Exchange. Similar to stocks, the Funds 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 Funds
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 Funds 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 Funds manager and subadviser
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.
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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V |
i |
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 Funds market price as determined by supply of and demand for the Funds shares.
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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 |
Lipper, Inc., a wholly-owned subsidiary of Refinitiv, provides independent insight on global collective investments.
Returns are based on the six-month period ended May 31, 2022, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 6 funds in the Funds Lipper category. |
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VI |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
Fund at a glance (unaudited)
Investment breakdown (%) as a percent of total
investments
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The bar graph above represents the composition of the Funds investments as of May 31, 2022 and
November 30, 2021 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 Funds investments is subject to change
at any time. |
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Represents less than 0.1%. |
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
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1 |
Schedule of investments (unaudited)
May 31, 2022
Western Asset
Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
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Security |
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Rate |
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Maturity Date |
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Face Amount |
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Value |
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Corporate Bonds & Notes 96.0% |
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Communication Services 11.4% |
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Diversified Telecommunication Services
2.9% |
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AT&T Inc., Senior Notes |
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4.500 |
% |
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5/15/35 |
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370,000 |
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$ |
370,100 |
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AT&T Inc., Senior Notes |
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4.900 |
% |
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6/15/42 |
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250,000 |
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244,591 |
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AT&T Inc., Senior Notes |
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4.800 |
% |
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6/15/44 |
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290,000 |
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284,012 |
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AT&T Inc., Senior Notes |
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4.500 |
% |
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3/9/48 |
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422,000 |
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400,542 |
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AT&T Inc., Senior Notes |
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3.300 |
% |
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2/1/52 |
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190,000 |
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146,512 |
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AT&T Inc., Senior Notes |
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3.500 |
% |
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9/15/53 |
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180,000 |
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145,393 |
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AT&T Inc., Senior Notes |
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3.800 |
% |
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12/1/57 |
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150,000 |
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124,014 |
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AT&T Inc., Senior Notes |
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3.500 |
% |
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2/1/61 |
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260,000 |
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198,589 |
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British Telecommunications PLC, Senior Notes |
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9.625 |
% |
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12/15/30 |
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1,550,000 |
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2,020,640 |
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Corning Inc., Senior Notes |
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3.900 |
% |
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11/15/49 |
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210,000 |
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181,330 |
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Telefonica Emisiones SA, Senior Notes |
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7.045 |
% |
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6/20/36 |
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140,000 |
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164,703 |
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Verizon Communications Inc., Senior Notes |
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4.329 |
% |
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9/21/28 |
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218,000 |
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222,011 |
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Verizon Communications Inc., Senior Notes |
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5.500 |
% |
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3/16/47 |
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1,130,000 |
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1,278,294 |
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Verizon Communications Inc., Senior Notes |
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3.700 |
% |
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3/22/61 |
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100,000 |
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83,315 |
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Total Diversified Telecommunication
Services |
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5,864,046 |
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Entertainment
2.8% |
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Magallanes Inc., Senior Notes |
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5.141 |
% |
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3/15/52 |
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2,830,000 |
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2,536,538 |
(a) |
Walt Disney Co., Senior Notes |
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6.650 |
% |
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11/15/37 |
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2,400,000 |
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2,991,544 |
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Total Entertainment |
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5,528,082 |
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Media 4.7% |
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CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
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4.500 |
% |
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5/1/32 |
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910,000 |
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801,846 |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
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6.384 |
% |
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10/23/35 |
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180,000 |
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191,620 |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
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3.500 |
% |
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3/1/42 |
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120,000 |
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89,765 |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
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6.484 |
% |
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10/23/45 |
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420,000 |
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434,582 |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
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5.375 |
% |
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5/1/47 |
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560,000 |
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515,156 |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
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5.250 |
% |
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4/1/53 |
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250,000 |
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|
228,158 |
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See Notes to Financial Statements.
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2 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
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Security |
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Rate |
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Maturity Date |
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Face Amount |
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Value |
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Media continued |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
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3.950 |
% |
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6/30/62 |
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120,000 |
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$ |
86,463 |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
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5.500 |
% |
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4/1/63 |
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430,000 |
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384,531 |
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Comcast Corp., Senior Notes |
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6.400 |
% |
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5/15/38 |
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2,500,000 |
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3,022,310 |
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DISH DBS Corp., Senior Secured Notes |
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5.750 |
% |
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12/1/28 |
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250,000 |
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204,526 |
(a) |
Fox Corp., Senior Notes |
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5.476 |
% |
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1/25/39 |
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810,000 |
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829,634 |
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Paramount Global, Senior Notes |
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5.250 |
% |
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4/1/44 |
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80,000 |
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73,599 |
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Time Warner Cable LLC, Senior Secured Notes |
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6.550 |
% |
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5/1/37 |
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370,000 |
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391,677 |
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Time Warner Cable LLC, Senior Secured Notes |
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7.300 |
% |
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7/1/38 |
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330,000 |
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|
366,225 |
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Time Warner Cable LLC, Senior Secured Notes |
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6.750 |
% |
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6/15/39 |
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20,000 |
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21,351 |
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Time Warner Cable LLC, Senior Secured Notes |
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5.500 |
% |
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9/1/41 |
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200,000 |
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|
186,700 |
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Time Warner Entertainment Co. LP, Senior Secured Notes |
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8.375 |
% |
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3/15/23 |
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1,170,000 |
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|
1,215,137 |
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Time Warner Entertainment Co. LP, Senior Secured Notes |
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8.375 |
% |
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7/15/33 |
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370,000 |
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|
448,492 |
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Total Media |
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9,491,772 |
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Wireless Telecommunication Services
1.0% |
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Sprint Corp., Senior Notes |
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|
7.875 |
% |
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9/15/23 |
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|
120,000 |
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|
125,846 |
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Telefonica Europe BV, Senior Notes |
|
|
8.250 |
% |
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|
9/15/30 |
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|
390,000 |
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|
484,254 |
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T-Mobile USA Inc., Senior Notes |
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2.625 |
% |
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2/15/29 |
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|
170,000 |
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|
150,825 |
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T-Mobile USA Inc., Senior Notes |
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2.875 |
% |
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2/15/31 |
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|
120,000 |
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|
105,481 |
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T-Mobile USA Inc., Senior Secured Notes |
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|
4.375 |
% |
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|
4/15/40 |
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|
|
100,000 |
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|
94,143 |
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T-Mobile USA Inc., Senior Secured Notes |
|
|
3.000 |
% |
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|
2/15/41 |
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|
|
100,000 |
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|
78,659 |
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T-Mobile USA Inc., Senior Secured Notes |
|
|
4.500 |
% |
|
|
4/15/50 |
|
|
|
330,000 |
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|
307,671 |
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T-Mobile USA Inc., Senior Secured Notes |
|
|
3.400 |
% |
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|
10/15/52 |
|
|
|
360,000 |
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|
280,455 |
(a) |
Vodafone Group PLC, Senior Notes |
|
|
5.250 |
% |
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|
5/30/48 |
|
|
|
320,000 |
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|
321,096 |
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Vodafone Group PLC, Senior Notes |
|
|
4.250 |
% |
|
|
9/17/50 |
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|
|
20,000 |
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|
17,676 |
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Total Wireless Telecommunication
Services |
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1,966,106 |
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Total Communication Services |
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|
22,850,006 |
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Consumer Discretionary 5.2% |
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Automobiles 1.2% |
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Ford Motor Co., Senior Notes |
|
|
3.250 |
% |
|
|
2/12/32 |
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|
|
470,000 |
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|
|
398,043 |
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Ford Motor Credit Co. LLC, Senior Notes |
|
|
2.700 |
% |
|
|
8/10/26 |
|
|
|
630,000 |
|
|
|
569,903 |
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General Motors Co., Senior Notes |
|
|
5.400 |
% |
|
|
10/2/23 |
|
|
|
200,000 |
|
|
|
205,708 |
|
General Motors Co., Senior Notes |
|
|
6.125 |
% |
|
|
10/1/25 |
|
|
|
300,000 |
|
|
|
317,862 |
|
See Notes to Financial
Statements.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
3 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
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|
|
|
|
|
|
|
|
|
|
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|
|
|
Security |
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Rate |
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Maturity Date |
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|
Face Amount |
|
|
Value |
|
Automobiles
continued |
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Motors Co., Senior Notes |
|
|
6.600 |
% |
|
|
4/1/36 |
|
|
|
290,000 |
|
|
$ |
313,918 |
|
General Motors Co., Senior Notes |
|
|
6.750 |
% |
|
|
4/1/46 |
|
|
|
580,000 |
|
|
|
619,937 |
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Total Automobiles |
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2,425,371 |
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Hotels, Restaurants & Leisure
1.8% |
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Genting New York LLC/GENNY Capital Inc., Senior Notes |
|
|
3.300 |
% |
|
|
2/15/26 |
|
|
|
740,000 |
|
|
|
675,400 |
(a) |
Marriott International Inc., Senior Notes |
|
|
3.600 |
% |
|
|
4/15/24 |
|
|
|
320,000 |
|
|
|
321,302 |
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McDonalds Corp., Senior Notes |
|
|
4.700 |
% |
|
|
12/9/35 |
|
|
|
260,000 |
|
|
|
269,289 |
|
McDonalds Corp., Senior Notes |
|
|
4.875 |
% |
|
|
12/9/45 |
|
|
|
370,000 |
|
|
|
382,477 |
|
Melco Resorts Finance Ltd., Senior Notes |
|
|
5.375 |
% |
|
|
12/4/29 |
|
|
|
590,000 |
|
|
|
430,832 |
(a) |
Sands China Ltd., Senior Notes |
|
|
5.125 |
% |
|
|
8/8/25 |
|
|
|
690,000 |
|
|
|
636,891 |
|
Sands China Ltd., Senior Notes |
|
|
5.400 |
% |
|
|
8/8/28 |
|
|
|
200,000 |
|
|
|
176,646 |
|
Sands China Ltd., Senior Notes |
|
|
4.375 |
% |
|
|
6/18/30 |
|
|
|
220,000 |
|
|
|
173,466 |
|
Sands China Ltd., Senior Notes |
|
|
3.250 |
% |
|
|
8/8/31 |
|
|
|
510,000 |
|
|
|
355,809 |
(a) |
Wynn Macau Ltd., Senior Notes |
|
|
5.500 |
% |
|
|
10/1/27 |
|
|
|
370,000 |
|
|
|
284,848 |
(a) |
Total Hotels, Restaurants &
Leisure |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,706,960 |
|
Household Durables
0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lennar Corp., Senior Notes |
|
|
5.000 |
% |
|
|
6/15/27 |
|
|
|
390,000 |
|
|
|
398,638 |
|
MDC Holdings Inc., Senior Notes |
|
|
2.500 |
% |
|
|
1/15/31 |
|
|
|
300,000 |
|
|
|
236,541 |
|
MDC Holdings Inc., Senior Notes |
|
|
6.000 |
% |
|
|
1/15/43 |
|
|
|
310,000 |
|
|
|
281,795 |
|
Total Household Durables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
916,974 |
|
Internet & Direct Marketing Retail
0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amazon.com Inc., Senior Notes |
|
|
3.875 |
% |
|
|
8/22/37 |
|
|
|
410,000 |
|
|
|
404,357 |
|
Amazon.com Inc., Senior Notes |
|
|
3.950 |
% |
|
|
4/13/52 |
|
|
|
520,000 |
|
|
|
501,912 |
|
Total Internet & Direct Marketing
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
906,269 |
|
Specialty Retail
1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Depot Inc., Senior Notes |
|
|
3.900 |
% |
|
|
12/6/28 |
|
|
|
930,000 |
|
|
|
953,215 |
|
Home Depot Inc., Senior Notes |
|
|
3.300 |
% |
|
|
4/15/40 |
|
|
|
100,000 |
|
|
|
88,520 |
|
Home Depot Inc., Senior Notes |
|
|
3.350 |
% |
|
|
4/15/50 |
|
|
|
80,000 |
|
|
|
67,958 |
|
Home Depot Inc., Senior Notes |
|
|
3.625 |
% |
|
|
4/15/52 |
|
|
|
420,000 |
|
|
|
373,877 |
|
Lithia Motors Inc., Senior Notes |
|
|
4.625 |
% |
|
|
12/15/27 |
|
|
|
170,000 |
|
|
|
167,713 |
(a) |
Lithia Motors Inc., Senior Notes |
|
|
3.875 |
% |
|
|
6/1/29 |
|
|
|
300,000 |
|
|
|
277,484 |
(a) |
Lowes Cos. Inc., Senior Notes |
|
|
2.800 |
% |
|
|
9/15/41 |
|
|
|
140,000 |
|
|
|
108,776 |
|
Lowes Cos. Inc., Senior Notes |
|
|
4.250 |
% |
|
|
4/1/52 |
|
|
|
440,000 |
|
|
|
401,135 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,438,678 |
|
Total Consumer Discretionary |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,394,252 |
|
See Notes to Financial
Statements.
|
|
|
4 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Consumer Staples 2.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
|
|
4.600 |
% |
|
|
4/15/48 |
|
|
|
1,730,000 |
|
|
$ |
1,650,506 |
|
Coca-Cola Co., Senior Notes |
|
|
4.125 |
% |
|
|
3/25/40 |
|
|
|
290,000 |
|
|
|
282,877 |
|
Coca-Cola Co., Senior Notes |
|
|
4.200 |
% |
|
|
3/25/50 |
|
|
|
160,000 |
|
|
|
162,712 |
|
Constellation Brands Inc., Senior Notes |
|
|
4.250 |
% |
|
|
5/1/23 |
|
|
|
100,000 |
|
|
|
101,472 |
|
Total Beverages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,197,567 |
|
Food Products
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Kraft Heinz Foods Co., Senior Notes |
|
|
5.000 |
% |
|
|
6/4/42 |
|
|
|
160,000 |
|
|
|
153,789 |
|
Mars Inc., Senior Notes |
|
|
3.200 |
% |
|
|
4/1/30 |
|
|
|
220,000 |
|
|
|
209,022 |
(a) |
Total Food Products |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
362,811 |
|
Tobacco 1.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Altria Group Inc., Senior Notes |
|
|
3.800 |
% |
|
|
2/14/24 |
|
|
|
290,000 |
|
|
|
292,418 |
|
Altria Group Inc., Senior Notes |
|
|
4.400 |
% |
|
|
2/14/26 |
|
|
|
500,000 |
|
|
|
507,553 |
|
Altria Group Inc., Senior Notes |
|
|
4.800 |
% |
|
|
2/14/29 |
|
|
|
1,360,000 |
|
|
|
1,360,080 |
|
Altria Group Inc., Senior Notes |
|
|
3.875 |
% |
|
|
9/16/46 |
|
|
|
80,000 |
|
|
|
59,107 |
|
Reynolds American Inc., Senior Notes |
|
|
8.125 |
% |
|
|
5/1/40 |
|
|
|
470,000 |
|
|
|
547,046 |
|
Reynolds American Inc., Senior Notes |
|
|
7.000 |
% |
|
|
8/4/41 |
|
|
|
510,000 |
|
|
|
535,215 |
|
Total Tobacco |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,301,419 |
|
Total Consumer Staples |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,861,797 |
|
Energy 13.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services
0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Halliburton Co., Senior Notes |
|
|
5.000 |
% |
|
|
11/15/45 |
|
|
|
930,000 |
|
|
|
917,031 |
|
Oil, Gas & Consumable Fuels
12.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apache Corp., Senior Notes |
|
|
6.000 |
% |
|
|
1/15/37 |
|
|
|
84,000 |
|
|
|
85,913 |
|
Apache Corp., Senior Notes |
|
|
5.100 |
% |
|
|
9/1/40 |
|
|
|
60,000 |
|
|
|
56,059 |
|
Apache Corp., Senior Notes |
|
|
5.250 |
% |
|
|
2/1/42 |
|
|
|
160,000 |
|
|
|
143,632 |
|
Apache Corp., Senior Notes |
|
|
4.750 |
% |
|
|
4/15/43 |
|
|
|
670,000 |
|
|
|
581,068 |
|
BP Capital Markets America Inc., Senior Notes |
|
|
3.000 |
% |
|
|
2/24/50 |
|
|
|
710,000 |
|
|
|
549,880 |
|
Cameron LNG LLC, Senior Secured Notes |
|
|
3.302 |
% |
|
|
1/15/35 |
|
|
|
40,000 |
|
|
|
35,818 |
(a) |
Cameron LNG LLC, Senior Secured Notes |
|
|
3.701 |
% |
|
|
1/15/39 |
|
|
|
50,000 |
|
|
|
44,031 |
(a) |
Cheniere Energy Partners LP, Senior Notes |
|
|
3.250 |
% |
|
|
1/31/32 |
|
|
|
360,000 |
|
|
|
315,234 |
(a) |
Chevron USA Inc., Senior Notes |
|
|
5.250 |
% |
|
|
11/15/43 |
|
|
|
240,000 |
|
|
|
266,357 |
|
ConocoPhillips, Senior Notes |
|
|
6.500 |
% |
|
|
2/1/39 |
|
|
|
1,500,000 |
|
|
|
1,843,333 |
|
Continental Resources Inc., Senior Notes |
|
|
4.500 |
% |
|
|
4/15/23 |
|
|
|
510,000 |
|
|
|
516,936 |
|
Continental Resources Inc., Senior Notes |
|
|
2.268 |
% |
|
|
11/15/26 |
|
|
|
130,000 |
|
|
|
119,442 |
(a) |
Continental Resources Inc., Senior Notes |
|
|
4.375 |
% |
|
|
1/15/28 |
|
|
|
430,000 |
|
|
|
422,226 |
|
Continental Resources Inc., Senior Notes |
|
|
2.875 |
% |
|
|
4/1/32 |
|
|
|
180,000 |
|
|
|
151,160 |
(a) |
Continental Resources Inc., Senior Notes |
|
|
4.900 |
% |
|
|
6/1/44 |
|
|
|
140,000 |
|
|
|
126,092 |
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
5 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coterra Energy Inc., Senior Notes |
|
|
3.900 |
% |
|
|
5/15/27 |
|
|
|
250,000 |
|
|
$ |
246,441 |
(a) |
Devon Energy Corp., Senior Notes |
|
|
5.850 |
% |
|
|
12/15/25 |
|
|
|
560,000 |
|
|
|
595,671 |
|
Devon Energy Corp., Senior Notes |
|
|
4.500 |
% |
|
|
1/15/30 |
|
|
|
116,000 |
|
|
|
114,510 |
|
Devon Energy Corp., Senior Notes |
|
|
5.600 |
% |
|
|
7/15/41 |
|
|
|
20,000 |
|
|
|
21,102 |
|
Devon Energy Corp., Senior Notes |
|
|
5.000 |
% |
|
|
6/15/45 |
|
|
|
210,000 |
|
|
|
210,238 |
|
Ecopetrol SA, Senior Notes |
|
|
5.875 |
% |
|
|
5/28/45 |
|
|
|
404,000 |
|
|
|
329,999 |
|
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 |
|
|
|
293,123 |
(b)(c) |
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 |
|
|
|
793,663 |
(b)(c) |
Energy Transfer LP, Senior Notes |
|
|
4.200 |
% |
|
|
9/15/23 |
|
|
|
510,000 |
|
|
|
516,368 |
|
Energy Transfer LP, Senior Notes |
|
|
3.900 |
% |
|
|
7/15/26 |
|
|
|
630,000 |
|
|
|
618,548 |
|
Energy Transfer LP, Senior Notes |
|
|
5.250 |
% |
|
|
4/15/29 |
|
|
|
20,000 |
|
|
|
20,485 |
|
Energy Transfer LP, Senior Notes |
|
|
6.625 |
% |
|
|
10/15/36 |
|
|
|
20,000 |
|
|
|
21,278 |
|
Energy Transfer LP, Senior Notes |
|
|
5.800 |
% |
|
|
6/15/38 |
|
|
|
60,000 |
|
|
|
59,309 |
|
Enterprise Products Operating LLC, Senior Notes |
|
|
4.250 |
% |
|
|
2/15/48 |
|
|
|
400,000 |
|
|
|
361,955 |
|
Enterprise Products Operating LLC, Senior Notes |
|
|
3.300 |
% |
|
|
2/15/53 |
|
|
|
230,000 |
|
|
|
175,047 |
|
Enterprise Products Operating LLC, Senior Notes |
|
|
3.950 |
% |
|
|
1/31/60 |
|
|
|
210,000 |
|
|
|
172,710 |
|
Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. USD LIBOR +
2.570%) |
|
|
5.375 |
% |
|
|
2/15/78 |
|
|
|
700,000 |
|
|
|
598,105 |
(c) |
EOG Resources Inc., Senior Notes |
|
|
4.375 |
% |
|
|
4/15/30 |
|
|
|
370,000 |
|
|
|
382,164 |
|
Exxon Mobil Corp., Senior Notes |
|
|
3.482 |
% |
|
|
3/19/30 |
|
|
|
320,000 |
|
|
|
315,315 |
|
Exxon Mobil Corp., Senior Notes |
|
|
4.227 |
% |
|
|
3/19/40 |
|
|
|
220,000 |
|
|
|
220,634 |
|
Florida Gas Transmission Co. LLC, Senior Notes |
|
|
2.300 |
% |
|
|
10/1/31 |
|
|
|
820,000 |
|
|
|
688,044 |
(a) |
KazMunayGas National Co. JSC, Senior Notes |
|
|
3.500 |
% |
|
|
4/14/33 |
|
|
|
240,000 |
|
|
|
184,254 |
(a) |
Kinder Morgan Inc., Senior Notes |
|
|
7.800 |
% |
|
|
8/1/31 |
|
|
|
900,000 |
|
|
|
1,087,245 |
|
MPLX LP, Senior Notes |
|
|
4.500 |
% |
|
|
4/15/38 |
|
|
|
600,000 |
|
|
|
557,073 |
|
Occidental Petroleum Corp., Senior Notes |
|
|
2.700 |
% |
|
|
2/15/23 |
|
|
|
10,000 |
|
|
|
9,954 |
|
Occidental Petroleum Corp., Senior Notes |
|
|
7.875 |
% |
|
|
9/15/31 |
|
|
|
710,000 |
|
|
|
861,315 |
|
Occidental Petroleum Corp., Senior Notes |
|
|
4.400 |
% |
|
|
4/15/46 |
|
|
|
10,000 |
|
|
|
9,023 |
|
Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
|
|
5.625 |
% |
|
|
10/15/27 |
|
|
|
180,000 |
|
|
|
177,808 |
(a) |
Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
|
|
4.125 |
% |
|
|
2/15/28 |
|
|
|
330,000 |
|
|
|
314,664 |
(a) |
Petrobras Global Finance BV, Senior Notes |
|
|
7.375 |
% |
|
|
1/17/27 |
|
|
|
530,000 |
|
|
|
582,327 |
|
Petrobras Global Finance BV, Senior Notes |
|
|
5.500 |
% |
|
|
6/10/51 |
|
|
|
160,000 |
|
|
|
130,230 |
|
Petroleos Mexicanos, Senior Notes |
|
|
6.875 |
% |
|
|
8/4/26 |
|
|
|
730,000 |
|
|
|
723,273 |
|
See Notes to Financial
Statements.
|
|
|
6 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Petroleos Mexicanos, Senior Notes |
|
|
6.625 |
% |
|
|
6/15/35 |
|
|
|
460,000 |
|
|
$ |
372,490 |
|
Southern Natural Gas Co. LLC, Senior Notes |
|
|
8.000 |
% |
|
|
3/1/32 |
|
|
|
1,500,000 |
|
|
|
1,826,780 |
|
Southwestern Energy Co., Senior Notes |
|
|
4.750 |
% |
|
|
2/1/32 |
|
|
|
90,000 |
|
|
|
88,078 |
|
Targa Resources Corp., Senior Notes |
|
|
4.950 |
% |
|
|
4/15/52 |
|
|
|
260,000 |
|
|
|
238,587 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
7.850 |
% |
|
|
2/1/26 |
|
|
|
760,000 |
|
|
|
854,583 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
7.250 |
% |
|
|
12/1/26 |
|
|
|
180,000 |
|
|
|
201,772 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
3.250 |
% |
|
|
5/15/30 |
|
|
|
230,000 |
|
|
|
213,144 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
5.400 |
% |
|
|
8/15/41 |
|
|
|
10,000 |
|
|
|
10,332 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
4.450 |
% |
|
|
8/1/42 |
|
|
|
860,000 |
|
|
|
796,143 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
3.950 |
% |
|
|
5/15/50 |
|
|
|
30,000 |
|
|
|
25,679 |
|
Western Midstream Operating LP, Senior Notes |
|
|
4.650 |
% |
|
|
7/1/26 |
|
|
|
1,560,000 |
|
|
|
1,559,633 |
|
Western Midstream Operating LP, Senior Notes |
|
|
4.750 |
% |
|
|
8/15/28 |
|
|
|
890,000 |
|
|
|
883,329 |
|
Western Midstream Operating LP, Senior Notes |
|
|
4.550 |
% |
|
|
2/1/30 |
|
|
|
140,000 |
|
|
|
134,023 |
|
Western Midstream Operating LP, Senior Notes |
|
|
5.450 |
% |
|
|
4/1/44 |
|
|
|
120,000 |
|
|
|
110,971 |
|
Western Midstream Operating LP, Senior Notes |
|
|
5.750 |
% |
|
|
2/1/50 |
|
|
|
430,000 |
|
|
|
382,907 |
|
Williams Cos. Inc., Senior Notes |
|
|
4.550 |
% |
|
|
6/24/24 |
|
|
|
1,130,000 |
|
|
|
1,149,270 |
|
Williams Cos. Inc., Senior Notes |
|
|
7.750 |
% |
|
|
6/15/31 |
|
|
|
62,000 |
|
|
|
73,860 |
|
Williams Cos. Inc., Senior Notes |
|
|
8.750 |
% |
|
|
3/15/32 |
|
|
|
148,000 |
|
|
|
190,533 |
|
Williams Cos. Inc., Senior Notes |
|
|
3.500 |
% |
|
|
10/15/51 |
|
|
|
70,000 |
|
|
|
54,102 |
|
Total Oil, Gas & Consumable
Fuels |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,815,272 |
|
Total Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,732,303 |
|
Financials 31.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks 18.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
190,497 |
(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 |
|
|
|
392,746 |
(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 |
|
|
|
201,623 |
(a)(b)(c) |
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
7 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
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 (6.100% to 3/17/25 then 3 mo. USD LIBOR +
3.898%) |
|
|
6.100 |
% |
|
|
3/17/25 |
|
|
|
590,000 |
|
|
$ |
592,925 |
(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 |
|
|
|
880,000 |
(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 |
|
|
|
406,897 |
(b)(c) |
Bank of America Corp., Senior Notes |
|
|
5.875 |
% |
|
|
2/7/42 |
|
|
|
1,340,000 |
|
|
|
1,526,342 |
|
Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) |
|
|
2.572 |
% |
|
|
10/20/32 |
|
|
|
430,000 |
|
|
|
369,158 |
(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 |
|
|
|
109,987 |
(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 |
|
|
|
230,333 |
(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 |
|
|
|
685,820 |
(c) |
Bank of America Corp., Subordinated Notes |
|
|
7.750 |
% |
|
|
5/14/38 |
|
|
|
670,000 |
|
|
|
869,619 |
|
Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant
Maturity Rate + 2.050%) |
|
|
4.588 |
% |
|
|
5/4/37 |
|
|
|
560,000 |
|
|
|
528,704 |
(c) |
Barclays Bank PLC, Subordinated Notes |
|
|
7.625 |
% |
|
|
11/21/22 |
|
|
|
430,000 |
|
|
|
437,553 |
|
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 |
|
|
|
1,636,929 |
(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 |
|
|
|
326,625 |
(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 |
|
|
|
492,910 |
(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 |
|
|
|
1,579,706 |
(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 |
|
|
|
1,106,551 |
(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 |
|
|
|
1,303,087 |
(b)(c) |
Citigroup Inc., Senior Notes |
|
|
8.125 |
% |
|
|
7/15/39 |
|
|
|
752,000 |
|
|
|
1,034,498 |
|
See Notes to Financial
Statements.
|
|
|
8 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Banks continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citigroup Inc., Senior Notes |
|
|
4.650 |
% |
|
|
7/23/48 |
|
|
|
420,000 |
|
|
$ |
420,070 |
|
Citigroup Inc., Senior Notes (2.904% to 11/3/41 then SOFR + 1.379%) |
|
|
2.904 |
% |
|
|
11/3/42 |
|
|
|
470,000 |
|
|
|
365,048 |
(c) |
Citigroup Inc., Senior Notes (3.785% to 3/17/32 then SOFR + 1.939%) |
|
|
3.785 |
% |
|
|
3/17/33 |
|
|
|
620,000 |
|
|
|
583,415 |
(c) |
Citigroup Inc., Subordinated Notes |
|
|
4.600 |
% |
|
|
3/9/26 |
|
|
|
490,000 |
|
|
|
497,374 |
|
Citigroup Inc., Subordinated Notes |
|
|
4.125 |
% |
|
|
7/25/28 |
|
|
|
1,990,000 |
|
|
|
1,956,030 |
|
Citigroup Inc., Subordinated Notes |
|
|
6.675 |
% |
|
|
9/13/43 |
|
|
|
630,000 |
|
|
|
753,908 |
|
Cooperatieve Rabobank UA, Senior Notes |
|
|
5.750 |
% |
|
|
12/1/43 |
|
|
|
250,000 |
|
|
|
276,643 |
|
Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant
Maturity Rate + 1.420%) |
|
|
3.758 |
% |
|
|
4/6/33 |
|
|
|
550,000 |
|
|
|
514,856 |
(a)(c) |
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 |
|
|
|
1,477,031 |
(a)(b)(c) |
Danske Bank A/S, Senior Notes |
|
|
5.375 |
% |
|
|
1/12/24 |
|
|
|
530,000 |
|
|
|
541,921 |
(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 |
|
|
|
799,789 |
(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 |
|
|
|
443,801 |
(b)(c) |
HSBC Holdings PLC, Senior Notes |
|
|
4.950 |
% |
|
|
3/31/30 |
|
|
|
200,000 |
|
|
|
202,485 |
|
HSBC Holdings PLC, Subordinated Notes (4.762% to 3/29/32 then SOFR + 2.530%) |
|
|
4.762 |
% |
|
|
3/29/33 |
|
|
|
470,000 |
|
|
|
448,979 |
(c) |
Intesa Sanpaolo SpA, Senior Notes |
|
|
4.700 |
% |
|
|
9/23/49 |
|
|
|
200,000 |
|
|
|
170,334 |
(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 |
|
|
|
164,029 |
(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 |
|
|
|
323,381 |
(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 |
|
|
|
687,288 |
(b)(c) |
JPMorgan Chase & Co., Senior Notes |
|
|
6.400 |
% |
|
|
5/15/38 |
|
|
|
1,500,000 |
|
|
|
1,800,788 |
|
JPMorgan Chase & Co., Subordinated Notes |
|
|
5.625 |
% |
|
|
8/16/43 |
|
|
|
760,000 |
|
|
|
836,151 |
|
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 |
|
|
|
220,714 |
(b)(c) |
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
9 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Banks continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
$ |
635,564 |
(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 |
|
|
|
484,225 |
(b)(c) |
NatWest Group PLC, Subordinated Notes |
|
|
6.100 |
% |
|
|
6/10/23 |
|
|
|
840,000 |
|
|
|
858,193 |
|
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 |
|
|
|
410,842 |
(c) |
NatWest Markets NV, Subordinated Notes |
|
|
7.750 |
% |
|
|
5/15/23 |
|
|
|
820,000 |
|
|
|
846,664 |
|
PNC Bank NA, Subordinated Notes |
|
|
4.050 |
% |
|
|
7/26/28 |
|
|
|
650,000 |
|
|
|
647,173 |
|
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 |
|
|
|
1,626,840 |
(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 |
|
|
|
697,726 |
(c) |
Wells Fargo & Co., Senior Notes (4.611% to 4/25/52 then SOFR + 2.130%) |
|
|
4.611 |
% |
|
|
4/25/53 |
|
|
|
540,000 |
|
|
|
532,114 |
(c) |
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%) |
|
|
5.013 |
% |
|
|
4/4/51 |
|
|
|
410,000 |
|
|
|
430,401 |
(c) |
Wells Fargo & Co., Subordinated Notes |
|
|
4.400 |
% |
|
|
6/14/46 |
|
|
|
420,000 |
|
|
|
391,035 |
|
Wells Fargo & Co., Subordinated Notes |
|
|
4.750 |
% |
|
|
12/7/46 |
|
|
|
530,000 |
|
|
|
517,298 |
|
Westpac Banking Corp., Subordinated Notes |
|
|
4.421 |
% |
|
|
7/24/39 |
|
|
|
170,000 |
|
|
|
157,718 |
|
Total Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,622,338 |
|
Capital Markets
7.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
398,954 |
(b)(c) |
Charles Schwab Corp., Senior Notes |
|
|
3.850 |
% |
|
|
5/21/25 |
|
|
|
230,000 |
|
|
|
234,002 |
|
CI Financial Corp., Senior Notes |
|
|
4.100 |
% |
|
|
6/15/51 |
|
|
|
250,000 |
|
|
|
178,422 |
|
CME Group Inc., Senior Notes |
|
|
5.300 |
% |
|
|
9/15/43 |
|
|
|
750,000 |
|
|
|
834,478 |
|
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 |
|
|
|
1,433,300 |
(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 |
|
|
|
370,942 |
(a)(c) |
Credit Suisse USA Inc., Senior Notes |
|
|
7.125 |
% |
|
|
7/15/32 |
|
|
|
70,000 |
|
|
|
82,696 |
|
Goldman Sachs Group Inc., Senior Notes |
|
|
6.250 |
% |
|
|
2/1/41 |
|
|
|
2,550,000 |
|
|
|
3,014,458 |
|
Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + 1.264%) |
|
|
2.650 |
% |
|
|
10/21/32 |
|
|
|
630,000 |
|
|
|
540,568 |
(c) |
See Notes to Financial
Statements.
|
|
|
10 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Capital Markets
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
$ |
1,100,098 |
(c) |
Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + 1.846%) |
|
|
3.615 |
% |
|
|
3/15/28 |
|
|
|
1,150,000 |
|
|
|
1,121,927 |
(c) |
Goldman Sachs Group Inc., Subordinated Notes |
|
|
5.150 |
% |
|
|
5/22/45 |
|
|
|
70,000 |
|
|
|
72,202 |
|
Intercontinental Exchange Inc., Senior Notes |
|
|
4.950 |
% |
|
|
6/15/52 |
|
|
|
390,000 |
|
|
|
403,277 |
|
Intercontinental Exchange Inc., Senior Notes |
|
|
5.200 |
% |
|
|
6/15/62 |
|
|
|
400,000 |
|
|
|
407,316 |
|
KKR Group Finance Co. III LLC, Senior Notes |
|
|
5.125 |
% |
|
|
6/1/44 |
|
|
|
1,300,000 |
|
|
|
1,282,894 |
(a) |
KKR Group Finance Co. VI LLC, Senior Notes |
|
|
3.750 |
% |
|
|
7/1/29 |
|
|
|
110,000 |
|
|
|
105,620 |
(a) |
KKR Group Finance Co. X LLC, Senior Notes |
|
|
3.250 |
% |
|
|
12/15/51 |
|
|
|
160,000 |
|
|
|
121,282 |
(a) |
Morgan Stanley, Senior Notes |
|
|
6.375 |
% |
|
|
7/24/42 |
|
|
|
140,000 |
|
|
|
170,127 |
|
Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) |
|
|
2.511 |
% |
|
|
10/20/32 |
|
|
|
370,000 |
|
|
|
318,264 |
(c) |
Morgan Stanley, Subordinated Notes (5.297% to 4/20/32 then SOFR + 2.620%) |
|
|
5.297 |
% |
|
|
4/20/37 |
|
|
|
190,000 |
|
|
|
191,830 |
(c) |
Raymond James Financial Inc., Senior Notes |
|
|
4.650 |
% |
|
|
4/1/30 |
|
|
|
120,000 |
|
|
|
121,948 |
|
Raymond James Financial Inc., Senior Notes |
|
|
4.950 |
% |
|
|
7/15/46 |
|
|
|
150,000 |
|
|
|
151,996 |
|
UBS AG Stamford, CT, Subordinated Notes |
|
|
7.625 |
% |
|
|
8/17/22 |
|
|
|
330,000 |
|
|
|
333,134 |
|
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 |
|
|
|
940,640 |
(a)(b)(c) |
Total Capital Markets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,930,375 |
|
Consumer Finance
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Navient Corp., Senior Notes |
|
|
6.125 |
% |
|
|
3/25/24 |
|
|
|
480,000 |
|
|
|
479,819 |
|
Diversified Financial Services
1.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
|
|
4.500 |
% |
|
|
9/15/23 |
|
|
|
530,000 |
|
|
|
532,032 |
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
|
|
3.000 |
% |
|
|
10/29/28 |
|
|
|
570,000 |
|
|
|
500,502 |
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
|
|
3.850 |
% |
|
|
10/29/41 |
|
|
|
530,000 |
|
|
|
414,721 |
|
Carlyle Finance LLC, Senior Notes |
|
|
5.650 |
% |
|
|
9/15/48 |
|
|
|
170,000 |
|
|
|
174,826 |
(a) |
Carlyle Finance Subsidiary LLC, Senior Notes |
|
|
3.500 |
% |
|
|
9/19/29 |
|
|
|
230,000 |
|
|
|
215,936 |
(a) |
Carlyle Holdings II Finance LLC, Senior Notes |
|
|
5.625 |
% |
|
|
3/30/43 |
|
|
|
360,000 |
|
|
|
363,238 |
(a) |
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
11 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Diversified Financial Services
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) |
|
|
6.500 |
% |
|
|
9/15/24 |
|
|
|
429,525 |
|
|
$ |
347,595 |
(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%) |
|
|
4.050 |
% |
|
|
12/21/65 |
|
|
|
800,000 |
|
|
|
626,000 |
(a)(c) |
Total Diversified Financial
Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,174,850 |
|
Insurance 3.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
175,742 |
(a)(b)(c) |
American International Group Inc., Senior Notes |
|
|
4.750 |
% |
|
|
4/1/48 |
|
|
|
80,000 |
|
|
|
81,454 |
|
Americo Life Inc., Senior Notes |
|
|
3.450 |
% |
|
|
4/15/31 |
|
|
|
120,000 |
|
|
|
102,537 |
(a) |
Arthur J Gallagher & Co., Senior Notes |
|
|
3.500 |
% |
|
|
5/20/51 |
|
|
|
120,000 |
|
|
|
95,846 |
|
Everest Reinsurance Holdings Inc., Senior Notes |
|
|
3.500 |
% |
|
|
10/15/50 |
|
|
|
220,000 |
|
|
|
174,363 |
|
Fidelity & Guaranty Life Holdings Inc., Senior Notes |
|
|
5.500 |
% |
|
|
5/1/25 |
|
|
|
360,000 |
|
|
|
372,587 |
(a) |
Liberty Mutual Insurance Co., Subordinated Notes |
|
|
7.875 |
% |
|
|
10/15/26 |
|
|
|
840,000 |
|
|
|
961,424 |
(a) |
Marsh & McLennan Cos. Inc., Senior Notes |
|
|
2.900 |
% |
|
|
12/15/51 |
|
|
|
170,000 |
|
|
|
126,215 |
|
Massachusetts Mutual Life Insurance Co., Subordinated Notes |
|
|
3.375 |
% |
|
|
4/15/50 |
|
|
|
130,000 |
|
|
|
101,596 |
(a) |
Massachusetts Mutual Life Insurance Co., Subordinated Notes |
|
|
4.900 |
% |
|
|
4/1/77 |
|
|
|
420,000 |
|
|
|
401,305 |
(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 |
|
|
|
1,028,785 |
(b)(c) |
Nationwide Mutual Insurance Co., Subordinated Notes |
|
|
9.375 |
% |
|
|
8/15/39 |
|
|
|
520,000 |
|
|
|
741,126 |
(a) |
New York Life Insurance Co., Subordinated Notes |
|
|
4.450 |
% |
|
|
5/15/69 |
|
|
|
140,000 |
|
|
|
125,860 |
(a) |
Northwestern Mutual Life Insurance Co., Subordinated Notes |
|
|
3.625 |
% |
|
|
9/30/59 |
|
|
|
180,000 |
|
|
|
140,305 |
(a) |
Teachers Insurance & Annuity Association of America, Subordinated Notes |
|
|
6.850 |
% |
|
|
12/16/39 |
|
|
|
1,050,000 |
|
|
|
1,273,864 |
(a) |
Teachers Insurance & Annuity Association of America, Subordinated Notes |
|
|
4.900 |
% |
|
|
9/15/44 |
|
|
|
660,000 |
|
|
|
661,268 |
(a) |
Teachers Insurance & Annuity Association of America, Subordinated Notes |
|
|
3.300 |
% |
|
|
5/15/50 |
|
|
|
330,000 |
|
|
|
257,917 |
(a) |
Travelers Cos. Inc., Senior Notes |
|
|
6.250 |
% |
|
|
6/15/37 |
|
|
|
400,000 |
|
|
|
483,742 |
|
Total Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,305,936 |
|
See Notes to Financial
Statements.
|
|
|
12 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Mortgage Real Estate Investment
Trusts (REITs) 0.3% |
|
|
|
|
|
|
|
|
|
AFC Gamma Inc., Senior Notes |
|
|
5.750 |
% |
|
|
5/1/27 |
|
|
|
550,000 |
|
|
$ |
526,535 |
(a) |
Thrifts & Mortgage Finance
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes |
|
|
2.875 |
% |
|
|
10/15/26 |
|
|
|
230,000 |
|
|
|
206,056 |
(a) |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes |
|
|
4.000 |
% |
|
|
10/15/33 |
|
|
|
220,000 |
|
|
|
180,741 |
(a) |
Total Thrifts & Mortgage
Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
386,797 |
|
Total Financials |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,426,650 |
|
Health Care 11.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology
1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AbbVie Inc., Senior Notes |
|
|
3.200 |
% |
|
|
11/21/29 |
|
|
|
820,000 |
|
|
|
771,638 |
|
AbbVie Inc., Senior Notes |
|
|
4.550 |
% |
|
|
3/15/35 |
|
|
|
200,000 |
|
|
|
202,446 |
|
AbbVie Inc., Senior Notes |
|
|
4.050 |
% |
|
|
11/21/39 |
|
|
|
1,160,000 |
|
|
|
1,081,811 |
|
Gilead Sciences Inc., Senior Notes |
|
|
5.650 |
% |
|
|
12/1/41 |
|
|
|
100,000 |
|
|
|
111,358 |
|
Gilead Sciences Inc., Senior Notes |
|
|
4.500 |
% |
|
|
2/1/45 |
|
|
|
500,000 |
|
|
|
480,025 |
|
Gilead Sciences Inc., Senior Notes |
|
|
4.750 |
% |
|
|
3/1/46 |
|
|
|
100,000 |
|
|
|
99,725 |
|
Total Biotechnology |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,747,003 |
|
Health Care Equipment & Supplies
0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbott Laboratories, Senior Notes |
|
|
4.900 |
% |
|
|
11/30/46 |
|
|
|
200,000 |
|
|
|
220,365 |
|
Becton Dickinson and Co., Senior Notes |
|
|
4.685 |
% |
|
|
12/15/44 |
|
|
|
910,000 |
|
|
|
878,320 |
|
Becton Dickinson and Co., Senior Notes |
|
|
4.669 |
% |
|
|
6/6/47 |
|
|
|
450,000 |
|
|
|
440,135 |
|
Danaher Corp., Senior Notes |
|
|
2.800 |
% |
|
|
12/10/51 |
|
|
|
190,000 |
|
|
|
143,266 |
|
Total Health Care Equipment &
Supplies |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,682,086 |
|
Health Care Providers & Services
6.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anthem Inc., Senior Notes |
|
|
4.375 |
% |
|
|
12/1/47 |
|
|
|
230,000 |
|
|
|
220,674 |
|
Centene Corp., Senior Notes |
|
|
4.250 |
% |
|
|
12/15/27 |
|
|
|
160,000 |
|
|
|
159,442 |
|
Centene Corp., Senior Notes |
|
|
4.625 |
% |
|
|
12/15/29 |
|
|
|
560,000 |
|
|
|
552,709 |
|
Centene Corp., Senior Notes |
|
|
3.375 |
% |
|
|
2/15/30 |
|
|
|
790,000 |
|
|
|
726,081 |
|
Centene Corp., Senior Notes |
|
|
3.000 |
% |
|
|
10/15/30 |
|
|
|
120,000 |
|
|
|
106,932 |
|
Cigna Corp., Senior Notes |
|
|
4.125 |
% |
|
|
11/15/25 |
|
|
|
540,000 |
|
|
|
549,824 |
|
Cigna Corp., Senior Notes |
|
|
4.800 |
% |
|
|
8/15/38 |
|
|
|
540,000 |
|
|
|
547,688 |
|
Cigna Corp., Senior Notes |
|
|
3.200 |
% |
|
|
3/15/40 |
|
|
|
220,000 |
|
|
|
181,779 |
|
CommonSpirit Health, Secured Notes |
|
|
4.350 |
% |
|
|
11/1/42 |
|
|
|
60,000 |
|
|
|
54,198 |
|
CSL Finance PLC, Senior Notes |
|
|
4.750 |
% |
|
|
4/27/52 |
|
|
|
150,000 |
|
|
|
149,071 |
(a) |
CVS Health Corp., Senior Notes |
|
|
4.100 |
% |
|
|
3/25/25 |
|
|
|
1,460,000 |
|
|
|
1,489,157 |
|
CVS Health Corp., Senior Notes |
|
|
4.300 |
% |
|
|
3/25/28 |
|
|
|
1,610,000 |
|
|
|
1,631,345 |
|
CVS Health Corp., Senior Notes |
|
|
4.780 |
% |
|
|
3/25/38 |
|
|
|
2,060,000 |
|
|
|
2,053,210 |
|
CVS Health Corp., Senior Notes |
|
|
5.125 |
% |
|
|
7/20/45 |
|
|
|
540,000 |
|
|
|
550,778 |
|
CVS Health Corp., Senior Notes |
|
|
5.050 |
% |
|
|
3/25/48 |
|
|
|
930,000 |
|
|
|
949,228 |
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
13 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dartmouth-Hitchcock Health, Secured Bonds |
|
|
4.178 |
% |
|
|
8/1/48 |
|
|
|
150,000 |
|
|
$ |
141,856 |
|
HCA Inc., Senior Secured Notes |
|
|
4.125 |
% |
|
|
6/15/29 |
|
|
|
340,000 |
|
|
|
329,685 |
|
HCA Inc., Senior Secured Notes |
|
|
5.125 |
% |
|
|
6/15/39 |
|
|
|
170,000 |
|
|
|
165,479 |
|
HCA Inc., Senior Secured Notes |
|
|
5.500 |
% |
|
|
6/15/47 |
|
|
|
350,000 |
|
|
|
346,038 |
|
HCA Inc., Senior Secured Notes |
|
|
5.250 |
% |
|
|
6/15/49 |
|
|
|
530,000 |
|
|
|
512,251 |
|
Humana Inc., Senior Notes |
|
|
4.800 |
% |
|
|
3/15/47 |
|
|
|
360,000 |
|
|
|
361,489 |
|
Inova Health System Foundation |
|
|
4.068 |
% |
|
|
5/15/52 |
|
|
|
140,000 |
|
|
|
135,128 |
|
Kaiser Foundation Hospitals, Senior Notes |
|
|
2.810 |
% |
|
|
6/1/41 |
|
|
|
120,000 |
|
|
|
95,864 |
|
Kaiser Foundation Hospitals, Senior Notes |
|
|
3.002 |
% |
|
|
6/1/51 |
|
|
|
120,000 |
|
|
|
93,284 |
|
Orlando Health Obligated Group, Senior Notes |
|
|
4.089 |
% |
|
|
10/1/48 |
|
|
|
270,000 |
|
|
|
252,995 |
|
UnitedHealth Group Inc., Senior Notes |
|
|
3.700 |
% |
|
|
12/15/25 |
|
|
|
250,000 |
|
|
|
253,507 |
|
UnitedHealth Group Inc., Senior Notes |
|
|
3.850 |
% |
|
|
6/15/28 |
|
|
|
540,000 |
|
|
|
549,003 |
|
UnitedHealth Group Inc., Senior Notes |
|
|
3.500 |
% |
|
|
8/15/39 |
|
|
|
220,000 |
|
|
|
199,571 |
|
UnitedHealth Group Inc., Senior Notes |
|
|
4.750 |
% |
|
|
7/15/45 |
|
|
|
220,000 |
|
|
|
231,181 |
|
Total Health Care Providers &
Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,589,447 |
|
Pharmaceuticals
2.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bausch Health Cos. Inc., Senior Notes |
|
|
5.000 |
% |
|
|
1/30/28 |
|
|
|
130,000 |
|
|
|
83,200 |
(a) |
Bausch Health Cos. Inc., Senior Notes |
|
|
5.250 |
% |
|
|
1/30/30 |
|
|
|
130,000 |
|
|
|
76,285 |
(a) |
Bristol-Myers Squibb Co., Senior Notes |
|
|
3.400 |
% |
|
|
7/26/29 |
|
|
|
1,530,000 |
|
|
|
1,511,127 |
|
Pfizer Inc., Senior Notes |
|
|
7.200 |
% |
|
|
3/15/39 |
|
|
|
560,000 |
|
|
|
760,265 |
|
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
|
|
7.125 |
% |
|
|
1/31/25 |
|
|
|
200,000 |
|
|
|
205,674 |
|
Wyeth LLC, Senior Notes |
|
|
5.950 |
% |
|
|
4/1/37 |
|
|
|
1,100,000 |
|
|
|
1,325,477 |
|
Zoetis Inc., Senior Notes |
|
|
4.700 |
% |
|
|
2/1/43 |
|
|
|
40,000 |
|
|
|
40,253 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,002,281 |
|
Total Health Care |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,020,817 |
|
Industrials 9.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense
4.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Avolon Holdings Funding Ltd., Senior Notes |
|
|
5.125 |
% |
|
|
10/1/23 |
|
|
|
820,000 |
|
|
|
827,664 |
(a) |
Avolon Holdings Funding Ltd., Senior Notes |
|
|
4.250 |
% |
|
|
4/15/26 |
|
|
|
640,000 |
|
|
|
613,055 |
(a) |
Boeing Co., Senior Notes |
|
|
2.196 |
% |
|
|
2/4/26 |
|
|
|
480,000 |
|
|
|
440,066 |
|
Boeing Co., Senior Notes |
|
|
3.100 |
% |
|
|
5/1/26 |
|
|
|
2,190,000 |
|
|
|
2,088,123 |
|
Boeing Co., Senior Notes |
|
|
3.250 |
% |
|
|
2/1/28 |
|
|
|
580,000 |
|
|
|
535,883 |
|
Boeing Co., Senior Notes |
|
|
5.705 |
% |
|
|
5/1/40 |
|
|
|
330,000 |
|
|
|
325,810 |
|
Boeing Co., Senior Notes |
|
|
5.805 |
% |
|
|
5/1/50 |
|
|
|
220,000 |
|
|
|
216,892 |
|
Hexcel Corp., Senior Notes |
|
|
4.200 |
% |
|
|
2/15/27 |
|
|
|
1,000,000 |
|
|
|
975,697 |
|
Huntington Ingalls Industries Inc., Senior Notes |
|
|
3.483 |
% |
|
|
12/1/27 |
|
|
|
320,000 |
|
|
|
306,903 |
|
L3Harris Technologies Inc., Senior Notes |
|
|
4.854 |
% |
|
|
4/27/35 |
|
|
|
430,000 |
|
|
|
439,531 |
|
Lockheed Martin Corp., Senior Notes |
|
|
4.500 |
% |
|
|
5/15/36 |
|
|
|
50,000 |
|
|
|
51,634 |
|
See Notes to Financial
Statements.
|
|
|
14 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lockheed Martin Corp., Senior Notes |
|
|
4.700 |
% |
|
|
5/15/46 |
|
|
|
200,000 |
|
|
$ |
211,293 |
|
Northrop Grumman Corp., Senior Notes |
|
|
7.875 |
% |
|
|
3/1/26 |
|
|
|
1,390,000 |
|
|
|
1,555,939 |
(a) |
Raytheon Technologies Corp., Senior Notes |
|
|
4.625 |
% |
|
|
11/16/48 |
|
|
|
180,000 |
|
|
|
184,725 |
|
Total Aerospace &
Defense |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,773,215 |
|
Air Freight & Logistics
0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Parcel Service Inc., Senior Notes |
|
|
6.200 |
% |
|
|
1/15/38 |
|
|
|
700,000 |
|
|
|
835,698 |
|
Airlines 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
|
|
5.500 |
% |
|
|
4/20/26 |
|
|
|
170,000 |
|
|
|
168,351 |
(a) |
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
|
|
5.750 |
% |
|
|
4/20/29 |
|
|
|
170,000 |
|
|
|
164,451 |
(a) |
Delta Air Lines Inc., Senior Notes |
|
|
2.900 |
% |
|
|
10/28/24 |
|
|
|
840,000 |
|
|
|
815,850 |
|
Delta Air Lines Inc., Senior Notes |
|
|
3.750 |
% |
|
|
10/28/29 |
|
|
|
230,000 |
|
|
|
204,140 |
|
Delta Air Lines Inc., Senior Secured Notes |
|
|
7.000 |
% |
|
|
5/1/25 |
|
|
|
420,000 |
|
|
|
449,646 |
(a) |
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
|
|
4.500 |
% |
|
|
10/20/25 |
|
|
|
290,000 |
|
|
|
289,480 |
(a) |
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
|
|
4.750 |
% |
|
|
10/20/28 |
|
|
|
210,000 |
|
|
|
209,869 |
(a) |
Southwest Airlines Co., Senior Notes |
|
|
4.750 |
% |
|
|
5/4/23 |
|
|
|
810,000 |
|
|
|
823,266 |
|
Southwest Airlines Co., Senior Notes |
|
|
5.125 |
% |
|
|
6/15/27 |
|
|
|
290,000 |
|
|
|
302,657 |
|
United Airlines Pass-Through Trust |
|
|
4.875 |
% |
|
|
1/15/26 |
|
|
|
265,600 |
|
|
|
257,577 |
|
Total Airlines |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,685,287 |
|
Building Products
0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Carrier Global Corp., Senior Notes |
|
|
2.722 |
% |
|
|
2/15/30 |
|
|
|
500,000 |
|
|
|
442,680 |
|
Carrier Global Corp., Senior Notes |
|
|
3.577 |
% |
|
|
4/5/50 |
|
|
|
160,000 |
|
|
|
128,548 |
|
Total Building Products |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
571,228 |
|
Commercial Services & Supplies
0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California Institute of Technology, Senior Notes |
|
|
3.650 |
% |
|
|
9/1/2119 |
|
|
|
180,000 |
|
|
|
137,387 |
|
Washington University, Senior Notes |
|
|
3.524 |
% |
|
|
4/15/54 |
|
|
|
150,000 |
|
|
|
130,830 |
|
Washington University, Senior Notes |
|
|
4.349 |
% |
|
|
4/15/2122 |
|
|
|
170,000 |
|
|
|
151,823 |
|
Waste Connections Inc., Senior Notes |
|
|
4.250 |
% |
|
|
12/1/28 |
|
|
|
750,000 |
|
|
|
755,544 |
|
Total Commercial Services &
Supplies |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,175,584 |
|
Industrial Conglomerates
0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Electric Co., Senior Notes |
|
|
6.750 |
% |
|
|
3/15/32 |
|
|
|
330,000 |
|
|
|
384,400 |
|
General Electric Co., Senior Notes |
|
|
6.875 |
% |
|
|
1/10/39 |
|
|
|
143,000 |
|
|
|
171,464 |
|
Total Industrial
Conglomerates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
555,864 |
|
Machinery 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Caterpillar Inc., Senior Notes |
|
|
4.750 |
% |
|
|
5/15/64 |
|
|
|
360,000 |
|
|
|
382,139 |
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
15 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Professional Services
0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equifax Inc., Senior Notes |
|
|
2.350 |
% |
|
|
9/15/31 |
|
|
|
970,000 |
|
|
$ |
804,104 |
|
Road & Rail
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Union Pacific Corp., Senior Notes |
|
|
4.375 |
% |
|
|
11/15/65 |
|
|
|
530,000 |
|
|
|
497,398 |
|
Union Pacific Corp., Senior Notes |
|
|
3.750 |
% |
|
|
2/5/70 |
|
|
|
30,000 |
|
|
|
25,073 |
|
Total Road &
Rail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
522,471 |
|
Trading Companies & Distributors
0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aircastle Ltd., Senior Notes |
|
|
5.250 |
% |
|
|
8/11/25 |
|
|
|
1,000,000 |
|
|
|
998,440 |
(a) |
Aviation Capital Group LLC, Senior Notes |
|
|
5.500 |
% |
|
|
12/15/24 |
|
|
|
250,000 |
|
|
|
254,420 |
(a) |
Aviation Capital Group LLC, Senior Notes |
|
|
4.125 |
% |
|
|
8/1/25 |
|
|
|
340,000 |
|
|
|
332,021 |
(a) |
Total Trading Companies &
Distributors |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,584,881 |
|
Total Industrials |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,890,471 |
|
Information Technology 3.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment, Instruments &
Components 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TD SYNNEX Corp., Senior Notes |
|
|
1.250 |
% |
|
|
8/9/24 |
|
|
|
600,000 |
|
|
|
564,446 |
(a) |
IT Services 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
International Business Machines Corp., Senior Notes |
|
|
3.500 |
% |
|
|
5/15/29 |
|
|
|
200,000 |
|
|
|
193,331 |
|
Kyndryl Holdings Inc., Senior Notes |
|
|
4.100 |
% |
|
|
10/15/41 |
|
|
|
450,000 |
|
|
|
314,321 |
(a) |
S&P Global Inc., Senior Notes |
|
|
3.250 |
% |
|
|
12/1/49 |
|
|
|
110,000 |
|
|
|
91,335 |
|
Total IT Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
598,987 |
|
Semiconductors & Semiconductor
Equipment 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcom Inc., Senior Notes |
|
|
4.150 |
% |
|
|
11/15/30 |
|
|
|
178,000 |
|
|
|
169,113 |
|
Broadcom Inc., Senior Notes |
|
|
4.300 |
% |
|
|
11/15/32 |
|
|
|
580,000 |
|
|
|
547,112 |
|
Broadcom Inc., Senior Notes |
|
|
3.187 |
% |
|
|
11/15/36 |
|
|
|
22,000 |
|
|
|
17,666 |
(a) |
Broadcom Inc., Senior Notes |
|
|
4.926 |
% |
|
|
5/15/37 |
|
|
|
239,000 |
|
|
|
226,257 |
(a) |
Intel Corp., Senior Notes |
|
|
4.900 |
% |
|
|
7/29/45 |
|
|
|
220,000 |
|
|
|
231,198 |
|
Intel Corp., Senior Notes |
|
|
4.750 |
% |
|
|
3/25/50 |
|
|
|
20,000 |
|
|
|
20,876 |
|
Intel Corp., Senior Notes |
|
|
4.950 |
% |
|
|
3/25/60 |
|
|
|
100,000 |
|
|
|
107,665 |
|
Intel Corp., Senior Notes |
|
|
3.200 |
% |
|
|
8/12/61 |
|
|
|
180,000 |
|
|
|
138,791 |
|
Micron Technology Inc., Senior Notes |
|
|
2.703 |
% |
|
|
4/15/32 |
|
|
|
210,000 |
|
|
|
175,848 |
|
Micron Technology Inc., Senior Notes |
|
|
3.366 |
% |
|
|
11/1/41 |
|
|
|
40,000 |
|
|
|
31,217 |
|
NVIDIA Corp., Senior Notes |
|
|
3.500 |
% |
|
|
4/1/40 |
|
|
|
100,000 |
|
|
|
91,831 |
|
NVIDIA Corp., Senior Notes |
|
|
3.500 |
% |
|
|
4/1/50 |
|
|
|
300,000 |
|
|
|
268,052 |
|
NVIDIA Corp., Senior Notes |
|
|
3.700 |
% |
|
|
4/1/60 |
|
|
|
120,000 |
|
|
|
106,077 |
|
QUALCOMM Inc., Senior Notes |
|
|
4.300 |
% |
|
|
5/20/47 |
|
|
|
70,000 |
|
|
|
69,077 |
|
Texas Instruments Inc., Senior Notes |
|
|
3.875 |
% |
|
|
3/15/39 |
|
|
|
430,000 |
|
|
|
418,723 |
|
Total Semiconductors &
Semiconductor Equipment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,619,503 |
|
Software 1.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Microsoft Corp., Senior Notes |
|
|
4.250 |
% |
|
|
2/6/47 |
|
|
|
1,520,000 |
|
|
|
1,583,083 |
|
See Notes to Financial
Statements.
|
|
|
16 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Software
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oracle Corp., Senior Notes |
|
|
3.950 |
% |
|
|
3/25/51 |
|
|
|
490,000 |
|
|
$ |
374,653 |
|
Oracle Corp., Senior Notes |
|
|
4.100 |
% |
|
|
3/25/61 |
|
|
|
580,000 |
|
|
|
437,890 |
|
Workday Inc., Senior Notes |
|
|
3.800 |
% |
|
|
4/1/32 |
|
|
|
730,000 |
|
|
|
687,172 |
|
Total Software |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,082,798 |
|
Technology Hardware, Storage &
Peripherals 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dell International LLC/EMC Corp., Senior Notes |
|
|
8.100 |
% |
|
|
7/15/36 |
|
|
|
200,000 |
|
|
|
242,317 |
|
Dell International LLC/EMC Corp., Senior Notes |
|
|
8.350 |
% |
|
|
7/15/46 |
|
|
|
60,000 |
|
|
|
79,247 |
|
Total Technology Hardware,
Storage & Peripherals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
321,564 |
|
Total Information Technology |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,187,298 |
|
Materials 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ecolab Inc., Senior Notes |
|
|
4.800 |
% |
|
|
3/24/30 |
|
|
|
130,000 |
|
|
|
137,721 |
|
OCP SA, Senior Notes |
|
|
3.750 |
% |
|
|
6/23/31 |
|
|
|
200,000 |
|
|
|
166,546 |
(a) |
Total Chemicals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
304,267 |
|
Metals & Mining
1.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ArcelorMittal SA, Senior Notes |
|
|
4.550 |
% |
|
|
3/11/26 |
|
|
|
330,000 |
|
|
|
334,666 |
|
Barrick Gold Corp., Senior Notes |
|
|
5.250 |
% |
|
|
4/1/42 |
|
|
|
350,000 |
|
|
|
361,160 |
|
First Quantum Minerals Ltd., Senior Notes |
|
|
7.250 |
% |
|
|
4/1/23 |
|
|
|
200,000 |
|
|
|
200,450 |
(a) |
First Quantum Minerals Ltd., Senior Notes |
|
|
6.875 |
% |
|
|
10/15/27 |
|
|
|
400,000 |
|
|
|
399,844 |
(a) |
Freeport-McMoRan Inc., Senior Notes |
|
|
5.450 |
% |
|
|
3/15/43 |
|
|
|
260,000 |
|
|
|
256,084 |
|
Glencore Funding LLC, Senior Notes |
|
|
4.125 |
% |
|
|
3/12/24 |
|
|
|
300,000 |
|
|
|
302,331 |
(a) |
Glencore Funding LLC, Senior Notes |
|
|
4.000 |
% |
|
|
3/27/27 |
|
|
|
590,000 |
|
|
|
579,994 |
(a) |
Glencore Funding LLC, Senior Notes |
|
|
3.375 |
% |
|
|
9/23/51 |
|
|
|
100,000 |
|
|
|
73,197 |
(a) |
Yamana Gold Inc., Senior Notes |
|
|
4.625 |
% |
|
|
12/15/27 |
|
|
|
550,000 |
|
|
|
551,591 |
|
Total Metals &
Mining |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,059,317 |
|
Total Materials |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,363,584 |
|
Real Estate 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Real Estate Investment Trusts (REITs)
1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Healthcare Trust, Senior Notes |
|
|
4.750 |
% |
|
|
5/1/24 |
|
|
|
190,000 |
|
|
|
179,652 |
|
Extra Space Storage LP, Senior Notes |
|
|
3.900 |
% |
|
|
4/1/29 |
|
|
|
110,000 |
|
|
|
105,650 |
|
Invitation Homes Operating Partnership LP, Senior Notes |
|
|
4.150 |
% |
|
|
4/15/32 |
|
|
|
470,000 |
|
|
|
449,031 |
|
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
|
|
5.000 |
% |
|
|
10/15/27 |
|
|
|
400,000 |
|
|
|
397,096 |
|
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
|
|
4.625 |
% |
|
|
8/1/29 |
|
|
|
240,000 |
|
|
|
227,037 |
|
Ventas Realty LP, Senior Notes |
|
|
4.400 |
% |
|
|
1/15/29 |
|
|
|
540,000 |
|
|
|
536,687 |
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
17 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Vornado Realty LP, Senior Notes |
|
|
3.500 |
% |
|
|
1/15/25 |
|
|
|
1,000,000 |
|
|
$ |
987,448 |
|
Welltower Inc., Senior Notes |
|
|
4.125 |
% |
|
|
3/15/29 |
|
|
|
510,000 |
|
|
|
504,652 |
|
Total Real Estate |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,387,253 |
|
Utilities 4.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities
4.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Berkshire Hathaway Energy Co., Senior Notes |
|
|
6.125 |
% |
|
|
4/1/36 |
|
|
|
1,000,000 |
|
|
|
1,155,509 |
|
CenterPoint Energy Houston Electric LLC, Senior Secured Bonds |
|
|
4.500 |
% |
|
|
4/1/44 |
|
|
|
530,000 |
|
|
|
531,362 |
|
Comision Federal de Electricidad, Senior Notes |
|
|
3.348 |
% |
|
|
2/9/31 |
|
|
|
200,000 |
|
|
|
161,158 |
(a) |
Comision Federal de Electricidad, Senior Notes |
|
|
4.677 |
% |
|
|
2/9/51 |
|
|
|
200,000 |
|
|
|
145,836 |
(a) |
Commonwealth Edison Co., First Mortgage Bonds |
|
|
6.450 |
% |
|
|
1/15/38 |
|
|
|
600,000 |
|
|
|
726,844 |
|
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 |
|
|
|
138,003 |
(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 |
|
|
|
203,780 |
(b)(c) |
Exelon Corp., Senior Notes |
|
|
4.050 |
% |
|
|
4/15/30 |
|
|
|
190,000 |
|
|
|
186,371 |
|
FirstEnergy Corp., Senior Notes |
|
|
4.400 |
% |
|
|
7/15/27 |
|
|
|
480,000 |
|
|
|
477,055 |
|
FirstEnergy Corp., Senior Notes |
|
|
7.375 |
% |
|
|
11/15/31 |
|
|
|
3,040,000 |
|
|
|
3,594,086 |
|
Jersey Central Power & Light Co., Senior Notes |
|
|
4.300 |
% |
|
|
1/15/26 |
|
|
|
170,000 |
|
|
|
170,561 |
(a) |
MidAmerican Energy Co., First Mortgage Bonds |
|
|
3.650 |
% |
|
|
4/15/29 |
|
|
|
240,000 |
|
|
|
237,583 |
|
Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
4.250 |
% |
|
|
8/1/23 |
|
|
|
160,000 |
|
|
|
160,973 |
|
Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
2.500 |
% |
|
|
2/1/31 |
|
|
|
130,000 |
|
|
|
103,781 |
|
Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
3.300 |
% |
|
|
8/1/40 |
|
|
|
30,000 |
|
|
|
22,047 |
|
Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
4.950 |
% |
|
|
7/1/50 |
|
|
|
190,000 |
|
|
|
158,922 |
|
Southern California Edison Co., First Mortgage Bonds |
|
|
4.125 |
% |
|
|
3/1/48 |
|
|
|
480,000 |
|
|
|
413,384 |
|
Virginia Electric & Power Co., Senior Notes |
|
|
8.875 |
% |
|
|
11/15/38 |
|
|
|
500,000 |
|
|
|
730,554 |
|
Total Utilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,317,809 |
|
Total Corporate Bonds & Notes (Cost
$194,214,858) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
192,432,240 |
|
Sovereign Bonds 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentina 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentine Republic Government International Bond, Senior Notes |
|
|
1.000 |
% |
|
|
7/9/29 |
|
|
|
11,447 |
|
|
|
3,408 |
|
See Notes to Financial
Statements.
|
|
|
18 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Argentina
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
$ |
49,688 |
|
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 |
|
|
|
821,948 |
(a) |
Total Argentina |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
875,044 |
|
Ghana 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ghana Government International Bond, Senior Notes |
|
|
8.950 |
% |
|
|
3/26/51 |
|
|
|
300,000 |
|
|
|
154,269 |
(a) |
Mexico 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mexican Bonos, Senior Notes |
|
|
8.500 |
% |
|
|
11/18/38 |
|
|
|
8,780,000 |
MXN |
|
|
439,030 |
|
Mexico Government International Bond, Senior Notes |
|
|
3.500 |
% |
|
|
2/12/34 |
|
|
|
250,000 |
|
|
|
220,047 |
|
Mexico Government International Bond, Senior Notes |
|
|
4.280 |
% |
|
|
8/14/41 |
|
|
|
230,000 |
|
|
|
196,514 |
|
Total Mexico |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
855,591 |
|
Qatar 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qatar Government International Bond, Senior Notes |
|
|
4.817 |
% |
|
|
3/14/49 |
|
|
|
410,000 |
|
|
|
442,056 |
(a) |
Total Sovereign Bonds (Cost
$2,759,600) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,326,960 |
|
Municipal Bonds 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Morongo Band of Mission Indians, CA, Revenue, Tribal Economic Development, Series
A |
|
|
7.000 |
% |
|
|
10/1/39 |
|
|
|
500,000 |
|
|
|
577,865 |
(a) |
Regents of the University of California Medical Center Pooled Revenue, Series Q |
|
|
4.563 |
% |
|
|
5/15/53 |
|
|
|
160,000 |
|
|
|
158,889 |
|
Total California |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
736,754 |
|
Florida 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sumter Landing, FL, Community Development District Recreational Revenue, Taxable Community
Development District |
|
|
4.172 |
% |
|
|
10/1/47 |
|
|
|
260,000 |
|
|
|
237,153 |
|
Illinois 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Illinois State, GO, Taxable, Build America Bonds, Series 2010-3 |
|
|
6.725 |
% |
|
|
4/1/35 |
|
|
|
530,000 |
|
|
|
571,529 |
|
Total Municipal Bonds (Cost
$1,508,373) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,545,436 |
|
Senior Loans 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Great Outdoors Group LLC, Term Loan B2 (1 mo. USD LIBOR + 3.750%) |
|
|
4.810 |
% |
|
|
3/6/28 |
|
|
|
355,513 |
|
|
|
338,671 |
(c)(e)(f) |
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
19 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Health Care 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Horizon Therapeutics USA Inc., Incremental Term Loan B2 (1 mo. USD LIBOR +
1.750%) |
|
|
2.813 |
% |
|
|
3/15/28 |
|
|
|
336,600 |
|
|
$ |
329,097 |
(c)(e)(f) |
Industrials 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 3.750%) |
|
|
4.813 |
% |
|
|
10/20/27 |
|
|
|
280,000 |
|
|
|
283,570 |
(c)(e)(f) |
Materials 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products
0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Schweitzer-Mauduit International Inc., Term Loan B (1 mo. USD LIBOR + 3.750%) |
|
|
4.813 |
% |
|
|
4/20/28 |
|
|
|
89,325 |
|
|
|
87,092 |
(c)(e)(f) |
Total Senior Loans (Cost $1,056,488) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,038,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
Preferred Stocks 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delphi Financial Group Inc. (3 mo. USD LIBOR + 3.190%) (Cost
$233,032) |
|
|
4.801 |
% |
|
|
|
|
|
|
9,325 |
|
|
|
202,819 |
(c) |
Total Investments before Short-Term Investments
(Cost $199,772,351) |
|
|
|
197,545,885 |
|
Short-Term Investments 0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost
$90,557) |
|
|
0.652 |
% |
|
|
|
|
|
|
90,557 |
|
|
|
90,557 |
(g) |
Total Investments 98.6% (Cost
$199,862,908) |
|
|
|
|
|
|
|
197,636,442 |
|
Other Assets in Excess of Liabilities 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,732,244 |
|
Total Net Assets 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
200,368,686 |
|
See Notes to Financial
Statements.
|
|
|
20 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
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) |
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 May 31, 2022, the total market value of investments in Affiliated Companies was $90,557 and
the cost was $90,557 (Note 7). |
|
|
|
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 |
At May 31, 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 |
|
|
59 |
|
|
|
9/22 |
|
|
$12,429,797 |
|
$ |
12,454,992 |
|
|
$ |
25,195 |
|
U.S. Treasury 10-Year Notes |
|
|
3 |
|
|
|
9/22 |
|
|
385,458 |
|
|
385,453 |
|
|
|
(5) |
|
U.S. Treasury Ultra Long-Term Bonds |
|
|
22 |
|
|
|
9/22 |
|
|
3,448,286 |
|
|
3,426,500 |
|
|
|
(21,786) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,404 |
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 5-Year Notes |
|
|
14 |
|
|
|
9/22 |
|
|
1,587,314 |
|
|
1,581,344 |
|
|
|
5,970 |
|
See Notes to Financial Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
21 |
Schedule of investments
(unaudited) (contd)
May 31, 2022
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional Amount |
|
Market Value |
|
|
Unrealized Appreciation (Depreciation) |
|
Contracts to Sell continued |
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Long-Term Bonds |
|
|
72 |
|
|
|
9/22 |
|
|
$10,047,632 |
|
$ |
10,039,500 |
|
|
$ |
8,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,102 |
|
Net unrealized appreciation on open futures contracts |
|
|
$ |
17,506 |
|
At May 31, 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 |
|
1,601,180 |
|
Goldman Sachs Group Inc. |
|
|
7/19/22 |
|
|
$ |
(26,431) |
|
|
|
|
Abbreviation(s) used in this
table: |
|
|
EUR |
|
Euro |
|
|
USD |
|
United States Dollar |
At May 31, 2022, the Fund had the following open swap contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES SELL
PROTECTION1 |
|
Reference Entity |
|
Notional Amount2 |
|
|
Termination Date |
|
|
Periodic Payments Received by the
Fund |
|
Market Value3 |
|
|
Upfront Premiums Paid (Received) |
|
|
Unrealized
Appreciation |
|
Markit CDX.NA.IG.38 Index |
|
$ |
11,016,000 |
|
|
|
6/20/27 |
|
|
1.000% quarterly |
|
$ |
104,509 |
|
|
$ |
78,220 |
|
|
$ |
26,289 |
|
1 |
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap
agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net
settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
2 |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of
credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
3 |
The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit
indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the
period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and a greater likelihood
or risk of default or other credit event occurring as defined under the terms of the agreement. |
|
Percentage shown is an annual percentage rate. |
See Notes to Financial Statements.
|
|
|
22 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Statement of assets and liabilities (unaudited)
May 31, 2022
|
|
|
|
|
|
|
Assets: |
|
|
|
|
Investments in unaffiliated securities, at value (Cost $199,772,351) |
|
$ |
197,545,885 |
|
Investments in affiliated securities, at value (Cost $90,557) |
|
|
90,557 |
|
Foreign currency, at value (Cost $37,705) |
|
|
38,605 |
|
Cash |
|
|
1,426 |
|
Interest receivable |
|
|
2,428,857 |
|
Receivable for securities sold |
|
|
533,693 |
|
Deposits with brokers for centrally cleared swap contracts |
|
|
350,000 |
|
Deposits with brokers for open futures contracts |
|
|
266,498 |
|
Receivable from broker net variation margin on open futures contracts |
|
|
53,269 |
|
Receivable from broker net variation margin on centrally cleared swap
contracts |
|
|
40,330 |
|
Dividends receivable from affiliated investments |
|
|
75 |
|
Prepaid expenses |
|
|
169 |
|
Total Assets |
|
|
201,349,364 |
|
|
|
Liabilities: |
|
|
|
|
Distributions payable |
|
|
721,393 |
|
Investment management fee payable |
|
|
109,431 |
|
Unrealized depreciation on forward foreign currency contracts |
|
|
26,431 |
|
Payable for securities purchased |
|
|
19,768 |
|
Directors fees payable |
|
|
6,590 |
|
Accrued expenses |
|
|
97,065 |
|
Total Liabilities |
|
|
980,678 |
|
Total Net Assets |
|
$ |
200,368,686 |
|
|
|
Net Assets: |
|
|
|
|
Par value ($0.001 par value; 10,848,022 shares issued and outstanding; 100,000,000 shares
authorized) |
|
$ |
10,848 |
|
Paid-in capital in excess of par value |
|
|
206,591,313 |
|
Total distributable earnings (loss) |
|
|
(6,233,475) |
|
Total Net Assets |
|
$ |
200,368,686 |
|
|
|
Shares Outstanding |
|
|
10,848,022 |
|
|
|
Net Asset Value |
|
|
$18.47 |
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
23 |
Statement of operations (unaudited)
For the Six Months Ended May 31, 2022
|
|
|
|
|
|
|
Investment Income: |
|
|
|
|
Interest |
|
$ |
4,952,292 |
|
Dividends from unaffiliated investments |
|
|
1,993 |
|
Dividends from affiliated investments |
|
|
328 |
|
Less: Foreign taxes withheld |
|
|
(462) |
|
Total Investment
Income |
|
|
4,954,151 |
|
|
|
Expenses: |
|
|
|
|
Investment management fee (Note 2) |
|
|
701,360 |
|
Transfer agent fees |
|
|
40,901 |
|
Directors fees |
|
|
35,800 |
|
Audit and tax fees |
|
|
27,117 |
|
Legal fees |
|
|
16,982 |
|
Fund accounting fees |
|
|
15,889 |
|
Stock exchange listing fees |
|
|
6,240 |
|
Shareholder reports |
|
|
5,363 |
|
Custody fees |
|
|
638 |
|
Insurance |
|
|
335 |
|
Miscellaneous expenses |
|
|
6,758 |
|
Total Expenses |
|
|
857,383 |
|
Less: Fee waivers and/or expense reimbursements (Note 2) |
|
|
(431) |
|
Net Expenses |
|
|
856,952 |
|
Net Investment Income |
|
|
4,097,199 |
|
|
|
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions (Notes 1, 3
and 4): |
|
|
|
|
Net Realized Gain (Loss) From: |
|
|
|
|
Investment transactions in unaffiliated securities |
|
|
(46,233) |
|
Futures contracts |
|
|
759,305 |
|
Swap contracts |
|
|
6,482 |
|
Forward foreign currency contracts |
|
|
(102,371) |
|
Foreign currency transactions |
|
|
(561) |
|
Net Realized Gain |
|
|
616,622 |
|
Change in Net Unrealized Appreciation (Depreciation) From: |
|
|
|
|
Investments in unaffiliated securities |
|
|
(32,980,957) |
|
Futures contracts |
|
|
53,699 |
|
Swap contracts |
|
|
26,289 |
|
Forward foreign currency contracts |
|
|
5,266 |
|
Foreign currencies |
|
|
4,340 |
|
Change in Net Unrealized Appreciation
(Depreciation) |
|
|
(32,891,363) |
|
Net Loss on Investments, Futures Contracts, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions |
|
|
(32,274,741) |
|
Decrease in Net Assets From Operations |
|
$ |
(28,177,542) |
|
See Notes to Financial
Statements.
|
|
|
24 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Statements of changes in net assets
|
|
|
|
|
|
|
|
|
For the Six Months Ended May 31, 2022 (unaudited)
and the Year Ended November 30, 2021 |
|
2022 |
|
|
2021 |
|
|
|
|
Operations: |
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
4,097,199 |
|
|
$ |
8,226,637 |
|
Net realized gain |
|
|
616,622 |
|
|
|
1,015,676 |
|
Change in net unrealized appreciation (depreciation) |
|
|
(32,891,363) |
|
|
|
(7,309,326) |
|
Increase (Decrease) in Net Assets From
Operations |
|
|
(28,177,542) |
|
|
|
1,932,987 |
|
|
|
|
Distributions to Shareholders From (Note 1): |
|
|
|
|
|
|
|
|
Total distributable earnings |
|
|
(4,328,319) |
|
|
|
(8,653,691) |
|
Decrease in Net Assets From Distributions
to Shareholders |
|
|
(4,328,319) |
|
|
|
(8,653,691) |
|
|
|
|
Fund Share Transactions: |
|
|
|
|
|
|
|
|
Reinvestment of distributions (1,236 and 4,908 shares issued, respectively) |
|
|
26,544 |
|
|
|
106,648 |
|
Increase in Net Assets From Fund Share
Transactions |
|
|
26,544 |
|
|
|
106,648 |
|
Decrease in Net
Assets |
|
|
(32,479,317) |
|
|
|
(6,614,056) |
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
Beginning of period |
|
|
232,848,003 |
|
|
|
239,462,059 |
|
End of period |
|
$ |
200,368,686 |
|
|
$ |
232,848,003 |
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
25 |
Financial highlights
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For a share of capital stock outstanding throughout each year ended November 30, unless otherwise noted: |
|
|
|
20221,2 |
|
|
20211 |
|
|
20201 |
|
|
20191 |
|
|
20181 |
|
|
20171 |
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
|
$21.47 |
|
|
|
$22.09 |
|
|
|
$21.12 |
|
|
|
$19.21 |
|
|
|
$21.00 |
|
|
|
$20.26 |
|
|
|
|
|
|
|
|
Income (loss) from operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
0.38 |
|
|
|
0.76 |
|
|
|
0.79 |
|
|
|
0.88 |
|
|
|
0.94 |
|
|
|
0.99 |
|
Net realized and unrealized gain (loss) |
|
|
(2.98) |
|
|
|
(0.58) |
|
|
|
1.03 |
|
|
|
2.05 |
|
|
|
(1.71) |
|
|
|
0.82 |
|
Total income (loss) from
operations |
|
|
(2.60) |
|
|
|
0.18 |
|
|
|
1.82 |
|
|
|
2.93 |
|
|
|
(0.77) |
|
|
|
1.81 |
|
|
|
|
|
|
|
|
Less distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.40) |
3 |
|
|
(0.80) |
|
|
|
(0.81) |
|
|
|
(0.89) |
|
|
|
(0.96) |
|
|
|
(1.02) |
|
Net realized gains |
|
|
|
|
|
|
|
|
|
|
(0.04) |
|
|
|
(0.13) |
|
|
|
(0.06) |
|
|
|
(0.05) |
|
Total
distributions |
|
|
(0.40) |
|
|
|
(0.80) |
|
|
|
(0.85) |
|
|
|
(1.02) |
|
|
|
(1.02) |
|
|
|
(1.07) |
|
|
|
|
|
|
|
|
Net asset value, end of period |
|
|
$18.47 |
|
|
|
$21.47 |
|
|
|
$22.09 |
|
|
|
$21.12 |
|
|
|
$19.21 |
|
|
|
$21.00 |
|
|
|
|
|
|
|
|
Market price, end of period |
|
|
$17.62 |
|
|
|
$22.03 |
|
|
|
$21.42 |
|
|
|
$21.24 |
|
|
|
$18.05 |
|
|
|
$21.85 |
|
Total return, based on NAV4,5 |
|
|
(12.21) |
% |
|
|
0.83 |
% |
|
|
8.96 |
% |
|
|
15.59 |
% |
|
|
(3.78) |
% |
|
|
9.09 |
% |
Total return, based on Market Price6 |
|
|
(18.33) |
% |
|
|
6.70 |
% |
|
|
5.06 |
% |
|
|
23.70 |
% |
|
|
(13.06) |
% |
|
|
14.76 |
% |
|
|
|
|
|
|
|
Net assets, end of period (millions) |
|
|
$200 |
|
|
|
$233 |
|
|
|
$239 |
|
|
|
$229 |
|
|
|
$208 |
|
|
|
$227 |
|
|
|
|
|
|
|
|
Ratios to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses |
|
|
0.79 |
%7 |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.78 |
% |
|
|
0.78 |
% |
|
|
0.78 |
% |
Net expenses8 |
|
|
0.79 |
7,9 |
|
|
0.79 |
9 |
|
|
0.79 |
9 |
|
|
0.78 |
|
|
|
0.78 |
|
|
|
0.78 |
|
Net investment income |
|
|
3.80 |
7 |
|
|
3.49 |
|
|
|
3.77 |
|
|
|
4.33 |
|
|
|
4.65 |
|
|
|
4.76 |
|
|
|
|
|
|
|
|
Portfolio turnover rate |
|
|
10 |
% |
|
|
19 |
% |
|
|
41 |
% |
|
|
56 |
% |
|
|
46 |
% |
|
|
40 |
% |
1 |
Per share amounts have been calculated using the average shares method. |
2 |
For the six months ended May 31, 2022 (unaudited). |
3 |
The actual source of the Funds current fiscal year distributions may be from net investment income, return of
capital or a combination of both. Shareholders will be informed of the tax characteristics of the distributions after the close of the fiscal year. |
4 |
Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the
absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.
|
5 |
The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future
results. Total returns for periods of less than one year are not annualized. |
6 |
The total return calculation assumes that distributions are reinvested in accordance with the Funds dividend
reinvestment plan. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
8 |
The manager has agreed to waive the Funds management fee to an extent sufficient to offset the net management fee
payable in connection with any investment in an affiliated money market fund. |
9 |
Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
|
|
|
26 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Notes to financial statements (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 Funds primary investment objective is to provide current income and then to liquidate
and distribute substantially all of the Funds 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). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets
and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.
(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 Funds Board of Directors.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
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27 |
Notes to financial statements
(unaudited) (contd)
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 Board of Directors, is responsible for making fair value determinations,
evaluating the effectiveness of the Funds 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 issuers 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.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
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:
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Level 1 quoted prices in active markets for identical investments |
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Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates,
prepayment speeds, credit risk, etc.) |
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Level 3 significant unobservable inputs (including the Funds 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 Funds assets and liabilities carried at fair value:
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ASSETS |
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Description |
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Quoted Prices (Level 1) |
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Other Significant Observable Inputs (Level 2) |
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Significant Unobservable Inputs (Level 3) |
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Total |
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Long-Term Investments: |
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|
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|
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Corporate Bonds & Notes |
|
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$ |
192,432,240 |
|
|
|
|
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$ |
192,432,240 |
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Sovereign Bonds |
|
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|
|
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2,326,960 |
|
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|
|
|
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2,326,960 |
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Municipal Bonds |
|
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|
|
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1,545,436 |
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|
|
|
|
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1,545,436 |
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Senior Loans |
|
|
|
|
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1,038,430 |
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|
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1,038,430 |
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Preferred Stocks |
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202,819 |
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202,819 |
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Total Long-Term Investments |
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|
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197,545,885 |
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|
|
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197,545,885 |
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Short-Term Investments |
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$ |
90,557 |
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|
|
|
|
|
|
|
|
|
90,557 |
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Total Investments |
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$ |
90,557 |
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$ |
197,545,885 |
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|
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$ |
197,636,442 |
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Other Financial Instruments: |
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|
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|
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|
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|
|
|
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Futures Contracts |
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$ |
39,297 |
|
|
|
|
|
|
|
|
|
|
$ |
39,297 |
|
Centrally Cleared Credit Default Swaps on Credit Indices Sell
Protection |
|
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|
|
|
$ |
26,289 |
|
|
|
|
|
|
|
26,289 |
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Total Other Financial Instruments |
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$ |
39,297 |
|
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$ |
26,289 |
|
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|
|
|
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$ |
65,586 |
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Total |
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$ |
129,854 |
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$ |
197,572,174 |
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|
|
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|
$ |
197,702,028 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
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29 |
Notes to financial statements
(unaudited) (contd)
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LIABILITIES |
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Description |
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Quoted Prices (Level 1) |
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Other Significant Observable Inputs (Level 2) |
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Significant Unobservable Inputs (Level 3) |
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Total |
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Other Financial Instruments: |
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Futures Contracts |
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$ |
21,791 |
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|
|
|
|
|
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$ |
21,791 |
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Forward Foreign Currency Contracts |
|
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$ |
26,431 |
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|
|
|
|
|
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26,431 |
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Total |
|
$ |
21,791 |
|
|
$ |
26,431 |
|
|
|
|
|
|
$ |
48,222 |
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See Schedule of Investments for additional detailed categorizations. |
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Reflects the unrealized appreciation (depreciation) of the instruments. |
(b) Futures contracts. The Fund uses futures contracts generally to gain
exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a
specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or securities with a broker in an amount equal to a certain
percentage of the contract amount. This is known as the initial margin and subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuation in the
value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. The daily changes in contract value are recorded as unrealized
appreciation or depreciation in the Statement of Operations and the Fund recognizes a realized gain or loss when the contract is closed.
Futures contracts involve,
to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(c) Forward foreign currency contracts. The Fund enters into a forward
foreign currency contract to hedge against, or manage exposure to, foreign issuers or markets. The Fund may also enter into a forward foreign currency contract to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated
securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a
future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either delivery or offset by entering into another forward
foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it is closed.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Fund bears the risk
of an
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the
counterparties to meet the terms of their contracts.
(d) Swap
agreements. The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes. The use of swaps involves risks that are different from those
associated with other portfolio transactions. Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract (OTC Swaps) or centrally cleared (Centrally Cleared Swaps).
Unlike Centrally Cleared Swaps, the Fund has credit exposure to the counterparties of OTC Swaps.
In a Centrally Cleared Swap, immediately following execution
of the swap, the swap agreement is submitted to a clearinghouse or central counterparty (the CCP) and the CCP becomes the ultimate counterparty of the swap agreement. The Fund is required to interface with the CCP through a broker,
acting in an agency capacity. All payments are settled with the CCP through the broker. Upon entering into a Centrally Cleared Swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities.
Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of Centrally Cleared
Swaps, if any, is recorded as a net receivable or payable for variation margin on the Statement of Assets and Liabilities. Gains or losses are realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities,
may be required to be held in segregated accounts with the Funds custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments and restricted
cash, if any, is identified on the Statement of Assets and Liabilities. Risks may exceed amounts recorded in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the
counterparties to perform under the contracts terms, and the possible lack of liquidity with respect to the swap agreements.
OTC Swap payments received or
made at the beginning of the measurement period are reflected as a premium or deposit, respectively, on the Statement of Assets and Liabilities. These upfront payments are amortized over the life of the swap and are recognized as realized gain or
loss in the Statement of Operations. Net periodic payments received or paid by the Fund are recognized as a realized gain or loss in the Statement of Operations.
The Funds maximum exposure in the event of a defined credit event on a credit default swap to sell protection is the notional amount. As of May 31, 2022, the
total notional value of all credit default swaps to sell protection was $11,016,000. This amount would be offset by the value of the swaps reference entity, upfront premiums received on the swap and any amounts received from the settlement of
a credit default swap where the Fund bought protection for the same referenced security/entity.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
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31 |
Notes to financial statements
(unaudited) (contd)
For average notional amounts of swaps held during the six months ended May 31, 2022, see Note
4.
Credit default swaps
The
Fund enters into credit default swap (CDS) contracts for investment purposes, to manage its credit risk or to add leverage. CDS agreements involve one party making a stream of payments to another party in exchange for the right to
receive a specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the
referenced entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has exposure to an issuer) or to take an active long or short position with respect to
the likelihood of a particular issuers default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the term of the swap provided that there is no credit event. If the Fund is a seller
of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted) that the Fund could be required to make under a CDS agreement would be an amount
equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced obligations. As a seller of protection, the Fund effectively adds leverage to its
portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the Fund generally receives an amount up to the notional value of the swap if a credit
event occurs.
Implied spreads are the theoretical prices a lender receives for credit default protection. When spreads rise, market perceived credit risk rises and
when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit
spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined
under the terms of the agreement. Credit spreads utilized in determining the period end market value of CDS agreements on corporate or sovereign issues are disclosed in the Schedule of Investments and serve as an indicator of the current status of
the payment/ performance risk and represent the likelihood or risk of default for credit derivatives. For CDS agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, particularly in relation to the
notional amount of the contract as well as the annual payment rate, serve as an indication of the current status of the payment/ performance risk.
The Funds
maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract (this risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty). As
the protection seller, the
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
Funds maximum risk is the notional amount of the contract. CDS are considered to have credit risk-related contingent features since they require payment by the protection seller to the
protection buyer upon the occurrence of a defined credit event.
Entering into a CDS agreement involves, to varying degrees, elements of credit, market and
documentation risk in excess of the related amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may
default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates.
(e) Loan participations. The Fund may invest in loans arranged through
private negotiation between one or more financial institutions. The Funds investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will
have no right to enforce compliance by the borrower with the terms of the loan agreement related to the loan, or any rights of off-set against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has
purchased the participation.
The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons
interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any off-set between the lender and the
borrower.
(f) Foreign currency translation. Investment securities and
other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items
denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising
from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized
foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the
difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise
from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
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33 |
Notes to financial statements
(unaudited) (contd)
Foreign security and currency transactions may involve certain considerations and risks not
typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or
economic instability.
(g) Credit and market risk. The Fund invests in
high-yield instruments that are subject to certain credit and market risks. The yields of high-yield obligations reflect, among other things, perceived credit and market risks. The Funds investments in securities rated below investment grade
typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
(h) Foreign investment risks. The Funds investments in
foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or may pay interest or dividends in foreign currencies, changes in the
relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation,
taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(i) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other
transactions where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may
increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Funds subadviser attempts to mitigate counterparty risk by
(i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the
counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the subadviser. In addition, declines in the values of underlying collateral received may expose
the Fund to increased risk of loss.
With exchange traded and centrally cleared derivatives, there is less counterparty risk to the Fund since the exchange or
clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset
rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of the clearing broker or clearinghouse.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
The Fund has entered into master agreements, such as an International Swaps and Derivatives Association, Inc. Master
Agreement (ISDA Master Agreement) or similar agreement, with certain of its derivative counterparties that govern over-the-counter (OTC) derivatives and provide for general obligations, representations, agreements, collateral
posting terms, netting provisions in the event of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Funds net assets or net asset
value per share over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments payables and/or
receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of
reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives
while collateral terms are contract specific for OTC traded derivatives. Cash collateral that has been pledged to cover obligations of the Fund under derivative contracts, if any, will be reported separately in the Statement of Assets and
Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.
As of May 31, 2022, the Fund held forward
foreign currency contracts with credit related contingent features which had a liability position of $26,431. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its
derivatives counterparties.
(j) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities), adjusted for amortization of premium and accretion of discount, is recorded on the
accrual basis. Paydown gains and losses on mortgage- and asset-backed securities are recorded as adjustments to interest income. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as
soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer
defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
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35 |
Notes to financial statements
(unaudited) (contd)
(k) Distributions to shareholders. Distributions from net investment income of the Fund, if any, are declared quarterly and paid on a monthly basis. The actual source of the Funds monthly distributions may be from net investment income, realized
capital gains, return of capital or a combination thereof. Distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance
with income tax regulations, which may differ from GAAP.
(l) Compensating balance arrangements. The Fund has an arrangement with its custodian bank whereby a portion of the custodians fees is paid indirectly by credits earned on the Funds cash on deposit with the bank.
(m) Federal and other taxes. It is the Funds policy to comply with
the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the Code), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized
gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Funds financial statements.
Management has analyzed the Funds tax positions taken on income tax returns for all open tax years and has concluded that as of November 30, 2021, no
provision for income tax is required in the Funds financial statements. The Funds federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to
examination by the Internal Revenue Service and state departments of revenue.
Under the applicable foreign tax laws, a withholding tax may be imposed on interest,
dividends and capital gains at various rates.
(n) Reclassification.
GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share.
2. Investment management agreement and other transactions with affiliates
Legg Mason Partners Fund Advisor, LLC (LMPFA) is the Funds investment manager. Western Asset Management Company, LLC (Western Asset),
Western Asset Management Company Pte. Ltd. (Western Asset Singapore), Western Asset Management Company Ltd (Western Asset Japan) and Western Asset Management Company Limited (Western Asset London) are the
Funds subadvisers. LMPFA, Western Asset, Western Asset Singapore, Western Asset Japan and Western Asset London are indirect, wholly-owned subsidiaries of Franklin Resources, Inc. (Franklin Resources).
LMPFA provides administrative and certain oversight services to the Fund. The Fund pays LMPFA an investment management fee, calculated daily and paid monthly, at an
annual rate of 0.65% of the Funds average daily net assets.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
LMPFA delegates to Western Asset the day-to-day portfolio management of the Fund. Western Asset Singapore, Western Asset
Japan and Western Asset London provide certain subadvisory services to the Fund relating to currency transactions and investments in non-U.S. dollar denominated debt securities. For its services, LMPFA pays Western Asset a fee monthly, at an annual
rate equal to 70% of the net management fee it receives from the Fund. In turn, Western Asset pays Western Asset Singapore, Western Asset Japan and Western Asset London a monthly subadvisory fee in an amount equal to 100% of the management fee paid
to Western Asset on the assets that Western Asset allocates to each such non-U.S. subadviser to manage.
The manager has agreed to waive the Funds management
fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.
Effective June 1,
2022, subsequent to the end of the reporting period, LMPFA implemented a voluntary investment management fee waiver of 0.05% that will continue until May 31, 2023.
During the six months ended May 31, 2022, fees waived and/or expenses reimbursed amounted to $431, all of which was an affiliated money market fund waiver.
All officers and one Director of the Fund are employees of Franklin Resources or its affiliates and do not receive compensation from the Fund.
3. Investments
During the six months ended
May 31, 2022, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S. Government & Agency Obligations were as follows:
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|
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Investments |
|
|
U.S. Government & Agency Obligations |
|
Purchases |
|
$ |
15,632,104 |
|
|
$ |
7,875,177 |
|
Sales |
|
|
12,510,928 |
|
|
|
9,729,145 |
|
At May 31, 2022, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments
for federal income tax purposes were substantially as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost/Premiums Paid (Received) |
|
|
Gross Unrealized Appreciation |
|
|
Gross Unrealized Depreciation |
|
|
Net Unrealized Appreciation (Depreciation) |
|
Securities |
|
$ |
199,862,908 |
|
|
$ |
6,994,118 |
|
|
$ |
(9,220,584) |
|
|
$ |
(2,226,466) |
|
Futures contracts |
|
|
|
|
|
|
39,297 |
|
|
|
(21,791) |
|
|
|
17,506 |
|
Forward foreign currency contracts |
|
|
|
|
|
|
|
|
|
|
(26,431) |
|
|
|
(26,431) |
|
Swap contracts |
|
|
78,220 |
|
|
|
26,289 |
|
|
|
|
|
|
|
26,289 |
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
37 |
Notes to financial statements
(unaudited) (contd)
4. Derivative instruments and hedging activities
Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and
Liabilities at May 31, 2022.
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSET DERIVATIVES1 |
|
|
|
Interest Rate Risk |
|
|
Credit Risk |
|
|
Total |
|
Futures contracts2 |
|
$ |
39,297 |
|
|
|
|
|
|
$ |
39,297 |
|
Centrally cleared swap contracts3 |
|
|
|
|
|
$ |
26,289 |
|
|
|
26,289 |
|
Total |
|
$ |
39,297 |
|
|
$ |
26,289 |
|
|
$ |
65,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITY DERIVATIVES1 |
|
|
|
Interest Rate Risk |
|
|
Foreign Exchange Risk |
|
|
Total |
|
Futures contracts2 |
|
$ |
21,791 |
|
|
|
|
|
|
$ |
21,791 |
|
Forward foreign currency contracts |
|
|
|
|
|
$ |
26,431 |
|
|
|
26,431 |
|
Total |
|
$ |
21,791 |
|
|
$ |
26,431 |
|
|
$ |
48,222 |
|
1 |
Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for liability
derivatives is payables/net unrealized depreciation. |
2 |
Includes cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of
Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities. |
3 |
Includes cumulative unrealized appreciation (depreciation) of centrally cleared swap contracts as reported in the Schedule
of Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities. |
The
following tables provide information about the effect of derivatives and hedging activities on the Funds Statement of Operations for the six months ended May 31, 2022. The first table provides additional detail about the amounts and
sources of gains (losses) realized on derivatives during the period. The second table provides additional information about the change in unrealized appreciation (depreciation) resulting from the Funds derivatives and hedging activities during
the period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED |
|
|
|
Interest Rate Risk |
|
|
Foreign Exchange Risk |
|
|
Credit Risk |
|
|
Total |
|
Futures contracts |
|
$ |
759,305 |
|
|
|
|
|
|
|
|
|
|
$ |
759,305 |
|
Swap contracts |
|
|
|
|
|
|
|
|
|
$ |
6,482 |
|
|
|
6,482 |
|
Forward foreign currency contracts |
|
|
|
|
|
$ |
(102,371) |
|
|
|
|
|
|
|
(102,371) |
|
Total |
|
$ |
759,305 |
|
|
$ |
(102,371) |
|
|
$ |
6,482 |
|
|
$ |
663,416 |
|
|
|
|
38 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED |
|
|
|
Interest Rate Risk |
|
|
Foreign Exchange Risk |
|
|
Credit Risk |
|
|
Total |
|
Futures contracts |
|
$ |
53,699 |
|
|
|
|
|
|
|
|
|
|
$ |
53,699 |
|
Swap contracts |
|
|
|
|
|
|
|
|
|
$ |
26,289 |
|
|
|
26,289 |
|
Forward foreign currency contracts |
|
|
|
|
|
$ |
5,266 |
|
|
|
|
|
|
|
5,266 |
|
Total |
|
$ |
53,699 |
|
|
$ |
5,266 |
|
|
$ |
26,289 |
|
|
$ |
85,254 |
|
During the six months ended May 31, 2022, the volume of derivative activity for the Fund was as follows:
|
|
|
|
|
|
|
Average Market Value |
|
Futures contracts (to buy) |
|
$ |
19,407,497 |
|
Futures contracts (to sell) |
|
|
14,654,549 |
|
Forward foreign currency contracts (to buy) |
|
|
1,623,273 |
|
|
|
|
|
|
|
|
|
|
Average Notional Balance |
|
Credit default swap contracts (sell protection) |
|
$ |
2,576,000 |
|
The following table presents the Funds OTC derivative assets and liabilities by counterparty net of amounts available for offset
under an ISDA Master Agreement and net of the related collateral pledged (received) by the Fund as of May 31, 2022.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Gross Assets Subject to Master Agreements |
|
|
Gross Liabilities Subject to Master Agreements1 |
|
|
Net Assets (Liabilities) Subject to Master Agreements |
|
|
Collateral Pledged (Received) |
|
|
Net Amount2 |
|
Goldman Sachs Group Inc. |
|
|
|
|
|
$ |
(26,431) |
|
|
$ |
(26,431) |
|
|
|
|
|
|
$ |
(26,431) |
|
1 |
Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in
the Statement of Assets and Liabilities. |
2 |
Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
5. Distributions subsequent to May 31, 2022
The following distributions have been declared by the Funds Board of Directors and are payable subsequent to the period end of this report:
|
|
|
|
|
|
|
|
|
Record Date |
|
Payable Date |
|
|
Amount |
|
5/23/2022 |
|
|
6/1/2022 |
|
|
$ |
0.0665 |
|
6/23/2022 |
|
|
7/1/2022 |
|
|
$ |
0.0665 |
|
7/22/2022 |
|
|
8/1/2022 |
|
|
$ |
0.0665 |
|
8/24/2022 |
|
|
9/1/2022 |
|
|
$ |
0.0665 |
|
6. Stock repurchase program
On November 16, 2015, the Fund announced that the Funds Board of Directors (the Board) had authorized the Fund to repurchase in the open market up
to approximately 10% of the
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
39 |
Notes to financial statements
(unaudited) (contd)
Funds outstanding common stock when the Funds shares are trading at a discount to net
asset value. The Board has directed management of the Fund to repurchase shares of common stock at such times and in such amounts as management reasonably believes may enhance stockholder value. The Fund is under no obligation to purchase shares at
any specific discount levels or in any specific amounts. During the six months ended May 31, 2022, the Fund did not repurchase any shares.
7. 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 six months ended May 31, 2022. The following transactions were effected in such company for the six months ended May 31, 2022.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate Value at November 30, 2021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchased |
|
|
Sold |
|
|
|
Cost |
|
|
Shares |
|
|
Cost |
|
|
Shares |
|
Western Asset Premier Institutional Government Reserves, Premium Shares |
|
$ |
2,391,042 |
|
|
$ |
15,585,088 |
|
|
|
15,585,088 |
|
|
$ |
17,885,573 |
|
|
|
17,885,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(contd) |
|
Realized Gain (Loss) |
|
|
Dividend Income |
|
|
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
|
|
Affiliate Value at May 31, 2022 |
|
Western Asset Premier Institutional Government Reserves, Premium Shares |
|
|
|
|
|
$ |
328 |
|
|
|
|
|
|
$ |
90,557 |
|
8. Deferred capital losses
As of November 30, 2021, the Fund had deferred capital losses of $1,519,687, which have no expiration date, that will be available to offset future taxable capital
gains.
9. Recent accounting pronouncement
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848)
Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting
recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs are
effective for certain reference rate-related contract modifications
|
|
|
40 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of these ASUs will not have a material impact
on the financial statements.
10. Other matters
The outbreak of the respiratory illness COVID-19 (commonly referred to as coronavirus) has continued to rapidly spread around the world, causing considerable
uncertainty for the global economy and financial markets. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The COVID-19 pandemic could adversely affect
the value and liquidity of the Funds investments and negatively impact the Funds performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the
Fund by its service providers.
* * *
The Funds investments, payment obligations, and financing terms may be based on floating rates, such as the London Interbank Offered Rate, or LIBOR,
which is the offered rate for short-term Eurodollar deposits between major international banks. On March 5, 2021, the ICE Benchmark Administration, the administrator of LIBOR, stated that it will cease the publication of the overnight and one-,
three-, six- and twelve-month USD LIBOR settings immediately following the LIBOR publication on Friday, June 30, 2023. All other LIBOR settings, including the one-week and two-month USD LIBOR settings, have ceased publication as of
January 1, 2022. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Funds transactions and the financial markets generally. As such, the potential effect of a
transition away from LIBOR on the Fund or the Funds investments cannot yet be determined.
* * *
On February 24, 2022, Russia engaged in military actions in the sovereign territory of Ukraine. The current political and financial uncertainty
surrounding Russia and Ukraine may increase market volatility and the economic risk of investing in securities in these countries and may also cause uncertainty for the global economy and broader financial markets. The ultimate fallout and long-term
impact from these events are not known. The Fund will continue to assess the impact on valuations and liquidity and will take any potential actions needed in accordance with procedures approved by the Board of Directors.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Semi-Annual Report |
|
41 |
Board approval of management and subadvisory agreements (unaudited)
Background
The Investment Company Act of 1940,
as amended (the 1940 Act), requires that the Board of Directors (the Board) of Western Asset Investment Grade Defined Opportunity Trust Inc. (the Fund), including a majority of its members who are not considered
to be interested persons under the 1940 Act (the Independent Directors) voting separately, approve on an annual basis the continuation of the investment management agreement (the Management Agreement) between the
Fund and the Funds manager, Legg Mason Partners Fund Advisor, LLC (the Manager), and the sub-advisory agreements (individually, a Sub-Advisory Agreement, and collectively, the Sub-Advisory Agreements) with
the Managers affiliates, Western Asset Management Company, LLC (Western Asset), Western Asset Management Company Limited (Western Asset London), Western Asset Management Company Pte. Ltd. (Western Asset
Singapore) and Western Asset Management Company Ltd (Western Asset Japan, and with Western Asset, Western Asset London and Western Asset Singapore, collectively, the Sub-Advisers), with respect to the Fund.
At an in-person meeting (the Contract Renewal Meeting) held on May 10-11, 2022, the Board, including the Independent Directors, considered and approved
the continuation of each of the Management Agreement and the Sub-Advisory Agreements for an additional one-year period. To assist in its consideration of the renewal of each of the Management Agreement and the Sub-Advisory Agreements, the Board
received and considered extensive information (together with the information provided at the Contract Renewal Meeting, the Contract Renewal Information) about the Manager and the Sub-Advisers, as well as the management and sub-advisory
arrangements for the Fund and the other closed-end funds in the same complex under the Boards purview (the Franklin Templeton/Legg Mason Closed-end Funds), certain portions of which are discussed below.
A presentation made by the Manager and the Sub-Advisers to the Board at the Contract Renewal Meeting in connection with the Boards evaluation of each of the
Management Agreement and the Sub-Advisory Agreements encompassed the Fund and other Franklin Templeton/Legg Mason Closed-end Funds. In addition to the Contract Renewal Information, the Board received performance and other information throughout the
year related to the respective services rendered by the Manager and the Sub-Advisers to the Fund. The Boards evaluation took into account the information received throughout the year and also reflected the knowledge and experience gained as
members of the Boards of the Fund and other Franklin Templeton/Legg Mason Closed-end Funds with respect to the services provided to the Fund by the Manager and the Sub-Advisers. The information received and considered by the Board (including its
various committees) both in conjunction with the Contract Renewal Meeting and throughout the year was both written and oral. The contractual arrangements discussed below are the product of multiple years of review and negotiation and information
received and considered by the Board during those years.
|
|
|
42 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. |
At a meeting held by videoconference on
April 19, 2022, the Independent Directors, in preparation for the Contract Renewal Meeting, met in a private session with their independent legal counsel to review the Contract Renewal Information regarding the Franklin Templeton/Legg Mason
Closed-end Funds, including the Fund, received to date. No representatives of the Manager or the Sub-Advisers participated in this meeting. Following the April 19, 2022 meeting, the Independent Directors submitted certain questions and requests
for additional information to management. The Independent Directors also met in private sessions with their independent legal counsel to consider the Contract Renewal Information and managements responses to the Independent Directors
questions and requests for additional information in advance of and during the Contract Renewal Meeting. The discussion below reflects all of these reviews.
The
Manager provides the Fund with investment advisory and administrative services pursuant to the Management Agreement and the Sub-Advisers together provide the Fund with investment sub-advisory services pursuant to the Sub-Advisory Agreements. The
discussion below covers both the advisory and administrative functions being rendered by the Manager, each such function being encompassed by the Management Agreement, and the investment sub-advisory functions being rendered by the Sub-Advisers
pursuant to the Sub-Advisory Agreements.
Board Approval of Management Agreement and Sub-Advisory Agreements
The Independent Directors were advised by separate independent legal counsel throughout the process. Prior to voting, the Independent Directors received a memorandum
discussing the legal standards for their consideration of the proposed continuation of the Management Agreement and the Sub-Advisory Agreements. The Independent Directors considered the Management Agreement and each Sub-Advisory Agreement separately
in the course of their review. In doing so, they noted the respective roles of the Manager and the Sub-Advisers in providing services to the Fund.
In approving the
continuation of the Management Agreement and Sub-Advisory Agreements, the Board, including the Independent Directors, considered a variety of factors, including those factors discussed below. No single factor reviewed by the Board was identified by
the Board as the principal factor in determining whether to approve the continuation of the Management Agreement and the Sub-Advisory Agreements. Each Director may have attributed different weight to the various factors in evaluating the Management
Agreement and the Sub-Advisory Agreements.
After considering all relevant factors and information, the Board, exercising its reasonable business judgment,
determined that the continuation of the Management Agreement and Sub-Advisory Agreements were in the best interests of the Funds shareholders and approved the continuation of each such agreement for an additional one-year period.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. |
|
43 |
Board approval of management and subadvisory agreements (unaudited) (contd)
Nature, Extent and Quality of the Services under the Management Agreement and Sub-Advisory Agreements
The Board received and considered Contract Renewal Information regarding the nature, extent, and quality of services provided to the Fund by the Manager and the
Sub-Advisers under the Management Agreement and the Sub-Advisory Agreements, respectively, during the past year. The Board noted information received at regular meetings throughout the year related to the services provided by the Manager in its
management of the Funds affairs and the Managers role in coordinating the activities of the Sub-Advisers and the Funds other service providers. The Board observed that the scope of services provided by the Manager and the
Sub-Advisers, and of the undertakings required of the Manager and Sub-Advisers in connection with those services, including maintaining and monitoring their own and the Funds compliance programs had expanded over time as a result of
regulatory, market and other developments. The Board also noted that on a regular basis it received and reviewed information from the Manager and the Sub-Advisers regarding the Funds compliance policies and procedures established pursuant to
Rule 38a-1 under the 1940 Act. The Board also considered the risks associated with the Fund borne by the Manager, the Sub-Advisers and their affiliates, including entrepreneurial, operational, reputational, litigation and regulatory risks, as well
as the Managers and the Sub-Advisers risk management processes.
The Board reviewed the qualifications, backgrounds, and responsibilities of the
Managers senior personnel and the Sub-Advisers portfolio management teams primarily responsible for the day-to-day portfolio management of the Fund. The Board also considered, based on its knowledge of the Manager and its affiliates, the
financial resources of Franklin Resources, Inc., the parent organization of the Manager and the Sub-Advisers. The Board recognized the importance of having a fund manager with significant resources.
The Board considered the division of responsibilities between the Manager and the Sub-Advisers under the Management Agreement and the Sub-Advisory Agreements,
respectively, including the Managers coordination and oversight of the services provided to the Fund by the Sub-Advisers and other fund service providers and Western Assets coordination and oversight of the services provided to the Fund
by Western Asset London, Western Asset Singapore and Western Asset Japan. The Management Agreement permits the Manager to delegate certain of its responsibilities, including its investment advisory duties thereunder, provided that the Manager, in
each case, will supervise the activities of the delegee.
In reaching its determinations regarding continuation of the Management Agreement and the Sub-Advisory
Agreements, the Board took into account that Fund stockholders, in pursuing their investment goals and objectives, may have purchased their shares of the
|
|
|
44 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. |
Fund based upon the reputation and the investment
style, philosophy and strategy of the Manager and the Sub-Advisers, as well as the resources available to the Manager and the Sub-Advisers.
The Board concluded
that, overall, the nature, extent, and quality of the management and other services provided (and expected to be provided) to the Fund, under the Management Agreement and the Sub-Advisory Agreements were satisfactory.
Fund Performance
The Board received and
considered information regarding Fund performance, including information and analyses (the Broadridge Performance Information) for the Fund, as well as for a group of funds (the Performance Universe) selected by Broadridge
Financial Solutions, Inc. (Broadridge), an independent third-party provider of investment company data. The Board was provided with a description of the methodology Broadridge used to determine the similarity of the Fund with the funds
included in the Performance Universe. It was noted that while the Board found the Broadridge Performance Information generally useful, they recognized its limitations, including that the data may vary depending on the end date selected, and that the
results of the performance comparisons may vary depending on the selection of the peer group and its composition over time. The Board also noted that Board members had received and discussed with the Manager and the Sub-Advisers information
throughout the year at periodic intervals comparing the Funds performance against its benchmark and against the Funds peers. In addition, the Board considered the Funds performance in view of overall financial market conditions.
The information comparing the Funds performance to that of its Performance Universe, consisting of the Fund and all non-leveraged closed-end BBB-rated
corporate debt funds, regardless of asset size, showed, among other data, that based on net asset value per share, the Funds performance was below the median for the 1-, 3- and 5-year periods ended December 31, 2021, and was equal to the
median for the 10-year period ended December 31, 2021. The Board noted the explanations from the Manager and the Sub-Advisers regarding the Funds relative performance versus the Performance Universe for the various periods. The Board also
noted the limited size of the Performance Universe.
Based on the reviews and discussions of Fund performance and considering other relevant factors, including an
agreement at the Contract Renewal Meeting by the Manager to implement a new voluntary fee waiver of 0.05% through May 31, 2023 (the Fee Waiver) and other factors noted above, the Board concluded, under the circumstances, that
continuation of the Management Agreement and the Sub-Advisory Agreements for an additional one-year period would be consistent with the interests of the Fund and its stockholders.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. |
|
45 |
Board approval of management and subadvisory agreements (unaudited) (contd)
Management and Sub-Advisory Fees and Expense Ratios
The Board reviewed and considered the contractual management fee (the Contractual Management Fee) and the actual management fee (the Actual Management
Fee) payable by the Fund to the Manager under the Management Agreement and the sub-advisory fees (the Sub-Advisory Fees) payable by the Manager to the Sub-Advisers under the Sub-Advisory Agreements in view of the nature, extent and
overall quality of the management, investment advisory and other services provided by the Manager and the Sub-Advisers, respectively. The Board noted that the Sub-Advisory Fee payable to Western Asset under its Sub-Advisory Agreement with the
Manager is paid by the Manager, not the Fund, and, accordingly, that the retention of Western Asset does not increase the fees or expenses otherwise incurred by the Funds stockholders. Similarly, the Board noted that the Sub-Advisory Fees
payable to Western Asset London, Western Asset Singapore and Western Asset Japan under their Sub-Advisory Agreements with Western Asset are paid by Western Asset, not the Fund, and, accordingly, that the retention of Western Asset London, Western
Asset Singapore and Western Asset Japan does not increase the fees or expenses otherwise incurred by the Funds stockholders.
In addition, the Board received
and considered information and analyses prepared by Broadridge (the Broadridge Expense Information) comparing the Contractual Management Fee and the Actual Management Fee and the Funds total actual expenses with those of funds in
an expense group (the Expense Group), as well as a broader group of funds, each selected and provided by Broadridge. The comparison was based upon the constituent funds latest fiscal years. It was noted that while the Board found
the Broadridge Expense Information generally useful, they recognized its limitations, including that the data may vary depending on the selection of the peer group.
The Broadridge Expense Information showed that the Funds Contractual Management Fee was above the median. The Broadridge Expense Information also showed that the
Funds Actual Management Fee was above the median. The Broadridge Expense Information also showed that the Funds actual total expenses were above the median. The Board took into account managements discussion of the Funds
expenses and noted the limited size of the Expense Group. The Board also considered the Managers agreement to implement the Fee Waiver for a one-year period.
The Board also reviewed Contract Renewal Information regarding fees charged by the Manager and/or the Sub-Advisers to other U.S. clients investing primarily in an asset
class similar to that of the Fund, including, where applicable, institutional and separate accounts. The Manager reviewed with the Board the differences in services provided to these different types of accounts, noting that the Fund is provided with
certain administrative services, office facilities, and Fund officers, and that the Fund is subject not only to heightened regulatory requirements relative to institutional clients but also to requirements
|
|
|
46 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. |
for listing on the New York Stock Exchange, and that
the Manager coordinates and oversees the provision of services to the Fund by other fund service providers. The Board considered the fee comparisons in view of the different services provided in managing these other types of clients and funds.
The Board considered the overall management fee, the fees of the Sub-Advisers and the amount of the management fee retained by the Manager after payment of the
subadvisory fees in each case in view of the services rendered for those amounts. The Board also received an analysis of complex-wide management fees provided by the Manager, which, among other things, set out a framework of fees based on asset
classes.
Taking all of the above into consideration, as well as the factors identified below, the Board determined that the management fee and the Sub-Advisory Fees
were reasonable in view of the nature, extent and overall quality of the management, investment advisory and other services provided by the Manager and the Sub-Advisers to the Fund under the Management Agreement and the Sub-Advisory Agreements,
respectively.
Manager Profitability
The
Board, as part of the Contract Renewal Information, received an analysis of the profitability to the Manager and its affiliates in providing services to the Fund for the Managers fiscal years ended September 30, 2021 and
September 30, 2020. The Board also received profitability information with respect to the Franklin Templeton/Legg Mason fund complex as a whole. In addition, the Board received Contract Renewal Information with respect to the Managers
revenue and cost allocation methodologies used in preparing such profitability data. It was noted that the allocation methodologies had been reviewed by an outside consultant. The profitability to each of the Sub-Advisers was not considered to be a
material factor in the Boards considerations since the Sub-Advisory Fee is paid by the Manager in the case of Western Asset and by Western Asset in the case of Western Asset London, Western Asset Singapore and Western Asset Japan, not the
Fund, although the Board noted the affiliation of the Manager with the Sub-Advisers. The profitability of the Manager and its affiliates was considered by the Board to be reasonable in view of the nature, extent and quality of services provided to
the Fund.
Economies of Scale
The Board
received and discussed Contract Renewal Information concerning whether the Manager realizes economies of scale if the Funds assets grow. The Board noted that because the Fund is a closed-end fund it has limited ability to increase its assets.
The Board determined that the Management Fee structure was appropriate under the circumstances. For similar reasons as stated above with respect to the Sub-Advisers profitability and the costs of the Sub-Advisers provision of services,
the Board did not consider the potential for economies of scale in the Sub-Advisers management of the Fund to be a material factor in the Boards consideration of the Sub-Advisory Agreements.
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
|
47 |
Board approval of management and subadvisory agreements (unaudited) (contd)
Other Benefits to the Manager and the Sub-Advisers
The Board considered other benefits received by the Manager, the Sub-Advisers and their affiliates as a result of their relationship with the Fund, including the
opportunity to offer additional products and services to the Funds shareholders. In view of the costs of providing investment management and other services to the Fund and the ongoing commitment of the Manager and the Sub-Advisers to the Fund,
the Board considered that the ancillary benefits that the Manager and its affiliates, including the Sub-Advisers, were reasonable.
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48 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
Additional shareholder information (unaudited)
Results of annual meeting of shareholders
The
Annual Meeting of Shareholders of Western Asset Investment Grade Defined Opportunity Trust Inc. was held on April 8, 2022, for the purpose of considering and voting upon the proposals presented at the Meeting. The following table provides
information concerning the matters voted upon at the Meeting:
Election of Directors
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Nominees |
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FOR |
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WITHHELD |
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ABSTAIN |
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Carol L. Colman |
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8,657,595 |
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215,091 |
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181,266 |
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Daniel P. Cronin |
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|
8,649,333 |
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221,844 |
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|
182,775 |
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Paolo M. Cucchi |
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|
8,651,005 |
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218,196 |
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184,751 |
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At May 31, 2022, in addition to Carol L. Colman, Daniel P. Cronin and Paolo M. Cucchi, the other Directors of the Fund were as
follows:
Robert D. Agdern
William R. Hutchinson
Eileen A. Kamerick
Nisha Kumar
Jane Trust
Ratification of Selection of Independent
Registered Public Accountants
To ratify the selection of PricewaterhouseCoopers LLP (PwC) as independent registered public accountants of the
Fund for the fiscal year ended November 30, 2022.
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|
|
|
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FOR |
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AGAINST |
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ABSTAIN |
8,873,486 |
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61,728 |
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118,740 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
|
49 |
Dividend reinvestment plan (unaudited)
Unless you elect to receive distributions in cash (i.e., opt-out), all dividends, including any capital gain dividends and return of capital distributions, on your
Common Stock will be automatically reinvested by Computershare Trust Company, N.A., as agent for the stockholders (the Plan Agent), in additional shares of Common Stock under the Funds Dividend Reinvestment Plan (the
Plan). You may elect not to participate in the Plan by contacting the Plan Agent. If you do not participate, you will receive all cash distributions paid by check mailed directly to you by Computershare Trust Company, N.A., as dividend
paying agent.
If you participate in the Plan, the number of shares of Common Stock you will receive will be determined as follows:
(1) If the market price of the Common Stock (plus $0.03 per share commission) on the payment date (or, if the payment date is not a NYSE trading day, the
immediately preceding trading day) is equal to or exceeds the net asset value per share of the Common Stock at the close of trading on the NYSE on the payment date, the Fund will issue new Common Stock at a price equal to the greater of (a) the
net asset value per share at the close of trading on the NYSE on the payment date or (b) 95% of the market price per share of the Common Stock on the payment date.
(2) If the net asset value per share of the Common Stock exceeds the market price of the Common Stock (plus $0.03 per share commission) at the close of
trading on the NYSE on the payment date, the Plan Agent will receive the dividend or distribution in cash and will buy Common Stock in the open market, on the NYSE or elsewhere, for your account as soon as practicable commencing on the trading day
following the payment date and terminating no later than the earlier of (a) 30 days after the dividend or distribution payment date, or (b) the payment date for the next succeeding dividend or distribution to be made to the stockholders;
except when necessary to comply with applicable provisions of the federal securities laws. If during this period: (i) the market price (plus $0.03 per share commission) rises so that it equals or exceeds the net asset value per share of the
Common Stock at the close of trading on the NYSE on the payment date before the Plan Agent has completed the open market purchases or (ii) if the Plan Agent is unable to invest the full amount eligible to be reinvested in open market purchases,
the Plan Agent will cease purchasing Common Stock in the open market and the Fund shall issue the remaining Common Stock at a price per share equal to the greater of (a) the net asset value per share at the close of trading on the NYSE on the
day prior to the issuance of shares for reinvestment or (b) 95% of the then current market price per share.
Common Stock in your account will be held by the
Plan Agent in non-certificated form. Any proxy you receive will include all shares of Common Stock you have received under the Plan. You may withdraw from the Plan (i.e., opt-out) by notifying the Plan Agent in writing at 462 South 4th Street, Suite
1600, Louisville, KY 40202 or by calling the Plan Agent at 1-888-888-0151. Such withdrawal will be effective immediately if notice is received by the Plan Agent not less than ten business days prior to any dividend or distribution record date;
otherwise such withdrawal will be effective as soon as practicable after the Plan Agents investment of the most recently declared dividend or distribution on the Common Stock.
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50 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
Plan participants who sell their shares will be charged a service charge (currently $5.00 per transaction) and the Plan
Agent is authorized to deduct brokerage charges actually incurred from the proceeds (currently $0.05 per share commission). There is no service charge for reinvestment of your dividends or distributions in Common Stock. However, all participants
will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. Because all dividends and distributions will be automatically reinvested in additional shares of Common Stock, this allows you to add
to your investment through dollar cost averaging, which may lower the average cost of your Common Stock over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Funds net asset value declines.
While dollar cost averaging has definite advantages, it cannot assure profit or protect against loss in declining markets.
Automatically reinvesting dividends and
distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Investors will be subject to income tax on amounts reinvested under the Plan.
The Fund reserves the right to amend or terminate the Plan if, in the judgment of the Board of Directors, the change is warranted. The Plan may be terminated, amended or
supplemented by the Fund upon notice in writing mailed to stockholders at least 30 days prior to the record date for the payment of any dividend or distribution by the Fund for which the termination or amendment is to be effective. Upon any
termination, you will be sent cash for any fractional share of Common Stock in your account. You may elect to notify the Plan Agent in advance of such termination to have the Plan Agent sell part or all of your Common Stock on your behalf.
Additional information about the Plan and your account may be obtained from the Plan Agent at 462 South 4th Street, Suite 1600, Louisville, KY 40202 or by calling the Plan Agent at 1-888-888-0151.
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
|
51 |
Western Asset
Investment Grade Defined Opportunity Trust Inc.
Directors
Robert D. Agdern
Carol L. Colman
Daniel P. Cronin
Paolo M. Cucchi
William R. Hutchinson
Eileen A. Kamerick
Nisha Kumar
Jane Trust
Chairman
Officers
Jane Trust
President and Chief Executive Officer
Christopher Berarducci
Treasurer and Principal Financial Officer
Fred Jensen
Chief Compliance Officer
George P. Hoyt
Secretary and Chief Legal Officer
Thomas C. Mandia*
Senior Vice President
Jeanne M. Kelly
Senior Vice President
Western Asset Investment Grade
Defined Opportunity Trust Inc.
620 Eighth Avenue
47th Floor
New York, NY 10018
Investment manager
Legg Mason Partners Fund Advisor, LLC
Subadvisers
Western Asset Management Company, LLC
Western Asset Management Company
Limited
Western Asset Management Company Ltd
Western Asset Management Company
Pte. Ltd.
Custodian
The Bank of New York
Mellon
Transfer agent
Computershare Inc.
462 South 4th Street, Suite 1600
Louisville, KY 40202
Independent registered public accounting firm
PricewaterhouseCoopers LLP Baltimore, MD
Legal counsel
Simpson Thacher & Bartlett LLP
900 G Street NW
Washington, DC 20001
New York Stock Exchange Symbol
IGI
* |
Effective February 10, 2022, Mr. Mandia became a Senior Vice President. |
Legg Mason Funds Privacy and Security Notice
Your Privacy and the Security of Your Personal Information is Very
Important to the Legg Mason Funds
This Privacy and Security Notice (the Privacy Notice) addresses the Legg Mason Funds privacy and
data protection practices with respect to nonpublic personal information the Funds receive. The Legg Mason Funds include any funds sold by the Funds distributor, Franklin Distributors, LLC, as well as Legg Mason-sponsored closed-end funds. The
provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.
The Type of Nonpublic Personal Information the Funds Collect About You
The Funds collect and maintain nonpublic personal information
about you in connection with your shareholder account. Such information may include, but is not limited to:
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Personal information included on applications or other forms; |
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Account balances, transactions, and mutual fund holdings and positions; |
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Bank account information, legal documents, and identity verification documentation; |
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Online account access user IDs, passwords, security challenge question responses; and |
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Information received from consumer reporting agencies regarding credit history and creditworthiness (such as the amount of
an individuals total debt, payment history, etc.). |
How the Funds Use Nonpublic Personal Information About You
The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, or with other
financial institutions or affiliates for joint marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services
you have authorized or as permitted or required by law.
The Funds may disclose information about you to:
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Employees, agents, and affiliates on a need to know basis to enable the Funds to conduct ordinary business, or
to comply with obligations to government regulators; |
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Service providers, including the Funds affiliates, who assist the Funds as part of the ordinary course of business
(such as printing, mailing services, or processing or servicing your account with us) or otherwise perform services on the Funds behalf, including companies that may perform statistical analysis, market research and marketing services solely
for the Funds; |
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Permit access to transfer, whether in the United States or countries outside of the United States to such Funds
employees, agents and affiliates and service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators; |
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The Funds representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary
business, or to comply with obligations to government regulators; |
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Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust.
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NOT PART OF THE SEMI-ANNUAL
REPORT |
Legg Mason Funds Privacy and Security Notice (contd)
Except as otherwise permitted by applicable law, companies acting on the Funds behalf,
including those outside the United States, are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them to
perform. The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or required by applicable law, such as in connection with a law enforcement or regulatory
request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to disclose your nonpublic personal information to third parties. While it is the Funds
practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain unchanged.
Keeping You Informed of the Funds Privacy and Security Practices
The Funds will notify you annually of their privacy policy as
required by federal law. While the Funds reserve the right to modify this policy at any time they will notify you promptly if this privacy policy changes.
The Funds Security Practices
The Funds maintain appropriate physical, electronic and procedural safeguards designed to guard
your nonpublic personal information. The Funds internal data security policies restrict access to your nonpublic personal information to authorized employees, who may use your nonpublic personal information for Fund business purposes only.
Although the Funds strive to protect your nonpublic personal information, they cannot ensure or warrant the security of any information you provide or transmit to
them, and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information, the Funds will attempt to notify you as necessary, so you can take appropriate protective steps. If you have
consented to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances using the most current email address you have on record with them.
In order for the Funds to provide effective service to you, keeping your account information accurate is very important. If you believe that your account information is
incomplete, not accurate or not current, if you have questions about the Funds privacy practices, or our use of your nonpublic personal information, write the Funds using the contact information on your account statements, email the Funds by
clicking on the Contact Us section of the Funds website at www.franklintempleton.com, or contact the Fund at 1-888-777-0102.
Revised April 2018
Legg Mason California Consumer Privacy Act Policy
Although much of the personal information we collect is nonpublic personal information subject to federal law, residents of California may, in certain
circumstances, have additional rights under the California Consumer Privacy Act (CCPA). For example, if you are a broker,
|
NOT PART OF THE SEMI-ANNUAL
REPORT |
Legg Mason Funds Privacy and Security Notice (contd)
dealer, agent, fiduciary, or representative acting by or on behalf of, or for, the account of any
other person(s) or household, or a financial advisor, or if you have otherwise provided personal information to us separate from the relationship we have with personal investors, the provisions of this Privacy Policy apply to your personal
information (as defined by the CCPA).
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In addition to the provisions of the Legg Mason Funds Security and Privacy Notice, you may have the right to know the
categories and specific pieces of personal information we have collected about you. |
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You also have the right to request the deletion of the personal information collected or maintained by the Funds.
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If you wish to exercise any of the rights you have in respect of your personal information, you should advise the Funds by contacting them as set
forth below. The rights noted above are subject to our other legal and regulatory obligations and any exemptions under the CCPA. You may designate an authorized agent to make a rights request on your behalf, subject to the identification process
described below. We do not discriminate based on requests for information related to our use of your personal information, and you have the right not to receive discriminatory treatment related to the exercise of your privacy rights.
We may request information from you in order to verify your identity or authority in making such a request. If you have appointed an authorized agent to make a request
on your behalf, or you are an authorized agent making such a request (such as a power of attorney or other written permission), this process may include providing a password/passcode, a copy of government issued identification, affidavit or other
applicable documentation, i.e. written permission. We may require you to verify your identity directly even when using an authorized agent, unless a power of attorney has been provided. We reserve the right to deny a request submitted by an agent if
suitable and appropriate proof is not provided.
For the 12-month period prior to the date of this Privacy Policy, the Legg Mason Funds have not sold any of your
personal information; nor do we have any plans to do so in the future.
Contact Information
Address: Data Privacy Officer, 100 International Dr., Baltimore, MD 21202
Email: DataProtectionOfficer@franklintempleton.com
Phone:
1-800-396-4748
Revised October 2020
|
NOT PART OF THE SEMI-ANNUAL
REPORT |
Western Asset Investment Grade Defined Opportunity Trust Inc.
Western Asset Investment Grade Defined Opportunity Trust Inc.
620 Eighth Avenue
47th Floor
New York, NY 10018
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase, at market
prices, shares of its stock.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first
and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds Forms N-PORT are available on the SECs website at www.sec.gov. To obtain information on Form N-PORT, shareholders can call the Fund at
1-888-777-0102.
Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a
description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling 1-888-777-0102, (2) at www.franklintempleton.com
and (3) on the SECs website at www.sec.gov.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding
the Fund may be found on Franklin Templetons website, which can be accessed at www.franklintempleton.com. Any reference to Franklin Templetons website in this report is intended to allow investors public access to information regarding
the Fund and does not, and is not intended to, incorporate Franklin Templetons website in this report.
This report is transmitted to the shareholders of
Western Asset Investment Grade Defined Opportunity Trust Inc. for their information. This is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
Computershare Inc.
462 South 4th Street, Suite 1600
Louisville, KY 40202
WASX012742 7/22 SR22-4438