- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
25 Octobre 2010 - 4:58PM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment
Company Act file number
|
811-22294
|
|
|
Western
Asset Investment Grade Defined Opportunity Trust Inc.
|
(Exact name of registrant as specified in charter)
|
|
55 Water Street, New York, NY
|
|
10041
|
(Address of principal executive offices)
|
|
(Zip code)
|
|
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
|
(Name and address of agent for service)
|
|
Registrants
telephone number, including area code:
|
(888)777-0102
|
|
|
Date of
fiscal year end:
|
November 30
|
|
|
|
|
Date of
reporting period:
|
August 31,
2010
|
|
|
|
|
|
|
|
|
ITEM 1.
SCHEDULE OF
INVESTMENTS
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY
TRUST INC. (IGI)
FORM N-Q
AUGUST 31, 2010
WESTERN
ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited)
August 31,
2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
CORPORATE
BONDS & NOTES 93.8%
|
|
|
|
|
|
|
|
|
|
CONSUMER
DISCRETIONARY 9.5%
|
|
|
|
|
|
|
|
|
|
Hotels,
Restaurants & Leisure 0.8%
|
|
|
|
|
|
|
|
|
|
Harrahs Operating Co.
Inc., Senior Secured Notes
|
|
11.250%
|
|
6/1/17
|
|
$
|
1,250,000
|
|
$
|
1,343,750
|
|
Yum! Brands Inc., Senior
Notes
|
|
3.875%
|
|
11/1/20
|
|
390,000
|
|
388,993
|
|
Total
Hotels, Restaurants & Leisure
|
|
|
|
|
|
|
|
1,732,743
|
|
Household Durables
0.8%
|
|
|
|
|
|
|
|
|
|
Fortune Brands Inc.,
Senior Notes
|
|
4.875%
|
|
12/1/13
|
|
720,000
|
|
775,956
|
|
Stanley Black &
Decker Inc., Senior Notes
|
|
5.200%
|
|
9/1/40
|
|
1,010,000
|
|
1,009,243
|
|
Total
Household Durables
|
|
|
|
|
|
|
|
1,785,199
|
|
Internet &
Catalog Retail 0.2%
|
|
|
|
|
|
|
|
|
|
QVC Inc., Senior Secured
Notes
|
|
7.375%
|
|
10/15/20
|
|
500,000
|
|
510,000
|
(a)
|
Leisure
Equipment & Products 0.2%
|
|
|
|
|
|
|
|
|
|
Hasbro Inc., Senior Notes
|
|
6.350%
|
|
3/15/40
|
|
370,000
|
|
385,441
|
|
Media 7.0%
|
|
|
|
|
|
|
|
|
|
Comcast Corp., Bonds
|
|
6.400%
|
|
5/15/38
|
|
2,500,000
|
|
2,849,012
|
|
Comcast Corp., Senior
Notes
|
|
5.700%
|
|
7/1/19
|
|
1,500,000
|
|
1,707,858
|
|
DISH DBS Corp., Senior
Notes
|
|
7.875%
|
|
9/1/19
|
|
1,250,000
|
|
1,309,375
|
|
Globo Communicacoes e
Participacoes SA, Bonds
|
|
7.250%
|
|
4/26/22
|
|
1,000,000
|
|
1,065,000
|
(a)
|
News America Inc., Senior
Notes
|
|
6.650%
|
|
11/15/37
|
|
2,400,000
|
|
2,789,515
|
|
Omnicom Group Inc., Notes
|
|
6.250%
|
|
7/15/19
|
|
1,760,000
|
|
2,062,389
|
|
Time Warner Cable Inc.,
Debentures
|
|
7.300%
|
|
7/1/38
|
|
500,000
|
|
619,916
|
|
Time Warner Cable Inc.,
Senior Notes
|
|
8.750%
|
|
2/14/19
|
|
1,100,000
|
|
1,445,081
|
|
Univision Communications
Inc., Senior Secured Notes
|
|
12.000%
|
|
7/1/14
|
|
1,000,000
|
|
1,088,750
|
(a)
|
WPP Finance UK, Senior
Notes
|
|
8.000%
|
|
9/15/14
|
|
1,000,000
|
|
1,177,520
|
|
Total
Media
|
|
|
|
|
|
|
|
16,114,416
|
|
Textiles, Apparel &
Luxury Goods 0.5%
|
|
|
|
|
|
|
|
|
|
Oxford Industries Inc.,
Senior Secured Notes
|
|
11.375%
|
|
7/15/15
|
|
1,000,000
|
|
1,120,000
|
|
TOTAL CONSUMER
DISCRETIONARY
|
|
|
|
|
|
|
|
21,647,799
|
|
CONSUMER
STAPLES 6.2%
|
|
|
|
|
|
|
|
|
|
Beverages 1.2%
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide
Inc., Senior Notes
|
|
7.750%
|
|
1/15/19
|
|
1,000,000
|
|
1,282,839
|
(a)
|
Diageo Capital PLC, Notes
|
|
5.750%
|
|
10/23/17
|
|
1,200,000
|
|
1,410,989
|
|
Total
Beverages
|
|
|
|
|
|
|
|
2,693,828
|
|
Food & Staples
Retailing 0.8%
|
|
|
|
|
|
|
|
|
|
CVS Caremark Corp., Senior
Notes
|
|
6.600%
|
|
3/15/19
|
|
600,000
|
|
721,209
|
|
Safeway Inc., Senior Notes
|
|
6.250%
|
|
3/15/14
|
|
875,000
|
|
1,009,969
|
|
Total
Food & Staples Retailing
|
|
|
|
|
|
|
|
1,731,178
|
|
Food Products 2.0%
|
|
|
|
|
|
|
|
|
|
Kraft Foods Inc., Senior
Notes
|
|
5.375%
|
|
2/10/20
|
|
1,030,000
|
|
1,146,801
|
|
Mead Johnson Nutrition
Co., Senior Notes
|
|
4.900%
|
|
11/1/19
|
|
1,080,000
|
|
1,191,793
|
|
Ralcorp Holdings Inc.,
Senior Secured Notes
|
|
4.950%
|
|
8/15/20
|
|
600,000
|
|
633,498
|
|
Smithfield Foods Inc.,
Senior Secured Notes
|
|
10.000%
|
|
7/15/14
|
|
1,500,000
|
|
1,681,875
|
(a)
|
Total
Food Products
|
|
|
|
|
|
|
|
4,653,967
|
|
Tobacco 2.2%
|
|
|
|
|
|
|
|
|
|
Altria Group Inc., Senior
Notes
|
|
9.250%
|
|
8/6/19
|
|
1,000,000
|
|
1,312,651
|
|
Lorillard Tobacco Co.,
Senior Notes
|
|
8.125%
|
|
6/23/19
|
|
600,000
|
|
692,593
|
|
Lorillard Tobacco Co.,
Senior Notes
|
|
8.125%
|
|
5/1/40
|
|
680,000
|
|
720,432
|
|
Reynolds American Inc.,
Senior Secured Notes
|
|
7.625%
|
|
6/1/16
|
|
2,000,000
|
|
2,349,490
|
|
Total
Tobacco
|
|
|
|
|
|
|
|
5,075,166
|
|
TOTAL CONSUMER STAPLES
|
|
|
|
|
|
|
|
14,154,139
|
|
ENERGY
10.2%
|
|
|
|
|
|
|
|
|
|
Energy
Equipment & Services 0.2%
|
|
|
|
|
|
|
|
|
|
Baker Hughes Inc., Senior
Notes
|
|
5.125%
|
|
9/15/40
|
|
420,000
|
|
440,540
|
|
Oil, Gas &
Consumable Fuels 10.0%
|
|
|
|
|
|
|
|
|
|
Anadarko Petroleum Corp.,
Senior Notes
|
|
5.950%
|
|
9/15/16
|
|
600,000
|
|
594,982
|
|
Anadarko Petroleum Corp.,
Senior Notes
|
|
6.375%
|
|
9/15/17
|
|
80,000
|
|
79,271
|
|
Anadarko Petroleum Corp.,
Senior Notes
|
|
6.450%
|
|
9/15/36
|
|
770,000
|
|
669,781
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
1
WESTERN
ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
August 31, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Oil, Gas &
Consumable Fuels continued
|
|
|
|
|
|
|
|
|
|
ConocoPhillips, Notes
|
|
6.500%
|
|
2/1/39
|
|
$
|
1,500,000
|
|
$
|
1,919,502
|
|
DCP Midstream LLC, Senior
Notes
|
|
9.750%
|
|
3/15/19
|
|
1,000,000
|
|
1,330,444
|
(a)
|
Devon Financing Corp. ULC,
Debentures
|
|
7.875%
|
|
9/30/31
|
|
1,000,000
|
|
1,367,821
|
|
Enterprise Products
Operating LP, Senior Notes
|
|
9.750%
|
|
1/31/14
|
|
2,000,000
|
|
2,453,568
|
|
EOG Resources Inc., Senior
Notes
|
|
6.875%
|
|
10/1/18
|
|
800,000
|
|
1,004,292
|
|
Hess Corp., Notes
|
|
8.125%
|
|
2/15/19
|
|
1,400,000
|
|
1,827,594
|
|
Hess Corp., Notes
|
|
7.875%
|
|
10/1/29
|
|
440,000
|
|
570,850
|
|
Hess Corp., Senior Bonds
|
|
6.000%
|
|
1/15/40
|
|
520,000
|
|
571,791
|
|
Kinder Morgan Energy
Partners LP, Senior Notes
|
|
5.950%
|
|
2/15/18
|
|
800,000
|
|
896,602
|
|
Pemex Project Funding
Master Trust, Senior Bonds
|
|
6.625%
|
|
6/15/35
|
|
1,000,000
|
|
1,092,483
|
|
Petrobras International
Finance Co., Senior Notes
|
|
5.750%
|
|
1/20/20
|
|
1,109,000
|
|
1,194,256
|
|
Petroleos Mexicanos, Bonds
|
|
5.500%
|
|
1/21/21
|
|
250,000
|
|
262,212
|
(a)
|
Quicksilver Resources
Inc., Senior Notes
|
|
11.750%
|
|
1/1/16
|
|
1,000,000
|
|
1,155,000
|
|
Shell International
Finance BV, Senior Notes
|
|
3.100%
|
|
6/28/15
|
|
50,000
|
|
52,406
|
|
Shell International
Finance BV, Senior Notes
|
|
6.375%
|
|
12/15/38
|
|
1,500,000
|
|
1,913,106
|
|
Statoil ASA, Senior Notes
|
|
3.125%
|
|
8/17/17
|
|
230,000
|
|
237,740
|
|
TNK-BP Finance SA, Senior
Notes
|
|
7.500%
|
|
3/13/13
|
|
870,000
|
|
939,600
|
(a)
|
Valero Energy Corp.,
Senior Notes
|
|
9.375%
|
|
3/15/19
|
|
700,000
|
|
893,360
|
|
Williams Partners LP,
Senior Notes
|
|
5.250%
|
|
3/15/20
|
|
460,000
|
|
497,466
|
|
XTO Energy Inc., Senior
Notes
|
|
5.750%
|
|
12/15/13
|
|
500,000
|
|
573,793
|
|
XTO Energy Inc., Senior
Notes
|
|
5.500%
|
|
6/15/18
|
|
780,000
|
|
934,197
|
|
Total
Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
23,032,117
|
|
TOTAL
ENERGY
|
|
|
|
|
|
|
|
23,472,657
|
|
FINANCIALS 30.8%
|
|
|
|
|
|
|
|
|
|
Capital Markets 7.0%
|
|
|
|
|
|
|
|
|
|
Bear Stearns Cos. LLC,
Senior Notes
|
|
7.250%
|
|
2/1/18
|
|
3,070,000
|
|
3,727,711
|
|
Goldman Sachs Group Inc.,
Senior Notes
|
|
3.700%
|
|
8/1/15
|
|
570,000
|
|
577,680
|
|
Goldman Sachs Group Inc.,
Senior Notes
|
|
5.950%
|
|
1/18/18
|
|
4,250,000
|
|
4,608,101
|
|
Goldman Sachs Group Inc.,
Senior Notes
|
|
7.500%
|
|
2/15/19
|
|
500,000
|
|
584,020
|
|
Goldman Sachs Group Inc.,
Senior Notes
|
|
5.375%
|
|
3/15/20
|
|
470,000
|
|
485,982
|
|
Merrill Lynch &
Co. Inc., Notes
|
|
6.875%
|
|
4/25/18
|
|
990,000
|
|
1,091,141
|
|
Morgan Stanley,
Medium-Term Notes
|
|
6.625%
|
|
4/1/18
|
|
1,750,000
|
|
1,925,996
|
|
Morgan Stanley, Senior
Notes
|
|
5.500%
|
|
1/26/20
|
|
1,950,000
|
|
1,978,260
|
|
Morgan Stanley, Senior
Notes
|
|
5.500%
|
|
7/24/20
|
|
200,000
|
|
201,876
|
|
UBS AG Stamford CT, Senior
Notes
|
|
4.875%
|
|
8/4/20
|
|
790,000
|
|
823,329
|
|
Total
Capital Markets
|
|
|
|
|
|
|
|
16,004,096
|
|
Commercial Banks 5.5%
|
|
|
|
|
|
|
|
|
|
BankAmerica Institutional
Capital A, Junior Subordinated Bonds
|
|
8.070%
|
|
12/31/26
|
|
240,000
|
|
246,600
|
(a)
|
BankAmerica Institutional
Capital B, Junior Subordinated Bonds
|
|
7.700%
|
|
12/31/26
|
|
250,000
|
|
251,875
|
(a)
|
Commonwealth Bank of
Australia, Senior Notes
|
|
5.000%
|
|
10/15/19
|
|
110,000
|
|
118,993
|
(a)
|
Credit Suisse New York,
Senior Notes
|
|
5.300%
|
|
8/13/19
|
|
560,000
|
|
616,421
|
|
Royal Bank of Scotland
Group PLC, Senior Notes
|
|
6.400%
|
|
10/21/19
|
|
1,580,000
|
|
1,692,141
|
|
Royal Bank of Scotland
Group PLC, Subordinated Notes
|
|
5.000%
|
|
11/12/13
|
|
120,000
|
|
120,899
|
|
Royal Bank of Scotland
Group PLC, Subordinated Notes
|
|
5.000%
|
|
10/1/14
|
|
740,000
|
|
744,414
|
|
Royal Bank of Scotland
PLC, Senior Notes
|
|
4.875%
|
|
3/16/15
|
|
100,000
|
|
104,456
|
|
Santander US Debt SA
Unipersonal, Senior Notes
|
|
2.485%
|
|
1/18/13
|
|
600,000
|
|
591,170
|
(a)
|
Santander US Debt SA
Unipersonal, Senior Notes
|
|
3.724%
|
|
1/20/15
|
|
700,000
|
|
698,801
|
(a)
|
Sumitomo Mitsui Banking
Corp., Senior Notes
|
|
3.150%
|
|
7/22/15
|
|
220,000
|
|
228,944
|
(a)
|
Svenska
Handelsbanken AB, Senior Notes
|
|
4.875%
|
|
6/10/14
|
|
2,100,000
|
|
2,279,378
|
(a)
|
Wachovia Corp., Senior
Notes
|
|
5.750%
|
|
2/1/18
|
|
4,400,000
|
|
4,978,987
|
|
Total
Commercial Banks
|
|
|
|
|
|
|
|
12,673,079
|
|
Consumer Finance 3.4%
|
|
|
|
|
|
|
|
|
|
American Express Co.,
Senior Notes
|
|
8.125%
|
|
5/20/19
|
|
2,760,000
|
|
3,557,254
|
|
FMG Finance Pty Ltd.,
Senior Secured Notes
|
|
10.625%
|
|
9/1/16
|
|
1,250,000
|
|
1,454,687
|
(a)
|
Ford Motor Credit Co.,
LLC, Senior Notes
|
|
12.000%
|
|
5/15/15
|
|
1,000,000
|
|
1,182,908
|
|
SLM Corp., Medium-Term
Notes, Senior Notes
|
|
8.000%
|
|
3/25/20
|
|
1,850,000
|
|
1,621,316
|
|
Total
Consumer Finance
|
|
|
|
|
|
|
|
7,816,165
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
2
WESTERN
ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
August 31, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Diversified Financial
Services 10.0%
|
|
|
|
|
|
|
|
|
|
Bank of America Corp.,
Senior Notes
|
|
7.625%
|
|
6/1/19
|
|
$
|
2,760,000
|
|
$
|
3,235,769
|
|
Bank of America Corp.,
Senior Notes
|
|
5.625%
|
|
7/1/20
|
|
240,000
|
|
247,718
|
|
Boeing Capital Corp.,
Senior Notes
|
|
4.700%
|
|
10/27/19
|
|
680,000
|
|
765,917
|
|
Citigroup Inc., Senior
Notes
|
|
6.000%
|
|
12/13/13
|
|
550,000
|
|
593,807
|
|
Citigroup Inc., Senior
Notes
|
|
6.375%
|
|
8/12/14
|
|
300,000
|
|
328,540
|
|
Citigroup Inc., Senior
Notes
|
|
5.500%
|
|
10/15/14
|
|
470,000
|
|
500,978
|
|
Citigroup Inc., Senior
Notes
|
|
6.010%
|
|
1/15/15
|
|
200,000
|
|
215,650
|
|
Citigroup Inc., Senior
Notes
|
|
6.000%
|
|
8/15/17
|
|
2,250,000
|
|
2,414,835
|
|
Citigroup Inc., Senior
Notes
|
|
8.500%
|
|
5/22/19
|
|
500,000
|
|
612,371
|
|
Citigroup Inc., Senior
Notes
|
|
6.875%
|
|
3/5/38
|
|
3,000,000
|
|
3,259,395
|
|
Citigroup Inc., Senior
Notes
|
|
8.125%
|
|
7/15/39
|
|
1,350,000
|
|
1,685,231
|
|
General Electric Capital
Corp., Senior Notes
|
|
6.000%
|
|
8/7/19
|
|
790,000
|
|
889,393
|
|
General Electric Capital
Corp., Senior Notes
|
|
5.500%
|
|
1/8/20
|
|
1,080,000
|
|
1,184,123
|
|
General Electric Capital
Corp., Senior Notes
|
|
6.875%
|
|
1/10/39
|
|
2,540,000
|
|
2,983,047
|
|
International Lease
Finance Corp., Medium-Term Notes, Senior Notes
|
|
5.750%
|
|
6/15/11
|
|
500,000
|
|
501,875
|
|
International Lease
Finance Corp., Senior Notes
|
|
8.875%
|
|
9/1/17
|
|
810,000
|
|
820,125
|
|
International Lease
Finance Corp., Senior Secured Notes
|
|
6.500%
|
|
9/1/14
|
|
130,000
|
|
133,900
|
(a)
|
International Lease
Finance Corp., Senior Secured Notes
|
|
6.750%
|
|
9/1/16
|
|
670,000
|
|
688,425
|
(a)
|
JPMorgan
Chase & Co., Senior Notes
|
|
6.400%
|
|
5/15/38
|
|
1,500,000
|
|
1,821,957
|
|
Total
Diversified Financial Services
|
|
|
|
|
|
|
|
22,883,056
|
|
Insurance 3.5%
|
|
|
|
|
|
|
|
|
|
ACE INA Holdings Inc.,
Senior Notes
|
|
5.600%
|
|
5/15/15
|
|
1,300,000
|
|
1,471,612
|
|
Chubb Corp., Senior Notes
|
|
5.750%
|
|
5/15/18
|
|
600,000
|
|
693,237
|
|
Chubb Corp., Senior Notes
|
|
6.500%
|
|
5/15/38
|
|
600,000
|
|
737,760
|
|
CNA Financial Corp.,
Senior Notes
|
|
5.875%
|
|
8/15/20
|
|
460,000
|
|
463,867
|
|
Delphi Financial Group
Inc., Senior Notes
|
|
7.875%
|
|
1/31/20
|
|
290,000
|
|
324,101
|
|
MetLife Inc., Senior Notes
|
|
6.817%
|
|
8/15/18
|
|
1,500,000
|
|
1,790,530
|
|
Nationwide Mutual
Insurance Co., Notes
|
|
9.375%
|
|
8/15/39
|
|
520,000
|
|
633,455
|
(a)
|
Teachers Insurance &
Annuity Association of America - College Retirement Equity Fund, Notes
|
|
6.850%
|
|
12/16/39
|
|
1,050,000
|
|
1,319,247
|
(a)
|
Travelers
Cos. Inc., Senior Notes
|
|
6.250%
|
|
6/15/37
|
|
400,000
|
|
477,666
|
|
Total
Insurance
|
|
|
|
|
|
|
|
7,911,475
|
|
Real
Estate Investment Trusts (REITs)
0.3%
|
|
|
|
|
|
|
|
|
|
Digital Realty Trust LP,
Bonds
|
|
5.875%
|
|
2/1/20
|
|
40,000
|
|
42,479
|
(a)
|
WEA Finance LLC/WT Finance
Aust Pty. Ltd., Senior Notes
|
|
6.750%
|
|
9/2/19
|
|
580,000
|
|
679,711
|
(a)
|
Total
Real Estate Investment Trusts (REITs)
|
|
|
|
|
|
|
|
722,190
|
|
Thrifts &
Mortgage Finance 1.1%
|
|
|
|
|
|
|
|
|
|
Countrywide
Financial Corp., Medium-Term Notes
|
|
5.800%
|
|
6/7/12
|
|
2,300,000
|
|
2,447,244
|
|
TOTAL
FINANCIALS
|
|
|
|
|
|
|
|
70,457,305
|
|
HEALTH
CARE 6.8%
|
|
|
|
|
|
|
|
|
|
Health
Care Equipment & Supplies
0.5%
|
|
|
|
|
|
|
|
|
|
Biomet
Inc., Senior Toggle Notes
|
|
10.375%
|
|
10/15/17
|
|
1,000,000
|
|
1,092,500
|
(b)
|
Health
Care Providers & Services
3.6%
|
|
|
|
|
|
|
|
|
|
Aetna
Inc., Senior Notes
|
|
3.950%
|
|
9/1/20
|
|
860,000
|
|
852,617
|
|
AmerisourceBergen
Corp., Senior Notes
|
|
4.875%
|
|
11/15/19
|
|
440,000
|
|
478,013
|
|
Humana
Inc., Senior Notes
|
|
6.450%
|
|
6/1/16
|
|
1,000,000
|
|
1,108,825
|
|
Humana
Inc., Senior Notes
|
|
7.200%
|
|
6/15/18
|
|
1,000,000
|
|
1,147,280
|
|
McKesson
Corp., Senior Notes
|
|
6.500%
|
|
2/15/14
|
|
600,000
|
|
689,135
|
|
Tenet
Healthcare Corp., Senior Secured Notes
|
|
10.000%
|
|
5/1/18
|
|
1,000,000
|
|
1,130,000
|
(c)
|
UnitedHealth
Group Inc., Senior Notes
|
|
4.875%
|
|
2/15/13
|
|
1,300,000
|
|
1,390,763
|
|
WellPoint
Inc., Notes
|
|
5.250%
|
|
1/15/16
|
|
1,200,000
|
|
1,345,684
|
|
WellPoint
Inc., Senior Notes
|
|
4.350%
|
|
8/15/20
|
|
140,000
|
|
144,509
|
|
Total
Health Care Providers & Services
|
|
|
|
|
|
|
|
8,286,826
|
|
Life
Sciences Tools & Services
0.3%
|
|
|
|
|
|
|
|
|
|
Life
Technologies Corp., Senior Notes
|
|
6.000%
|
|
3/1/20
|
|
650,000
|
|
743,297
|
|
Pharmaceuticals 2.4%
|
|
|
|
|
|
|
|
|
|
GlaxoSmithKline
Capital Inc., Senior Bonds
|
|
5.650%
|
|
5/15/18
|
|
1,500,000
|
|
1,784,226
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
3
WESTERN
ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
August 31, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Pharmaceuticals continued
|
|
|
|
|
|
|
|
|
|
Pfizer Inc., Senior Notes
|
|
7.200%
|
|
3/15/39
|
|
$
|
560,000
|
|
$
|
784,921
|
|
Roche Holdings Inc.,
Senior Notes
|
|
6.000%
|
|
3/1/19
|
|
1,100,000
|
|
1,336,171
|
(a)
|
Wyeth, Notes
|
|
5.950%
|
|
4/1/37
|
|
1,300,000
|
|
1,570,958
|
|
Total Pharmaceuticals
|
|
|
|
|
|
|
|
5,476,276
|
|
TOTAL
HEALTH CARE
|
|
|
|
|
|
|
|
15,598,899
|
|
INDUSTRIALS
5.5%
|
|
|
|
|
|
|
|
|
|
Aerospace &
Defense 0.6%
|
|
|
|
|
|
|
|
|
|
BAE Systems Holdings Inc.,
Senior Notes
|
|
5.200%
|
|
8/15/15
|
|
420,000
|
|
463,118
|
(a)
|
L-3 Communications Corp.,
Senior Notes
|
|
5.200%
|
|
10/15/19
|
|
380,000
|
|
409,593
|
|
L-3 Communications Corp.,
Senior Subordinated Notes
|
|
5.875%
|
|
1/15/15
|
|
100,000
|
|
102,375
|
|
L-3 Communications Corp.,
Senior Subordinated Notes
|
|
6.375%
|
|
10/15/15
|
|
460,000
|
|
473,225
|
|
Total Aerospace &
Defense
|
|
|
|
|
|
|
|
1,448,311
|
|
Air Freight &
Logistics 0.4%
|
|
|
|
|
|
|
|
|
|
United Parcel Service
Inc., Senior Notes
|
|
6.200%
|
|
1/15/38
|
|
700,000
|
|
877,766
|
|
Airlines 2.4%
|
|
|
|
|
|
|
|
|
|
American Airlines
Pass-Through Trust, Secured Notes
|
|
7.858%
|
|
4/1/13
|
|
1,725,000
|
|
1,805,212
|
|
Continental Airlines Inc.,
Pass-Through Certificates
|
|
9.250%
|
|
5/10/17
|
|
190,000
|
|
199,500
|
|
Continental Airlines Inc.,
Pass-Through Certificates, Senior Secured Notes
|
|
7.250%
|
|
11/10/19
|
|
810,000
|
|
882,900
|
|
Delta Air Lines,
Pass-Through Trust, Senior Secured Notes
|
|
7.750%
|
|
12/17/19
|
|
531,149
|
|
573,641
|
|
Delta Air Lines Inc.,
Pass-Through Certificates, Senior Secured Notes
|
|
7.570%
|
|
11/18/10
|
|
1,500,000
|
|
1,515,000
|
|
United Airlines,
Pass-Through Trust, Secured Notes
|
|
9.750%
|
|
1/15/17
|
|
237,931
|
|
264,104
|
|
United Airlines,
Pass-Through Trust, Senior Secured Notes
|
|
10.400%
|
|
11/1/16
|
|
214,395
|
|
237,979
|
|
Total Airlines
|
|
|
|
|
|
|
|
5,478,336
|
|
Commercial
Services & Supplies 1.3%
|
|
|
|
|
|
|
|
|
|
Avery Dennison Corp.,
Senior Notes
|
|
5.375%
|
|
4/15/20
|
|
420,000
|
|
466,594
|
|
Republic Services Inc.,
Senior Notes
|
|
5.500%
|
|
9/15/19
|
|
220,000
|
|
247,401
|
|
Republic Services Inc.,
Senior Notes
|
|
5.000%
|
|
3/1/20
|
|
490,000
|
|
531,455
|
|
Republic Services Inc.,
Senior Notes
|
|
5.250%
|
|
11/15/21
|
|
580,000
|
|
645,786
|
|
RSC Equipment Rental
Inc./RSC Holdings III LLC, Senior Secured Notes
|
|
10.000%
|
|
7/15/17
|
|
1,000,000
|
|
1,095,000
|
(a)
|
Total Commercial
Services & Supplies
|
|
|
|
|
|
|
|
2,986,236
|
|
Industrial Conglomerates
0.4%
|
|
|
|
|
|
|
|
|
|
Hutchison Whampoa
International Ltd., Notes
|
|
4.625%
|
|
9/11/15
|
|
950,000
|
|
1,005,962
|
(a)
|
Road & Rail
0.4%
|
|
|
|
|
|
|
|
|
|
Kansas City Southern de
Mexico, Senior Notes
|
|
12.500%
|
|
4/1/16
|
|
650,000
|
|
782,438
|
|
TOTAL
INDUSTRIALS
|
|
|
|
|
|
|
|
12,579,049
|
|
INFORMATION
TECHNOLOGY 1.2%
|
|
|
|
|
|
|
|
|
|
Electronic
Equipment, Instruments & Components 0.8%
|
|
|
|
|
|
|
|
Agilent Technologies Inc.,
Senior Notes
|
|
5.000%
|
|
7/15/20
|
|
1,130,000
|
|
1,201,895
|
|
Corning Inc., Senior Notes
|
|
5.750%
|
|
8/15/40
|
|
630,000
|
|
677,759
|
|
Total
Electronic Equipment, Instruments & Components
|
|
|
|
|
|
1,879,654
|
|
IT Services 0.2%
|
|
|
|
|
|
|
|
|
|
Mantech International
Corp., Senior Notes
|
|
7.250%
|
|
4/15/18
|
|
540,000
|
|
553,500
|
|
Semiconductors &
Semiconductor Equipment 0.2%
|
|
|
|
|
|
|
|
National Semiconductor
Corp., Senior Notes
|
|
6.600%
|
|
6/15/17
|
|
360,000
|
|
422,004
|
|
TOTAL
INFORMATION TECHNOLOGY
|
|
|
|
|
|
|
|
2,855,158
|
|
MATERIALS
6.0%
|
|
|
|
|
|
|
|
|
|
Containers &
Packaging 0.7%
|
|
|
|
|
|
|
|
|
|
Ball Corp., Senior Notes
|
|
6.625%
|
|
3/15/18
|
|
180,000
|
|
185,400
|
|
Solo Cup Co., Senior
Secured Notes
|
|
10.500%
|
|
11/1/13
|
|
1,300,000
|
|
1,321,125
|
|
Total Containers &
Packaging
|
|
|
|
|
|
|
|
1,506,525
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
4
WESTERN
ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
August 31, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Metals & Mining
4.2%
|
|
|
|
|
|
|
|
|
|
Freeport-McMoRan
Copper & Gold Inc., Senior Notes
|
|
8.375%
|
|
4/1/17
|
|
$
|
2,770,000
|
|
$
|
3,078,631
|
|
Rio Tinto Finance USA
Ltd., Senior Notes
|
|
9.000%
|
|
5/1/19
|
|
2,000,000
|
|
2,737,408
|
|
Southern Copper Corp.,
Senior Notes
|
|
5.375%
|
|
4/16/20
|
|
260,000
|
|
275,174
|
|
Vale Overseas Ltd., Notes
|
|
6.875%
|
|
11/21/36
|
|
2,100,000
|
|
2,396,425
|
|
Xstrata Finance Canada
Ltd., Senior Bonds
|
|
5.800%
|
|
11/15/16
|
|
1,000,000
|
|
1,094,118
|
(a)
|
Total Metals & Mining
|
|
|
|
|
|
|
|
9,581,756
|
|
Paper & Forest
Products 1.1%
|
|
|
|
|
|
|
|
|
|
NewPage Corp., Senior
Secured Notes
|
|
11.375%
|
|
12/31/14
|
|
500,000
|
|
408,750
|
|
PE Paper Escrow GmbH,
Senior Secured Notes
|
|
12.000%
|
|
8/1/14
|
|
1,030,000
|
|
1,164,450
|
(a)
|
Verso Paper Holdings LLC,
Senior Secured Notes
|
|
11.500%
|
|
7/1/14
|
|
1,000,000
|
|
1,060,000
|
|
Total Paper & Forest
Products
|
|
|
|
|
|
|
|
2,633,200
|
|
TOTAL
MATERIALS
|
|
|
|
|
|
|
|
13,721,481
|
|
TELECOMMUNICATION
SERVICES 10.3%
|
|
|
|
|
|
|
|
|
|
Diversified
Telecommunication Services 7.8%
|
|
|
|
|
|
|
|
|
|
AT&T Inc., Global
Notes
|
|
5.600%
|
|
5/15/18
|
|
2,000,000
|
|
2,323,116
|
|
AT&T Inc., Global
Notes
|
|
6.550%
|
|
2/15/39
|
|
650,000
|
|
772,994
|
|
British Telecommunications
PLC, Bonds
|
|
9.875%
|
|
12/15/30
|
|
2,000,000
|
|
2,751,498
|
|
Deutsche Telekom
International Finance BV, Bonds
|
|
8.750%
|
|
6/15/30
|
|
800,000
|
|
1,125,691
|
|
Embarq Corp., Notes
|
|
7.995%
|
|
6/1/36
|
|
1,500,000
|
|
1,555,846
|
|
France Telecom SA, Senior
Notes
|
|
5.375%
|
|
7/8/19
|
|
1,000,000
|
|
1,153,563
|
|
Intelsat Corp., Senior
Notes
|
|
9.250%
|
|
8/15/14
|
|
1,000,000
|
|
1,035,000
|
|
Koninklijke KPN NV, Senior
Notes
|
|
8.375%
|
|
10/1/30
|
|
1,000,000
|
|
1,398,964
|
|
Qwest Corp., Senior Notes
|
|
7.875%
|
|
9/1/11
|
|
500,000
|
|
529,375
|
|
Telecom Italia Capital SA,
Senior Notes
|
|
7.721%
|
|
6/4/38
|
|
1,000,000
|
|
1,126,382
|
|
Telefonica Emisiones SAU,
Senior Notes
|
|
5.134%
|
|
4/27/20
|
|
1,220,000
|
|
1,317,216
|
|
Telefonica Emisiones SAU,
Senior Notes
|
|
7.045%
|
|
6/20/36
|
|
410,000
|
|
494,777
|
|
Valor Telecommunications
Enterprises LLC/Finance Corp., Senior Notes
|
|
7.750%
|
|
2/15/15
|
|
1,500,000
|
|
1,545,855
|
|
Verizon Communications
Inc., Senior Notes
|
|
8.950%
|
|
3/1/39
|
|
430,000
|
|
640,567
|
|
Total Diversified
Telecommunication Services
|
|
|
|
|
|
|
|
17,770,844
|
|
Wireless
Telecommunication Services 2.5%
|
|
|
|
|
|
|
|
|
|
Cellco Partnership/Verizon
Wireless Capital LLC, Senior Notes
|
|
8.500%
|
|
11/15/18
|
|
2,000,000
|
|
2,701,530
|
|
Crown Castle Towers LLC,
Senior Secured Notes
|
|
4.883%
|
|
8/15/20
|
|
690,000
|
|
716,587
|
(a)
|
Rogers Communications
Inc., Senior Notes
|
|
6.800%
|
|
8/15/18
|
|
1,000,000
|
|
1,232,422
|
|
Sprint Capital Corp.,
Senior Notes
|
|
8.750%
|
|
3/15/32
|
|
1,250,000
|
|
1,210,938
|
|
Total Wireless
Telecommunication Services
|
|
|
|
|
|
|
|
5,861,477
|
|
TOTAL
TELECOMMUNICATION SERVICES
|
|
|
|
|
|
|
|
23,632,321
|
|
UTILITIES
7.3%
|
|
|
|
|
|
|
|
|
|
Electric Utilities 5.7%
|
|
|
|
|
|
|
|
|
|
Commonwealth Edison Co.,
First Mortgage Bonds
|
|
5.800%
|
|
3/15/18
|
|
600,000
|
|
705,707
|
|
Commonwealth Edison Co.,
First Mortgage Bonds
|
|
6.450%
|
|
1/15/38
|
|
600,000
|
|
743,504
|
|
FirstEnergy Corp., Notes
|
|
7.375%
|
|
11/15/31
|
|
2,230,000
|
|
2,477,289
|
|
FirstEnergy Solutions
Corp., Senior Notes
|
|
4.800%
|
|
2/15/15
|
|
730,000
|
|
779,137
|
|
IPALCO Enterprises Inc.,
Senior Secured Notes
|
|
7.250%
|
|
4/1/16
|
|
1,030,000
|
|
1,081,500
|
(a)
|
MidAmerican Energy
Holdings Co., Bonds
|
|
6.125%
|
|
4/1/36
|
|
1,000,000
|
|
1,159,733
|
|
MidAmerican Energy
Holdings Co., Senior Notes
|
|
5.750%
|
|
4/1/18
|
|
1,000,000
|
|
1,159,127
|
|
Pacific Gas &
Electric Co., Senior Notes
|
|
8.250%
|
|
10/15/18
|
|
800,000
|
|
1,057,512
|
|
Pacific Gas &
Electric Co., Senior Notes
|
|
5.800%
|
|
3/1/37
|
|
820,000
|
|
947,640
|
|
Reliant Energy
Mid-Atlantic Power Holdings LLC, Senior Notes
|
|
9.681%
|
|
7/2/26
|
|
2,000,000
|
|
2,085,000
|
|
Virginia Electric and
Power Co., Senior Notes
|
|
8.875%
|
|
11/15/38
|
|
500,000
|
|
769,188
|
|
Total Electric Utilities
|
|
|
|
|
|
|
|
12,965,337
|
|
Gas Utilities 0.8%
|
|
|
|
|
|
|
|
|
|
Southern Natural Gas Co.,
Senior Notes
|
|
8.000%
|
|
3/1/32
|
|
1,500,000
|
|
1,798,555
|
|
Independent
Power Producers & Energy Traders 0.5%
|
|
|
|
|
|
|
|
AES Corp., Senior Notes
|
|
8.000%
|
|
6/1/20
|
|
1,100,000
|
|
1,160,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
5
WESTERN
ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
August 31, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Multi-Utilities 0.3%
|
|
|
|
|
|
|
|
|
|
Dominion Resources Inc.,
Senior Notes
|
|
8.875%
|
|
1/15/19
|
|
$
|
500,000
|
|
$
|
682,355
|
|
TOTAL
UTILITIES
|
|
|
|
|
|
|
|
16,606,747
|
|
TOTAL
CORPORATE BONDS & NOTES (Cost $190,931,526)
|
|
|
|
|
|
214,725,555
|
|
COLLATERALIZED
SENIOR LOANS 4.0%
|
|
|
|
|
|
|
|
|
|
CONSUMER
DISCRETIONARY 0.9%
|
|
|
|
|
|
|
|
|
|
Diversified Consumer
Services 0.4%
|
|
|
|
|
|
|
|
|
|
Thomson Learning, Term
Loan B
|
|
3.030%
|
|
7/3/14
|
|
989,822
|
|
881,054
|
(d)
|
Hotels,
Restaurants & Leisure 0.5%
|
|
|
|
|
|
|
|
|
|
Venetian Macau, Term Loan
B
|
|
5.040%
|
|
5/25/12
|
|
456,605
|
|
450,205
|
(d)
|
Venetian Macau, Term Loan
B
|
|
5.040%
|
|
5/27/13
|
|
790,503
|
|
779,422
|
(d)
|
Total Hotels,
Restaurants & Leisure
|
|
|
|
|
|
|
|
1,229,627
|
|
TOTAL
CONSUMER DISCRETIONARY
|
|
|
|
|
|
|
|
2,110,681
|
|
FINANCIALS
0.4%
|
|
|
|
|
|
|
|
|
|
Diversified Financial
Services 0.4%
|
|
|
|
|
|
|
|
|
|
CCM Merger Inc., Term Loan
B
|
|
8.500%
|
|
7/13/12
|
|
962,432
|
|
956,417
|
(d)
|
HEALTH
CARE 0.4%
|
|
|
|
|
|
|
|
|
|
Health Care
Equipment & Supplies 0.4%
|
|
|
|
|
|
|
|
|
|
Fenwal Inc., Term Loan
|
|
2.510
- 2.549%
|
|
2/28/14
|
|
144,938
|
|
125,734
|
(d)
|
Fenwal Inc., Term Loan
|
|
2.510
- 2.549%
|
|
2/28/14
|
|
845,594
|
|
733,552
|
(d)
|
TOTAL
HEALTH CARE
|
|
|
|
|
|
|
|
859,286
|
|
INDUSTRIALS
0.8%
|
|
|
|
|
|
|
|
|
|
Airlines 0.4%
|
|
|
|
|
|
|
|
|
|
Delta Air Lines Inc.,
Credit-Linked Deposit Facility
|
|
2.198
- 2.279%
|
|
4/30/12
|
|
989,796
|
|
951,441
|
(d)
|
Commercial
Services & Supplies 0.4%
|
|
|
|
|
|
|
|
|
|
Nielsen Finance LLC, Term
Loan
|
|
4.045%
|
|
5/2/16
|
|
987,500
|
|
946,413
|
(d)
|
TOTAL
INDUSTRIALS
|
|
|
|
|
|
|
|
1,897,854
|
|
INFORMATION
TECHNOLOGY 0.4%
|
|
|
|
|
|
|
|
|
|
IT Services 0.4%
|
|
|
|
|
|
|
|
|
|
First Data Corp., Term
Loan B2
|
|
3.010
- 3.014%
|
|
9/24/14
|
|
948,522
|
|
811,521
|
(d)
|
MATERIALS
0.4%
|
|
|
|
|
|
|
|
|
|
Containers &
Packaging 0.4%
|
|
|
|
|
|
|
|
|
|
Berry Plastics Group Inc.,
Term Loan C
|
|
2.318
- 2.376%
|
|
4/3/15
|
|
987,245
|
|
904,070
|
(d)
|
TELECOMMUNICATION
SERVICES 0.4%
|
|
|
|
|
|
|
|
|
|
Diversified
Telecommunication Services 0.4%
|
|
|
|
|
|
|
|
|
|
Level
3 Communications Inc., Term Loan
|
|
2.529 - 2.777%
|
|
3/13/14
|
|
1,000,000
|
|
899,063
|
(d)
|
UTILITIES
0.3%
|
|
|
|
|
|
|
|
|
|
Independent
Power Producers & Energy Traders 0.3%
|
|
|
|
|
|
|
|
Energy Future Holdings,
Term Loan B3
|
|
3.795
- 4.033%
|
|
10/10/14
|
|
987,310
|
|
748,133
|
(d)
|
TOTAL
COLLATERALIZED SENIOR LOANS (Cost $8,748,136)
|
|
|
|
|
|
9,187,025
|
|
SOVEREIGN
BONDS 1.0%
|
|
|
|
|
|
|
|
|
|
Russia 1.0%
|
|
|
|
|
|
|
|
|
|
RSHB Capital, Loan
Participation Notes, Senior Secured Notes
|
|
9.000%
|
|
6/11/14
|
|
1,000,000
|
|
1,142,500
|
(a)
|
Russian Foreign
Bond-Eurobond, Senior Bonds
|
|
7.500%
|
|
3/31/30
|
|
920,000
|
|
1,094,892
|
(a)
|
TOTAL
SOVEREIGN BONDS (Cost $1,935,661)
|
|
|
|
|
|
2,237,392
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES
|
|
|
|
PREFERRED
STOCKS 0.1%
|
|
|
|
|
|
|
|
|
|
FINANCIALS
0.1%
|
|
|
|
|
|
|
|
|
|
Commercial
Banks 0.1%
|
|
|
|
|
|
|
|
|
|
Santander Finance
Preferred SA Unipersonal
(Cost - $219,197)
|
|
10.500%
|
|
|
|
7,725
|
|
224,180
|
|
TOTAL
INVESTMENTS BEFORE SHORT-TERM INVESTMENT
(Cost $201,834,520)
|
|
226,374,152
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
6
WESTERN
ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
August 31, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
SHORT-TERM
INVESTMENTS 0.1%
|
|
|
|
|
|
|
|
|
|
U.S. Government Agencies
0.1%
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage
Association (FNMA), Discount Notes (Cost - $269,551)
|
|
0.220
- 0.240%
|
|
5/9/11
|
|
$
|
270,000
|
|
$
|
269,644
|
(e)(f)
|
TOTAL
INVESTMENTS 99.0% (Cost $202,104,071#)
|
|
|
|
|
|
226,643,796
|
|
Other
Assets in Excess of Liabilities 1.0%
|
|
|
|
|
|
|
|
2,235,020
|
|
TOTAL
NET ASSETS 100.0%
|
|
|
|
|
|
|
|
$
|
228,878,816
|
|
(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, unless
otherwise noted.
|
(b)
|
|
Payment-in-kind security
for which part of the income earned may be paid as additional principal.
|
(c)
|
|
Security is valued in good
faith at fair value in accordance with procedures approved by the Board of
Directors (See Note 1).
|
(d)
|
|
Interest rates disclosed
represent the effective rates on collateralized senior loans. Ranges in
interest rates are attributable to multiple contracts under the same loan.
|
(e)
|
|
Rate shown represents
yield-to-maturity.
|
(f)
|
|
All or a portion of this
security is held at the broker as collateral for open futures contracts.
|
#
|
|
Aggregate cost for federal
income tax purposes is substantially the same.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
7
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, 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.
The
following are significant accounting policies consistently followed by the Fund
and are in conformity with U.S. generally accepted accounting principles (GAAP).
(a) Investment valuation.
Debt securities are valued
at the mean between the last quoted bid and asked prices provided by an
independent pricing service, which are based on transactions in debt
obligations, quotations from bond dealers, market transactions in comparable
securities and various other relationships between securities. Publicly traded
foreign government debt securities are typically traded internationally in the
over-the-counter market, and are valued at the mean between the last quoted bid
and asked prices as of the close of business of that market. 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 prices are not readily available, or are determined not to reflect fair
value, 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 at fair value as determined in accordance with
procedures approved by the Funds Board of Directors. Short-term obligations
with maturities of 60 days or less are valued at amortized cost, which
approximates fair value.
The
Fund has adopted Financial Accounting Standards Board Codification Topic 820 (ASC
Topic 820). ASC Topic 820 establishes a single definition of fair value,
creates a three-tier hierarchy as a framework for measuring fair value based on
inputs used to value the Funds investments, and requires additional disclosure
about fair value. The hierarchy of inputs is summarized below.
·
Level 1quoted prices in
active markets for identical investments
·
Level 2other significant
observable inputs (including quoted prices for similar investments, interest rates,
prepayment speeds, credit risk, etc.)
·
Level 3significant
unobservable inputs (including the Funds own assumptions in determining the
fair value of investments)
The
inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
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 the
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.
The
following is a summary of the inputs used in valuing the Funds assets and
liabilities carried at fair value:
DESCRIPTION
|
|
QUOTED
PRICES
(LEVEL 1)
|
|
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
|
|
TOTAL
|
|
Long-term investments:
|
|
|
|
|
|
|
|
|
|
Corporate bonds & notes
|
|
|
|
$
|
214,725,555
|
|
|
|
$
|
214,725,555
|
|
Collateralized mortgage obligations
|
|
|
|
9,187,025
|
|
|
|
9,187,025
|
|
Sovereign bonds
|
|
|
|
2,237,392
|
|
|
|
2,237,392
|
|
Preferred stocks
|
|
$
|
224,180
|
|
|
|
|
|
224,180
|
|
Total long-term investments
|
|
$
|
224,180
|
|
$
|
226,149,972
|
|
|
|
$
|
226,374,152
|
|
Short-term investments
|
|
|
|
269,644
|
|
|
|
269,644
|
|
Total investments
|
|
$
|
224,180
|
|
$
|
226,419,616
|
|
|
|
$
|
226,643,796
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
(128,438
|
)
|
|
|
|
|
(128,438
|
)
|
Total
|
|
$
|
95,742
|
|
$
|
226,419,616
|
|
|
|
$
|
226,515,358
|
|
See Schedule of Investments for additional detailed categorizations.
8
Notes to Schedule of Investments (unaudited) (continued)
(b) Repurchase
Agreements
.
The Fund may enter into repurchase agreements with
institutions that its investment adviser has determined are creditworthy. Each
repurchase agreement is recorded at cost. Under the terms of a typical
repurchase agreement, the Fund acquires a debt security subject to an
obligation of the seller to repurchase, and of the Fund to resell, the security
at an agreed-upon price and time, thereby determining the yield during the Funds
holding period. When entering into repurchase agreements, it is the Funds
policy that its custodian or a third party custodian, acting on the Funds
behalf, take possession of the underlying collateral securities, the market
value of which, at all times, at least equals the principal amount of the
repurchase transaction, including accrued interest. To the extent that any
repurchase transaction maturity exceeds one business day, the value of the
collateral is marked to market and measured against the value of the agreement
in an effort to ensure the adequacy of the collateral. If the counterparty
defaults, the Fund generally has the right to use the collateral to satisfy the
terms of the repurchase transaction. However, if the market value of the
collateral declines during the period in which the Fund seeks to assert its rights
or if bankruptcy proceedings are commenced with respect to the seller of the
security, realization of the collateral by the Fund may be delayed or limited.
(c) Futures Contracts.
The Fund may use futures
contracts to gain exposure to, or hedge against, changes in the value of
equities, interest rates or foreign currencies. 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 cash
equivalents 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. Futures contracts are valued daily at the settlement price
established by the board of trade or exchange on which they are traded.
Futures
contracts involve, to varying degrees, risk of loss. 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.
(d) 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.
(e) 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 investment in securities rated below investment grade typically involves
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.
(f) Security Transactions.
Security
transactions are accounted for on a trade date basis.
9
Notes to Schedule of Investments (unaudited) (continued)
2. Investments
At
August 31, 2010, the aggregate gross unrealized appreciation and
depreciation of investments for federal income tax purposes were substantially
as follows:
Gross unrealized appreciation
|
|
$
|
24,833,693
|
|
Gross unrealized depreciation
|
|
(293,968
|
)
|
Net unrealized appreciation
|
|
$
|
24,539,725
|
|
At
August 31, 2010, the Fund had the following open futures contracts:
|
|
NUMBER OF
CONTRACTS
|
|
EXPIRATION
DATE
|
|
BASIS
VALUE
|
|
MARKET
VALUE
|
|
UNREALIZED
LOSS
|
|
Contracts
to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
Treasury 2-Year Notes
|
|
3
|
|
12/10
|
|
$
|
657,365
|
|
$
|
657,422
|
|
$
|
(57
|
)
|
U.S.
Treasury 5-Year Notes
|
|
15
|
|
12/10
|
|
1,795,123
|
|
1,804,804
|
|
(9,681
|
)
|
U.S.
Treasury 10-Year Notes
|
|
158
|
|
12/10
|
|
19,740,744
|
|
19,848,750
|
|
(108,006
|
)
|
U.S.
Treasury 30-Year Bonds
|
|
14
|
|
12/10
|
|
1,879,744
|
|
1,890,438
|
|
(10,694
|
)
|
Net
unrealized loss on open futures contracts
|
|
|
|
|
|
|
|
|
|
$
|
(128,438
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3. Derivative Instruments and Hedging Activities
Financial
Accounting Standards Board Codification Topic 815 requires enhanced disclosure
about an entitys derivative and hedging activities.
The
following is a summary of the Funds investments categorized by risk exposure
at August 31, 2010.
|
|
Futures Contracts
|
|
Primary Underlying Risk Disclosure
|
|
Unrealized
Appreciation
|
|
Unrealized
Depreciation
|
|
Interest Rate Contracts
|
|
|
|
$
|
(128,438
|
)
|
|
|
|
|
|
|
|
During
the period ended August 31, 2010, the volume of derivative activity for
the fund was as follows:
|
|
Average Market
Value
|
|
Futures contracts (to sell)
|
|
$
|
7,217,857
|
|
|
|
|
|
|
The
Fund has several credit related contingent features that if triggered would
allow its derivatives counterparties to close out and demand payment or
additional collateral to cover their exposure from the Fund. Credit related contingent features are
established between the Fund and its derivatives counterparties to reduce the
risk that the Fund will not fulfill its payment obligations to its
counterparties. These triggering
features include, but are not limited to, a percentage decrease in the Funds
net assets and/or a percentage decrease in the Funds Net Asset Value or
NAV. The contingent features are
established within the Funds International Swap and Derivatives Association, Inc.
master agreements which govern positions in swaps, over-the-counter options,
and forward currency exchange contracts for each individual counterparty.
10
ITEM
2.
|
CONTROLS
AND PROCEDURES.
|
|
|
|
|
(a)
|
The
registrants principal executive officer and principal financial officer have
concluded that the registrants disclosure controls and procedures (as
defined in Rule 30a- 3(c) under the Investment Company Act of 1940,
as amended (the 1940 Act)) are effective as of a date within 90 days of the
filing date of this report that includes the disclosure required by this
paragraph, based on their evaluation of the disclosure controls and
procedures required by Rule 30a-3(b) under the 1940 Act and
15d-15(b) under the Securities Exchange Act of 1934.
|
|
|
|
|
(b)
|
There
were no changes in the registrants internal control over financial reporting
(as defined in Rule 30a-3(d) under the 1940 Act) that occurred during
the registrants last fiscal quarter that have materially affected, or are
likely to materially affect the registrants internal control over financial
reporting.
|
|
|
ITEM
3.
|
EXHIBITS.
|
|
|
|
Certifications
pursuant to Rule 30a-2(a) under the Investment Company Act of 1940,
as amended, are attached hereto.
|
SIGNATURES
Pursuant to the requirements
of the Securities Exchange Act of 1934 and the Investment Company Act of 1940,
the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
Western
Asset Investment Grade Defined Opportunity Trust Inc.
By
|
/s/ R. Jay Gerken
|
|
|
R. Jay Gerken
|
|
|
Chief Executive Officer
|
|
Date: October 25, 2010
Pursuant to the requirements
of the Securities Exchange Act of 1934 and the Investment Company Act of 1940,
this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By
|
/s/ R. Jay Gerken
|
|
|
R. Jay Gerken
|
|
|
Chief Executive Officer
|
|
Date: October 25, 2010
By
|
/s/ Kaprel Ozsolak
|
|
|
Kaprel Ozsolak
|
|
|
Chief Financial Officer
|
|
Date: October 25, 2010
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