WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| CORPORATE BONDS & NOTES - 95.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMUNICATION SERVICES - 10.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Telecommunication Services - 3.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AT&T Inc., Senior Notes |
|
|
4.500 |
% |
|
|
5/15/35 |
|
|
|
370,000 |
|
|
$ |
329,001 |
|
| AT&T Inc., Senior Notes |
|
|
4.900 |
% |
|
|
6/15/42 |
|
|
|
250,000 |
|
|
|
213,719 |
|
| AT&T Inc., Senior Notes |
|
|
4.800 |
% |
|
|
6/15/44 |
|
|
|
290,000 |
|
|
|
245,138 |
|
| AT&T Inc., Senior Notes |
|
|
4.500 |
% |
|
|
3/9/48 |
|
|
|
422,000 |
|
|
|
337,112 |
|
| AT&T Inc., Senior Notes |
|
|
3.300 |
% |
|
|
2/1/52 |
|
|
|
190,000 |
|
|
|
124,049 |
|
| AT&T Inc., Senior Notes |
|
|
3.500 |
% |
|
|
9/15/53 |
|
|
|
180,000 |
|
|
|
118,569 |
|
| AT&T Inc., Senior Notes |
|
|
3.800 |
% |
|
|
12/1/57 |
|
|
|
150,000 |
|
|
|
101,251 |
|
| AT&T Inc., Senior Notes |
|
|
3.500 |
% |
|
|
2/1/61 |
|
|
|
260,000 |
|
|
|
166,897 |
|
| British Telecommunications PLC, Senior Notes |
|
|
9.625 |
% |
|
|
12/15/30 |
|
|
|
1,550,000 |
|
|
|
1,888,307 |
|
| Telefonica Emisiones SA, Senior Notes |
|
|
7.045 |
% |
|
|
6/20/36 |
|
|
|
140,000 |
|
|
|
149,260 |
|
| Telefonica Europe BV, Senior Notes |
|
|
8.250 |
% |
|
|
9/15/30 |
|
|
|
390,000 |
|
|
|
445,367 |
|
| Verizon Communications Inc., Senior Notes |
|
|
4.329 |
% |
|
|
9/21/28 |
|
|
|
218,000 |
|
|
|
208,875 |
|
| Verizon Communications Inc., Senior Notes |
|
|
5.500 |
% |
|
|
3/16/47 |
|
|
|
1,130,000 |
|
|
|
1,094,151 |
|
| Verizon Communications Inc., Senior Notes |
|
|
3.700 |
% |
|
|
3/22/61 |
|
|
|
100,000 |
|
|
|
68,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,489,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Entertainment - 2.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Walt Disney Co., Senior Notes |
|
|
6.650 |
% |
|
|
11/15/37 |
|
|
|
2,400,000 |
|
|
|
2,706,579 |
|
| Warnermedia Holdings Inc., Senior Notes |
|
|
5.141 |
% |
|
|
3/15/52 |
|
|
|
2,830,000 |
|
|
|
2,257,526 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Entertainment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,964,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media - 4.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
|
|
4.500 |
% |
|
|
5/1/32 |
|
|
|
910,000 |
|
|
|
738,565 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
|
|
6.384 |
% |
|
|
10/23/35 |
|
|
|
180,000 |
|
|
|
174,712 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
|
|
3.500 |
% |
|
|
3/1/42 |
|
|
|
120,000 |
|
|
|
78,528 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
|
|
6.484 |
% |
|
|
10/23/45 |
|
|
|
420,000 |
|
|
|
386,609 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
|
|
5.375 |
% |
|
|
5/1/47 |
|
|
|
560,000 |
|
|
|
447,793 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
|
|
5.750 |
% |
|
|
4/1/48 |
|
|
|
110,000 |
|
|
|
92,738 |
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
1 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Media - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
|
|
5.250 |
% |
|
|
4/1/53 |
|
|
|
250,000 |
|
|
$ |
198,075 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
|
|
3.950 |
% |
|
|
6/30/62 |
|
|
|
120,000 |
|
|
|
72,440 |
|
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
|
|
5.500 |
% |
|
|
4/1/63 |
|
|
|
330,000 |
|
|
|
259,530 |
|
| Comcast Corp., Senior Notes |
|
|
6.400 |
% |
|
|
5/15/38 |
|
|
|
2,500,000 |
|
|
|
2,724,724 |
|
| DISH DBS Corp., Senior Secured Notes |
|
|
5.750 |
% |
|
|
12/1/28 |
|
|
|
250,000 |
|
|
|
194,536 |
(a) |
| Fox Corp., Senior Notes |
|
|
5.476 |
% |
|
|
1/25/39 |
|
|
|
810,000 |
|
|
|
735,787 |
|
| Paramount Global, Senior Notes |
|
|
5.250 |
% |
|
|
4/1/44 |
|
|
|
80,000 |
|
|
|
60,209 |
|
| Time Warner Cable Enterprises LLC, Senior Secured Notes |
|
|
8.375 |
% |
|
|
7/15/33 |
|
|
|
370,000 |
|
|
|
412,569 |
|
| Time Warner Cable LLC, Senior Secured Notes |
|
|
6.550 |
% |
|
|
5/1/37 |
|
|
|
370,000 |
|
|
|
351,807 |
|
| Time Warner Cable LLC, Senior Secured Notes |
|
|
7.300 |
% |
|
|
7/1/38 |
|
|
|
330,000 |
|
|
|
334,538 |
|
| Time Warner Cable LLC, Senior Secured Notes |
|
|
6.750 |
% |
|
|
6/15/39 |
|
|
|
20,000 |
|
|
|
19,361 |
|
| Time Warner Cable LLC, Senior Secured Notes |
|
|
5.500 |
% |
|
|
9/1/41 |
|
|
|
200,000 |
|
|
|
164,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Media |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,446,966 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services - 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sprint LLC, Senior Notes |
|
|
7.875 |
% |
|
|
9/15/23 |
|
|
|
120,000 |
|
|
|
120,169 |
|
| Sprint LLC, Senior Notes |
|
|
7.125 |
% |
|
|
6/15/24 |
|
|
|
230,000 |
|
|
|
232,031 |
|
| T-Mobile USA Inc., Senior Notes |
|
|
4.375 |
% |
|
|
4/15/40 |
|
|
|
100,000 |
|
|
|
86,012 |
|
| T-Mobile USA Inc., Senior Notes |
|
|
3.000 |
% |
|
|
2/15/41 |
|
|
|
100,000 |
|
|
|
70,699 |
|
| T-Mobile USA Inc., Senior Notes |
|
|
4.500 |
% |
|
|
4/15/50 |
|
|
|
330,000 |
|
|
|
272,815 |
|
| T-Mobile USA Inc., Senior Notes |
|
|
3.400 |
% |
|
|
10/15/52 |
|
|
|
360,000 |
|
|
|
244,206 |
|
| Vodafone Group PLC, Senior Notes |
|
|
5.250 |
% |
|
|
5/30/48 |
|
|
|
320,000 |
|
|
|
289,330 |
|
| Vodafone Group PLC, Senior Notes |
|
|
4.250 |
% |
|
|
9/17/50 |
|
|
|
20,000 |
|
|
|
15,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Wireless Telecommunication Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,330,693 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMUNICATION SERVICES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,231,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER DISCRETIONARY - 5.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Automobile Components - 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ZF North America Capital Inc., Senior Notes |
|
|
4.750 |
% |
|
|
4/29/25 |
|
|
|
620,000 |
|
|
|
602,976 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Automobiles - 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ford Motor Co., Senior Notes |
|
|
3.250 |
% |
|
|
2/12/32 |
|
|
|
470,000 |
|
|
|
367,309 |
|
| Ford Motor Credit Co. LLC, Senior Notes |
|
|
2.700 |
% |
|
|
8/10/26 |
|
|
|
630,000 |
|
|
|
564,097 |
|
| General Motors Co., Senior Notes |
|
|
6.125 |
% |
|
|
10/1/25 |
|
|
|
300,000 |
|
|
|
301,372 |
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
2 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Automobiles - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| General Motors Co., Senior Notes |
|
|
6.600 |
% |
|
|
4/1/36 |
|
|
|
290,000 |
|
|
$ |
291,730 |
|
| General Motors Co., Senior Notes |
|
|
6.750 |
% |
|
|
4/1/46 |
|
|
|
580,000 |
|
|
|
572,959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Automobiles |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,097,467 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Broadline Retail - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Amazon.com Inc., Senior Notes |
|
|
3.875 |
% |
|
|
8/22/37 |
|
|
|
410,000 |
|
|
|
369,275 |
|
| Amazon.com Inc., Senior Notes |
|
|
3.950 |
% |
|
|
4/13/52 |
|
|
|
520,000 |
|
|
|
434,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Broadline Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
803,497 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Consumer Services - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Washington University, Senior Notes |
|
|
3.524 |
% |
|
|
4/15/54 |
|
|
|
150,000 |
|
|
|
115,534 |
|
| Washington University, Senior Notes |
|
|
4.349 |
% |
|
|
4/15/2122 |
|
|
|
170,000 |
|
|
|
138,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Diversified Consumer Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
253,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure - 2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Genting New York LLC/GENNY Capital Inc., Senior Notes |
|
|
3.300 |
% |
|
|
2/15/26 |
|
|
|
740,000 |
|
|
|
659,896 |
(a) |
| Marriott International Inc., Senior Notes |
|
|
3.600 |
% |
|
|
4/15/24 |
|
|
|
320,000 |
|
|
|
315,176 |
|
| McDonald’s Corp., Senior Notes |
|
|
4.700 |
% |
|
|
12/9/35 |
|
|
|
260,000 |
|
|
|
248,659 |
|
| McDonald’s Corp., Senior Notes |
|
|
4.875 |
% |
|
|
12/9/45 |
|
|
|
370,000 |
|
|
|
342,032 |
|
| Melco Resorts Finance Ltd., Senior Notes |
|
|
5.375 |
% |
|
|
12/4/29 |
|
|
|
590,000 |
|
|
|
495,264 |
(a) |
| Sands China Ltd., Senior Notes |
|
|
5.375 |
% |
|
|
8/8/25 |
|
|
|
690,000 |
|
|
|
667,640 |
|
| Sands China Ltd., Senior Notes |
|
|
5.650 |
% |
|
|
8/8/28 |
|
|
|
200,000 |
|
|
|
188,939 |
|
| Sands China Ltd., Senior Notes |
|
|
4.875 |
% |
|
|
6/18/30 |
|
|
|
220,000 |
|
|
|
192,401 |
|
| Sands China Ltd., Senior Notes |
|
|
3.500 |
% |
|
|
8/8/31 |
|
|
|
510,000 |
|
|
|
410,704 |
|
| Wynn Macau Ltd., Senior Notes |
|
|
5.500 |
% |
|
|
10/1/27 |
|
|
|
370,000 |
|
|
|
333,437 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,854,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Household Durables - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Lennar Corp., Senior Notes |
|
|
5.000 |
% |
|
|
6/15/27 |
|
|
|
290,000 |
|
|
|
285,741 |
|
| MDC Holdings Inc., Senior Notes |
|
|
2.500 |
% |
|
|
1/15/31 |
|
|
|
300,000 |
|
|
|
232,981 |
|
| MDC Holdings Inc., Senior Notes |
|
|
6.000 |
% |
|
|
1/15/43 |
|
|
|
310,000 |
|
|
|
271,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Household Durables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
790,034 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Specialty Retail - 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Home Depot Inc., Senior Notes |
|
|
3.300 |
% |
|
|
4/15/40 |
|
|
|
100,000 |
|
|
|
78,924 |
|
| Home Depot Inc., Senior Notes |
|
|
3.350 |
% |
|
|
4/15/50 |
|
|
|
80,000 |
|
|
|
58,653 |
|
| Home Depot Inc., Senior Notes |
|
|
3.625 |
% |
|
|
4/15/52 |
|
|
|
420,000 |
|
|
|
320,294 |
|
| Lithia Motors Inc., Senior Notes |
|
|
4.625 |
% |
|
|
12/15/27 |
|
|
|
170,000 |
|
|
|
157,176 |
(a) |
| Lithia Motors Inc., Senior Notes |
|
|
3.875 |
% |
|
|
6/1/29 |
|
|
|
300,000 |
|
|
|
257,871 |
(a) |
| Lowe’s Cos. Inc., Senior Notes |
|
|
4.250 |
% |
|
|
4/1/52 |
|
|
|
440,000 |
|
|
|
348,519 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Specialty Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,221,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,623,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
3 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| CONSUMER STAPLES - 3.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beverages - 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Anheuser-Busch InBev Worldwide Inc., Senior Notes |
|
|
4.600 |
% |
|
|
4/15/48 |
|
|
|
1,730,000 |
|
|
$ |
1,559,234 |
|
| Coca-Cola Co., Senior Notes |
|
|
4.125 |
% |
|
|
3/25/40 |
|
|
|
290,000 |
|
|
|
259,438 |
|
| Coca-Cola Co., Senior Notes |
|
|
4.200 |
% |
|
|
3/25/50 |
|
|
|
160,000 |
|
|
|
144,219 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Beverages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,962,891 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Food Products - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Kraft Heinz Foods Co., Senior Notes |
|
|
5.000 |
% |
|
|
6/4/42 |
|
|
|
160,000 |
|
|
|
146,297 |
|
| Mars Inc., Senior Notes |
|
|
3.200 |
% |
|
|
4/1/30 |
|
|
|
220,000 |
|
|
|
198,658 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Food Products |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
344,955 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tobacco - 2.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Altria Group Inc., Senior Notes |
|
|
3.800 |
% |
|
|
2/14/24 |
|
|
|
290,000 |
|
|
|
287,438 |
|
| Altria Group Inc., Senior Notes |
|
|
4.400 |
% |
|
|
2/14/26 |
|
|
|
500,000 |
|
|
|
489,197 |
|
| Altria Group Inc., Senior Notes |
|
|
4.800 |
% |
|
|
2/14/29 |
|
|
|
1,360,000 |
|
|
|
1,318,292 |
|
| Altria Group Inc., Senior Notes |
|
|
3.875 |
% |
|
|
9/16/46 |
|
|
|
80,000 |
|
|
|
55,137 |
|
| Imperial Brands Finance PLC, Senior Notes |
|
|
6.125 |
% |
|
|
7/27/27 |
|
|
|
510,000 |
|
|
|
515,852 |
(a) |
| Reynolds American Inc., Senior Notes |
|
|
8.125 |
% |
|
|
5/1/40 |
|
|
|
470,000 |
|
|
|
515,406 |
|
| Reynolds American Inc., Senior Notes |
|
|
7.000 |
% |
|
|
8/4/41 |
|
|
|
510,000 |
|
|
|
500,958 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Tobacco |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,682,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CONSUMER STAPLES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,990,126 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ENERGY - 13.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Energy Equipment & Services - 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Halliburton Co., Senior Notes |
|
|
5.000 |
% |
|
|
11/15/45 |
|
|
|
930,000 |
|
|
|
837,622 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Oil, Gas & Consumable Fuels - 13.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Apache Corp., Senior Notes |
|
|
6.000 |
% |
|
|
1/15/37 |
|
|
|
84,000 |
|
|
|
78,373 |
|
| Apache Corp., Senior Notes |
|
|
5.100 |
% |
|
|
9/1/40 |
|
|
|
60,000 |
|
|
|
49,943 |
|
| Apache Corp., Senior Notes |
|
|
5.250 |
% |
|
|
2/1/42 |
|
|
|
160,000 |
|
|
|
131,445 |
|
| Apache Corp., Senior Notes |
|
|
4.750 |
% |
|
|
4/15/43 |
|
|
|
670,000 |
|
|
|
512,595 |
|
| Cameron LNG LLC, Senior Secured Notes |
|
|
3.302 |
% |
|
|
1/15/35 |
|
|
|
40,000 |
|
|
|
33,150 |
(a) |
| Cameron LNG LLC, Senior Secured Notes |
|
|
3.701 |
% |
|
|
1/15/39 |
|
|
|
50,000 |
|
|
|
40,284 |
(a) |
| Cheniere Energy Partners LP, Senior Notes |
|
|
3.250 |
% |
|
|
1/31/32 |
|
|
|
360,000 |
|
|
|
297,868 |
|
| Chesapeake Energy Corp., Senior Notes |
|
|
6.750 |
% |
|
|
4/15/29 |
|
|
|
270,000 |
|
|
|
268,310 |
(a) |
| Chevron USA Inc., Senior Notes |
|
|
5.250 |
% |
|
|
11/15/43 |
|
|
|
240,000 |
|
|
|
238,128 |
|
| Columbia Pipelines Operating Co. LLC, Senior Notes |
|
|
6.036 |
% |
|
|
11/15/33 |
|
|
|
460,000 |
|
|
|
465,060 |
(a) |
| Columbia Pipelines Operating Co. LLC, Senior Notes |
|
|
6.544 |
% |
|
|
11/15/53 |
|
|
|
370,000 |
|
|
|
378,606 |
(a) |
| ConocoPhillips, Senior Notes |
|
|
6.500 |
% |
|
|
2/1/39 |
|
|
|
1,500,000 |
|
|
|
1,674,299 |
|
| Continental Resources Inc., Senior Notes |
|
|
2.268 |
% |
|
|
11/15/26 |
|
|
|
130,000 |
|
|
|
116,114 |
(a) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
4 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Oil, Gas & Consumable Fuels - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Continental Resources Inc., Senior Notes |
|
|
4.375 |
% |
|
|
1/15/28 |
|
|
|
430,000 |
|
|
$ |
405,124 |
|
| Continental Resources Inc., Senior Notes |
|
|
2.875 |
% |
|
|
4/1/32 |
|
|
|
180,000 |
|
|
|
138,103 |
(a) |
| Continental Resources Inc., Senior Notes |
|
|
4.900 |
% |
|
|
6/1/44 |
|
|
|
140,000 |
|
|
|
107,469 |
|
| Devon Energy Corp., Senior Notes |
|
|
5.850 |
% |
|
|
12/15/25 |
|
|
|
560,000 |
|
|
|
563,273 |
|
| Devon Energy Corp., Senior Notes |
|
|
4.500 |
% |
|
|
1/15/30 |
|
|
|
116,000 |
|
|
|
108,615 |
|
| Devon Energy Corp., Senior Notes |
|
|
5.600 |
% |
|
|
7/15/41 |
|
|
|
20,000 |
|
|
|
18,595 |
|
| Devon Energy Corp., Senior Notes |
|
|
5.000 |
% |
|
|
6/15/45 |
|
|
|
210,000 |
|
|
|
179,892 |
|
| Diamondback Energy Inc., Senior Notes |
|
|
6.250 |
% |
|
|
3/15/53 |
|
|
|
370,000 |
|
|
|
368,986 |
|
| Ecopetrol SA, Senior Notes |
|
|
5.875 |
% |
|
|
5/28/45 |
|
|
|
404,000 |
|
|
|
285,139 |
|
| 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 |
|
|
|
304,220 |
(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 |
|
|
|
780,894 |
(b)(c) |
| Energy Transfer LP, Senior Notes |
|
|
3.900 |
% |
|
|
7/15/26 |
|
|
|
630,000 |
|
|
|
602,580 |
|
| Energy Transfer LP, Senior Notes |
|
|
5.250 |
% |
|
|
4/15/29 |
|
|
|
20,000 |
|
|
|
19,551 |
|
| Energy Transfer LP, Senior Notes |
|
|
6.625 |
% |
|
|
10/15/36 |
|
|
|
20,000 |
|
|
|
20,519 |
|
| Energy Transfer LP, Senior Notes |
|
|
5.800 |
% |
|
|
6/15/38 |
|
|
|
60,000 |
|
|
|
57,083 |
|
| Enterprise Products Operating LLC, Senior Notes |
|
|
4.250 |
% |
|
|
2/15/48 |
|
|
|
400,000 |
|
|
|
326,280 |
|
| Enterprise Products Operating LLC, Senior Notes |
|
|
3.300 |
% |
|
|
2/15/53 |
|
|
|
230,000 |
|
|
|
157,492 |
|
| Enterprise Products Operating LLC, Senior Notes |
|
|
3.950 |
% |
|
|
1/31/60 |
|
|
|
210,000 |
|
|
|
155,085 |
|
| Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. Term SOFR +
2.832%) |
|
|
5.375 |
% |
|
|
2/15/78 |
|
|
|
700,000 |
|
|
|
582,677 |
(c) |
| EOG Resources Inc., Senior Notes |
|
|
4.375 |
% |
|
|
4/15/30 |
|
|
|
370,000 |
|
|
|
359,896 |
|
| Exxon Mobil Corp., Senior Notes |
|
|
4.227 |
% |
|
|
3/19/40 |
|
|
|
220,000 |
|
|
|
196,824 |
|
| KazMunayGas National Co. JSC, Senior Notes |
|
|
3.500 |
% |
|
|
4/14/33 |
|
|
|
240,000 |
|
|
|
181,080 |
(a) |
| Kinder Morgan Inc., Senior Notes |
|
|
7.800 |
% |
|
|
8/1/31 |
|
|
|
900,000 |
|
|
|
1,006,824 |
|
| MPLX LP, Senior Notes |
|
|
4.500 |
% |
|
|
4/15/38 |
|
|
|
600,000 |
|
|
|
508,841 |
|
| Occidental Petroleum Corp., Senior Notes |
|
|
7.875 |
% |
|
|
9/15/31 |
|
|
|
1,000,000 |
|
|
|
1,108,517 |
|
| Occidental Petroleum Corp., Senior Notes |
|
|
4.400 |
% |
|
|
4/15/46 |
|
|
|
10,000 |
|
|
|
7,683 |
|
| ONEOK Inc., Senior Notes |
|
|
6.050 |
% |
|
|
9/1/33 |
|
|
|
710,000 |
|
|
|
715,836 |
|
| ONEOK Inc., Senior Notes |
|
|
6.625 |
% |
|
|
9/1/53 |
|
|
|
710,000 |
|
|
|
716,590 |
|
| Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
|
|
4.125 |
% |
|
|
2/15/28 |
|
|
|
330,000 |
|
|
|
309,988 |
(a) |
| Petrobras Global Finance BV, Senior Notes |
|
|
7.375 |
% |
|
|
1/17/27 |
|
|
|
530,000 |
|
|
|
549,056 |
|
| Petrobras Global Finance BV, Senior Notes |
|
|
5.500 |
% |
|
|
6/10/51 |
|
|
|
160,000 |
|
|
|
125,494 |
|
| Southern Natural Gas Co. LLC, Senior Notes |
|
|
8.000 |
% |
|
|
3/1/32 |
|
|
|
1,500,000 |
|
|
|
1,698,394 |
|
| Southwestern Energy Co., Senior Notes |
|
|
4.750 |
% |
|
|
2/1/32 |
|
|
|
90,000 |
|
|
|
79,825 |
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
5 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Oil, Gas & Consumable Fuels - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Targa Resources Corp., Senior Notes |
|
|
4.950 |
% |
|
|
4/15/52 |
|
|
|
260,000 |
|
|
$ |
211,308 |
|
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
|
|
6.875 |
% |
|
|
1/15/29 |
|
|
|
760,000 |
|
|
|
771,164 |
|
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
7.850 |
% |
|
|
2/1/26 |
|
|
|
760,000 |
|
|
|
794,728 |
|
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
7.250 |
% |
|
|
12/1/26 |
|
|
|
180,000 |
|
|
|
185,317 |
|
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
3.250 |
% |
|
|
5/15/30 |
|
|
|
230,000 |
|
|
|
202,945 |
|
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
5.400 |
% |
|
|
8/15/41 |
|
|
|
10,000 |
|
|
|
9,380 |
|
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
4.450 |
% |
|
|
8/1/42 |
|
|
|
860,000 |
|
|
|
717,409 |
|
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
3.950 |
% |
|
|
5/15/50 |
|
|
|
30,000 |
|
|
|
22,494 |
|
| Western Midstream Operating LP, Senior Notes |
|
|
4.650 |
% |
|
|
7/1/26 |
|
|
|
1,560,000 |
|
|
|
1,510,200 |
|
| Western Midstream Operating LP, Senior Notes |
|
|
4.750 |
% |
|
|
8/15/28 |
|
|
|
890,000 |
|
|
|
843,323 |
|
| Western Midstream Operating LP, Senior Notes |
|
|
4.050 |
% |
|
|
2/1/30 |
|
|
|
140,000 |
|
|
|
125,027 |
|
| Western Midstream Operating LP, Senior Notes |
|
|
5.450 |
% |
|
|
4/1/44 |
|
|
|
120,000 |
|
|
|
100,923 |
|
| Western Midstream Operating LP, Senior Notes |
|
|
5.250 |
% |
|
|
2/1/50 |
|
|
|
430,000 |
|
|
|
348,442 |
|
| Williams Cos. Inc., Senior Notes |
|
|
4.550 |
% |
|
|
6/24/24 |
|
|
|
1,130,000 |
|
|
|
1,118,174 |
|
| Williams Cos. Inc., Senior Notes |
|
|
7.750 |
% |
|
|
6/15/31 |
|
|
|
62,000 |
|
|
|
68,135 |
|
| Williams Cos. Inc., Senior Notes |
|
|
8.750 |
% |
|
|
3/15/32 |
|
|
|
148,000 |
|
|
|
173,502 |
|
| Williams Cos. Inc., Senior Notes |
|
|
3.500 |
% |
|
|
10/15/51 |
|
|
|
70,000 |
|
|
|
47,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,280,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL ENERGY |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,117,742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FINANCIALS - 32.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banks - 19.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
|
|
182,606 |
(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 |
|
|
|
372,871 |
(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 |
|
|
|
193,891 |
(a)(b)(c) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
6 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(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. Term SOFR +
4.160%) |
|
|
6.100 |
% |
|
|
3/17/25 |
|
|
|
590,000 |
|
|
$ |
581,408 |
(b)(c) |
| Bank of America Corp., Junior Subordinated Notes (6.250% to 9/5/24 then 3 mo. Term SOFR +
3.967%) |
|
|
6.250 |
% |
|
|
9/5/24 |
|
|
|
880,000 |
|
|
|
877,800 |
(b)(c) |
| Bank of America Corp., Junior Subordinated Notes (6.500% to 10/23/24 then 3 mo. Term SOFR +
4.436%) |
|
|
6.500 |
% |
|
|
10/23/24 |
|
|
|
400,000 |
|
|
|
402,000 |
(b)(c) |
| Bank of America Corp., Senior Notes |
|
|
5.875 |
% |
|
|
2/7/42 |
|
|
|
1,340,000 |
|
|
|
1,388,632 |
|
| Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) |
|
|
2.572 |
% |
|
|
10/20/32 |
|
|
|
230,000 |
|
|
|
184,435 |
(c) |
| Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. Term SOFR + 3.412%) |
|
|
4.083 |
% |
|
|
3/20/51 |
|
|
|
250,000 |
|
|
|
201,087 |
(c) |
| Bank of America Corp., Senior Notes (4.271% to 7/23/28 then 3 mo. Term SOFR + 1.572%) |
|
|
4.271 |
% |
|
|
7/23/29 |
|
|
|
690,000 |
|
|
|
651,477 |
(c) |
| Bank of America Corp., Subordinated Notes |
|
|
7.750 |
% |
|
|
5/14/38 |
|
|
|
670,000 |
|
|
|
784,608 |
|
| 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 |
|
|
|
483,944 |
(c) |
| 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 |
|
|
|
1,475,230 |
(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 |
|
|
|
458,363 |
(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 |
|
|
|
1,493,324 |
(a)(b)(c) |
| BNP Paribas SA, Junior Subordinated Notes (8.500% to 8/14/28 then 5 year Treasury Constant Maturity Rate +
4.354%) |
|
|
8.500 |
% |
|
|
8/14/28 |
|
|
|
290,000 |
|
|
|
289,710 |
(a)(b)(c) |
| Citigroup Inc., Junior Subordinated Notes (6.250% to 8/15/26 then 3 mo. Term SOFR + 4.779%) |
|
|
6.250 |
% |
|
|
8/15/26 |
|
|
|
1,100,000 |
|
|
|
1,085,040 |
(b)(c) |
| Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. Term SOFR + 3.685%) |
|
|
6.300 |
% |
|
|
5/15/24 |
|
|
|
1,350,000 |
|
|
|
1,331,775 |
(b)(c) |
| Citigroup Inc., Senior Notes |
|
|
8.125 |
% |
|
|
7/15/39 |
|
|
|
752,000 |
|
|
|
936,866 |
|
| Citigroup Inc., Senior Notes |
|
|
4.650 |
% |
|
|
7/23/48 |
|
|
|
780,000 |
|
|
|
677,554 |
|
| Citigroup Inc., Senior Notes (3.785% to 3/17/32 then SOFR + 1.939%) |
|
|
3.785 |
% |
|
|
3/17/33 |
|
|
|
620,000 |
|
|
|
539,274 |
(c) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
7 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Banks - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Citigroup Inc., Subordinated Notes |
|
|
4.600 |
% |
|
|
3/9/26 |
|
|
|
490,000 |
|
|
$ |
477,196 |
|
| Citigroup Inc., Subordinated Notes |
|
|
4.125 |
% |
|
|
7/25/28 |
|
|
|
1,990,000 |
|
|
|
1,856,525 |
|
| Citigroup Inc., Subordinated Notes |
|
|
6.675 |
% |
|
|
9/13/43 |
|
|
|
630,000 |
|
|
|
662,213 |
|
| Citigroup Inc., Subordinated Notes (6.174% to 5/25/33 then SOFR + 2.661%) |
|
|
6.174 |
% |
|
|
5/25/34 |
|
|
|
380,000 |
|
|
|
378,886 |
(c) |
| Cooperatieve Rabobank UA, Senior Notes |
|
|
5.750 |
% |
|
|
12/1/43 |
|
|
|
250,000 |
|
|
|
245,360 |
|
| 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 |
|
|
|
1,369,238 |
(a)(b)(c) |
| Danske Bank A/S, Senior Notes |
|
|
5.375 |
% |
|
|
1/12/24 |
|
|
|
530,000 |
|
|
|
528,072 |
(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 |
|
|
|
776,393 |
(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 |
|
|
|
422,329 |
(b)(c) |
| HSBC Holdings PLC, Senior Notes |
|
|
4.950 |
% |
|
|
3/31/30 |
|
|
|
200,000 |
|
|
|
192,512 |
|
| HSBC Holdings PLC, Senior Notes (6.254% to 3/9/33 then SOFR + 2.390%) |
|
|
6.254 |
% |
|
|
3/9/34 |
|
|
|
1,300,000 |
|
|
|
1,314,757 |
(c) |
| HSBC Holdings PLC, Subordinated Notes (4.762% to 3/29/32 then SOFR + 2.530%) |
|
|
4.762 |
% |
|
|
3/29/33 |
|
|
|
470,000 |
|
|
|
417,929 |
(c) |
| Intesa Sanpaolo SpA, Senior Notes |
|
|
7.000 |
% |
|
|
11/21/25 |
|
|
|
290,000 |
|
|
|
294,886 |
(a) |
| Intesa Sanpaolo SpA, Senior Notes |
|
|
4.700 |
% |
|
|
9/23/49 |
|
|
|
200,000 |
|
|
|
140,217 |
(a) |
| Intesa Sanpaolo SpA, Senior Notes (7.778% to 6/20/53 then 1 year Treasury Constant Maturity Rate +
3.900%) |
|
|
7.778 |
% |
|
|
6/20/54 |
|
|
|
340,000 |
|
|
|
334,328 |
(a)(c) |
| 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 |
|
|
|
152,554 |
(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 |
|
|
|
286,890 |
(a)(c) |
| JPMorgan Chase & Co., Junior Subordinated Notes (3 mo. Term SOFR + 3.562%) |
|
|
8.934 |
% |
|
|
11/1/23 |
|
|
|
700,000 |
|
|
|
701,820 |
(b)(c) |
| JPMorgan Chase & Co., Senior Notes |
|
|
6.400 |
% |
|
|
5/15/38 |
|
|
|
1,500,000 |
|
|
|
1,652,790 |
|
| JPMorgan Chase & Co., Subordinated Notes |
|
|
5.625 |
% |
|
|
8/16/43 |
|
|
|
760,000 |
|
|
|
757,188 |
|
| 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 |
|
|
|
202,662 |
(b)(c) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
8 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(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 |
|
|
$ |
604,926 |
(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 |
|
|
|
441,039 |
(b)(c) |
| Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30 then 5 year Treasury Constant Maturity Rate
+ 3.913%) |
|
|
8.000 |
% |
|
|
9/27/29 |
|
|
|
410,000 |
|
|
|
372,171 |
(b)(c) |
| 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 |
|
|
|
200,000 |
|
|
|
190,925 |
(c) |
| PNC Bank NA, Subordinated Notes |
|
|
4.050 |
% |
|
|
7/26/28 |
|
|
|
650,000 |
|
|
|
602,051 |
|
| Truist Financial Corp., Senior Notes (5.867% to 6/8/33 then SOFR + 2.361%) |
|
|
5.867 |
% |
|
|
6/8/34 |
|
|
|
390,000 |
|
|
|
386,606 |
(c) |
| UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%) |
|
|
7.296 |
% |
|
|
4/2/34 |
|
|
|
1,610,000 |
|
|
|
1,551,480 |
(a)(c) |
| US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) |
|
|
5.836 |
% |
|
|
6/12/34 |
|
|
|
470,000 |
|
|
|
469,772 |
(c) |
| Wells Fargo & Co., Senior Notes (3.196% to 6/17/26 then 3 mo. Term SOFR + 1.432%) |
|
|
3.196 |
% |
|
|
6/17/27 |
|
|
|
320,000 |
|
|
|
299,282 |
(c) |
| Wells Fargo & Co., Senior Notes (4.611% to 4/25/52 then SOFR + 2.130%) |
|
|
4.611 |
% |
|
|
4/25/53 |
|
|
|
600,000 |
|
|
|
508,120 |
(c) |
| Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR + 4.502%) |
|
|
5.013 |
% |
|
|
4/4/51 |
|
|
|
350,000 |
|
|
|
316,341 |
(c) |
| Wells Fargo & Co., Senior Notes (5.557% to 7/25/33 then SOFR + 1.990%) |
|
|
5.557 |
% |
|
|
7/25/34 |
|
|
|
880,000 |
|
|
|
868,787 |
(c) |
| Wells Fargo & Co., Subordinated Notes |
|
|
4.400 |
% |
|
|
6/14/46 |
|
|
|
420,000 |
|
|
|
333,247 |
|
| Wells Fargo & Co., Subordinated Notes |
|
|
4.750 |
% |
|
|
12/7/46 |
|
|
|
530,000 |
|
|
|
441,060 |
|
| Westpac Banking Corp., Subordinated Notes |
|
|
4.421 |
% |
|
|
7/24/39 |
|
|
|
170,000 |
|
|
|
137,194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,279,641 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Markets - 7.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
|
|
378,145 |
(b)(c) |
| Charles Schwab Corp., Senior Notes |
|
|
3.850 |
% |
|
|
5/21/25 |
|
|
|
230,000 |
|
|
|
223,180 |
|
| Charles Schwab Corp., Senior Notes (5.853% to 5/19/33 then SOFR + 2.500%) |
|
|
5.853 |
% |
|
|
5/19/34 |
|
|
|
410,000 |
|
|
|
410,674 |
(c) |
| Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + 2.010%) |
|
|
6.136 |
% |
|
|
8/24/34 |
|
|
|
680,000 |
|
|
|
692,155 |
(c) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
9 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Capital Markets - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CI Financial Corp., Senior Notes |
|
|
4.100 |
% |
|
|
6/15/51 |
|
|
|
250,000 |
|
|
$ |
151,429 |
|
| CME Group Inc., Senior Notes |
|
|
5.300 |
% |
|
|
9/15/43 |
|
|
|
750,000 |
|
|
|
760,195 |
|
| Credit Suisse USA Inc., Senior Notes |
|
|
7.125 |
% |
|
|
7/15/32 |
|
|
|
70,000 |
|
|
|
78,141 |
|
| Goldman Sachs Group Inc., Junior Subordinated Notes (7.500% to 2/10/29 then 5 year Treasury Constant Maturity Rate
+ 3.156%) |
|
|
7.500 |
% |
|
|
2/10/29 |
|
|
|
180,000 |
|
|
|
181,350 |
(b)(c) |
| Goldman Sachs Group Inc., Senior Notes |
|
|
5.700 |
% |
|
|
11/1/24 |
|
|
|
600,000 |
|
|
|
599,177 |
|
| Goldman Sachs Group Inc., Senior Notes |
|
|
6.250 |
% |
|
|
2/1/41 |
|
|
|
2,550,000 |
|
|
|
2,695,749 |
|
| Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + 1.264%) |
|
|
2.650 |
% |
|
|
10/21/32 |
|
|
|
630,000 |
|
|
|
505,731 |
(c) |
| Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + 1.846%) |
|
|
3.615 |
% |
|
|
3/15/28 |
|
|
|
1,670,000 |
|
|
|
1,562,352 |
(c) |
| Goldman Sachs Group Inc., Subordinated Notes |
|
|
5.150 |
% |
|
|
5/22/45 |
|
|
|
70,000 |
|
|
|
64,387 |
|
| Intercontinental Exchange Inc., Senior Notes |
|
|
4.950 |
% |
|
|
6/15/52 |
|
|
|
390,000 |
|
|
|
364,299 |
|
| Intercontinental Exchange Inc., Senior Notes |
|
|
5.200 |
% |
|
|
6/15/62 |
|
|
|
400,000 |
|
|
|
378,685 |
|
| KKR Group Finance Co. III LLC, Senior Notes |
|
|
5.125 |
% |
|
|
6/1/44 |
|
|
|
1,300,000 |
|
|
|
1,126,875 |
(a) |
| KKR Group Finance Co. VI LLC, Senior Notes |
|
|
3.750 |
% |
|
|
7/1/29 |
|
|
|
110,000 |
|
|
|
99,678 |
(a) |
| KKR Group Finance Co. X LLC, Senior Notes |
|
|
3.250 |
% |
|
|
12/15/51 |
|
|
|
160,000 |
|
|
|
101,128 |
(a) |
| Morgan Stanley, Senior Notes |
|
|
6.375 |
% |
|
|
7/24/42 |
|
|
|
140,000 |
|
|
|
153,052 |
|
| Morgan Stanley, Senior Notes (1.928% to 4/28/31 then SOFR + 1.020%) |
|
|
1.928 |
% |
|
|
4/28/32 |
|
|
|
900,000 |
|
|
|
694,206 |
(c) |
| Morgan Stanley, Subordinated Notes |
|
|
4.350 |
% |
|
|
9/8/26 |
|
|
|
500,000 |
|
|
|
481,652 |
|
| Morgan Stanley, Subordinated Notes (5.297% to 4/20/32 then SOFR + 2.620%) |
|
|
5.297 |
% |
|
|
4/20/37 |
|
|
|
190,000 |
|
|
|
176,951 |
(c) |
| Morgan Stanley, Subordinated Notes (5.948% to 1/19/33 then 5 year Treasury Constant Maturity Rate +
2.430%) |
|
|
5.948 |
% |
|
|
1/19/38 |
|
|
|
160,000 |
|
|
|
155,683 |
(c) |
| Raymond James Financial Inc., Senior Notes |
|
|
4.650 |
% |
|
|
4/1/30 |
|
|
|
120,000 |
|
|
|
116,250 |
|
| Raymond James Financial Inc., Senior Notes |
|
|
4.950 |
% |
|
|
7/15/46 |
|
|
|
150,000 |
|
|
|
130,872 |
|
| S&P Global Inc., Senior Notes |
|
|
3.250 |
% |
|
|
12/1/49 |
|
|
|
110,000 |
|
|
|
79,037 |
|
| 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 |
|
|
|
914,480 |
(a)(b)(c) |
| UBS Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%) |
|
|
4.194 |
% |
|
|
4/1/31 |
|
|
|
400,000 |
|
|
|
360,453 |
(a)(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Capital Markets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,635,966 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
10 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Consumer Finance - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital One Financial Corp., Senior Notes (5.817% to 2/1/33 then SOFR + 2.600%) |
|
|
5.817 |
% |
|
|
2/1/34 |
|
|
|
240,000 |
|
|
$ |
228,128 |
(c) |
| Navient Corp., Senior Notes |
|
|
6.125 |
% |
|
|
3/25/24 |
|
|
|
480,000 |
|
|
|
478,426 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Consumer Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
706,554 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Services - 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
|
|
3.850 |
% |
|
|
10/29/41 |
|
|
|
530,000 |
|
|
|
393,977 |
|
| Berkshire Hathaway Energy Co., Senior Notes |
|
|
6.125 |
% |
|
|
4/1/36 |
|
|
|
1,000,000 |
|
|
|
1,047,498 |
|
| Carlyle Finance LLC, Senior Notes |
|
|
5.650 |
% |
|
|
9/15/48 |
|
|
|
170,000 |
|
|
|
146,903 |
(a) |
| Carlyle Finance Subsidiary LLC, Senior Notes |
|
|
3.500 |
% |
|
|
9/19/29 |
|
|
|
230,000 |
|
|
|
207,573 |
(a) |
| Carlyle Holdings II Finance LLC, Senior Notes |
|
|
5.625 |
% |
|
|
3/30/43 |
|
|
|
360,000 |
|
|
|
314,001 |
(a) |
| Everest Reinsurance Holdings Inc., Senior Notes |
|
|
3.500 |
% |
|
|
10/15/50 |
|
|
|
220,000 |
|
|
|
151,369 |
|
| 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%) |
|
|
7.064 |
% |
|
|
12/21/65 |
|
|
|
800,000 |
|
|
|
580,716 |
(a)(c) |
| ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30
year Treasury Constant Maturity Rate) + 1.800%) |
|
|
7.314 |
% |
|
|
12/21/65 |
|
|
|
100,000 |
|
|
|
74,170 |
(a)(c) |
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes |
|
|
2.875 |
% |
|
|
10/15/26 |
|
|
|
230,000 |
|
|
|
204,642 |
(a) |
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes |
|
|
4.000 |
% |
|
|
10/15/33 |
|
|
|
220,000 |
|
|
|
174,197 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Financial Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,295,046 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Insurance - 3.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Allianz SE, Junior Subordinated Notes (3.500% to 4/30/26 then 5 year Treasury Constant Maturity Rate +
2.973%) |
|
|
3.500 |
% |
|
|
11/17/25 |
|
|
|
200,000 |
|
|
|
168,034 |
(a)(b)(c) |
| American International Group Inc., Senior Notes |
|
|
4.750 |
% |
|
|
4/1/48 |
|
|
|
80,000 |
|
|
|
70,429 |
|
| Americo Life Inc., Senior Notes |
|
|
3.450 |
% |
|
|
4/15/31 |
|
|
|
120,000 |
|
|
|
89,250 |
(a) |
| Fidelity & Guaranty Life Holdings Inc., Senior Notes |
|
|
5.500 |
% |
|
|
5/1/25 |
|
|
|
360,000 |
|
|
|
352,214 |
(a) |
| Liberty Mutual Insurance Co., Subordinated Notes |
|
|
7.875 |
% |
|
|
10/15/26 |
|
|
|
840,000 |
|
|
|
851,308 |
(a) |
| Marsh & McLennan Cos. Inc., Senior Notes |
|
|
2.900 |
% |
|
|
12/15/51 |
|
|
|
170,000 |
|
|
|
110,547 |
|
| Massachusetts Mutual Life Insurance Co., Subordinated Notes |
|
|
3.375 |
% |
|
|
4/15/50 |
|
|
|
100,000 |
|
|
|
69,309 |
(a) |
| Massachusetts Mutual Life Insurance Co., Subordinated Notes |
|
|
4.900 |
% |
|
|
4/1/77 |
|
|
|
420,000 |
|
|
|
343,444 |
(a) |
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
11 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Insurance - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MetLife Inc., Junior Subordinated Notes |
|
|
6.400 |
% |
|
|
12/15/36 |
|
|
|
1,000,000 |
|
|
$ |
990,586 |
|
| MetLife Inc., Junior Subordinated Notes |
|
|
9.250 |
% |
|
|
4/8/38 |
|
|
|
159,000 |
|
|
|
184,259 |
(a) |
| Nationwide Mutual Insurance Co., Subordinated Notes |
|
|
9.375 |
% |
|
|
8/15/39 |
|
|
|
520,000 |
|
|
|
654,377 |
(a) |
| New York Life Insurance Co., Subordinated Notes |
|
|
4.450 |
% |
|
|
5/15/69 |
|
|
|
140,000 |
|
|
|
111,954 |
(a) |
| Northwestern Mutual Life Insurance Co., Subordinated Notes |
|
|
3.625 |
% |
|
|
9/30/59 |
|
|
|
180,000 |
|
|
|
121,834 |
(a) |
| Prudential Financial Inc., Junior Subordinated Notes (6.750% to 3/1/33 then 5 year Treasury Constant Maturity Rate
+ 2.848%) |
|
|
6.750 |
% |
|
|
3/1/53 |
|
|
|
270,000 |
|
|
|
267,784 |
(c) |
| RenaissanceRe Holdings Ltd., Senior Notes |
|
|
5.750 |
% |
|
|
6/5/33 |
|
|
|
300,000 |
|
|
|
291,744 |
|
| Teachers Insurance & Annuity Association of America, Subordinated Notes |
|
|
6.850 |
% |
|
|
12/16/39 |
|
|
|
1,050,000 |
|
|
|
1,151,996 |
(a) |
| Teachers Insurance & Annuity Association of America, Subordinated Notes |
|
|
4.900 |
% |
|
|
9/15/44 |
|
|
|
660,000 |
|
|
|
593,221 |
(a) |
| Teachers Insurance & Annuity Association of America, Subordinated Notes |
|
|
3.300 |
% |
|
|
5/15/50 |
|
|
|
330,000 |
|
|
|
223,691 |
(a) |
| Travelers Cos. Inc., Senior Notes |
|
|
6.250 |
% |
|
|
6/15/37 |
|
|
|
400,000 |
|
|
|
436,559 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,082,540 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mortgage Real Estate Investment Trusts (REITs) - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Blackstone Holdings Finance Co. LLC, Senior Notes |
|
|
6.200 |
% |
|
|
4/22/33 |
|
|
|
700,000 |
|
|
|
720,808 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL FINANCIALS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
60,720,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| HEALTH CARE - 11.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Biotechnology - 2.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AbbVie Inc., Senior Notes |
|
|
3.200 |
% |
|
|
11/21/29 |
|
|
|
370,000 |
|
|
|
333,723 |
|
| AbbVie Inc., Senior Notes |
|
|
4.050 |
% |
|
|
11/21/39 |
|
|
|
1,160,000 |
|
|
|
995,036 |
|
| Amgen Inc., Senior Notes |
|
|
5.250 |
% |
|
|
3/2/33 |
|
|
|
1,160,000 |
|
|
|
1,154,455 |
|
| Amgen Inc., Senior Notes |
|
|
5.650 |
% |
|
|
3/2/53 |
|
|
|
460,000 |
|
|
|
456,343 |
|
| Amgen Inc., Senior Notes |
|
|
5.750 |
% |
|
|
3/2/63 |
|
|
|
160,000 |
|
|
|
158,129 |
|
| Gilead Sciences Inc., Senior Notes |
|
|
5.650 |
% |
|
|
12/1/41 |
|
|
|
100,000 |
|
|
|
102,072 |
|
| Gilead Sciences Inc., Senior Notes |
|
|
4.500 |
% |
|
|
2/1/45 |
|
|
|
500,000 |
|
|
|
439,906 |
|
| Gilead Sciences Inc., Senior Notes |
|
|
4.750 |
% |
|
|
3/1/46 |
|
|
|
100,000 |
|
|
|
91,122 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Biotechnology |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,730,786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Health Care Equipment & Supplies - 0.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Abbott Laboratories, Senior Notes |
|
|
4.900 |
% |
|
|
11/30/46 |
|
|
|
200,000 |
|
|
|
195,103 |
|
| Becton Dickinson & Co., Senior Notes |
|
|
4.685 |
% |
|
|
12/15/44 |
|
|
|
910,000 |
|
|
|
806,987 |
|
| Becton Dickinson & Co., Senior Notes |
|
|
4.669 |
% |
|
|
6/6/47 |
|
|
|
450,000 |
|
|
|
399,591 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Health Care Equipment & Supplies |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,401,681 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
12 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Health Care Providers & Services - 6.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Centene Corp., Senior Notes |
|
|
4.250 |
% |
|
|
12/15/27 |
|
|
|
160,000 |
|
|
$ |
149,822 |
|
| Centene Corp., Senior Notes |
|
|
4.625 |
% |
|
|
12/15/29 |
|
|
|
560,000 |
|
|
|
515,449 |
|
| Centene Corp., Senior Notes |
|
|
3.375 |
% |
|
|
2/15/30 |
|
|
|
790,000 |
|
|
|
676,830 |
|
| Centene Corp., Senior Notes |
|
|
3.000 |
% |
|
|
10/15/30 |
|
|
|
120,000 |
|
|
|
99,927 |
|
| Cigna Group, Senior Notes |
|
|
4.125 |
% |
|
|
11/15/25 |
|
|
|
540,000 |
|
|
|
526,406 |
|
| Cigna Group, Senior Notes |
|
|
4.800 |
% |
|
|
8/15/38 |
|
|
|
540,000 |
|
|
|
498,197 |
|
| Cigna Group, Senior Notes |
|
|
3.200 |
% |
|
|
3/15/40 |
|
|
|
220,000 |
|
|
|
164,043 |
|
| CommonSpirit Health, Secured Notes |
|
|
4.350 |
% |
|
|
11/1/42 |
|
|
|
60,000 |
|
|
|
50,137 |
|
| CVS Health Corp., Senior Notes |
|
|
4.100 |
% |
|
|
3/25/25 |
|
|
|
1,460,000 |
|
|
|
1,429,293 |
|
| CVS Health Corp., Senior Notes |
|
|
4.300 |
% |
|
|
3/25/28 |
|
|
|
1,610,000 |
|
|
|
1,547,182 |
|
| CVS Health Corp., Senior Notes |
|
|
4.780 |
% |
|
|
3/25/38 |
|
|
|
2,060,000 |
|
|
|
1,845,930 |
|
| CVS Health Corp., Senior Notes |
|
|
5.125 |
% |
|
|
7/20/45 |
|
|
|
540,000 |
|
|
|
481,356 |
|
| CVS Health Corp., Senior Notes |
|
|
5.050 |
% |
|
|
3/25/48 |
|
|
|
930,000 |
|
|
|
816,253 |
|
| Dartmouth-Hitchcock Health, Secured Bonds |
|
|
4.178 |
% |
|
|
8/1/48 |
|
|
|
150,000 |
|
|
|
115,630 |
|
| Elevance Health Inc., Senior Notes |
|
|
5.350 |
% |
|
|
10/15/25 |
|
|
|
500,000 |
|
|
|
499,509 |
|
| Elevance Health Inc., Senior Notes |
|
|
4.375 |
% |
|
|
12/1/47 |
|
|
|
230,000 |
|
|
|
194,241 |
|
| HCA Inc., Senior Notes |
|
|
4.125 |
% |
|
|
6/15/29 |
|
|
|
340,000 |
|
|
|
314,220 |
|
| HCA Inc., Senior Notes |
|
|
5.125 |
% |
|
|
6/15/39 |
|
|
|
170,000 |
|
|
|
154,394 |
|
| HCA Inc., Senior Notes |
|
|
5.500 |
% |
|
|
6/15/47 |
|
|
|
350,000 |
|
|
|
318,917 |
|
| HCA Inc., Senior Notes |
|
|
5.250 |
% |
|
|
6/15/49 |
|
|
|
530,000 |
|
|
|
463,021 |
|
| Humana Inc., Senior Notes |
|
|
4.800 |
% |
|
|
3/15/47 |
|
|
|
360,000 |
|
|
|
319,953 |
|
| Inova Health System Foundation, Senior Notes |
|
|
4.068 |
% |
|
|
5/15/52 |
|
|
|
140,000 |
|
|
|
116,919 |
|
| Kaiser Foundation Hospitals, Senior Notes |
|
|
3.002 |
% |
|
|
6/1/51 |
|
|
|
120,000 |
|
|
|
80,906 |
|
| Orlando Health Obligated Group, Senior Notes |
|
|
4.089 |
% |
|
|
10/1/48 |
|
|
|
270,000 |
|
|
|
214,063 |
|
| UnitedHealth Group Inc., Senior Notes |
|
|
3.500 |
% |
|
|
8/15/39 |
|
|
|
220,000 |
|
|
|
179,703 |
|
| UnitedHealth Group Inc., Senior Notes |
|
|
4.750 |
% |
|
|
7/15/45 |
|
|
|
220,000 |
|
|
|
204,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Health Care Providers & Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,976,934 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals - 2.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bausch Health Cos. Inc., Senior Notes |
|
|
5.000 |
% |
|
|
1/30/28 |
|
|
|
130,000 |
|
|
|
56,641 |
(a) |
| Pfizer Inc., Senior Notes |
|
|
7.200 |
% |
|
|
3/15/39 |
|
|
|
560,000 |
|
|
|
677,312 |
|
| Pfizer Investment Enterprises Pte Ltd., Senior Notes |
|
|
4.750 |
% |
|
|
5/19/33 |
|
|
|
620,000 |
|
|
|
610,429 |
|
| Pfizer Investment Enterprises Pte Ltd., Senior Notes |
|
|
5.110 |
% |
|
|
5/19/43 |
|
|
|
620,000 |
|
|
|
603,958 |
|
| Pfizer Investment Enterprises Pte Ltd., Senior Notes |
|
|
5.300 |
% |
|
|
5/19/53 |
|
|
|
470,000 |
|
|
|
470,519 |
|
| Pfizer Investment Enterprises Pte Ltd., Senior Notes |
|
|
5.340 |
% |
|
|
5/19/63 |
|
|
|
90,000 |
|
|
|
88,751 |
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
13 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Pharmaceuticals - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
|
|
7.125 |
% |
|
|
1/31/25 |
|
|
|
200,000 |
|
|
$ |
201,357 |
|
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
|
|
8.125 |
% |
|
|
9/15/31 |
|
|
|
320,000 |
|
|
|
339,432 |
|
| Wyeth LLC, Senior Notes |
|
|
5.950 |
% |
|
|
4/1/37 |
|
|
|
1,100,000 |
|
|
|
1,179,742 |
|
| Zoetis Inc., Senior Notes |
|
|
4.700 |
% |
|
|
2/1/43 |
|
|
|
40,000 |
|
|
|
36,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Pharmaceuticals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,264,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL HEALTH CARE |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,373,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS - 8.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense - 3.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Avolon Holdings Funding Ltd., Senior Notes |
|
|
5.125 |
% |
|
|
10/1/23 |
|
|
|
820,000 |
|
|
|
818,699 |
(a) |
| Avolon Holdings Funding Ltd., Senior Notes |
|
|
4.250 |
% |
|
|
4/15/26 |
|
|
|
640,000 |
|
|
|
604,020 |
(a) |
| Boeing Co., Senior Notes |
|
|
3.100 |
% |
|
|
5/1/26 |
|
|
|
1,540,000 |
|
|
|
1,451,350 |
|
| Boeing Co., Senior Notes |
|
|
3.250 |
% |
|
|
2/1/28 |
|
|
|
580,000 |
|
|
|
531,673 |
|
| Boeing Co., Senior Notes |
|
|
5.705 |
% |
|
|
5/1/40 |
|
|
|
330,000 |
|
|
|
321,264 |
|
| Boeing Co., Senior Notes |
|
|
5.805 |
% |
|
|
5/1/50 |
|
|
|
220,000 |
|
|
|
214,343 |
|
| HEICO Corp., Senior Notes |
|
|
5.350 |
% |
|
|
8/1/33 |
|
|
|
380,000 |
|
|
|
376,885 |
|
| Hexcel Corp., Senior Notes |
|
|
4.200 |
% |
|
|
2/15/27 |
|
|
|
1,000,000 |
|
|
|
935,015 |
|
| Huntington Ingalls Industries Inc., Senior Notes |
|
|
3.483 |
% |
|
|
12/1/27 |
|
|
|
320,000 |
|
|
|
294,943 |
|
| L3Harris Technologies Inc., Senior Notes |
|
|
5.400 |
% |
|
|
7/31/33 |
|
|
|
290,000 |
|
|
|
290,671 |
|
| L3Harris Technologies Inc., Senior Notes |
|
|
4.854 |
% |
|
|
4/27/35 |
|
|
|
430,000 |
|
|
|
405,534 |
|
| Lockheed Martin Corp., Senior Notes |
|
|
4.500 |
% |
|
|
5/15/36 |
|
|
|
50,000 |
|
|
|
47,458 |
|
| Lockheed Martin Corp., Senior Notes |
|
|
4.700 |
% |
|
|
5/15/46 |
|
|
|
200,000 |
|
|
|
187,279 |
|
| RTX Corp., Senior Notes |
|
|
4.625 |
% |
|
|
11/16/48 |
|
|
|
180,000 |
|
|
|
158,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Aerospace & Defense |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,637,564 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Air Freight & Logistics - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Parcel Service Inc., Senior Notes |
|
|
6.200 |
% |
|
|
1/15/38 |
|
|
|
700,000 |
|
|
|
783,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Building Products - 0.0%†† |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Carrier Global Corp., Senior Notes |
|
|
3.577 |
% |
|
|
4/5/50 |
|
|
|
160,000 |
|
|
|
114,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial Services & Supplies - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| California Institute of Technology, Senior Notes |
|
|
3.650 |
% |
|
|
9/1/2119 |
|
|
|
180,000 |
|
|
|
117,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ground Transportation - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Union Pacific Corp., Senior Notes |
|
|
4.375 |
% |
|
|
11/15/65 |
|
|
|
530,000 |
|
|
|
406,535 |
|
| Union Pacific Corp., Senior Notes |
|
|
3.750 |
% |
|
|
2/5/70 |
|
|
|
30,000 |
|
|
|
21,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Ground Transportation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
428,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| General Electric Co., Senior Notes |
|
|
6.875 |
% |
|
|
1/10/39 |
|
|
|
143,000 |
|
|
|
166,668 |
|
| Honeywell International Inc., Senior Notes |
|
|
5.000 |
% |
|
|
2/15/33 |
|
|
|
540,000 |
|
|
|
544,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Industrial Conglomerates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
711,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
14 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Machinery - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Caterpillar Inc., Senior Notes |
|
|
4.750 |
% |
|
|
5/15/64 |
|
|
|
360,000 |
|
|
$ |
332,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Passenger Airlines - 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
|
|
5.500 |
% |
|
|
4/20/26 |
|
|
|
155,833 |
|
|
|
153,080 |
(a) |
| American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
|
|
5.750 |
% |
|
|
4/20/29 |
|
|
|
170,000 |
|
|
|
162,757 |
(a) |
| Delta Air Lines Inc., Senior Notes |
|
|
2.900 |
% |
|
|
10/28/24 |
|
|
|
840,000 |
|
|
|
814,396 |
|
| Delta Air Lines Inc., Senior Secured Notes |
|
|
7.000 |
% |
|
|
5/1/25 |
|
|
|
420,000 |
|
|
|
425,953 |
(a) |
| Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
|
|
4.500 |
% |
|
|
10/20/25 |
|
|
|
292,000 |
|
|
|
285,558 |
(a) |
| Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
|
|
4.750 |
% |
|
|
10/20/28 |
|
|
|
210,000 |
|
|
|
201,777 |
(a) |
| Southwest Airlines Co., Senior Notes |
|
|
5.125 |
% |
|
|
6/15/27 |
|
|
|
290,000 |
|
|
|
286,718 |
|
| United Airlines Pass-Through Trust |
|
|
4.875 |
% |
|
|
1/15/26 |
|
|
|
206,880 |
|
|
|
200,895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Passenger Airlines |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,531,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading Companies & Distributors - 1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Air Lease Corp., Senior Notes |
|
|
1.875 |
% |
|
|
8/15/26 |
|
|
|
1,000,000 |
|
|
|
895,343 |
|
| Air Lease Corp., Senior Notes |
|
|
5.850 |
% |
|
|
12/15/27 |
|
|
|
480,000 |
|
|
|
480,371 |
|
| Air Lease Corp., Senior Notes |
|
|
4.625 |
% |
|
|
10/1/28 |
|
|
|
500,000 |
|
|
|
471,462 |
|
| Aircastle Ltd., Senior Notes |
|
|
5.250 |
% |
|
|
8/11/25 |
|
|
|
1,000,000 |
|
|
|
976,216 |
(a) |
| Aviation Capital Group LLC, Senior Notes |
|
|
5.500 |
% |
|
|
12/15/24 |
|
|
|
250,000 |
|
|
|
246,350 |
(a) |
| Aviation Capital Group LLC, Senior Notes |
|
|
4.125 |
% |
|
|
8/1/25 |
|
|
|
340,000 |
|
|
|
324,147 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Trading Companies & Distributors |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,393,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INDUSTRIALS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,049,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INFORMATION TECHNOLOGY - 3.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electronic Equipment, Instruments & Components - 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TD SYNNEX Corp., Senior Notes |
|
|
1.250 |
% |
|
|
8/9/24 |
|
|
|
600,000 |
|
|
|
572,214 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| IT Services - 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| International Business Machines Corp., Senior Notes |
|
|
3.500 |
% |
|
|
5/15/29 |
|
|
|
200,000 |
|
|
|
184,636 |
|
| Kyndryl Holdings Inc., Senior Notes |
|
|
4.100 |
% |
|
|
10/15/41 |
|
|
|
450,000 |
|
|
|
307,174 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total IT Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
491,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment - 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Broadcom Inc., Senior Notes |
|
|
4.150 |
% |
|
|
11/15/30 |
|
|
|
178,000 |
|
|
|
162,841 |
|
| Broadcom Inc., Senior Notes |
|
|
4.300 |
% |
|
|
11/15/32 |
|
|
|
580,000 |
|
|
|
524,525 |
|
| Broadcom Inc., Senior Notes |
|
|
3.187 |
% |
|
|
11/15/36 |
|
|
|
22,000 |
|
|
|
16,546 |
(a) |
| Broadcom Inc., Senior Notes |
|
|
4.926 |
% |
|
|
5/15/37 |
|
|
|
239,000 |
|
|
|
215,457 |
(a) |
| Foundry JV Holdco LLC, Senior Secured Notes |
|
|
5.875 |
% |
|
|
1/25/34 |
|
|
|
470,000 |
|
|
|
464,043 |
(a) |
| Intel Corp., Senior Notes |
|
|
4.900 |
% |
|
|
7/29/45 |
|
|
|
220,000 |
|
|
|
213,294 |
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
15 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Semiconductors & Semiconductor Equipment - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Intel Corp., Senior Notes |
|
|
4.750 |
% |
|
|
3/25/50 |
|
|
|
20,000 |
|
|
$ |
17,588 |
|
| Intel Corp., Senior Notes |
|
|
4.950 |
% |
|
|
3/25/60 |
|
|
|
100,000 |
|
|
|
89,641 |
|
| Intel Corp., Senior Notes |
|
|
3.200 |
% |
|
|
8/12/61 |
|
|
|
180,000 |
|
|
|
112,879 |
|
| Micron Technology Inc., Senior Notes |
|
|
2.703 |
% |
|
|
4/15/32 |
|
|
|
210,000 |
|
|
|
165,841 |
|
| Micron Technology Inc., Senior Notes |
|
|
3.366 |
% |
|
|
11/1/41 |
|
|
|
40,000 |
|
|
|
27,760 |
|
| NVIDIA Corp., Senior Notes |
|
|
3.500 |
% |
|
|
4/1/40 |
|
|
|
100,000 |
|
|
|
83,339 |
|
| NVIDIA Corp., Senior Notes |
|
|
3.500 |
% |
|
|
4/1/50 |
|
|
|
300,000 |
|
|
|
236,435 |
|
| NVIDIA Corp., Senior Notes |
|
|
3.700 |
% |
|
|
4/1/60 |
|
|
|
120,000 |
|
|
|
95,840 |
|
| QUALCOMM Inc., Senior Notes |
|
|
4.300 |
% |
|
|
5/20/47 |
|
|
|
70,000 |
|
|
|
60,603 |
|
| Texas Instruments Inc., Senior Notes |
|
|
4.600 |
% |
|
|
2/15/28 |
|
|
|
380,000 |
|
|
|
378,299 |
|
| Texas Instruments Inc., Senior Notes |
|
|
3.875 |
% |
|
|
3/15/39 |
|
|
|
430,000 |
|
|
|
372,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Semiconductors & Semiconductor Equipment |
|
|
|
|
|
|
|
3,237,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Software - 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Microsoft Corp., Senior Notes |
|
|
4.250 |
% |
|
|
2/6/47 |
|
|
|
1,520,000 |
|
|
|
1,412,088 |
|
| Oracle Corp., Senior Notes |
|
|
3.950 |
% |
|
|
3/25/51 |
|
|
|
490,000 |
|
|
|
358,466 |
|
| Oracle Corp., Senior Notes |
|
|
4.100 |
% |
|
|
3/25/61 |
|
|
|
580,000 |
|
|
|
412,569 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Software |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,183,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Technology Hardware, Storage & Peripherals - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Dell International LLC/EMC Corp., Senior Notes |
|
|
8.100 |
% |
|
|
7/15/36 |
|
|
|
200,000 |
|
|
|
229,968 |
|
| Dell International LLC/EMC Corp., Senior Notes |
|
|
8.350 |
% |
|
|
7/15/46 |
|
|
|
60,000 |
|
|
|
73,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Technology Hardware, Storage & Peripherals |
|
|
|
|
|
|
|
303,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INFORMATION TECHNOLOGY |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,788,643 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MATERIALS - 1.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Chemicals - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Celanese US Holdings LLC, Senior Notes |
|
|
5.900 |
% |
|
|
7/5/24 |
|
|
|
480,000 |
|
|
|
479,561 |
|
| Ecolab Inc., Senior Notes |
|
|
4.800 |
% |
|
|
3/24/30 |
|
|
|
130,000 |
|
|
|
129,358 |
|
| OCP SA, Senior Notes |
|
|
3.750 |
% |
|
|
6/23/31 |
|
|
|
200,000 |
|
|
|
165,552 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Chemicals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
774,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Metals & Mining - 1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ArcelorMittal SA, Senior Notes |
|
|
6.550 |
% |
|
|
11/29/27 |
|
|
|
240,000 |
|
|
|
246,247 |
|
| First Quantum Minerals Ltd., Senior Notes |
|
|
6.875 |
% |
|
|
10/15/27 |
|
|
|
400,000 |
|
|
|
389,948 |
(a) |
| Freeport-McMoRan Inc., Senior Notes |
|
|
5.450 |
% |
|
|
3/15/43 |
|
|
|
330,000 |
|
|
|
296,487 |
|
| Glencore Funding LLC, Senior Notes |
|
|
4.000 |
% |
|
|
3/27/27 |
|
|
|
590,000 |
|
|
|
561,098 |
(a) |
| Yamana Gold Inc., Senior Notes |
|
|
4.625 |
% |
|
|
12/15/27 |
|
|
|
550,000 |
|
|
|
521,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Metals & Mining |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,015,196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL MATERIALS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,789,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REAL ESTATE - 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified REITs - 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Vornado Realty LP, Senior Notes |
|
|
3.500 |
% |
|
|
1/15/25 |
|
|
|
1,000,000 |
|
|
|
949,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
16 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Health Care REITs - 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified Healthcare Trust, Senior Notes |
|
|
4.750 |
% |
|
|
5/1/24 |
|
|
|
190,000 |
|
|
$ |
180,571 |
|
| Ventas Realty LP, Senior Notes |
|
|
4.400 |
% |
|
|
1/15/29 |
|
|
|
540,000 |
|
|
|
507,530 |
|
| Welltower OP LLC, Senior Notes |
|
|
4.125 |
% |
|
|
3/15/29 |
|
|
|
510,000 |
|
|
|
473,979 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Health Care REITs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,162,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential REITs - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Invitation Homes Operating Partnership LP, Senior Notes |
|
|
4.150 |
% |
|
|
4/15/32 |
|
|
|
130,000 |
|
|
|
115,793 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Retail REITs - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes |
|
|
3.750 |
% |
|
|
9/17/24 |
|
|
|
300,000 |
|
|
|
286,116 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Specialized REITs - 0.0%†† |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Extra Space Storage LP, Senior Notes |
|
|
3.900 |
% |
|
|
4/1/29 |
|
|
|
110,000 |
|
|
|
100,842 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL REAL ESTATE |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,614,280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| UTILITIES - 4.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Electric Utilities - 4.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CenterPoint Energy Houston Electric LLC, Senior Secured Bonds |
|
|
4.500 |
% |
|
|
4/1/44 |
|
|
|
530,000 |
|
|
|
461,374 |
|
| Comision Federal de Electricidad, Senior Notes |
|
|
4.677 |
% |
|
|
2/9/51 |
|
|
|
200,000 |
|
|
|
135,047 |
(a) |
| Commonwealth Edison Co., First Mortgage Bonds |
|
|
6.450 |
% |
|
|
1/15/38 |
|
|
|
600,000 |
|
|
|
646,367 |
|
| 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 |
|
|
|
138,000 |
(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 |
|
|
|
203,776 |
(b)(c) |
| Enel Finance International NV, Senior Notes |
|
|
6.800 |
% |
|
|
10/14/25 |
|
|
|
200,000 |
|
|
|
204,075 |
(a) |
| Exelon Corp., Senior Notes |
|
|
4.050 |
% |
|
|
4/15/30 |
|
|
|
190,000 |
|
|
|
175,748 |
|
| FirstEnergy Corp., Senior Notes |
|
|
4.150 |
% |
|
|
7/15/27 |
|
|
|
480,000 |
|
|
|
453,210 |
|
| FirstEnergy Corp., Senior Notes |
|
|
7.375 |
% |
|
|
11/15/31 |
|
|
|
3,040,000 |
|
|
|
3,384,587 |
|
| MidAmerican Energy Co., First Mortgage Bonds |
|
|
3.650 |
% |
|
|
4/15/29 |
|
|
|
240,000 |
|
|
|
223,856 |
|
| Ohio Edison Co., Senior Notes |
|
|
5.500 |
% |
|
|
1/15/33 |
|
|
|
140,000 |
|
|
|
138,702 |
(a) |
| Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
2.500 |
% |
|
|
2/1/31 |
|
|
|
130,000 |
|
|
|
101,563 |
|
| Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
3.300 |
% |
|
|
8/1/40 |
|
|
|
30,000 |
|
|
|
20,154 |
|
| Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
4.950 |
% |
|
|
7/1/50 |
|
|
|
310,000 |
|
|
|
240,084 |
|
| Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
6.750 |
% |
|
|
1/15/53 |
|
|
|
220,000 |
|
|
|
214,191 |
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
17 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| Electric Utilities - (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Southern California Edison Co., First Mortgage Bonds |
|
|
4.125 |
% |
|
|
3/1/48 |
|
|
|
480,000 |
|
|
$ |
378,814 |
|
| Virginia Electric & Power Co., Senior Notes |
|
|
8.875 |
% |
|
|
11/15/38 |
|
|
|
500,000 |
|
|
|
649,359 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL UTILITIES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,768,907 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL CORPORATE BONDS & NOTES
(Cost - $188,735,243) |
|
|
|
|
|
|
|
177,068,534 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SOVEREIGN BONDS - 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Argentina - 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Argentine Republic Government International Bond, Senior Notes |
|
|
1.000 |
% |
|
|
7/9/29 |
|
|
|
11,447 |
|
|
|
3,716 |
|
| Argentine Republic Government International Bond, Senior Notes, Step bond (3.625% to 7/9/24 then 4.125%) |
|
|
3.625 |
% |
|
|
7/9/35 |
|
|
|
182,200 |
|
|
|
54,148 |
|
| Provincia de Buenos Aires, Senior Notes, Step bond (6.375% to 9/1/24 then 6.625%) |
|
|
6.375 |
% |
|
|
9/1/37 |
|
|
|
2,141,885 |
|
|
|
810,675 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Argentina |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
868,539 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mexico - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mexican Bonos, Senior Notes |
|
|
8.500 |
% |
|
|
11/18/38 |
|
|
|
8,780,000 |
MXN |
|
|
478,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Qatar - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Qatar Government International Bond, Senior Notes |
|
|
4.817 |
% |
|
|
3/14/49 |
|
|
|
410,000 |
|
|
|
383,101 |
(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SOVEREIGN BONDS
(Cost - $2,018,366) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,730,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
|
|
|
520,618 |
(a) |
| Regents of the University of California Medical Center Pooled Revenue, Series Q |
|
|
4.563 |
% |
|
|
5/15/53 |
|
|
|
160,000 |
|
|
|
143,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total California |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
664,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Florida - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Sumter Landing, FL, Community Development District Recreational Revenue, Taxable Community Development
District |
|
|
4.172 |
% |
|
|
10/1/47 |
|
|
|
260,000 |
|
|
|
229,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Illinois - 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Illinois State, GO, Taxable, Build America Bonds, Series 2010-3 |
|
|
6.725 |
% |
|
|
4/1/35 |
|
|
|
489,231 |
|
|
|
507,901 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL MUNICIPAL BONDS
(Cost - $1,459,283) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,401,401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
18 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SECURITY |
|
RATE |
|
|
MATURITY
DATE |
|
|
FACE
AMOUNT† |
|
|
VALUE |
|
| SENIOR LOANS - 0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONSUMER DISCRETIONARY - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Specialty Retail - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Great Outdoors Group LLC, Term Loan B2 (1 mo. Term SOFR + 3.864%) |
|
|
9.196 |
% |
|
|
3/6/28 |
|
|
|
351,047 |
|
|
$ |
350,609 |
(c)(d)(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| HEALTH CARE - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Biotechnology - 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Horizon Therapeutics USA Inc., Incremental Term Loan B2 (1 mo. Term SOFR + 1.864%) |
|
|
7.180 |
% |
|
|
3/15/28 |
|
|
|
332,350 |
|
|
|
332,431 |
(c)(d)(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| INDUSTRIALS - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Passenger Airlines - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Delta Air Lines Inc., Initial Term Loan (3 mo. Term SOFR + 3.750%) |
|
|
9.076 |
% |
|
|
10/20/27 |
|
|
|
238,000 |
|
|
|
247,833 |
(c)(d)(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| MATERIALS - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Paper & Forest Products - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schweitzer-Mauduit International Inc., Term Loan B (1 mo. Term SOFR + 3.864%) |
|
|
9.196 |
% |
|
|
4/20/28 |
|
|
|
88,200 |
|
|
|
86,932 |
(c)(d)(e)(f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL SENIOR LOANS
(Cost - $1,005,834) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,017,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CONVERTIBLE BONDS & NOTES - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COMMUNICATION SERVICES - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media - 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| DISH Network Corp., Senior Notes
(Cost - $706,013) |
|
|
2.375 |
% |
|
|
3/15/24 |
|
|
|
730,000 |
|
|
|
692,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
SHARES |
|
|
|
|
| PREFERRED STOCKS - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FINANCIALS - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Insurance - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Delphi Financial Group Inc. (3 mo. Term SOFR + 3.452%)
(Cost - $233,032) |
|
|
8.816 |
% |
|
|
|
|
|
|
9,325 |
|
|
|
210,978 |
(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $194,157,771) |
|
|
|
182,121,366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SHORT-TERM INVESTMENTS - 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost - $264,342) |
|
|
5.261 |
% |
|
|
|
|
|
|
264,342 |
|
|
|
264,342 |
(g)(h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 98.7%
(Cost - $194,422,113) |
|
|
|
|
|
|
|
182,385,708 |
|
| Other Assets in Excess of Liabilities - 1.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,349,232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TOTAL NET ASSETS - 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
184,734,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
19 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
| † |
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) |
Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are
attributable to multiple contracts under the same loan. |
| (e) |
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. |
| (f) |
Security is valued using significant unobservable inputs (Note 1). |
| (g) |
Rate shown is one-day yield as of the end of the reporting period. |
| (h) |
In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company”
represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At August 31, 2023, the total market value of investments in Affiliated Companies
was $264,342 and the cost was $264,342 (Note 2). |
Abbreviation(s) used in this schedule:
|
|
|
| GO |
|
— General Obligation |
| GTD |
|
— Guaranteed |
| ICE |
|
— Intercontinental Exchange |
| JSC |
|
— Joint Stock Company |
| LIBOR |
|
— London Interbank Offered Rate |
| MXN |
|
— Mexican Peso |
| SOFR |
|
— Secured Overnight Financing Rate |
| USD |
|
— United States Dollar |
At August 31, 2023, 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 |
|
|
28 |
|
|
|
12/23 |
|
|
$ |
5,692,751 |
|
|
$ |
5,706,531 |
|
|
$ |
13,780 |
|
| U.S. Treasury 5-Year Notes |
|
|
131 |
|
|
|
12/23 |
|
|
|
13,924,019 |
|
|
|
14,006,766 |
|
|
|
82,747 |
|
| U.S. Treasury 10-Year Notes |
|
|
7 |
|
|
|
12/23 |
|
|
|
769,082 |
|
|
|
777,219 |
|
|
|
8,137 |
|
| U.S. Treasury Ultra Long-Term Bonds |
|
|
17 |
|
|
|
12/23 |
|
|
|
2,154,486 |
|
|
|
2,200,969 |
|
|
|
46,483 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
151,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
20 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Long-Term Bonds |
|
|
30 |
|
|
|
12/23 |
|
|
$ |
3,598,542 |
|
|
$ |
3,650,625 |
|
|
$ |
(52,083 |
) |
| U.S. Treasury Ultra 10-Year Notes |
|
|
22 |
|
|
|
12/23 |
|
|
|
2,514,180 |
|
|
|
2,554,406 |
|
|
|
(40,226 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(92,309 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net unrealized appreciation on open futures contracts |
|
|
|
|
|
|
$ |
58,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At August 31, 2023, the Fund had the following open forward foreign currency contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Counterparty |
|
Settlement
Date |
|
|
Unrealized
Depreciation |
|
| EUR |
|
|
1,463,000 |
|
|
|
USD |
|
|
|
1,616,125 |
|
|
Goldman Sachs Group Inc. |
|
|
10/20/23 |
|
|
$ |
(25,862 |
) |
| JPY |
|
|
66,560,721 |
|
|
|
USD |
|
|
|
469,628 |
|
|
Goldman Sachs Group Inc. |
|
|
10/20/23 |
|
|
|
(8,443 |
) |
| JPY |
|
|
125,721,910 |
|
|
|
USD |
|
|
|
906,329 |
|
|
Goldman Sachs Group Inc. |
|
|
10/20/23 |
|
|
|
(35,229 |
) |
| BRL |
|
|
4,479,974 |
|
|
|
USD |
|
|
|
909,893 |
|
|
JPMorgan Chase & Co. |
|
|
10/20/23 |
|
|
|
(11,923 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net unrealized depreciation on open forward foreign currency contracts |
|
|
$ |
(81,457 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbreviation(s) used in this table:
|
|
|
| BRL |
|
— Brazilian Real |
| EUR |
|
— Euro |
| JPY |
|
— Japanese Yen |
| USD |
|
— United States Dollar |
At August 31, 2023, the Fund had the following open swap contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON
CREDIT INDICES - BUY PROTECTION1 |
|
| REFERENCE ENTITY |
|
NOTIONAL
AMOUNT2 |
|
|
TERMINATION
DATE |
|
|
PERIODIC
PAYMENTS
MADE BY
THE FUND† |
|
MARKET
VALUE3 |
|
|
UPFRONT
PREMIUMS PAID
(RECEIVED) |
|
|
UNREALIZED
DEPRECIATION |
|
| Markit CDX.NA.HY.40 Index |
|
$ |
1,940,000 |
|
|
|
6/20/28 |
|
|
5.000% quarterly |
|
$ |
(54,810 |
) |
|
$ |
5,398 |
|
|
$ |
(60,208 |
) |
| Markit CDX.NA.IG.40 Index |
|
|
3,281,000 |
|
|
|
6/20/28 |
|
|
1.000% quarterly |
|
|
(50,827 |
) |
|
|
(19,884 |
) |
|
|
(30,943 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
5,221,000 |
|
|
|
|
|
|
|
|
$ |
(105,637 |
) |
|
$ |
(14,486 |
) |
|
$ |
(91,151 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to
Schedule of Investments.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
21 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
|
|
|
| Schedule of Investments (unaudited) (cont’d) |
|
August 31, 2023 |
| 1 |
If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular
swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive
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 the 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 entity’s 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. |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other
information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to
Schedule of Investments.
|
|
|
|
|
|
22 |
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Quarterly Report |
|
|
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Investment Grade Defined Opportunity Trust Inc. (the “Fund”) was incorporated in Maryland on April 24, 2009 and is registered as a
non-diversified, limited-term, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary investment objective is to provide current income and then to liquidate
and distribute substantially all of the Fund’s net assets to stockholders on or about December 2, 2024. As a secondary investment objective, the Fund will seek capital appreciation. There can be no assurance the Fund will achieve its
investment objectives. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in investment grade corporate fixed income securities of varying maturities.
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946,
Financial Services — Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles
(“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may
include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party
pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest
rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures
contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing
price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If
independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or
more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a
security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in
accordance with procedures approved by the Fund’s Board of Directors.
Notes to Schedule of Investments (unaudited) (cont’d)
Pursuant to policies adopted by the Board of Directors, the Fund’s manager has been
designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is
responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Directors. When determining the reliability of third party pricing
information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible
methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or
fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the
issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions;
information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable
companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the
policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are
reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach
and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income
approach uses valuation techniques to discount estimated future cash flows to present value.
Notes to Schedule of Investments (unaudited) (cont’d)
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation
techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| |
• |
|
Level 1 – unadjusted quoted prices in active markets for identical investments |
| |
• |
|
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest
rates, prepayment speeds, credit risk, etc.) |
| |
• |
|
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair
value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated
with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and
liabilities carried at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ASSETS |
|
| DESCRIPTION |
|
QUOTED PRICES
(LEVEL 1) |
|
|
OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2) |
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) |
|
|
TOTAL |
|
| Long-Term Investments†: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds & Notes |
|
|
— |
|
|
$ |
177,068,534 |
|
|
|
— |
|
|
$ |
177,068,534 |
|
| Sovereign Bonds |
|
|
— |
|
|
|
1,730,061 |
|
|
|
— |
|
|
|
1,730,061 |
|
| Municipal Bonds |
|
|
— |
|
|
|
1,401,401 |
|
|
|
— |
|
|
|
1,401,401 |
|
| Senior Loans: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Materials |
|
|
— |
|
|
|
— |
|
|
$ |
86,932 |
|
|
|
86,932 |
|
| Other Senior Loans |
|
|
— |
|
|
|
930,873 |
|
|
|
— |
|
|
|
930,873 |
|
| Convertible Bonds & Notes |
|
|
— |
|
|
|
692,587 |
|
|
|
— |
|
|
|
692,587 |
|
| Preferred Stocks |
|
|
— |
|
|
|
210,978 |
|
|
|
— |
|
|
|
210,978 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments |
|
|
— |
|
|
|
182,034,434 |
|
|
|
86,932 |
|
|
|
182,121,366 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Investments† |
|
$ |
264,342 |
|
|
|
— |
|
|
|
— |
|
|
|
264,342 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
$ |
264,342 |
|
|
$ |
182,034,434 |
|
|
$ |
86,932 |
|
|
$ |
182,385,708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts†† |
|
$ |
151,147 |
|
|
|
— |
|
|
|
— |
|
|
$ |
151,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
415,489 |
|
|
$ |
182,034,434 |
|
|
$ |
86,932 |
|
|
$ |
182,536,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes to Schedule of Investments (unaudited) (cont’d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| LIABILITIES |
|
| DESCRIPTION |
|
QUOTED PRICES
(LEVEL 1) |
|
|
OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2) |
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) |
|
|
TOTAL |
|
| Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts†† |
|
$ |
92,309 |
|
|
|
— |
|
|
|
— |
|
|
$ |
92,309 |
|
| Forward Foreign Currency Contracts†† |
|
|
— |
|
|
$ |
81,457 |
|
|
|
— |
|
|
|
81,457 |
|
| Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection†† |
|
|
— |
|
|
|
91,151 |
|
|
|
— |
|
|
|
91,151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total |
|
$ |
92,309 |
|
|
$ |
172,608 |
|
|
|
— |
|
|
$ |
264,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| † |
See Schedule of Investments for additional detailed categorizations. |
| †† |
Reflects the unrealized appreciation (depreciation) of the instruments. |
2. Transactions with affiliated company
As defined by
the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for
all or some portion of the period ended August 31, 2023. The following transactions were effected in such company for the period ended August 31, 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Affiliate
Value at
November 30,
2022 |
|
|
Purchased |
|
|
Sold |
|
|
Realized
Gain (Loss) |
|
|
Dividend
Income |
|
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation) |
|
|
Affiliate
Value at
August 31,
2023 |
|
| |
|
Cost |
|
|
Shares |
|
|
Proceeds |
|
|
Shares |
|
| Western Asset Premier Institutional Government Reserves, Premium Shares |
|
$ |
838,034 |
|
|
$ |
18,741,419 |
|
|
|
18,741,419 |
|
|
$ |
19,315,111 |
|
|
|
19,315,111 |
|
|
|
— |
|
|
$ |
47,678 |
|
|
|
— |
|
|
$ |
264,342 |
|
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