ITEM 1.
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REPORT TO STOCKHOLDERS.
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The Annual Report to Stockholders is filed herewith.
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Annual Report
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November 30, 2020
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WESTERN ASSET
INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC. (IGI)
Beginning in or after January 2021, as permitted by regulations adopted by the Securities and Exchange Commission,
the Fund intends to no longer mail paper copies of the Funds shareholder reports like this one, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary (such as a broker-dealer or bank).
Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you invest through a financial intermediary and you already elected to receive shareholder reports electronically (e-delivery), you will not be affected by this change and you need not take any action. If you have not already elected e-delivery, you may elect to receive
shareholder reports and other communications from the Fund electronically by contacting your financial intermediary.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies
of your shareholder reports. That election will apply to all Legg Mason Funds held in your account at that financial intermediary. If you are a direct shareholder with the Fund, you can call the Fund at 1-888-888-0151, or write to the Fund by regular mail at P.O. Box 505000, Louisville, KY 40233 or by overnight delivery to Computershare, 462 South 4th Street, Suite
1600, Louisville, KY 40202 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. That election will apply to all Legg Mason Funds held in your account held directly with the fund complex.
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INVESTMENT PRODUCTS: NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE
VALUE
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Fund objectives
The Funds primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Funds net assets to stockholders on or about December 2, 2024. As a
secondary investment objective, the Fund will seek capital appreciation. There can be no assurance the Fund will achieve its investment objectives.
The
Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in investment grade corporate fixed income securities of varying maturities.
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II
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Western Asset Investment Grade Defined Opportunity Trust Inc.
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Letter from the chairman
Dear Shareholder,
We are pleased to provide the annual report of Western Asset Investment Grade Defined Opportunity Trust Inc. for the twelve-month reporting period
ended November 30, 2020. Please read on for a detailed look at prevailing economic and market conditions during the Funds reporting period and to learn how those conditions have affected Fund performance.
Special shareholder notice
On July 31,
2020, Franklin Resources, Inc. (Franklin Resources) acquired Legg Mason, Inc. (Legg Mason) in an all-cash transaction. As a result of the transaction, Legg Mason Partners Fund Advisor,
LLC (LMPFA) and the subadvisers became indirect, wholly-owned subsidiaries of Franklin Resources. Under the Investment Company Act of 1940, as amended, consummation of the transaction automatically terminated the management and
subadvisory agreements that were in place for the Fund prior to the transaction. The Funds manager and subadvisers continue to provide uninterrupted services with respect to the Fund pursuant to new management and subadvisory agreements that
were approved by Fund shareholders.
Franklin Resources, whose principal executive offices are at One Franklin Parkway, San Mateo, California 94403, is a
global investment management organization operating, together with its subsidiaries, as Franklin Templeton. As of November 30, 2020, after giving effect to the transaction described above, Franklin Templetons asset management operations
had aggregate assets under management of approximately $1.5 trillion.
As always, we remain committed to providing you with excellent service and a full
spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.lmcef.com. Here you can gain immediate access to market and
investment information, including:
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Fund prices and performance,
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Western Asset Investment Grade Defined Opportunity Trust Inc.
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III
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Letter from the chairman
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Market insights and commentaries from our portfolio managers, and
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A host of educational resources.
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We look
forward to helping you meet your financial goals.
Sincerely,
Jane Trust, CFA
Chairman, President and Chief Executive Officer
December 31, 2020
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IV
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Western Asset Investment Grade Defined Opportunity Trust Inc.
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Fund overview
Q. What is the Funds investment strategy?
A. The Funds primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Funds net assets to stockholders on or about December 2,
2024. As a secondary investment objective, the Fund will seek capital appreciation. There can be no assurance the Fund will achieve its investment objectives.
The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in investment grade corporate fixed income securities of varying maturities. The Fund
may invest up to 20% of its net assets in corporate fixed income securities of below investment grade quality (commonly known as high yield or junk bonds) at the time of investment and other securities, including obligations
of the U.S. government, its agencies or instrumentalities, common stocks, warrants and depositary receipts. While the Fund may invest up to 20% of its net assets in below investment grade securities, the Fund will, under normal market conditions,
maintain a portfolio with an overall dollar-weighted average of investment grade credit quality. The Fund may invest up to 20% of its net assets in securities of foreign issuers located anywhere in the world, including issuers located in emerging
market countries. Additionally, the Fund may invest up to 20% of its net assets in non-U.S. dollar denominated securities.
The Fund may invest in derivative instruments, such as options contracts, futures contracts, options on futures contracts, indexed securities, credit default swaps and other swap agreements, provided that the
Funds exposure to derivative instruments, as measured by the total notional amount of all such instruments, will not exceed 20% of its net assets.
In purchasing securities and other investments for the Fund, we may take full advantage of the entire range of maturities and durationsi offered by corporate fixed income securities and may adjust the average maturity or duration of the Funds portfolio from
time to time, depending on our assessment of the relative yields available on securities of different maturities and durations and our expectations of future changes in interest rates.
The Fund may take on leveraging risk by utilizing certain management techniques, whereby it will segregate liquid assets, enter into offsetting transactions or own positions covering its obligations. To the extent
the Fund covers its commitment under such a portfolio management technique, such instrument will not be considered a senior security for the purposes of the Investment Company Act of 1940. However, as a fundamental policy, the Fund will not leverage
its capital structure by issuing senior securities such as preferred shares or debt instruments.
At Western Asset Management Company, LLC (Western
Asset), the Funds subadviser, we utilize a fixed income team approach, with decisions derived from interaction among various investment management sector specialists. The sector teams are comprised of Western Assets senior
portfolio management personnel, research analysts and an in-house economist. Under this team approach, management of client fixed income portfolios will reflect a consensus of interdisciplinary views within
the Western Asset organization. The
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
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1
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Fund overview (contd)
individuals responsible for development of investment strategy, day-to-day portfolio management, oversight and coordination of the Fund are S. Kenneth Leech, Michael C. Buchanan and Ryan K. Brist.
Q. What were the overall market conditions during the Funds reporting period?
A. Fixed income markets, in general, posted mixed results over the twelve-month reporting period ended November 30, 2020. Most
spread sectors (non-Treasuries) lagged equal duration Treasuries amid periods of heightened volatility. This was driven by a number of factors, including extreme risk aversion as the COVID-19 pandemic escalated, sharply falling global growth, aggressive monetary policy accommodation from the Federal Reserve Board (the Fed)ii, ongoing trade conflicts and a number of geopolitical issues.
Both short- and long-term U.S. Treasury yields moved sharply lower during the reporting period. The yield for the two-year Treasury note began the reporting period at 1.61%
and rose as high as 1.66% on December 12, 2019. The low for the period of 0.11% occurred several times toward the end of July 2020, the beginning of August 2020, and the end of September 2020, and ended the period at 0.16%. The yield for the ten-year Treasury began the reporting period at 1.78% and moved as high as 1.93% on December 23, 2019. The low of 0.52% occurred on August 4, 2020 and ended the period at 0.84%.
All told, the Bloomberg Barclays U.S. Aggregate Indexiii returned 7.28% for the twelve months ended November 30, 2020. Comparatively, the Bloomberg Barclays U.S. Credit
Indexiv returned 9.17 over the same period and the Bloomberg Barclays U.S.
High Yield 2% Issuer Cap Indexv returned 7.17%.
Q. How did we respond to these changing market conditions?
A. We reduced the Funds allocation to investment grade corporate bonds. In terms of sectors, we increased the Funds allocations to Industrials and Energy, while paring its allocations to Consumer
Staples, Materials and Financials. Elsewhere, we pared the Funds emerging market exposure. From a credit quality perspective, we increased the Funds allocation to securities rated BB and reduced the overweight to securities rated BBB.
Finally, we adjusted the Funds yield curvevi positioning. In particular,
we reduced the Funds exposure to the long end of the yield curve.
During the reporting period, U.S. Treasury futures were used to manage the
Funds duration and yield curve positioning. They detracted from performance. Corporate investment grade index swaps, which were used for credit hedging purposes, modestly contributed to results.
Performance review
For
the twelve months ended November 30, 2020, Western Asset Investment Grade Defined Opportunity Trust Inc. returned 8.96% based on its net asset value (NAV)vii and 5.06% based on its New York Stock Exchange (NYSE) market price per share. The Funds unmanaged benchmark,
the Bloomberg Barclays U.S. Credit Index, returned 9.17% for the same period. The Lipper Corporate Debt BBB-Rated Closed-End Funds Category Averageviii returned 8.74% over the same time frame. Please note that Lipper performance returns
are based on each funds NAV.
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2
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
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During the twelve-month period, the Fund made distributions to shareholders totaling $0.85 per share.* The performance
table shows the Funds twelve-month total return based on its NAV and market price as of November 30, 2020. Past performance is no guarantee of future results.
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Performance Snapshot as of November 30, 2020
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Price Per Share
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12-Month
Total Return**
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$22.09 (NAV)
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8.96
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%
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$21.42 (Market Price)
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5.06
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%
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All figures represent past performance and are not a guarantee of future results.
** Total returns are based on changes in NAV or market price, respectively. Returns reflect the deduction of all Fund expenses, including management fees,
operating expenses, and other Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors may pay on distributions or the sale of shares.
Total return assumes the reinvestment of all distributions at NAV.
Total return assumes the
reinvestment of all distributions in additional shares in accordance with the Funds Dividend Reinvestment Plan.
Q. What
were the leading contributors to performance?
A. The largest contributor to the Funds relative performance during
the reporting period was security selection. The Funds holdings in the banking industry were the most beneficial, with overweight positions in Credit Suisse and Barclays adding the most value. We have a favorable view on the banking space, as
loan loss reserves protecting major banks capital bases are at all-time highs. Elsewhere, in the Information Technology sector, an underweight to Intel contributed to returns, as we were of the view that
valuations were stretched coming into 2020. Finally, in the Consumer
Non-Cyclical1 sector, an overweight to
CVS Health Corp. was beneficial due to managements focus on debt reduction along with attractive relative value coming into the year.
From a
sector allocation perspective, overweights to outperforming Financials (specifically banking and insurance) were positive for results.
Q. What were the leading detractors from performance?
A. The largest detractor from the Funds relative performance during the reporting period was its quality biases. In particular, a large overweight to securities rated BBB detracted from results, as
they underperformed higher quality investment grade bonds.
*
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For the tax character of distributions paid during the fiscal year ended November 30, 2020, please refer to page 43 of this report.
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1
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Consumer Non-Cyclicals consists of the following industries: Consumer Products, Food/Beverage, Health Care,
Pharmaceuticals, Supermarkets and Tobacco.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
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3
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Fund overview (contd)
Duration and yield curve positioning were headwinds for returns. More specifically, a
short duration and an underweight to the long end of the yield curve were not rewarded. In terms of sector allocation, an underweight to Information Technology was negative for performance.
Finally, overweight positions in Occidental Petroleum and Marathon Oil detracted from returns. Occidental Petroleum posted poor fundamental results and was downgraded to below investment grade status during the
reporting period. Its bond prices did improve toward the end of the period, but all told, the overweight detracted from results. Additionally, the oil price war between Saudi Arabia and Russia earlier this year, along with the demand shock due to COVID-19, significantly affected the profitability of both issuers given the sharp decline in commodity prices.
Looking for additional information?
The Fund is traded under the symbol IGI and
its closing market price is available in most newspapers under the NYSE listings. The daily NAV is available online under the symbol XIGIX on most financial websites. Barrons and The Wall Street Journals Monday
edition both carry closed-end fund tables that provide additional information. In addition, the Fund issues a quarterly press release that can be found on most major financial websites as well as www.lmcef.com
(click on the name of the Fund).
In a continuing effort to provide information concerning the Fund, shareholders may call
1-888-777-0102 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Funds current NAV,
market price and other information.
Thank you for your investment in Western Asset Investment Grade Defined Opportunity Trust Inc. As always, we
appreciate that you have chosen us to manage your assets and we remain focused on achieving the Funds investment goals.
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4
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
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Sincerely,
Western Asset Management Company, LLC
December 15, 2020
RISKS: The Fund is a non-diversified, limited term, closed-end management investment company designed primarily as a long-term investment and not as a trading vehicle .The Fund is not intended to be a complete investment program and, due to the uncertainty inherent
in all investments, there can be no assurance that the Fund will achieve its investment objectives. The Funds common stock is traded on the New York Stock Exchange. Similar to stocks, the Funds share price will fluctuate with market
conditions and, at the time of sale, may be worth more or less than the original investment. Shares of closed-end funds often trade at a discount to their net asset value. Because the Fund is non-diversified, it may be more susceptible to economic, political or regulatory events than a diversified fund. The Funds investments are subject to a number of risks, including credit risk, inflation risk
and interest rate risk. As interest rates rise, bond prices fall, reducing the value of the Funds holdings. The Fund may invest in lower-rated high-yield bonds or junk bonds, which are subject to greater liquidity and credit risk
(risk of default) than higher-rated obligations. The Fund may use derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses and have a potentially large impact on Fund performance. The Fund may invest in
securities or engage in transactions that have the economic effects of leverage which can increase the risk and volatility of the Fund. The Fund may also invest in money market funds, including funds affiliated with the Funds manager and
subadvisers. For more information on Fund risks, see Summary of information regarding the Fund - Principal Risk Factors in this report.
Portfolio
holdings and breakdowns are as of November 30, 2020 and are subject to change and may not be representative of the portfolio managers current or future investments. Please refer to pages 8 through 26 for a list and percentage breakdown of
the Funds holdings.
The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to
purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or
investment strategies discussed should consult their financial professional. The Funds top five sector holdings (as a percentage of net assets) as of November 30, 2020 were: Financials (31.0%), Energy (15.0%), Health Care (12.2%),
Communication Services (12.0%) and Industrials (9.5%). The Funds portfolio composition is subject to change at any time.
All investments are
subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.
The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may
differ from those of the firm as a whole.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
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5
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Fund overview (contd)
i
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Duration is the measure of the price sensitivity of a fixed income security to an interest rate change of 100 basis points. Calculation is based on the weighted
average of the present values for all cash flows.
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ii
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The Federal Reserve Board (the Fed) is responsible for the formulation of U.S. policies designed to promote economic growth, full employment, stable
prices, and a sustainable pattern of international trade and payments.
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iii
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The Bloomberg Barclays U.S. Aggregate Index is a broad-based bond index comprised of government, corporate, mortgage- and asset-backed issues, rated investment
grade or higher, and having at least one year to maturity.
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iv
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The Bloomberg Barclays U.S. Credit Index is an index composed of corporate and non-corporate debt issues that are
investment grade (rated Baa3/BBB or higher).
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v
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The Bloomberg Barclays U.S. High Yield2% Issuer Cap Index is an index of the 2% Issuer Cap component of the Bloomberg Barclays Capital U.S. Corporate High
Yield Index, which covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market.
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vi
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The yield curve is the graphical depiction of the relationship between the yield on bonds of the same credit quality but different maturities.
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vii
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Net asset value (NAV) is calculated by subtracting total liabilities, including liabilities associated with financial leverage (if any), from the
closing value of all securities held by the Fund (plus all other assets) and dividing the result (total net assets) by the total number of the common shares outstanding. The NAV fluctuates with changes in the market prices of securities in which the
Fund has invested. However, the price at which an investor may buy or sell shares of the Fund is the Funds market price as determined by supply of and demand for the Funds shares.
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viii
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Lipper, Inc., a wholly-owned subsidiary of Reuters, provides independent insight on global collective investments. Returns are based on the twelve-month period
ended November 30, 2020, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 6 funds in the Funds Lipper category.
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6
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
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Fund at a
glance (unaudited)
Investment breakdown (%) as a percent of total investments
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The bar graph above represents the composition of the Funds investments as of November 30, 2020 and November 30, 2019 and does not
include derivatives, such as futures contracts and swap contracts. The Fund is actively managed. As a result, the composition of the Funds investments is subject to change at any time.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
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7
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Schedule of investments
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
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Security
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Rate
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Maturity
Date
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Face
Amount
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Value
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Corporate Bonds & Notes 96.4%
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Communication Services 12.0%
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Diversified Telecommunication Services 4.5%
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AT&T Inc., Senior Notes
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4.500
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%
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5/15/35
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$
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370,000
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$
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448,778
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AT&T Inc., Senior Notes
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4.900
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%
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6/15/42
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250,000
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310,445
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AT&T Inc., Senior Notes
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3.100
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%
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2/1/43
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320,000
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330,214
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AT&T Inc., Senior Notes
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4.800
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%
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6/15/44
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290,000
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364,815
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AT&T Inc., Senior Notes
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4.500
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%
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3/9/48
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422,000
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516,598
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AT&T Inc., Senior Notes
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3.500
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%
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2/1/61
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260,000
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264,637
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British Telecommunications PLC, Senior Notes
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9.625
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%
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12/15/30
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1,550,000
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2,526,200
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British Telecommunications PLC, Senior Notes
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4.250
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%
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11/8/49
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200,000
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240,794
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(a)
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Corning Inc., Senior Notes
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3.900
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%
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11/15/49
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210,000
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256,350
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Frontier Communications Corp., Senior Secured Notes
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5.875
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%
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10/15/27
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660,000
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695,888
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(a)
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Telefonica Emisiones SA, Senior Notes
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7.045
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%
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6/20/36
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140,000
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210,755
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Verizon Communications Inc., Senior Notes
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5.150
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%
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9/15/23
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2,460,000
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2,767,808
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Verizon Communications Inc., Senior Notes
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4.329
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%
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9/21/28
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218,000
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264,815
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Verizon Communications Inc., Senior Notes
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5.500
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%
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3/16/47
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1,130,000
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1,672,435
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Total Diversified Telecommunication Services
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10,870,532
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Entertainment 1.7%
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Activision Blizzard Inc., Senior Notes
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2.500
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%
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9/15/50
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220,000
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213,101
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Walt Disney Co., Senior Notes
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6.650
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%
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11/15/37
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2,400,000
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3,744,207
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Total Entertainment
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3,957,308
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Media 4.5%
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CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
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4.500
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%
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5/1/32
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910,000
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962,917
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(a)
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured
Notes
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6.384
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%
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10/23/35
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180,000
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251,514
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured
Notes
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6.484
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%
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10/23/45
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420,000
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|
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601,480
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured
Notes
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5.375
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%
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5/1/47
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560,000
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711,476
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Comcast Corp., Senior Notes
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6.400
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%
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5/15/38
|
|
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2,500,000
|
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3,899,989
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Fox Corp., Senior Notes
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5.476
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%
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1/25/39
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810,000
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1,126,103
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Time Warner Cable LLC, Senior Secured Notes
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6.550
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%
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5/1/37
|
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370,000
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512,535
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Time Warner Cable LLC, Senior Secured Notes
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7.300
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%
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7/1/38
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330,000
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|
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486,271
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Time Warner Cable LLC, Senior Secured Notes
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6.750
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%
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6/15/39
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20,000
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28,519
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Time Warner Cable LLC, Senior Secured Notes
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5.500
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%
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9/1/41
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200,000
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252,989
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See Notes to Financial
Statements.
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8
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Media continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Time Warner Entertainment Co. LP, Senior Secured Notes
|
|
|
8.375
|
%
|
|
|
3/15/23
|
|
|
$
|
1,170,000
|
|
|
$
|
1,379,890
|
|
Time Warner Entertainment Co. LP, Senior Secured Notes
|
|
|
8.375
|
%
|
|
|
7/15/33
|
|
|
|
370,000
|
|
|
|
577,675
|
|
ViacomCBS Inc., Senior Notes
|
|
|
5.250
|
%
|
|
|
4/1/44
|
|
|
|
80,000
|
|
|
|
103,839
|
|
Total Media
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,895,197
|
|
Wireless Telecommunication Services 1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sprint Corp., Senior Notes
|
|
|
7.250
|
%
|
|
|
9/15/21
|
|
|
|
1,170,000
|
|
|
|
1,219,725
|
|
Sprint Corp., Senior Notes
|
|
|
7.875
|
%
|
|
|
9/15/23
|
|
|
|
120,000
|
|
|
|
138,552
|
|
Telefonica Europe BV, Senior Notes
|
|
|
8.250
|
%
|
|
|
9/15/30
|
|
|
|
390,000
|
|
|
|
597,904
|
|
T-Mobile USA Inc., Senior Secured Notes
|
|
|
4.375
|
%
|
|
|
4/15/40
|
|
|
|
100,000
|
|
|
|
122,229
|
(a)
|
T-Mobile USA Inc., Senior Secured Notes
|
|
|
3.000
|
%
|
|
|
2/15/41
|
|
|
|
100,000
|
|
|
|
103,505
|
(a)
|
T-Mobile USA Inc., Senior Secured Notes
|
|
|
4.500
|
%
|
|
|
4/15/50
|
|
|
|
330,000
|
|
|
|
412,343
|
(a)
|
Vodafone Group PLC, Senior Notes
|
|
|
5.250
|
%
|
|
|
5/30/48
|
|
|
|
320,000
|
|
|
|
438,777
|
|
Vodafone Group PLC, Senior Notes
|
|
|
4.250
|
%
|
|
|
9/17/50
|
|
|
|
20,000
|
|
|
|
24,576
|
|
Total Wireless Telecommunication Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,057,611
|
|
Total Communication Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,780,648
|
|
Consumer Discretionary 3.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles 1.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Co., Senior Notes
|
|
|
9.215
|
%
|
|
|
9/15/21
|
|
|
|
640,000
|
|
|
|
676,800
|
|
General Motors Co., Senior Notes
|
|
|
5.400
|
%
|
|
|
10/2/23
|
|
|
|
200,000
|
|
|
|
224,275
|
|
General Motors Co., Senior Notes
|
|
|
6.125
|
%
|
|
|
10/1/25
|
|
|
|
300,000
|
|
|
|
362,051
|
|
General Motors Co., Senior Notes
|
|
|
6.600
|
%
|
|
|
4/1/36
|
|
|
|
290,000
|
|
|
|
392,758
|
|
General Motors Co., Senior Notes
|
|
|
6.750
|
%
|
|
|
4/1/46
|
|
|
|
580,000
|
|
|
|
828,629
|
|
Total Automobiles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,484,513
|
|
Hotels, Restaurants & Leisure 1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Marriott International Inc., Senior Notes
|
|
|
3.600
|
%
|
|
|
4/15/24
|
|
|
|
320,000
|
|
|
|
338,536
|
|
McDonalds Corp., Senior Notes
|
|
|
4.700
|
%
|
|
|
12/9/35
|
|
|
|
260,000
|
|
|
|
340,646
|
|
McDonalds Corp., Senior Notes
|
|
|
4.875
|
%
|
|
|
12/9/45
|
|
|
|
370,000
|
|
|
|
507,165
|
|
Melco Resorts Finance Ltd., Senior Notes
|
|
|
5.375
|
%
|
|
|
12/4/29
|
|
|
|
590,000
|
|
|
|
604,684
|
(a)
|
Sands China Ltd., Senior Notes
|
|
|
5.125
|
%
|
|
|
8/8/25
|
|
|
|
690,000
|
|
|
|
759,693
|
|
Sands China Ltd., Senior Notes
|
|
|
5.400
|
%
|
|
|
8/8/28
|
|
|
|
200,000
|
|
|
|
229,314
|
|
Sands China Ltd., Senior Notes
|
|
|
4.375
|
%
|
|
|
6/18/30
|
|
|
|
220,000
|
|
|
|
239,404
|
(a)
|
Total Hotels, Restaurants & Leisure
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,019,442
|
|
Household Durables 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lennar Corp., Senior Notes
|
|
|
5.000
|
%
|
|
|
6/15/27
|
|
|
|
390,000
|
|
|
|
463,125
|
|
MDC Holdings Inc., Senior Notes
|
|
|
6.000
|
%
|
|
|
1/15/43
|
|
|
|
310,000
|
|
|
|
403,581
|
|
Total Household Durables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
866,706
|
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
9
|
Schedule of investments (contd)
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Internet & Direct Marketing Retail 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amazon.com Inc., Senior Notes
|
|
|
3.875
|
%
|
|
|
8/22/37
|
|
|
$
|
410,000
|
|
|
$
|
519,746
|
|
Specialty Retail 0.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Depot Inc., Senior Notes
|
|
|
3.900
|
%
|
|
|
12/6/28
|
|
|
|
930,000
|
|
|
|
1,117,313
|
|
Home Depot Inc., Senior Notes
|
|
|
3.300
|
%
|
|
|
4/15/40
|
|
|
|
100,000
|
|
|
|
118,715
|
|
Home Depot Inc., Senior Notes
|
|
|
3.350
|
%
|
|
|
4/15/50
|
|
|
|
80,000
|
|
|
|
95,252
|
|
Total Specialty Retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,331,280
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,221,687
|
|
Consumer Staples 3.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages 1.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide Inc., Senior Notes
|
|
|
4.600
|
%
|
|
|
4/15/48
|
|
|
|
1,730,000
|
|
|
|
2,199,525
|
|
Coca-Cola Co., Senior Notes
|
|
|
4.125
|
%
|
|
|
3/25/40
|
|
|
|
290,000
|
|
|
|
380,919
|
|
Coca-Cola Co., Senior Notes
|
|
|
4.200
|
%
|
|
|
3/25/50
|
|
|
|
160,000
|
|
|
|
218,551
|
|
Constellation Brands Inc., Senior Notes
|
|
|
4.250
|
%
|
|
|
5/1/23
|
|
|
|
100,000
|
|
|
|
108,861
|
|
Total Beverages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,907,856
|
|
Food & Staples Retailing 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Walmart Inc., Senior Notes
|
|
|
4.050
|
%
|
|
|
6/29/48
|
|
|
|
360,000
|
|
|
|
495,870
|
|
Food Products 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Kraft Heinz Foods Co., Senior Notes
|
|
|
5.000
|
%
|
|
|
6/4/42
|
|
|
|
160,000
|
|
|
|
183,599
|
|
Mars Inc., Senior Notes
|
|
|
3.200
|
%
|
|
|
4/1/30
|
|
|
|
220,000
|
|
|
|
255,052
|
(a)
|
Total Food Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
438,651
|
|
Tobacco 1.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Altria Group Inc., Senior Notes
|
|
|
3.800
|
%
|
|
|
2/14/24
|
|
|
|
290,000
|
|
|
|
316,765
|
|
Altria Group Inc., Senior Notes
|
|
|
4.400
|
%
|
|
|
2/14/26
|
|
|
|
500,000
|
|
|
|
579,555
|
|
Altria Group Inc., Senior Notes
|
|
|
4.800
|
%
|
|
|
2/14/29
|
|
|
|
1,360,000
|
|
|
|
1,630,237
|
|
Altria Group Inc., Senior Notes
|
|
|
3.875
|
%
|
|
|
9/16/46
|
|
|
|
80,000
|
|
|
|
86,316
|
|
Reynolds American Inc., Senior Notes
|
|
|
8.125
|
%
|
|
|
5/1/40
|
|
|
|
470,000
|
|
|
|
691,618
|
|
Reynolds American Inc., Senior Notes
|
|
|
7.000
|
%
|
|
|
8/4/41
|
|
|
|
510,000
|
|
|
|
684,253
|
|
Total Tobacco
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,988,744
|
|
Total Consumer Staples
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,831,121
|
|
Energy 15.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services 0.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Halliburton Co., Senior Notes
|
|
|
2.920
|
%
|
|
|
3/1/30
|
|
|
|
200,000
|
|
|
|
206,013
|
|
Halliburton Co., Senior Notes
|
|
|
5.000
|
%
|
|
|
11/15/45
|
|
|
|
930,000
|
|
|
|
1,054,549
|
|
Total Energy Equipment & Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,260,562
|
|
Oil, Gas & Consumable Fuels 14.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apache Corp., Senior Notes
|
|
|
6.000
|
%
|
|
|
1/15/37
|
|
|
|
84,000
|
|
|
|
88,620
|
|
Apache Corp., Senior Notes
|
|
|
5.100
|
%
|
|
|
9/1/40
|
|
|
|
60,000
|
|
|
|
62,094
|
|
Apache Corp., Senior Notes
|
|
|
5.250
|
%
|
|
|
2/1/42
|
|
|
|
160,000
|
|
|
|
164,656
|
|
See Notes to Financial
Statements.
|
|
|
10
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Oil, Gas & Consumable Fuels continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apache Corp., Senior Notes
|
|
|
4.750
|
%
|
|
|
4/15/43
|
|
|
$
|
670,000
|
|
|
$
|
670,000
|
|
BP Capital Markets America Inc., Senior Notes
|
|
|
3.000
|
%
|
|
|
2/24/50
|
|
|
|
710,000
|
|
|
|
740,743
|
|
Cameron LNG LLC, Senior Secured Notes
|
|
|
3.302
|
%
|
|
|
1/15/35
|
|
|
|
40,000
|
|
|
|
45,155
|
(a)
|
Cameron LNG LLC, Senior Secured Notes
|
|
|
3.701
|
%
|
|
|
1/15/39
|
|
|
|
50,000
|
|
|
|
56,850
|
(a)
|
Chevron USA Inc., Senior Notes
|
|
|
2.343
|
%
|
|
|
8/12/50
|
|
|
|
210,000
|
|
|
|
204,943
|
|
Cimarex Energy Co., Senior Notes
|
|
|
4.375
|
%
|
|
|
6/1/24
|
|
|
|
960,000
|
|
|
|
1,037,390
|
|
Cimarex Energy Co., Senior Notes
|
|
|
3.900
|
%
|
|
|
5/15/27
|
|
|
|
250,000
|
|
|
|
274,032
|
|
Concho Resources Inc., Senior Notes
|
|
|
3.750
|
%
|
|
|
10/1/27
|
|
|
|
110,000
|
|
|
|
125,195
|
|
ConocoPhillips, Senior Notes
|
|
|
6.500
|
%
|
|
|
2/1/39
|
|
|
|
1,500,000
|
|
|
|
2,297,935
|
|
Continental Resources Inc., Senior Notes
|
|
|
4.500
|
%
|
|
|
4/15/23
|
|
|
|
510,000
|
|
|
|
523,683
|
|
Continental Resources Inc., Senior Notes
|
|
|
4.375
|
%
|
|
|
1/15/28
|
|
|
|
430,000
|
|
|
|
429,695
|
|
Devon Energy Corp., Senior Notes
|
|
|
5.850
|
%
|
|
|
12/15/25
|
|
|
|
560,000
|
|
|
|
647,638
|
|
Devon Energy Corp., Senior Notes
|
|
|
5.600
|
%
|
|
|
7/15/41
|
|
|
|
20,000
|
|
|
|
23,386
|
|
Devon Energy Corp., Senior Notes
|
|
|
5.000
|
%
|
|
|
6/15/45
|
|
|
|
210,000
|
|
|
|
237,529
|
|
Ecopetrol SA, Senior Notes
|
|
|
5.875
|
%
|
|
|
5/28/45
|
|
|
|
404,000
|
|
|
|
480,760
|
|
Energy Transfer Operating 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
|
|
|
|
297,825
|
(b)(c)
|
Energy Transfer Operating 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
|
|
|
|
835,780
|
(b)(c)
|
Energy Transfer Operating LP, Senior Notes
|
|
|
4.200
|
%
|
|
|
9/15/23
|
|
|
|
510,000
|
|
|
|
543,624
|
|
Energy Transfer Operating LP, Senior Notes
|
|
|
5.250
|
%
|
|
|
4/15/29
|
|
|
|
20,000
|
|
|
|
22,681
|
|
Energy Transfer Operating LP, Senior Notes
|
|
|
6.625
|
%
|
|
|
10/15/36
|
|
|
|
20,000
|
|
|
|
23,612
|
|
Energy Transfer Operating LP, Senior Notes
|
|
|
5.800
|
%
|
|
|
6/15/38
|
|
|
|
60,000
|
|
|
|
66,169
|
|
Enterprise Products Operating LLC, Senior Notes
|
|
|
4.250
|
%
|
|
|
2/15/48
|
|
|
|
400,000
|
|
|
|
469,333
|
|
Enterprise Products Operating LLC, Senior Notes
|
|
|
3.950
|
%
|
|
|
1/31/60
|
|
|
|
210,000
|
|
|
|
228,674
|
|
Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. USD LIBOR + 2.570%)
|
|
|
5.375
|
%
|
|
|
2/15/78
|
|
|
|
570,000
|
|
|
|
543,147
|
(c)
|
EOG Resources Inc., Senior Notes
|
|
|
4.375
|
%
|
|
|
4/15/30
|
|
|
|
370,000
|
|
|
|
451,945
|
|
Exxon Mobil Corp., Senior Notes
|
|
|
3.482
|
%
|
|
|
3/19/30
|
|
|
|
320,000
|
|
|
|
371,337
|
|
Exxon Mobil Corp., Senior Notes
|
|
|
2.995
|
%
|
|
|
8/16/39
|
|
|
|
190,000
|
|
|
|
204,769
|
|
Exxon Mobil Corp., Senior Notes
|
|
|
4.227
|
%
|
|
|
3/19/40
|
|
|
|
220,000
|
|
|
|
272,667
|
|
KazMunayGas National Co. JSC, Senior Notes
|
|
|
3.500
|
%
|
|
|
4/14/33
|
|
|
|
240,000
|
|
|
|
261,293
|
(a)
|
Kinder Morgan Inc., Senior Notes
|
|
|
7.800
|
%
|
|
|
8/1/31
|
|
|
|
900,000
|
|
|
|
1,262,888
|
|
MEG Energy Corp., Senior Notes
|
|
|
7.000
|
%
|
|
|
3/31/24
|
|
|
|
372,000
|
|
|
|
374,790
|
(a)
|
MPLX LP, Senior Notes
|
|
|
5.250
|
%
|
|
|
1/15/25
|
|
|
|
500,000
|
|
|
|
513,771
|
|
MPLX LP, Senior Notes
|
|
|
4.500
|
%
|
|
|
4/15/38
|
|
|
|
600,000
|
|
|
|
666,328
|
|
Noble Energy Inc., Senior Notes
|
|
|
6.000
|
%
|
|
|
3/1/41
|
|
|
|
660,000
|
|
|
|
969,675
|
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
11
|
Schedule of investments (contd)
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Oil, Gas & Consumable Fuels continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Noble Energy Inc., Senior Notes
|
|
|
5.250
|
%
|
|
|
11/15/43
|
|
|
$
|
240,000
|
|
|
$
|
333,155
|
|
Occidental Petroleum Corp., Senior Notes
|
|
|
2.600
|
%
|
|
|
8/13/21
|
|
|
|
430,000
|
|
|
|
426,506
|
|
Occidental Petroleum Corp., Senior Notes
|
|
|
2.700
|
%
|
|
|
8/15/22
|
|
|
|
1,150,000
|
|
|
|
1,134,820
|
|
Occidental Petroleum Corp., Senior Notes
|
|
|
2.700
|
%
|
|
|
2/15/23
|
|
|
|
20,000
|
|
|
|
19,294
|
|
Occidental Petroleum Corp., Senior Notes
|
|
|
3.200
|
%
|
|
|
8/15/26
|
|
|
|
250,000
|
|
|
|
221,719
|
|
Occidental Petroleum Corp., Senior Notes
|
|
|
7.875
|
%
|
|
|
9/15/31
|
|
|
|
710,000
|
|
|
|
759,256
|
|
Occidental Petroleum Corp., Senior Notes
|
|
|
4.400
|
%
|
|
|
4/15/46
|
|
|
|
10,000
|
|
|
|
8,436
|
|
Occidental Petroleum Corp., Senior Notes (3 mo. USD LIBOR + 0.950%)
|
|
|
1.163
|
%
|
|
|
2/8/21
|
|
|
|
640,000
|
|
|
|
636,231
|
(c)
|
Parsley Energy LLC/Parsley Finance Corp., Senior Notes
|
|
|
5.625
|
%
|
|
|
10/15/27
|
|
|
|
180,000
|
|
|
|
194,130
|
(a)
|
Parsley Energy LLC/Parsley Finance Corp., Senior Notes
|
|
|
4.125
|
%
|
|
|
2/15/28
|
|
|
|
330,000
|
|
|
|
347,119
|
(a)
|
Petrobras Global Finance BV, Senior Notes
|
|
|
7.375
|
%
|
|
|
1/17/27
|
|
|
|
530,000
|
|
|
|
658,032
|
|
Petroleos Mexicanos, Senior Notes
|
|
|
6.875
|
%
|
|
|
8/4/26
|
|
|
|
730,000
|
|
|
|
757,375
|
|
Petroleos Mexicanos, Senior Notes
|
|
|
6.625
|
%
|
|
|
6/15/35
|
|
|
|
460,000
|
|
|
|
424,283
|
|
Range Resources Corp., Senior Notes
|
|
|
9.250
|
%
|
|
|
2/1/26
|
|
|
|
730,000
|
|
|
|
760,295
|
(a)
|
Southern Natural Gas Co. LLC, Senior Notes
|
|
|
8.000
|
%
|
|
|
3/1/32
|
|
|
|
1,500,000
|
|
|
|
2,122,017
|
|
Sunoco Logistics Partners Operations LP, Senior Notes
|
|
|
3.900
|
%
|
|
|
7/15/26
|
|
|
|
630,000
|
|
|
|
676,902
|
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes
|
|
|
7.850
|
%
|
|
|
2/1/26
|
|
|
|
760,000
|
|
|
|
988,112
|
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes
|
|
|
7.250
|
%
|
|
|
12/1/26
|
|
|
|
180,000
|
|
|
|
230,807
|
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes
|
|
|
3.250
|
%
|
|
|
5/15/30
|
|
|
|
230,000
|
|
|
|
255,340
|
(a)
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes
|
|
|
5.400
|
%
|
|
|
8/15/41
|
|
|
|
10,000
|
|
|
|
12,686
|
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes
|
|
|
4.450
|
%
|
|
|
8/1/42
|
|
|
|
860,000
|
|
|
|
1,003,177
|
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes
|
|
|
3.950
|
%
|
|
|
5/15/50
|
|
|
|
30,000
|
|
|
|
33,357
|
(a)
|
Western Midstream Operating LP, Senior Notes
|
|
|
5.375
|
%
|
|
|
6/1/21
|
|
|
|
180,000
|
|
|
|
182,250
|
|
Western Midstream Operating LP, Senior Notes
|
|
|
4.650
|
%
|
|
|
7/1/26
|
|
|
|
1,560,000
|
|
|
|
1,599,593
|
|
Western Midstream Operating LP, Senior Notes
|
|
|
4.750
|
%
|
|
|
8/15/28
|
|
|
|
890,000
|
|
|
|
923,375
|
|
Western Midstream Operating LP, Senior Notes
|
|
|
5.050
|
%
|
|
|
2/1/30
|
|
|
|
140,000
|
|
|
|
149,713
|
|
Western Midstream Operating LP, Senior Notes
|
|
|
5.450
|
%
|
|
|
4/1/44
|
|
|
|
120,000
|
|
|
|
112,425
|
|
Western Midstream Operating LP, Senior Notes
|
|
|
6.250
|
%
|
|
|
2/1/50
|
|
|
|
430,000
|
|
|
|
428,620
|
|
Williams Cos. Inc., Senior Notes
|
|
|
7.875
|
%
|
|
|
9/1/21
|
|
|
|
952,000
|
|
|
|
1,003,900
|
|
Williams Cos. Inc., Senior Notes
|
|
|
4.550
|
%
|
|
|
6/24/24
|
|
|
|
1,130,000
|
|
|
|
1,270,165
|
|
See Notes to Financial
Statements.
|
|
|
12
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Oil, Gas & Consumable Fuels continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Williams Cos. Inc., Senior Notes
|
|
|
7.750
|
%
|
|
|
6/15/31
|
|
|
$
|
62,000
|
|
|
$
|
83,419
|
|
Williams Cos. Inc., Senior Notes
|
|
|
8.750
|
%
|
|
|
3/15/32
|
|
|
|
148,000
|
|
|
|
213,403
|
|
WPX Energy Inc., Senior Notes
|
|
|
4.500
|
%
|
|
|
1/15/30
|
|
|
|
180,000
|
|
|
|
188,244
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,648,768
|
|
Total Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,909,330
|
|
Financials 30.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks 18.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banco Mercantil del Norte SA, Junior Subordinated Notes (7.500% to 6/27/29 then 10 year Treasury Constant Maturity Rate
+ 5.470%)
|
|
|
7.500
|
%
|
|
|
6/27/29
|
|
|
|
200,000
|
|
|
|
216,850
|
(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
|
|
|
|
436,360
|
(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
|
|
|
|
230,052
|
(a)(b)(c)
|
Bank of America Corp., Junior Subordinated Notes (6.100% to 3/17/25 then 3 mo. USD LIBOR + 3.898%)
|
|
|
6.100
|
%
|
|
|
3/17/25
|
|
|
|
590,000
|
|
|
|
655,239
|
(b)(c)
|
Bank of America Corp., Junior Subordinated Notes (6.250% to 9/5/24 then 3 mo. USD LIBOR + 3.705%)
|
|
|
6.250
|
%
|
|
|
9/5/24
|
|
|
|
880,000
|
|
|
|
985,267
|
(b)(c)
|
Bank of America Corp., Junior Subordinated Notes (6.500% to 10/23/24 then 3 mo. USD LIBOR + 4.174%)
|
|
|
6.500
|
%
|
|
|
10/23/24
|
|
|
|
400,000
|
|
|
|
452,000
|
(b)(c)
|
Bank of America Corp., Senior Notes
|
|
|
5.875
|
%
|
|
|
2/7/42
|
|
|
|
1,340,000
|
|
|
|
2,070,487
|
|
Bank of America Corp., Senior Notes (3.458% to 3/15/24 then 3 mo. USD LIBOR + 0.970%)
|
|
|
3.458
|
%
|
|
|
3/15/25
|
|
|
|
110,000
|
|
|
|
119,352
|
(c)
|
Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. USD LIBOR + 3.150%)
|
|
|
4.083
|
%
|
|
|
3/20/51
|
|
|
|
250,000
|
|
|
|
319,811
|
(c)
|
Bank of America Corp., Senior Notes (4.271% to 7/23/28 then 3 mo. USD LIBOR + 1.310%)
|
|
|
4.271
|
%
|
|
|
7/23/29
|
|
|
|
690,000
|
|
|
|
821,471
|
(c)
|
Bank of America Corp., Subordinated Notes
|
|
|
7.750
|
%
|
|
|
5/14/38
|
|
|
|
670,000
|
|
|
|
1,145,870
|
|
Barclays Bank PLC, Subordinated Notes
|
|
|
7.625
|
%
|
|
|
11/21/22
|
|
|
|
430,000
|
|
|
|
475,765
|
|
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
|
|
|
|
1,788,709
|
(b)(c)
|
Barclays PLC, Junior Subordinated Notes (7.750% to 9/15/23 then USD 5 year ICE Swap Rate + 4.842%)
|
|
|
7.750
|
%
|
|
|
9/15/23
|
|
|
|
320,000
|
|
|
|
344,130
|
(b)(c)
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
13
|
Schedule of investments (contd)
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Banks continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%)
|
|
|
5.088
|
%
|
|
|
6/20/30
|
|
|
$
|
500,000
|
|
|
$
|
589,916
|
(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
|
|
|
|
1,760,456
|
(a)(b)(c)
|
BNP Paribas SA, Junior Subordinated Notes (7.625% to 3/30/21 then USD 5 year ICE Swap Rate + 6.314%)
|
|
|
7.625
|
%
|
|
|
3/30/21
|
|
|
|
240,000
|
|
|
|
244,350
|
(a)(b)(c)
|
Citigroup Inc., Junior Subordinated Bonds (6.250% to 8/15/26 then 3 mo. USD LIBOR + 4.517%)
|
|
|
6.250
|
%
|
|
|
8/15/26
|
|
|
|
1,100,000
|
|
|
|
1,262,706
|
(b)(c)
|
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%)
|
|
|
6.300
|
%
|
|
|
5/15/24
|
|
|
|
1,350,000
|
|
|
|
1,437,750
|
(b)(c)
|
Citigroup Inc., Senior Notes
|
|
|
8.125
|
%
|
|
|
7/15/39
|
|
|
|
752,000
|
|
|
|
1,364,473
|
|
Citigroup Inc., Senior Notes
|
|
|
4.650
|
%
|
|
|
7/23/48
|
|
|
|
420,000
|
|
|
|
584,825
|
|
Citigroup Inc., Subordinated Notes
|
|
|
4.600
|
%
|
|
|
3/9/26
|
|
|
|
490,000
|
|
|
|
572,766
|
|
Citigroup Inc., Subordinated Notes
|
|
|
4.125
|
%
|
|
|
7/25/28
|
|
|
|
1,990,000
|
|
|
|
2,323,046
|
|
Citigroup Inc., Subordinated Notes
|
|
|
6.675
|
%
|
|
|
9/13/43
|
|
|
|
630,000
|
|
|
|
1,023,910
|
|
Cooperatieve Rabobank UA, Senior Notes
|
|
|
5.750
|
%
|
|
|
12/1/43
|
|
|
|
250,000
|
|
|
|
377,612
|
|
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
|
|
|
|
1,657,700
|
(a)(b)(c)
|
Danske Bank A/S, Senior Notes
|
|
|
5.000
|
%
|
|
|
1/12/22
|
|
|
|
740,000
|
|
|
|
774,844
|
(a)
|
Danske Bank A/S, Senior Notes
|
|
|
5.375
|
%
|
|
|
1/12/24
|
|
|
|
530,000
|
|
|
|
597,881
|
(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
|
|
|
|
853,284
|
(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
|
|
|
|
514,963
|
(b)(c)
|
HSBC Holdings PLC, Senior Notes
|
|
|
4.950
|
%
|
|
|
3/31/30
|
|
|
|
200,000
|
|
|
|
249,667
|
|
Intesa Sanpaolo SpA, Senior Notes
|
|
|
4.700
|
%
|
|
|
9/23/49
|
|
|
|
200,000
|
|
|
|
252,414
|
(a)
|
JPMorgan Chase & Co., Junior Subordinated Notes (6.000% to 8/1/23 then 3 mo. USD LIBOR +
3.300%)
|
|
|
6.000
|
%
|
|
|
8/1/23
|
|
|
|
700,000
|
|
|
|
736,897
|
(b)(c)
|
JPMorgan Chase & Co., Senior Notes
|
|
|
6.400
|
%
|
|
|
5/15/38
|
|
|
|
1,500,000
|
|
|
|
2,377,604
|
|
JPMorgan Chase & Co., Subordinated Notes
|
|
|
5.625
|
%
|
|
|
8/16/43
|
|
|
|
760,000
|
|
|
|
1,141,693
|
|
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
|
|
|
|
243,559
|
(b)(c)
|
See Notes to Financial
Statements.
|
|
|
14
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
$
|
684,926
|
(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
|
|
|
|
532,416
|
(b)(c)
|
Natwest Group PLC, Junior Subordinated Notes (7.648% to 9/30/31 then 3 mo. USD LIBOR + 2.500%)
|
|
|
7.648
|
%
|
|
|
9/30/31
|
|
|
|
710,000
|
|
|
|
1,080,776
|
(b)(c)
|
Natwest Group PLC, Junior Subordinated Notes (8.625% to 8/15/21 then USD 5 year ICE Swap Rate + 7.598%)
|
|
|
8.625
|
%
|
|
|
8/15/21
|
|
|
|
950,000
|
|
|
|
990,451
|
(b)(c)
|
Natwest Group PLC, Subordinated Notes
|
|
|
6.100
|
%
|
|
|
6/10/23
|
|
|
|
840,000
|
|
|
|
938,474
|
|
Natwest Group PLC, Subordinated Notes (3.754% to 11/1/24 then 5 year Treasury Constant Maturity Rate +
2.100%)
|
|
|
3.754
|
%
|
|
|
11/1/29
|
|
|
|
420,000
|
|
|
|
444,342
|
(c)
|
NatWest Markets NV, Subordinated Notes
|
|
|
7.750
|
%
|
|
|
5/15/23
|
|
|
|
820,000
|
|
|
|
929,303
|
|
PNC Bank NA, Subordinated Notes
|
|
|
4.050
|
%
|
|
|
7/26/28
|
|
|
|
650,000
|
|
|
|
769,145
|
|
UniCredit SpA, Senior Notes
|
|
|
6.572
|
%
|
|
|
1/14/22
|
|
|
|
570,000
|
|
|
|
602,762
|
(a)
|
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%)
|
|
|
7.296
|
%
|
|
|
4/2/34
|
|
|
|
1,610,000
|
|
|
|
1,938,504
|
(a)(c)
|
Wachovia Capital Trust III Ltd., Junior Subordinated Bonds (the greater of 3 mo. USD LIBOR + 0.930% or
5.570%)
|
|
|
5.570
|
%
|
|
|
12/31/20
|
|
|
|
410,000
|
|
|
|
415,687
|
(b)(c)
|
Wells Fargo & Co., Senior Notes (3.196% to 6/17/26 then 3 mo. USD LIBOR + 1.170%)
|
|
|
3.196
|
%
|
|
|
6/17/27
|
|
|
|
720,000
|
|
|
|
795,147
|
(c)
|
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%)
|
|
|
5.013
|
%
|
|
|
4/4/51
|
|
|
|
410,000
|
|
|
|
587,067
|
(c)
|
Wells Fargo & Co., Subordinated Notes
|
|
|
4.400
|
%
|
|
|
6/14/46
|
|
|
|
420,000
|
|
|
|
533,541
|
|
Wells Fargo & Co., Subordinated Notes
|
|
|
4.750
|
%
|
|
|
12/7/46
|
|
|
|
530,000
|
|
|
|
706,400
|
|
Westpac Banking Corp., Subordinated Notes
|
|
|
4.421
|
%
|
|
|
7/24/39
|
|
|
|
170,000
|
|
|
|
221,305
|
|
Westpac Banking Corp., Subordinated Notes (2.668% to 11/15/30 then 5 year Treasury Constant Maturity Rate +
1.750%)
|
|
|
2.668
|
%
|
|
|
11/15/35
|
|
|
|
550,000
|
|
|
|
569,245
|
(c)
|
Total Banks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,743,170
|
|
Capital Markets 5.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Charles Schwab Corp., Senior Notes
|
|
|
3.850
|
%
|
|
|
5/21/25
|
|
|
|
230,000
|
|
|
|
260,806
|
|
CME Group Inc., Senior Notes
|
|
|
5.300
|
%
|
|
|
9/15/43
|
|
|
|
750,000
|
|
|
|
1,131,152
|
|
Credit Suisse Group AG, Junior Subordinated Notes (5.250% to 8/11/27 then 5 year Treasury Constant Maturity Rate +
4.889%)
|
|
|
5.250
|
%
|
|
|
2/11/27
|
|
|
|
1,660,000
|
|
|
|
1,764,580
|
(a)(b)(c)
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
15
|
Schedule of investments (contd)
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Capital Markets continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%)
|
|
|
4.194
|
%
|
|
|
4/1/31
|
|
|
$
|
400,000
|
|
|
$
|
471,581
|
(a)(c)
|
Credit Suisse USA Inc., Senior Notes
|
|
|
7.125
|
%
|
|
|
7/15/32
|
|
|
|
70,000
|
|
|
|
108,774
|
|
Goldman Sachs Group Inc., Senior Notes
|
|
|
6.250
|
%
|
|
|
2/1/41
|
|
|
|
2,550,000
|
|
|
|
4,024,708
|
|
Goldman Sachs Group Inc., Senior Notes (2.908% to 6/5/22 then 3 mo. USD LIBOR + 1.053%)
|
|
|
2.908
|
%
|
|
|
6/5/23
|
|
|
|
1,100,000
|
|
|
|
1,141,053
|
(c)
|
Goldman Sachs Group Inc., Subordinated Notes
|
|
|
5.150
|
%
|
|
|
5/22/45
|
|
|
|
70,000
|
|
|
|
98,532
|
|
KKR Group Finance Co. III LLC, Senior Notes
|
|
|
5.125
|
%
|
|
|
6/1/44
|
|
|
|
1,300,000
|
|
|
|
1,673,326
|
(a)
|
KKR Group Finance Co. VI LLC, Senior Notes
|
|
|
3.750
|
%
|
|
|
7/1/29
|
|
|
|
110,000
|
|
|
|
127,096
|
(a)
|
Morgan Stanley, Senior Notes
|
|
|
6.375
|
%
|
|
|
7/24/42
|
|
|
|
140,000
|
|
|
|
229,479
|
|
Raymond James Financial Inc., Senior Notes
|
|
|
4.650
|
%
|
|
|
4/1/30
|
|
|
|
120,000
|
|
|
|
147,829
|
|
Raymond James Financial Inc., Senior Notes
|
|
|
4.950
|
%
|
|
|
7/15/46
|
|
|
|
150,000
|
|
|
|
206,750
|
|
UBS AG Stamford, CT, Subordinated Notes
|
|
|
7.625
|
%
|
|
|
8/17/22
|
|
|
|
330,000
|
|
|
|
367,482
|
|
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
|
|
|
|
1,009,189
|
(a)(b)(c)
|
Total Capital Markets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,762,337
|
|
Consumer Finance 0.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Navient Corp., Senior Notes
|
|
|
7.250
|
%
|
|
|
1/25/22
|
|
|
|
1,430,000
|
|
|
|
1,507,756
|
|
Navient Corp., Senior Notes
|
|
|
6.125
|
%
|
|
|
3/25/24
|
|
|
|
480,000
|
|
|
|
509,004
|
|
Total Consumer Finance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,016,760
|
|
Diversified Financial Services 1.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes
|
|
|
4.500
|
%
|
|
|
9/15/23
|
|
|
|
530,000
|
|
|
|
567,867
|
|
Carlyle Finance LLC, Senior Notes
|
|
|
5.650
|
%
|
|
|
9/15/48
|
|
|
|
170,000
|
|
|
|
224,968
|
(a)
|
Carlyle Finance Subsidiary LLC, Senior Notes
|
|
|
3.500
|
%
|
|
|
9/19/29
|
|
|
|
230,000
|
|
|
|
254,526
|
(a)
|
Carlyle Holdings II Finance LLC, Senior Notes
|
|
|
5.625
|
%
|
|
|
3/30/43
|
|
|
|
360,000
|
|
|
|
461,765
|
(a)
|
DAE Funding LLC, Senior Notes
|
|
|
5.000
|
%
|
|
|
8/1/24
|
|
|
|
240,000
|
|
|
|
247,050
|
(a)
|
Finance of America Funding LLC, Senior Notes
|
|
|
7.875
|
%
|
|
|
11/15/25
|
|
|
|
360,000
|
|
|
|
358,063
|
(a)
|
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK)
|
|
|
6.500
|
%
|
|
|
9/15/24
|
|
|
|
414,500
|
|
|
|
369,983
|
(a)(d)
|
ILFC E-Capital Trust I Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury
Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.550%)
|
|
|
2.980
|
%
|
|
|
12/21/65
|
|
|
|
800,000
|
|
|
|
482,000
|
(a)(c)
|
International Lease Finance Corp., Senior Notes
|
|
|
8.250
|
%
|
|
|
12/15/20
|
|
|
|
330,000
|
|
|
|
330,849
|
|
Total Diversified Financial Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,297,071
|
|
See Notes to Financial
Statements.
|
|
|
16
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Insurance 4.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
|
$
|
202,540
|
(a)(b)(c)
|
American International Group Inc., Senior Notes
|
|
|
6.400
|
%
|
|
|
12/15/20
|
|
|
|
1,000,000
|
|
|
|
1,002,201
|
|
American International Group Inc., Senior Notes
|
|
|
4.750
|
%
|
|
|
4/1/48
|
|
|
|
80,000
|
|
|
|
108,412
|
|
Everest Reinsurance Holdings Inc., Senior Notes
|
|
|
3.500
|
%
|
|
|
10/15/50
|
|
|
|
220,000
|
|
|
|
254,702
|
|
Fidelity & Guaranty Life Holdings Inc., Senior Notes
|
|
|
5.500
|
%
|
|
|
5/1/25
|
|
|
|
360,000
|
|
|
|
417,010
|
(a)
|
Liberty Mutual Insurance Co., Subordinated Notes
|
|
|
7.875
|
%
|
|
|
10/15/26
|
|
|
|
840,000
|
|
|
|
1,093,875
|
(a)
|
Massachusetts Mutual Life Insurance Co., Subordinated Notes
|
|
|
3.375
|
%
|
|
|
4/15/50
|
|
|
|
130,000
|
|
|
|
141,098
|
(a)
|
Massachusetts Mutual Life Insurance Co., Subordinated Notes
|
|
|
4.900
|
%
|
|
|
4/1/77
|
|
|
|
420,000
|
|
|
|
575,436
|
(a)
|
MetLife Inc., Junior Subordinated Notes (6.400% to 12/15/36 then 3 mo. USD LIBOR + 2.205%)
|
|
|
6.400
|
%
|
|
|
12/15/36
|
|
|
|
1,000,000
|
|
|
|
1,280,394
|
|
Nationwide Mutual Insurance Co., Subordinated Notes
|
|
|
9.375
|
%
|
|
|
8/15/39
|
|
|
|
520,000
|
|
|
|
915,998
|
(a)
|
New York Life Insurance Co., Subordinated Notes
|
|
|
4.450
|
%
|
|
|
5/15/69
|
|
|
|
140,000
|
|
|
|
190,120
|
(a)
|
Nippon Life Insurance Co., Subordinated Notes (3.400% to 1/23/30 then 5 year Treasury Constant Maturity Rate +
2.612%)
|
|
|
3.400
|
%
|
|
|
1/23/50
|
|
|
|
200,000
|
|
|
|
216,512
|
(a)(c)
|
Northwestern Mutual Life Insurance Co., Subordinated Notes
|
|
|
3.625
|
%
|
|
|
9/30/59
|
|
|
|
180,000
|
|
|
|
207,890
|
(a)
|
Teachers Insurance & Annuity Association of America, Subordinated Notes
|
|
|
6.850
|
%
|
|
|
12/16/39
|
|
|
|
1,050,000
|
|
|
|
1,625,865
|
(a)
|
Teachers Insurance & Annuity Association of America, Subordinated Notes
|
|
|
4.900
|
%
|
|
|
9/15/44
|
|
|
|
660,000
|
|
|
|
887,412
|
(a)
|
Teachers Insurance & Annuity Association of America, Subordinated Notes
|
|
|
3.300
|
%
|
|
|
5/15/50
|
|
|
|
330,000
|
|
|
|
361,143
|
(a)
|
Travelers Cos. Inc., Senior Notes
|
|
|
6.250
|
%
|
|
|
6/15/37
|
|
|
|
400,000
|
|
|
|
617,955
|
|
Total Insurance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,098,563
|
|
Total Financials
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
71,917,901
|
|
Health Care 12.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 1.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AbbVie Inc., Senior Notes
|
|
|
3.200
|
%
|
|
|
11/21/29
|
|
|
|
990,000
|
|
|
|
1,123,734
|
|
AbbVie Inc., Senior Notes
|
|
|
4.550
|
%
|
|
|
3/15/35
|
|
|
|
200,000
|
|
|
|
254,156
|
|
AbbVie Inc., Senior Notes
|
|
|
4.050
|
%
|
|
|
11/21/39
|
|
|
|
1,160,000
|
|
|
|
1,413,369
|
|
Gilead Sciences Inc., Senior Notes
|
|
|
5.650
|
%
|
|
|
12/1/41
|
|
|
|
100,000
|
|
|
|
144,382
|
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
17
|
Schedule of investments (contd)
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Biotechnology continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gilead Sciences Inc., Senior Notes
|
|
|
4.500
|
%
|
|
|
2/1/45
|
|
|
$
|
500,000
|
|
|
$
|
640,149
|
|
Gilead Sciences Inc., Senior Notes
|
|
|
4.750
|
%
|
|
|
3/1/46
|
|
|
|
100,000
|
|
|
|
132,146
|
|
Total Biotechnology
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,707,936
|
|
Health Care Equipment & Supplies 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbott Laboratories, Senior Notes
|
|
|
4.900
|
%
|
|
|
11/30/46
|
|
|
|
200,000
|
|
|
|
299,366
|
|
Becton Dickinson and Co., Senior Notes
|
|
|
4.685
|
%
|
|
|
12/15/44
|
|
|
|
910,000
|
|
|
|
1,181,254
|
|
Becton Dickinson and Co., Senior Notes
|
|
|
4.669
|
%
|
|
|
6/6/47
|
|
|
|
450,000
|
|
|
|
592,392
|
|
Total Health Care Equipment & Supplies
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,073,012
|
|
Health Care Providers & Services 7.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anthem Inc., Senior Notes
|
|
|
4.375
|
%
|
|
|
12/1/47
|
|
|
|
230,000
|
|
|
|
301,690
|
|
Centene Corp., Senior Notes
|
|
|
4.750
|
%
|
|
|
1/15/25
|
|
|
|
370,000
|
|
|
|
381,833
|
|
Centene Corp., Senior Notes
|
|
|
4.250
|
%
|
|
|
12/15/27
|
|
|
|
160,000
|
|
|
|
169,462
|
|
Centene Corp., Senior Notes
|
|
|
4.625
|
%
|
|
|
12/15/29
|
|
|
|
560,000
|
|
|
|
614,625
|
|
Centene Corp., Senior Notes
|
|
|
3.375
|
%
|
|
|
2/15/30
|
|
|
|
790,000
|
|
|
|
829,251
|
|
Centene Corp., Senior Notes
|
|
|
3.000
|
%
|
|
|
10/15/30
|
|
|
|
160,000
|
|
|
|
168,600
|
|
Cigna Corp., Senior Notes
|
|
|
4.125
|
%
|
|
|
11/15/25
|
|
|
|
540,000
|
|
|
|
621,657
|
|
Cigna Corp., Senior Notes
|
|
|
4.800
|
%
|
|
|
8/15/38
|
|
|
|
540,000
|
|
|
|
705,027
|
|
Cigna Corp., Senior Notes
|
|
|
3.200
|
%
|
|
|
3/15/40
|
|
|
|
220,000
|
|
|
|
244,790
|
|
CommonSpirit Health, Secured Notes
|
|
|
4.350
|
%
|
|
|
11/1/42
|
|
|
|
60,000
|
|
|
|
69,814
|
|
CVS Health Corp., Senior Notes
|
|
|
4.100
|
%
|
|
|
3/25/25
|
|
|
|
1,460,000
|
|
|
|
1,654,702
|
|
CVS Health Corp., Senior Notes
|
|
|
4.300
|
%
|
|
|
3/25/28
|
|
|
|
1,610,000
|
|
|
|
1,892,956
|
|
CVS Health Corp., Senior Notes
|
|
|
4.780
|
%
|
|
|
3/25/38
|
|
|
|
2,060,000
|
|
|
|
2,616,941
|
|
CVS Health Corp., Senior Notes
|
|
|
5.125
|
%
|
|
|
7/20/45
|
|
|
|
540,000
|
|
|
|
728,312
|
|
CVS Health Corp., Senior Notes
|
|
|
5.050
|
%
|
|
|
3/25/48
|
|
|
|
930,000
|
|
|
|
1,256,577
|
|
Dartmouth-Hitchcock Health, Secured Bonds
|
|
|
4.178
|
%
|
|
|
8/1/48
|
|
|
|
150,000
|
|
|
|
176,229
|
|
DH Europe Finance II Sarl, Senior Notes
|
|
|
3.250
|
%
|
|
|
11/15/39
|
|
|
|
70,000
|
|
|
|
81,254
|
|
DH Europe Finance II Sarl, Senior Notes
|
|
|
3.400
|
%
|
|
|
11/15/49
|
|
|
|
10,000
|
|
|
|
12,014
|
|
HCA Inc., Senior Secured Notes
|
|
|
4.125
|
%
|
|
|
6/15/29
|
|
|
|
340,000
|
|
|
|
393,592
|
|
HCA Inc., Senior Secured Notes
|
|
|
5.125
|
%
|
|
|
6/15/39
|
|
|
|
170,000
|
|
|
|
219,146
|
|
HCA Inc., Senior Secured Notes
|
|
|
5.500
|
%
|
|
|
6/15/47
|
|
|
|
350,000
|
|
|
|
465,506
|
|
HCA Inc., Senior Secured Notes
|
|
|
5.250
|
%
|
|
|
6/15/49
|
|
|
|
530,000
|
|
|
|
703,159
|
|
Humana Inc., Senior Notes
|
|
|
4.800
|
%
|
|
|
3/15/47
|
|
|
|
360,000
|
|
|
|
488,654
|
|
Magellan Health Inc., Senior Notes
|
|
|
4.900
|
%
|
|
|
9/22/24
|
|
|
|
1,070,000
|
|
|
|
1,127,400
|
|
Orlando Health Obligated Group, Senior Notes
|
|
|
4.089
|
%
|
|
|
10/1/48
|
|
|
|
270,000
|
|
|
|
320,416
|
|
UnitedHealth Group Inc., Senior Notes
|
|
|
3.700
|
%
|
|
|
12/15/25
|
|
|
|
250,000
|
|
|
|
286,416
|
|
UnitedHealth Group Inc., Senior Notes
|
|
|
3.850
|
%
|
|
|
6/15/28
|
|
|
|
540,000
|
|
|
|
643,646
|
|
UnitedHealth Group Inc., Senior Notes
|
|
|
3.500
|
%
|
|
|
8/15/39
|
|
|
|
220,000
|
|
|
|
261,966
|
|
UnitedHealth Group Inc., Senior Notes
|
|
|
4.750
|
%
|
|
|
7/15/45
|
|
|
|
220,000
|
|
|
|
315,507
|
|
Total Health Care Providers & Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,751,142
|
|
See Notes to Financial
Statements.
|
|
|
18
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Pharmaceuticals 2.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bausch Health Cos. Inc., Senior Notes
|
|
|
5.000
|
%
|
|
|
1/30/28
|
|
|
$
|
130,000
|
|
|
$
|
130,123
|
(a)
|
Bausch Health Cos. Inc., Senior Notes
|
|
|
5.250
|
%
|
|
|
1/30/30
|
|
|
|
130,000
|
|
|
|
132,941
|
(a)
|
Bristol-Myers Squibb Co., Senior Notes
|
|
|
3.400
|
%
|
|
|
7/26/29
|
|
|
|
1,530,000
|
|
|
|
1,789,466
|
|
Bristol-Myers Squibb Co., Senior Notes
|
|
|
5.000
|
%
|
|
|
8/15/45
|
|
|
|
400,000
|
|
|
|
581,490
|
|
Pfizer Inc., Senior Notes
|
|
|
7.200
|
%
|
|
|
3/15/39
|
|
|
|
560,000
|
|
|
|
964,034
|
|
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
|
|
|
7.125
|
%
|
|
|
1/31/25
|
|
|
|
200,000
|
|
|
|
218,948
|
|
Wyeth LLC, Senior Notes
|
|
|
5.950
|
%
|
|
|
4/1/37
|
|
|
|
1,100,000
|
|
|
|
1,659,957
|
|
Zoetis Inc., Senior Notes
|
|
|
4.700
|
%
|
|
|
2/1/43
|
|
|
|
40,000
|
|
|
|
54,797
|
|
Total Pharmaceuticals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,531,756
|
|
Total Health Care
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,063,846
|
|
Industrials 9.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense 4.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Avolon Holdings Funding Ltd., Senior Notes
|
|
|
5.125
|
%
|
|
|
10/1/23
|
|
|
|
820,000
|
|
|
|
863,799
|
(a)
|
Avolon Holdings Funding Ltd., Senior Notes
|
|
|
4.250
|
%
|
|
|
4/15/26
|
|
|
|
640,000
|
|
|
|
665,866
|
(a)
|
Boeing Co., Senior Notes
|
|
|
2.800
|
%
|
|
|
3/1/24
|
|
|
|
500,000
|
|
|
|
518,129
|
|
Boeing Co., Senior Notes
|
|
|
3.100
|
%
|
|
|
5/1/26
|
|
|
|
2,190,000
|
|
|
|
2,278,616
|
|
Boeing Co., Senior Notes
|
|
|
3.250
|
%
|
|
|
2/1/28
|
|
|
|
580,000
|
|
|
|
607,122
|
|
Boeing Co., Senior Notes
|
|
|
5.705
|
%
|
|
|
5/1/40
|
|
|
|
330,000
|
|
|
|
418,530
|
|
Boeing Co., Senior Notes
|
|
|
5.805
|
%
|
|
|
5/1/50
|
|
|
|
220,000
|
|
|
|
291,642
|
|
Hexcel Corp., Senior Notes
|
|
|
3.950
|
%
|
|
|
2/15/27
|
|
|
|
1,000,000
|
|
|
|
1,065,970
|
|
Huntington Ingalls Industries Inc., Senior Notes
|
|
|
3.483
|
%
|
|
|
12/1/27
|
|
|
|
320,000
|
|
|
|
358,514
|
|
Lockheed Martin Corp., Senior Notes
|
|
|
4.500
|
%
|
|
|
5/15/36
|
|
|
|
50,000
|
|
|
|
66,112
|
|
Lockheed Martin Corp., Senior Notes
|
|
|
4.700
|
%
|
|
|
5/15/46
|
|
|
|
200,000
|
|
|
|
284,092
|
|
Northrop Grumman Systems Corp., Senior Notes
|
|
|
7.875
|
%
|
|
|
3/1/26
|
|
|
|
1,390,000
|
|
|
|
1,828,096
|
|
United Technologies Corp., Senior Notes
|
|
|
4.625
|
%
|
|
|
11/16/48
|
|
|
|
180,000
|
|
|
|
249,968
|
|
Total Aerospace & Defense
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,496,456
|
|
Air Freight & Logistics 0.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Parcel Service Inc., Senior Notes
|
|
|
6.200
|
%
|
|
|
1/15/38
|
|
|
|
700,000
|
|
|
|
1,101,197
|
|
Airlines 1.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delta Air Lines Inc., Senior Notes
|
|
|
2.900
|
%
|
|
|
10/28/24
|
|
|
|
840,000
|
|
|
|
803,438
|
|
Delta Air Lines Inc., Senior Notes
|
|
|
3.750
|
%
|
|
|
10/28/29
|
|
|
|
230,000
|
|
|
|
215,464
|
|
Delta Air Lines Inc., Senior Secured Notes
|
|
|
7.000
|
%
|
|
|
5/1/25
|
|
|
|
420,000
|
|
|
|
480,290
|
(a)
|
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes
|
|
|
4.500
|
%
|
|
|
10/20/25
|
|
|
|
290,000
|
|
|
|
306,384
|
(a)
|
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes
|
|
|
4.750
|
%
|
|
|
10/20/28
|
|
|
|
210,000
|
|
|
|
226,272
|
(a)
|
Delta Air Lines Pass-Through Certificates Trust
|
|
|
8.021
|
%
|
|
|
8/10/22
|
|
|
|
55,462
|
|
|
|
53,320
|
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
19
|
Schedule of investments (contd)
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Airlines continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Southwest Airlines Co., Senior Notes
|
|
|
4.750
|
%
|
|
|
5/4/23
|
|
|
$
|
810,000
|
|
|
$
|
878,995
|
|
Southwest Airlines Co., Senior Notes
|
|
|
5.125
|
%
|
|
|
6/15/27
|
|
|
|
290,000
|
|
|
|
337,949
|
|
Total Airlines
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,302,112
|
|
Building Products 0.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Carrier Global Corp., Senior Notes
|
|
|
2.722
|
%
|
|
|
2/15/30
|
|
|
|
570,000
|
|
|
|
608,223
|
(a)
|
Carrier Global Corp., Senior Notes
|
|
|
3.377
|
%
|
|
|
4/5/40
|
|
|
|
270,000
|
|
|
|
298,263
|
(a)
|
Carrier Global Corp., Senior Notes
|
|
|
3.577
|
%
|
|
|
4/5/50
|
|
|
|
320,000
|
|
|
|
362,803
|
(a)
|
Total Building Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,269,289
|
|
Commercial Services & Supplies 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California Institute of Technology, Senior Notes
|
|
|
3.650
|
%
|
|
|
9/1/2119
|
|
|
|
180,000
|
|
|
|
194,820
|
|
Waste Connections Inc., Senior Notes
|
|
|
4.250
|
%
|
|
|
12/1/28
|
|
|
|
750,000
|
|
|
|
893,351
|
|
Total Commercial Services & Supplies
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,088,171
|
|
Industrial Conglomerates 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Electric Co., Senior Notes
|
|
|
6.750
|
%
|
|
|
3/15/32
|
|
|
|
330,000
|
|
|
|
450,881
|
|
General Electric Co., Senior Notes
|
|
|
6.875
|
%
|
|
|
1/10/39
|
|
|
|
1,098,000
|
|
|
|
1,554,449
|
|
General Electric Co., Senior Notes
|
|
|
4.250
|
%
|
|
|
5/1/40
|
|
|
|
110,000
|
|
|
|
125,368
|
|
Total Industrial Conglomerates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,130,698
|
|
Machinery 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Caterpillar Inc., Senior Notes
|
|
|
4.750
|
%
|
|
|
5/15/64
|
|
|
|
360,000
|
|
|
|
544,778
|
|
Otis Worldwide Corp., Senior Notes
|
|
|
3.112
|
%
|
|
|
2/15/40
|
|
|
|
50,000
|
|
|
|
54,979
|
|
Total Machinery
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
599,757
|
|
Road & Rail 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Union Pacific Corp., Senior Notes
|
|
|
4.375
|
%
|
|
|
11/15/65
|
|
|
|
530,000
|
|
|
|
690,554
|
|
Union Pacific Corp., Senior Notes
|
|
|
3.750
|
%
|
|
|
2/5/70
|
|
|
|
30,000
|
|
|
|
35,975
|
|
Total Road & Rail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
726,529
|
|
Trading Companies & Distributors 1.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aircastle Ltd., Senior Notes
|
|
|
5.250
|
%
|
|
|
8/11/25
|
|
|
|
1,000,000
|
|
|
|
1,057,308
|
(a)
|
Aviation Capital Group LLC, Senior Notes
|
|
|
5.500
|
%
|
|
|
12/15/24
|
|
|
|
250,000
|
|
|
|
267,921
|
(a)
|
Aviation Capital Group LLC, Senior Notes
|
|
|
4.125
|
%
|
|
|
8/1/25
|
|
|
|
340,000
|
|
|
|
340,346
|
(a)
|
BOC Aviation Ltd., Senior Notes
|
|
|
2.625
|
%
|
|
|
9/17/30
|
|
|
|
960,000
|
|
|
|
952,744
|
(a)
|
Total Trading Companies & Distributors
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,618,319
|
|
Total Industrials
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,332,528
|
|
Information Technology 2.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
L3Harris Technologies Inc., Senior Notes
|
|
|
4.854
|
%
|
|
|
4/27/35
|
|
|
|
430,000
|
|
|
|
569,196
|
|
L3Harris Technologies Inc., Senior Notes
|
|
|
5.054
|
%
|
|
|
4/27/45
|
|
|
|
340,000
|
|
|
|
472,357
|
|
Total Communications Equipment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,041,553
|
|
See Notes to Financial
Statements.
|
|
|
20
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
IT Services 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
International Business Machines Corp., Senior Notes
|
|
|
3.500
|
%
|
|
|
5/15/29
|
|
|
$
|
200,000
|
|
|
$
|
231,589
|
|
S&P Global Inc., Senior Notes
|
|
|
3.250
|
%
|
|
|
12/1/49
|
|
|
|
110,000
|
|
|
|
127,796
|
|
S&P Global Inc., Senior Notes
|
|
|
2.300
|
%
|
|
|
8/15/60
|
|
|
|
80,000
|
|
|
|
76,623
|
|
Total IT Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
436,008
|
|
Semiconductors & Semiconductor Equipment
1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcom Inc., Senior Notes
|
|
|
4.150
|
%
|
|
|
11/15/30
|
|
|
|
440,000
|
|
|
|
512,038
|
|
Broadcom Inc., Senior Notes
|
|
|
4.300
|
%
|
|
|
11/15/32
|
|
|
|
580,000
|
|
|
|
694,925
|
|
Intel Corp., Senior Notes
|
|
|
4.900
|
%
|
|
|
7/29/45
|
|
|
|
220,000
|
|
|
|
311,338
|
|
Intel Corp., Senior Notes
|
|
|
4.750
|
%
|
|
|
3/25/50
|
|
|
|
20,000
|
|
|
|
28,394
|
|
Intel Corp., Senior Notes
|
|
|
4.950
|
%
|
|
|
3/25/60
|
|
|
|
100,000
|
|
|
|
152,460
|
|
NVIDIA Corp., Senior Notes
|
|
|
3.500
|
%
|
|
|
4/1/40
|
|
|
|
100,000
|
|
|
|
121,709
|
|
NVIDIA Corp., Senior Notes
|
|
|
3.500
|
%
|
|
|
4/1/50
|
|
|
|
300,000
|
|
|
|
367,091
|
|
NVIDIA Corp., Senior Notes
|
|
|
3.700
|
%
|
|
|
4/1/60
|
|
|
|
120,000
|
|
|
|
155,387
|
|
QUALCOMM Inc., Senior Notes
|
|
|
4.300
|
%
|
|
|
5/20/47
|
|
|
|
70,000
|
|
|
|
94,708
|
|
Texas Instruments Inc., Senior Notes
|
|
|
3.875
|
%
|
|
|
3/15/39
|
|
|
|
430,000
|
|
|
|
544,738
|
|
Total Semiconductors & Semiconductor
Equipment
|
|
|
|
|
|
|
|
|
|
|
|
2,982,788
|
|
Software 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Microsoft Corp., Senior Notes
|
|
|
4.250
|
%
|
|
|
2/6/47
|
|
|
|
1,520,000
|
|
|
|
2,131,228
|
|
Total Information Technology
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,591,577
|
|
Materials 1.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ecolab Inc., Senior Notes
|
|
|
4.800
|
%
|
|
|
3/24/30
|
|
|
|
130,000
|
|
|
|
166,501
|
|
Metals & Mining 1.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ArcelorMittal SA, Senior Notes
|
|
|
4.550
|
%
|
|
|
3/11/26
|
|
|
|
330,000
|
|
|
|
362,125
|
|
Barrick Gold Corp., Senior Notes
|
|
|
5.250
|
%
|
|
|
4/1/42
|
|
|
|
350,000
|
|
|
|
486,466
|
|
BHP Billiton Finance USA Ltd., Senior Notes (6.750% to 10/19/25, then USD 5 year ICE Swap Rate + 5.093% to 10/19/45,
then USD 5 year ICE Swap Rate + 5.843%)
|
|
|
6.750
|
%
|
|
|
10/19/75
|
|
|
|
780,000
|
|
|
|
917,861
|
(a)(c)
|
First Quantum Minerals Ltd., Senior Notes
|
|
|
7.250
|
%
|
|
|
4/1/23
|
|
|
|
600,000
|
|
|
|
614,085
|
(a)
|
First Quantum Minerals Ltd., Senior Notes
|
|
|
6.875
|
%
|
|
|
10/15/27
|
|
|
|
400,000
|
|
|
|
419,300
|
(a)
|
Glencore Funding LLC, Senior Notes
|
|
|
4.125
|
%
|
|
|
3/12/24
|
|
|
|
300,000
|
|
|
|
327,224
|
(a)
|
Glencore Funding LLC, Senior Notes
|
|
|
4.000
|
%
|
|
|
3/27/27
|
|
|
|
590,000
|
|
|
|
661,949
|
(a)
|
Yamana Gold Inc., Senior Notes
|
|
|
4.625
|
%
|
|
|
12/15/27
|
|
|
|
550,000
|
|
|
|
600,879
|
|
Total Metals & Mining
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,389,889
|
|
Total Materials
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,556,390
|
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
21
|
Schedule of investments (contd)
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Real Estate 2.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Real Estate Investment Trusts (REITs)
1.8%
|
|
|
|
|
|
|
|
|
|
Diversified Healthcare Trust, Senior Notes
|
|
|
4.750
|
%
|
|
|
5/1/24
|
|
|
$
|
190,000
|
|
|
$
|
189,050
|
|
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes
|
|
|
5.000
|
%
|
|
|
10/15/27
|
|
|
|
400,000
|
|
|
|
424,234
|
|
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes
|
|
|
4.625
|
%
|
|
|
8/1/29
|
|
|
|
270,000
|
|
|
|
288,371
|
|
Ventas Realty LP, Senior Notes
|
|
|
4.400
|
%
|
|
|
1/15/29
|
|
|
|
540,000
|
|
|
|
629,430
|
|
Vornado Realty LP, Senior Notes
|
|
|
3.500
|
%
|
|
|
1/15/25
|
|
|
|
1,000,000
|
|
|
|
1,051,037
|
|
Welltower Inc., Senior Notes
|
|
|
3.950
|
%
|
|
|
9/1/23
|
|
|
|
1,050,000
|
|
|
|
1,142,645
|
|
Welltower Inc., Senior Notes
|
|
|
4.125
|
%
|
|
|
3/15/29
|
|
|
|
510,000
|
|
|
|
587,590
|
|
Total Equity Real Estate Investment Trusts
(REITs)
|
|
|
|
|
|
|
|
4,312,357
|
|
Real Estate Management & Development
0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security Capital Group Inc., Senior Notes
|
|
|
7.700
|
%
|
|
|
6/15/28
|
|
|
|
460,000
|
|
|
|
599,242
|
|
Total Real Estate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,911,599
|
|
Utilities 4.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 4.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Berkshire Hathaway Energy Co., Senior Notes
|
|
|
6.125
|
%
|
|
|
4/1/36
|
|
|
|
1,000,000
|
|
|
|
1,499,963
|
|
CenterPoint Energy Houston Electric LLC, Senior Secured Bonds
|
|
|
4.500
|
%
|
|
|
4/1/44
|
|
|
|
530,000
|
|
|
|
704,437
|
|
Commonwealth Edison Co., First Mortgage Bonds
|
|
|
6.450
|
%
|
|
|
1/15/38
|
|
|
|
600,000
|
|
|
|
935,561
|
|
Exelon Corp., Senior Notes
|
|
|
4.050
|
%
|
|
|
4/15/30
|
|
|
|
190,000
|
|
|
|
225,823
|
|
FirstEnergy Corp., Senior Notes
|
|
|
3.900
|
%
|
|
|
7/15/27
|
|
|
|
480,000
|
|
|
|
531,011
|
|
FirstEnergy Corp., Senior Notes
|
|
|
7.375
|
%
|
|
|
11/15/31
|
|
|
|
3,040,000
|
|
|
|
4,183,188
|
|
Jersey Central Power & Light Co., Senior Notes
|
|
|
4.300
|
%
|
|
|
1/15/26
|
|
|
|
170,000
|
|
|
|
189,619
|
(a)
|
MidAmerican Energy Co., First Mortgage Bonds
|
|
|
3.650
|
%
|
|
|
4/15/29
|
|
|
|
240,000
|
|
|
|
287,540
|
|
Pacific Gas and Electric Co., Secured Bonds
|
|
|
4.250
|
%
|
|
|
8/1/23
|
|
|
|
260,000
|
|
|
|
277,926
|
|
Pacific Gas and Electric Co., Secured Bonds
|
|
|
2.500
|
%
|
|
|
2/1/31
|
|
|
|
130,000
|
|
|
|
131,046
|
|
Pacific Gas and Electric Co., Secured Bonds
|
|
|
3.300
|
%
|
|
|
8/1/40
|
|
|
|
30,000
|
|
|
|
30,259
|
|
Southern California Edison Co., First Mortgage Bonds
|
|
|
4.125
|
%
|
|
|
3/1/48
|
|
|
|
480,000
|
|
|
|
588,176
|
|
Virginia Electric & Power Co., Senior Notes
|
|
|
8.875
|
%
|
|
|
11/15/38
|
|
|
|
500,000
|
|
|
|
925,010
|
|
Total Utilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,509,559
|
|
Total Corporate Bonds & Notes (Cost $191,746,342)
|
|
|
|
|
|
|
|
230,626,186
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
Preferred Stocks 1.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials 1.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GMAC Capital Trust I (3 mo. USD LIBOR + 5.785%)
|
|
|
6.007
|
%
|
|
|
|
|
|
|
85,800
|
|
|
|
2,229,942
|
(c)
|
See Notes to Financial
Statements.
|
|
|
22
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
Insurance 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delphi Financial Group Inc. (3 mo. USD LIBOR + 3.190%)
|
|
|
3.411
|
%
|
|
|
|
|
|
|
9,325
|
|
|
$
|
186,500
|
(c)
|
Total Preferred Stocks (Cost $2,309,699)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,416,442
|
|
|
|
|
|
|
|
|
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
|
|
Sovereign Bonds 0.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentina 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentine Republic Government International
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bond, Senior Notes
|
|
|
1.000
|
%
|
|
|
7/9/29
|
|
|
$
|
11,447
|
|
|
|
4,888
|
|
Argentine Republic Government International
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bond, Senior Notes
|
|
|
0.125
|
%
|
|
|
7/9/35
|
|
|
|
182,200
|
|
|
|
64,317
|
|
Provincia de Buenos Aires, Senior Notes
|
|
|
9.125
|
%
|
|
|
3/16/24
|
|
|
|
1,930,000
|
|
|
|
728,594
|
*(a)(e)
|
Total Argentina
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
797,799
|
|
Ghana 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ghana Government International Bond, Senior Notes
|
|
|
8.950
|
%
|
|
|
3/26/51
|
|
|
|
300,000
|
|
|
|
299,303
|
(a)
|
Qatar 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qatar Government International Bond, Senior Notes
|
|
|
4.817
|
%
|
|
|
3/14/49
|
|
|
|
410,000
|
|
|
|
568,904
|
(a)
|
Total Sovereign Bonds (Cost $2,808,990)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,666,006
|
|
Municipal Bonds 0.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Morongo Band of Mission Indians, CA, Revenue, Tribal Economic
Development, Series A
|
|
|
7.000
|
%
|
|
|
10/1/39
|
|
|
|
500,000
|
|
|
|
583,005
|
(a)
|
Florida 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sumter Landing, FL, Community Development District Recreational Revenue, Taxable Community Development
District
|
|
|
4.172
|
%
|
|
|
10/1/47
|
|
|
|
260,000
|
|
|
|
290,615
|
|
Illinois 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Illinois State, GO, Taxable, Build America Bonds, Series 2010-3
|
|
|
6.725
|
%
|
|
|
4/1/35
|
|
|
|
530,000
|
|
|
|
581,898
|
|
Total Municipal Bonds (Cost $1,352,904)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,455,518
|
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
23
|
Schedule of investments (contd)
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Rate
|
|
|
Maturity
Date
|
|
|
Face
Amount
|
|
|
Value
|
|
Senior Loans 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 4.750%)
|
|
|
5.750
|
%
|
|
|
4/29/23
|
|
|
$
|
199,500
|
|
|
$
|
201,744
|
(c)(f)(g)
|
Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 3.750%)
|
|
|
4.750
|
%
|
|
|
10/20/27
|
|
|
|
280,000
|
|
|
|
286,913
|
(c)(f)(g)
|
Total Senior Loans (Cost $471,723)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
488,657
|
|
Total Investments before Short-Term Investments (Cost
$198,689,658)
|
|
|
|
|
|
|
|
236,652,809
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
Short-Term Investments 0.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dreyfus Government Cash Management, Institutional Shares (Cost $781,596)
|
|
|
0.010
|
%
|
|
|
|
|
|
|
781,596
|
|
|
|
781,596
|
|
Total Investments 99.2% (Cost $199,471,254)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
237,434,405
|
|
Other Assets in Excess of Liabilities 0.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,027,654
|
|
Total Net Assets 100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
239,462,059
|
|
*
|
Non-income producing security.
|
(a)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.
|
(b)
|
Security has no maturity date. The date shown represents the next call date.
|
(c)
|
Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
|
(d)
|
Payment-in-kind security for which the issuer has the option at each interest
payment date of making interest payments in cash or additional securities.
|
(e)
|
The coupon payment on this security is currently in default as of November 30, 2020.
|
(f)
|
Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.
|
(g)
|
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.
|
See Notes to Financial Statements.
|
|
|
24
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
Abbreviation(s) used in this
schedule:
|
|
|
GO
|
|
General Obligation
|
|
|
GTD
|
|
Guaranteed
|
|
|
ICE
|
|
Intercontinental Exchange
|
|
|
JSC
|
|
Joint Stock Company
|
|
|
LIBOR
|
|
London Interbank Offered Rate
|
|
|
PIK
|
|
Payment-In-Kind
|
|
|
SOFR
|
|
Secured Overnight Financing Rate
|
|
|
USD
|
|
United States Dollar
|
At November 30, 2020, 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
|
|
|
60
|
|
|
|
3/21
|
|
|
$
|
13,244,385
|
|
|
$
|
13,251,094
|
|
|
$
|
6,709
|
|
U.S. Treasury 10-Year Notes
|
|
|
65
|
|
|
|
3/21
|
|
|
|
8,962,175
|
|
|
|
8,981,172
|
|
|
|
18,997
|
|
U.S. Treasury Ultra Long- Term Bonds
|
|
|
17
|
|
|
|
3/21
|
|
|
|
3,657,459
|
|
|
|
3,672,531
|
|
|
|
15,072
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,778
|
|
|
|
|
|
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 5-Year Notes
|
|
|
3
|
|
|
|
3/21
|
|
|
|
377,596
|
|
|
|
378,093
|
|
|
|
(497)
|
|
U.S. Treasury Long-Term Bonds
|
|
|
97
|
|
|
|
3/21
|
|
|
|
16,950,801
|
|
|
|
16,965,906
|
|
|
|
(15,105)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(15,602)
|
|
Net unrealized appreciation on open futures contracts
|
|
|
|
|
|
|
$
|
25,176
|
|
At November 30, 2020, the Fund had the following open swap contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES SELL PROTECTION1
|
|
Reference Entity
|
|
Notional
Amount2
|
|
|
Termination
Date
|
|
|
Periodic
Payments
Received by
the Fund
|
|
Market
Value3
|
|
|
Upfront
Premiums
Paid
(Received)
|
|
|
Unrealized
Appreciation
|
|
Markit CDX.NA.IG.34 Index
|
|
$
|
480,000
|
|
|
|
6/20/25
|
|
|
1.000% quarterly
|
|
$
|
7,843
|
|
|
$
|
3,161
|
|
|
$
|
4,682
|
|
Markit CDX.NA.IG.35 Index
|
|
|
98,000
|
|
|
|
12/20/25
|
|
|
1.000% quarterly
|
|
|
2,435
|
|
|
|
2,222
|
|
|
|
213
|
|
Total
|
|
$
|
578,000
|
|
|
|
|
|
|
|
|
$
|
10,278
|
|
|
$
|
5,383
|
|
|
$
|
4,895
|
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
25
|
Schedule of investments (contd)
November 30, 2020
Western Asset Investment Grade Defined Opportunity Trust Inc.
1
|
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay
to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or
securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
2
|
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event
occurs as defined under the terms of that particular swap agreement.
|
3
|
The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the
current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell
protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event
occurring as defined under the terms of the agreement.
|
|
Percentage shown is an annual percentage rate.
|
See Notes to Financial Statements.
|
|
|
26
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Statement of assets and liabilities
November 30, 2020
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
Investments, at value (Cost $199,471,254)
|
|
$
|
237,434,405
|
|
Foreign currency, at value (Cost $472)
|
|
|
367
|
|
Interest receivable
|
|
|
2,557,153
|
|
Deposits with brokers for open futures contracts
|
|
|
295,507
|
|
Deposits with brokers for centrally cleared swap contracts
|
|
|
67,000
|
|
Receivable from broker net variation margin on open futures contracts
|
|
|
13,422
|
|
Receivable from broker net variation margin on centrally cleared swap contracts
|
|
|
454
|
|
Prepaid expenses
|
|
|
3,825
|
|
Total Assets
|
|
|
240,372,133
|
|
|
|
Liabilities:
|
|
|
|
|
Distributions payable
|
|
|
720,985
|
|
Investment management fee payable
|
|
|
125,648
|
|
Directors fees payable
|
|
|
8,359
|
|
Accrued expenses
|
|
|
55,082
|
|
Total Liabilities
|
|
|
910,074
|
|
Total Net Assets
|
|
$
|
239,462,059
|
|
|
|
Net Assets:
|
|
|
|
|
Par value ($0.001 par value; 10,841,878 shares issued and outstanding; 100,000,000 shares authorized)
|
|
$
|
10,842
|
|
Paid-in capital in excess of par value
|
|
|
206,458,127
|
|
Total distributable earnings (loss)
|
|
|
32,993,090
|
|
Total Net Assets
|
|
$
|
239,462,059
|
|
|
|
Shares Outstanding
|
|
|
10,841,878
|
|
|
|
Net Asset Value
|
|
$
|
22.09
|
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
27
|
Statement of operations
For the Year Ended November 30, 2020
|
|
|
|
|
|
|
Investment Income:
|
|
|
|
|
Interest
|
|
$
|
10,249,340
|
|
Dividends
|
|
|
159,859
|
|
Total Investment Income
|
|
|
10,409,199
|
|
|
|
Expenses:
|
|
|
|
|
Investment management fee (Note 2)
|
|
|
1,484,466
|
|
Directors fees
|
|
|
83,511
|
|
Audit and tax fees
|
|
|
55,574
|
|
Transfer agent fees
|
|
|
51,285
|
|
Legal fees
|
|
|
50,473
|
|
Fund accounting fees
|
|
|
31,343
|
|
Shareholder reports
|
|
|
20,874
|
|
Stock exchange listing fees
|
|
|
14,567
|
|
Custody fees
|
|
|
8,175
|
|
Insurance
|
|
|
3,690
|
|
Miscellaneous expenses
|
|
|
6,798
|
|
Total Expenses
|
|
|
1,810,756
|
|
Less: Fee waivers and/or expense reimbursements (Note 2)
|
|
|
(8,067)
|
|
Net Expenses
|
|
|
1,802,689
|
|
Net Investment Income
|
|
|
8,606,510
|
|
|
|
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions (Notes 1, 3
and 4):
|
|
|
|
|
Net Realized Gain (Loss) From:
|
|
|
|
|
Investment transactions
|
|
|
(298,159)
|
|
Futures contracts
|
|
|
(2,122,602)
|
|
Swap contracts
|
|
|
6,639
|
|
Foreign currency transactions
|
|
|
(8,945)
|
|
Net Realized Loss
|
|
|
(2,423,067)
|
|
Change in Net Unrealized Appreciation (Depreciation) From:
|
|
|
|
|
Investments
|
|
|
13,597,493
|
|
Futures contracts
|
|
|
(33,494)
|
|
Swap contracts
|
|
|
4,895
|
|
Foreign currencies
|
|
|
10,890
|
|
Change in Net Unrealized Appreciation (Depreciation)
|
|
|
13,579,784
|
|
Net Gain on Investments, Futures Contracts, Swap Contracts and Foreign Currency Transactions
|
|
|
11,156,717
|
|
Increase in Net Assets From Operations
|
|
$
|
19,763,227
|
|
See Notes to Financial
Statements.
|
|
|
28
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Statements of changes in net assets
|
|
|
|
|
|
|
|
|
For the Years Ended November 30,
|
|
2020
|
|
|
2019
|
|
|
|
|
Operations:
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
8,606,510
|
|
|
$
|
9,548,504
|
|
Net realized gain (loss)
|
|
|
(2,423,067)
|
|
|
|
844,370
|
|
Change in net unrealized appreciation (depreciation)
|
|
|
13,579,784
|
|
|
|
21,322,847
|
|
Increase in Net Assets From Operations
|
|
|
19,763,227
|
|
|
|
31,715,721
|
|
|
|
|
Distributions to Shareholders From (Note 1):
|
|
|
|
|
|
|
|
|
Total distributable earnings
|
|
|
(9,268,396)
|
|
|
|
(11,048,078)
|
|
Decrease in Net Assets From Distributions to
Shareholders
|
|
|
(9,268,396)
|
|
|
|
(11,048,078)
|
|
|
|
|
Fund Share Transactions:
|
|
|
|
|
|
|
|
|
Reinvestment of distributions (5,101 and 9,234 shares issued, respectively)
|
|
|
109,026
|
|
|
|
190,317
|
|
Increase in Net Assets From Fund Share Transactions
|
|
|
109,026
|
|
|
|
190,317
|
|
Increase in Net Assets
|
|
|
10,603,857
|
|
|
|
20,857,960
|
|
|
|
|
Net Assets:
|
|
|
|
|
|
|
|
|
Beginning of year
|
|
|
228,858,202
|
|
|
|
208,000,242
|
|
End of year
|
|
$
|
239,462,059
|
|
|
$
|
228,858,202
|
|
See Notes to Financial
Statements.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
29
|
Financial highlights
|
|
|
|
|
|
|
|
|
|
|
For a share of capital stock outstanding throughout each year ended November
30:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20201
|
|
|
20191
|
|
|
20181
|
|
|
20171
|
|
|
20161
|
|
|
|
|
|
|
|
Net asset value, beginning of year
|
|
$
|
21.12
|
|
|
$
|
19.21
|
|
|
$
|
21.00
|
|
|
$
|
20.26
|
|
|
$
|
20.28
|
|
|
|
|
|
|
|
Income (loss) from operations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
0.79
|
|
|
|
0.88
|
|
|
|
0.94
|
|
|
|
0.99
|
|
|
|
0.98
|
|
Net realized and unrealized gain (loss)
|
|
|
1.03
|
|
|
|
2.05
|
|
|
|
(1.71)
|
|
|
|
0.82
|
|
|
|
0.20
|
|
Total income (loss) from operations
|
|
|
1.82
|
|
|
|
2.93
|
|
|
|
(0.77)
|
|
|
|
1.81
|
|
|
|
1.18
|
|
|
|
|
|
|
|
Less distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
(0.81)
|
|
|
|
(0.89)
|
|
|
|
(0.96)
|
|
|
|
(1.02)
|
|
|
|
(1.17)
|
|
Net realized gains
|
|
|
(0.04)
|
|
|
|
(0.13)
|
|
|
|
(0.06)
|
|
|
|
(0.05)
|
|
|
|
(0.03)
|
|
Total distributions
|
|
|
(0.85)
|
|
|
|
(1.02)
|
|
|
|
(1.02)
|
|
|
|
(1.07)
|
|
|
|
(1.20)
|
|
|
|
|
|
|
|
Net asset value, end of year
|
|
$
|
22.09
|
|
|
$
|
21.12
|
|
|
$
|
19.21
|
|
|
$
|
21.00
|
|
|
$
|
20.26
|
|
|
|
|
|
|
|
Market price, end of year
|
|
$
|
21.42
|
|
|
$
|
21.24
|
|
|
$
|
18.05
|
|
|
$
|
21.85
|
|
|
$
|
20.05
|
|
Total return, based on NAV2,3
|
|
|
8.96
|
%
|
|
|
15.59
|
%
|
|
|
(3.78)
|
%
|
|
|
9.09
|
%
|
|
|
5.97
|
%
|
Total return, based on Market Price4
|
|
|
5.06
|
%
|
|
|
23.70
|
%
|
|
|
(13.06)
|
%
|
|
|
14.76
|
%
|
|
|
2.43
|
%
|
|
|
|
|
|
|
Net assets, end of year (millions)
|
|
$
|
239
|
|
|
$
|
229
|
|
|
$
|
208
|
|
|
$
|
227
|
|
|
$
|
219
|
|
|
|
|
|
|
|
Ratios to average net assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses
|
|
|
0.79
|
%
|
|
|
0.78
|
%
|
|
|
0.78
|
%
|
|
|
0.78
|
%
|
|
|
0.79
|
%
|
Net expenses
|
|
|
0.79
|
5
|
|
|
0.78
|
|
|
|
0.78
|
|
|
|
0.78
|
|
|
|
0.79
|
|
Net investment income
|
|
|
3.77
|
|
|
|
4.33
|
|
|
|
4.65
|
|
|
|
4.76
|
|
|
|
4.82
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
41
|
%
|
|
|
56
|
%
|
|
|
46
|
%
|
|
|
40
|
%
|
|
|
41
|
%
|
1
|
Per share amounts have been calculated using the average shares method.
|
2
|
Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance
arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.
|
3
|
The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future results.
|
4
|
The total return calculation assumes that distributions are reinvested in accordance with the Funds dividend reinvestment plan. Past performance is no
guarantee of future results.
|
5
|
Reflects fee waivers and/or expense reimbursements.
|
See Notes to Financial Statements.
|
|
|
30
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Notes to financial statements
1. Organization and significant accounting policies
Western Asset Investment Grade Defined Opportunity Trust Inc. (the Fund) was incorporated in Maryland on April 24, 2009 and is registered as a non-diversified, limited-term, closed-end management investment company under the Investment Company Act of 1940, as amended (the 1940 Act). The Funds
primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Funds net assets to stockholders on or about December 2, 2024. As a secondary investment objective, the Fund will seek
capital appreciation. There can be no assurance the Fund will achieve its investment objectives. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in investment grade
corporate fixed income securities of varying maturities. Effective April 1, 2020 and August 14, 2020, the Board of Directors of the Fund approved amendments to the Funds bylaws. The amended and restated bylaws were subsequently filed
on Form 8-K and are available on the Securities and Exchange Commissions website at www.sec.gov.
The
following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (GAAP). Estimates and assumptions are required to be made regarding assets,
liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to
differ. Subsequent events have been evaluated through the date the financial statements were issued.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage
obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques
and methodologies. The independent third party pricing services 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
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
31
|
Notes to financial statements (contd)
security has been
significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures
approved by the Funds Board of Directors.
The Board of Directors is responsible for the valuation process and has delegated the supervision of the
daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the Valuation Committee). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value
determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation
Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of
earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will
also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuers financial statements; the purchase price of the
security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts research and observations from financial institutions; information regarding any transactions or offers with respect to the
security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted
securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is
compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and
the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future
cash flows to present value.
|
|
|
32
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and
liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
|
|
Level 1 quoted prices in active markets for identical investments
|
|
|
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
|
|
|
Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
|
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those
securities.
The following is a summary of the inputs used in valuing the Funds assets and liabilities carried at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSETS
|
|
Description
|
|
Quoted Prices
(Level 1)
|
|
|
Other Significant
Observable Inputs
(Level 2)
|
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
|
Total
|
|
Long-Term Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds & Notes
|
|
|
|
|
|
$
|
230,626,186
|
|
|
|
|
|
|
$
|
230,626,186
|
|
Preferred Stocks:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials
|
|
$
|
2,229,942
|
|
|
|
186,500
|
|
|
|
|
|
|
|
2,416,442
|
|
Sovereign Bonds
|
|
|
|
|
|
|
1,666,006
|
|
|
|
|
|
|
|
1,666,006
|
|
Municipal Bonds
|
|
|
|
|
|
|
1,455,518
|
|
|
|
|
|
|
|
1,455,518
|
|
Senior Loans
|
|
|
|
|
|
|
488,657
|
|
|
|
|
|
|
|
488,657
|
|
Total Long-Term Investments
|
|
|
2,229,942
|
|
|
|
234,422,867
|
|
|
|
|
|
|
|
236,652,809
|
|
Short-Term Investments
|
|
|
781,596
|
|
|
|
|
|
|
|
|
|
|
|
781,596
|
|
Total Investments
|
|
$
|
3,011,538
|
|
|
$
|
234,422,867
|
|
|
|
|
|
|
$
|
237,434,405
|
|
Other Financial Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
40,778
|
|
|
|
|
|
|
|
|
|
|
$
|
40,778
|
|
Centrally Cleared Credit Default Swaps on Credit Indices Sell Protection
|
|
|
|
|
|
$
|
4,895
|
|
|
|
|
|
|
|
4,895
|
|
Total Other Financial Instruments
|
|
$
|
40,778
|
|
|
$
|
4,895
|
|
|
|
|
|
|
$
|
45,673
|
|
Total
|
|
$
|
3,052,316
|
|
|
$
|
234,427,762
|
|
|
|
|
|
|
$
|
237,480,078
|
|
|
LIABILITIES
|
|
Description
|
|
Quoted Prices
(Level 1)
|
|
|
Other Significant
Observable Inputs
(Level 2)
|
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
|
Total
|
|
Other Financial Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
15,602
|
|
|
|
|
|
|
|
|
|
|
$
|
15,602
|
|
|
See Schedule of Investments for additional detailed categorizations.
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
33
|
Notes to financial statements (contd)
(b)
Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset
classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering
into a futures contract, the Fund is required to deposit cash or securities with a broker in an amount equal to a certain percentage of the contract amount. This is known as the initial margin and subsequent payments
(variation margin) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily,
but is recorded as a net variation margin payable or receivable. The daily changes in contract value are recorded as unrealized gains or losses in the Statement of Operations and the Fund recognizes a realized gain or loss when the contract is
closed.
Futures contracts involve, to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there
is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(c) Swap
agreements. The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes. The use of swaps involves risks that are different
from those associated with other portfolio transactions. Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral
contract (OTC Swaps) or centrally cleared (Centrally Cleared Swaps). Unlike Centrally Cleared Swaps, the Fund has credit exposure to the counterparties of OTC Swaps.
In a Centrally Cleared Swap, immediately following execution of the swap, the swap agreement is submitted to a clearinghouse or central counterparty (the CCP) and the CCP becomes the ultimate
counterparty of the swap agreement. The Fund is required to interface with the CCP through a broker, acting in an agency capacity. All payments are settled with the CCP through the broker. Upon entering into a Centrally Cleared Swap, the Fund is
required to deposit initial margin with the broker in the form of cash or securities.
Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of Centrally Cleared Swaps, if any, is recorded as a net receivable or payable
for variation margin on the Statement of Assets and Liabilities. Gains or losses are realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities, may be required to be held in segregated accounts with
the Funds custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments and restricted cash, if any, is identified on the Statement of Assets and
Liabilities. Risks may exceed amounts recorded in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts terms, and the
possible lack of liquidity with respect to the swap agreements.
|
|
|
34
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
OTC swap payments received or made at the beginning of the measurement period are reflected as a premium or deposit,
respectively, on the Statement of Assets and Liabilities. These upfront payments are amortized over the life of the swap and are recognized as realized gain or loss in the Statement of Operations. Net periodic payments received or paid by the Fund
are recognized as a realized gain or loss in the Statement of Operations.
The Funds maximum exposure in the event of a defined credit event on a
credit default swap to sell protection is the notional amount. As of November 30, 2020, the total notional value of all credit default swaps to sell protection was $578,000. This amount would be offset by the value of the swaps reference
entity, upfront premiums received on the swap and any amounts received from the settlement of a credit default swap where the Fund bought protection for the same referenced security/entity.
For average notional amounts of swaps held during the year ended November 30, 2020, see Note 4.
Credit default swaps
The Fund
enters into credit default swap (CDS) contracts for investment purposes, to manage its credit risk or to add leverage. CDS agreements involve one party making a stream of payments to another party in exchange for the right to receive a
specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced
entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has exposure to an issuer) or to take an active long or short position with respect to the
likelihood of a particular issuers default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the term of the swap provided that there is no credit event. If the Fund is a seller of
protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted) that the Fund could be required to make under a credit default swap agreement would be
an amount equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced obligations. As a seller of protection, the Fund effectively adds leverage
to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the Fund generally receives an amount up to the notional value of the swap if a
credit event occurs.
Implied spreads are the theoretical prices a lender receives for credit default protection. When spreads rise, market perceived
credit risk rises and when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
35
|
Notes to financial statements (contd)
the cost of
buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced
entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. Credit spreads utilized in determining the period end market value of credit default swap
agreements on corporate or sovereign issues are disclosed in the Schedule of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for credit derivatives. For
credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, particularly in relation to the notional amount of the contract as well as the annual payment rate, serve as an indication
of the current status of the payment/performance risk.
The Funds maximum risk of loss from counterparty risk, as the protection buyer, is the fair
value of the contract (this risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty). As the protection seller, the Funds maximum risk is the notional amount of the
contract. Credit default swaps are considered to have credit risk-related contingent features since they require payment by the protection seller to the protection buyer upon the occurrence of a defined credit event.
Entering into a CDS agreement involves, to varying degrees, elements of credit, market and documentation risk in excess of the related amounts recognized on the
Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the
contractual terms in the agreement, and that there will be unfavorable changes in net interest rates.
(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) Foreign currency translation. Investment securities and other
assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in
foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
|
|
|
36
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange
rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency
gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent
of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange
rates.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar
denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(f) Credit and market risk. The Fund invests in high-yield instruments that are subject to
certain credit and market risks. The yields of high-yield obligations reflect, among other things, perceived credit and market risks. The Funds investments in securities rated below investment grade typically involve risks not associated with
higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
(g) Foreign investment risks. The Funds investments in foreign securities may involve
risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign
currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political,
social or economic developments, all of which affect the market and/or credit risk of the investments.
(h) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions, where the Fund is
exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the
event of
|
|
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
37
|
Notes to financial statements (contd)
default or bankruptcy
by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Funds subadviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners,
(ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall
economic conditions may impact the assessment of such counterparty risk by the subadviser. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
With exchange traded and centrally cleared derivatives, there is less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such
instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law,
the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of the clearing broker or clearinghouse.
The Fund has entered into master agreements, such as an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement, with certain of its
derivative counterparties that govern over-the-counter derivatives and provide for general obligations, representations, agreements, collateral posting terms, netting
provisions in the event of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Funds net assets or NAV over a specified period of
time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted
and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of reported amounts of financial assets and financial
liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific
for over-the-counter traded derivatives. Cash collateral that has been pledged to cover obligations of the Fund under derivative contracts, if any, will be reported
separately in the Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.
|
|
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38
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
As of November 30, 2020, the Fund did not have any open OTC derivative transactions with credit related
contingent features in a net liability position.
(i) Security transactions and investment
income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities), adjusted
for amortization of premium and accretion of discount, is recorded on the accrual basis. Paydown gains and losses on mortgage- and asset-backed securities are recorded as adjustments to interest income. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after
exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional
interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
(j)
Distributions to shareholders. Distributions from net investment income of the Fund, if any, are declared quarterly and paid on a monthly basis. Distributions of net realized gains, if any, are
declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(k) Compensating balance arrangements. The Fund has an arrangement with its custodian bank
whereby a portion of the custodians fees is paid indirectly by credits earned on the Funds cash on deposit with the bank.
(l) Federal and other taxes. It is the Funds policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the Code), as
amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal
or state income tax provision is required in the Funds financial statements.
Management has analyzed the Funds tax positions taken on income
tax returns for all open tax years and has concluded that as of November 30, 2020, no provision for income tax is required in the Funds financial statements. The Funds federal and state income and federal excise tax returns for tax
years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
(m) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial
and tax reporting. These reclassifications have no effect on net assets or net asset value per share. During the current year, the Fund had no reclassifications.
|
|
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
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|
39
|
Notes to financial statements (contd)
2.
Investment management agreement and other transactions with affiliates
Legg Mason Partners Fund Advisor, LLC (LMPFA) is the Funds
investment manager. Western Asset Management Company, LLC (Western Asset), Western Asset Management Company Pte. Ltd. (Western Asset Singapore), Western Asset Management Company Ltd (Western Asset Japan) and
Western Asset Management Company Limited (Western Asset London) are the Funds subadvisers. As of July 31, 2020, LMPFA, Western Asset, Western Asset Singapore, Western Asset Japan and Western Asset London are indirect,
wholly-owned subsidiaries of Franklin Resources, Inc. (Franklin Resources). Prior to July 31, 2020, LMPFA, Western Asset, Western Asset Singapore, Western Asset Japan and Western Asset London were wholly-owned subsidiaries of Legg
Mason, Inc. (Legg Mason). As of July 31, 2020, Legg Mason is a subsidiary of Franklin Resources.
LMPFA provides administrative and
certain oversight services to the Fund. The Fund pays LMPFA an investment management fee, calculated daily and paid monthly, at an annual rate of 0.65% of the Funds average daily net assets.
LMPFA delegates to Western Asset the day-to-day portfolio management of the Fund.
Western Asset Singapore, Western Asset Japan and Western Asset London provide certain subadvisory services to the Fund relating to currency transactions and investments in non-U.S. dollar denominated debt
securities. For its services, LMPFA pays Western Asset a fee monthly, at an annual rate equal to 70% of the net management fee it receives from the Fund. In turn, Western Asset pays Western Asset Singapore, Western Asset Japan and Western Asset
London a monthly subadvisory fee in an amount equal to 100% of the management fee paid to Western Asset on the assets that Western Asset allocates to each such non-U.S. subadviser to manage.
During the year ended November 30, 2020, fees waived and/or expenses reimbursed amounted to $8,067.
As of July 31, 2020, all officers and one Director of the Fund are employees of Franklin Resources or its affiliates and do not receive compensation from the Fund. Prior to July 31, 2020, all officers and
one Director of the Fund were employees of Legg Mason and did not receive compensation from the Fund.
3. Investments
During the year ended November 30, 2020, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S.
Government & Agency Obligations were as follows:
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
U.S. Government &
Agency Obligations
|
|
Purchases
|
|
$
|
71,068,512
|
|
|
$
|
21,343,177
|
|
Sales
|
|
|
73,184,546
|
|
|
|
22,565,407
|
|
|
|
|
40
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
At November 30, 2020, the aggregate cost of investments and the aggregate gross unrealized appreciation and
depreciation of investments for federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost/Premiums
Paid (Received)
|
|
|
Gross
Unrealized
Appreciation
|
|
|
Gross
Unrealized
Depreciation
|
|
|
Net
Unrealized
Appreciation
|
|
Securities
|
|
$
|
201,773,158
|
|
|
$
|
37,556,365
|
|
|
$
|
(1,895,118)
|
|
|
$
|
35,661,247
|
|
Futures contracts
|
|
|
|
|
|
|
40,778
|
|
|
|
(15,602)
|
|
|
|
25,176
|
|
Swap contracts
|
|
|
5,383
|
|
|
|
4,895
|
|
|
|
|
|
|
|
4,895
|
|
4. Derivative instruments and hedging activities
Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at November 30, 2020.
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSET DERIVATIVES1
|
|
|
|
Interest
Rate Risk
|
|
|
Credit
Risk
|
|
|
Total
|
|
Futures contracts2
|
|
$
|
40,778
|
|
|
|
|
|
|
$
|
40,778
|
|
Centrally cleared swap contracts3
|
|
|
|
|
|
$
|
4,895
|
|
|
|
4,895
|
|
Total
|
|
$
|
40,778
|
|
|
$
|
4,895
|
|
|
$
|
45,673
|
|
|
|
|
|
|
LIABILITY DERIVATIVES1
|
|
|
|
Interest
Rate Risk
|
|
Futures contracts2
|
|
$
|
15,602
|
|
1
|
Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for liability derivatives is payables/net unrealized
depreciation.
|
2
|
Includes cumulative appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only variation margin is reported within the
receivables and/or payables on the Statement of Assets and Liabilities.
|
3
|
Includes cumulative appreciation (depreciation) of centrally cleared swap contracts as reported in the Schedule of Investments. Only variation margin is reported
within the receivables and/or payables on the Statement of Assets and Liabilities.
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
41
|
Notes to financial statements (contd)
The following tables
provide information about the effect of derivatives and hedging activities on the Funds Statement of Operations for the year ended November 30, 2020. The first table provides additional detail about the amounts and sources of gains
(losses) realized on derivatives during the period. The second table provides additional information about the change in unrealized appreciation (depreciation) resulting from the Funds derivatives and hedging activities during the period.
|
|
|
|
|
|
|
|
|
|
|
|
|
AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED
|
|
|
|
Interest
Rate Risk
|
|
|
Credit
Risk
|
|
|
Total
|
|
Futures contracts
|
|
$
|
(2,122,602)
|
|
|
|
|
|
|
$
|
(2,122,602)
|
|
Swap contracts
|
|
|
|
|
|
$
|
6,639
|
|
|
|
6,639
|
|
Total
|
|
$
|
(2,122,602)
|
|
|
$
|
6,639
|
|
|
$
|
(2,115,963)
|
|
|
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED
|
|
|
|
Interest
Rate Risk
|
|
|
Credit
Risk
|
|
|
Total
|
|
Futures contracts
|
|
$
|
(33,494)
|
|
|
|
|
|
|
$
|
(33,494)
|
|
Swap contracts
|
|
|
|
|
|
$
|
4,895
|
|
|
|
4,895
|
|
Total
|
|
$
|
(33,494)
|
|
|
$
|
4,895
|
|
|
$
|
(28,599)
|
|
During the year ended November 30, 2020, the volume of derivative activity for the Fund was as follows:
|
|
|
|
|
|
|
Average Market
Value
|
|
Futures contracts (to buy)
|
|
$
|
19,334,691
|
|
Futures contracts (to sell)
|
|
|
21,358,567
|
|
|
|
|
|
Average Notional
Balance
|
|
Credit default swap contracts (to sell protection)
|
|
$
|
213,692
|
|
5. Distributions subsequent to November 30, 2020
The following distributions have been declared by the Funds Board of Directors and are payable subsequent to the period end of this report:
|
|
|
|
|
|
|
|
|
Record Date
|
|
Payable Date
|
|
|
Amount
|
|
11/20/2020
|
|
|
12/1/2020
|
|
|
$
|
0.0665
|
|
12/23/2020
|
|
|
12/31/2020
|
|
|
$
|
0.0665
|
|
1/22/2021
|
|
|
2/1/2021
|
|
|
$
|
0.0665
|
|
2/19/2021
|
|
|
3/1/2021
|
|
|
$
|
0.0665
|
|
6. Stock repurchase program
On November 16, 2015, the Fund announced that the Funds Board of Directors (the Board) had authorized the Fund to repurchase in the open market up to approximately 10% of the Funds
outstanding common stock when the Funds shares are trading at a discount to net asset value. The Board has directed management of the Fund to repurchase shares of
|
|
|
42
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
common stock at such times and in such amounts as management reasonably believes may enhance stockholder value. The
Fund is under no obligation to purchase shares at any specific discount levels or in any specific amounts. During the year ended November 30, 2020, the Fund did not repurchase any shares.
7. Income tax information and distributions to shareholders
The tax character of distributions
paid during the fiscal years ended November 30, was as follows:
|
|
|
|
|
|
|
|
|
|
|
2020
|
|
|
2019
|
|
Distributions paid from:
|
|
|
|
|
|
|
|
|
Ordinary income
|
|
$
|
9,181,969
|
|
|
$
|
10,899,208
|
|
Net long-term capital gains
|
|
|
86,427
|
|
|
|
148,870
|
|
Total distributions paid
|
|
$
|
9,268,396
|
|
|
$
|
11,048,078
|
|
As of November 30, 2020, the components of total distributable earnings (loss) on a tax basis were as follows:
|
|
|
|
|
Deferred capital losses*
|
|
$
|
(2,060,864)
|
|
Other book/tax temporary differences(a)
|
|
|
(637,260)
|
|
Unrealized appreciation (depreciation)(b)
|
|
|
35,691,214
|
|
Total distributable earnings (loss) net
|
|
$
|
32,993,090
|
|
*
|
These capital losses have been deferred in the current year as either short-term or long-term losses. The losses will be deemed to occur on the first
day of the next taxable year in the same character as they were originally deferred and will be available to offset future taxable capital gains.
|
(a)
|
Other book/tax temporary differences are attributable to the realization for tax purposes of unrealized gains (losses) on certain futures contracts, the
difference between cash and accrual basis distributions paid, book/tax differences in the accrual of interest income on securities in default and book/tax differences in the timing of the deductibility of various expenses.
|
(b)
|
The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the tax
deferral of losses on wash sales and the difference between book and tax amortization methods for premiums on fixed income securities.
|
8. Other matters
The outbreak of the respiratory illness
COVID-19 (commonly referred to as coronavirus) has continued to rapidly spread around the world, causing considerable uncertainty for the global economy and financial markets. The ultimate economic
fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The COVID-19 pandemic could adversely affect the value and liquidity of the
Funds investments and negatively impact the Funds performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services
provided to the Fund by its service providers.
***
The Funds investments, payment obligations, and financing terms may be based on floating rates, such as the London Interbank Offered Rate, or LIBOR, which is the offered rate for
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
43
|
Notes to financial statements (contd)
short-term Eurodollar
deposits between major international banks. Plans are underway to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Funds
transactions and the financial markets generally. As such, the potential effect of a transition away from LIBOR on the Fund or the Funds investments cannot yet be determined.
***
On August 14, 2020, the
Fund announced that it has elected, by resolution unanimously adopted by the Funds board of directors, to be subject to the Maryland Control Share Acquisition Act (the MCSAA), effective immediately. The MCSAA protects the interests
of all stockholders of a Maryland corporation by providing that any holder of control shares acquired in a control share acquisition will not be entitled to vote its shares unless the other stockholders of the corporation
reinstate those voting rights at a meeting of stockholders by a vote of two-thirds of the votes entitled to be cast on the matter, excluding the acquiring person (i.e., the holder or group of
holders acting in concert that acquires, or proposes to acquire, control shares) and any other holders of interested shares as defined in the MCSAA. Generally, control shares are shares that, when aggregated with
shares already owned by an acquiring person, would entitle the acquiring person to exercise 10% or more, 33 1/3% or more, or a majority of the total voting power of shares entitled to vote in the election of directors.
Application of the MCSAA seeks to limit the ability of an acquiring person to achieve a short-term gain at the expense of the Funds ability to pursue its
investment objective and policies and seek long-term value for the rest of the Funds stockholders. The above description of the MCSAA is only a high-level summary and does not purport to be complete. Investors should refer to the actual
provisions of the MCSAA and the Funds bylaws for more information, including definitions of key terms, various exclusions and exemptions from the statutes scope, and the procedures by which stockholders may approve the reinstatement of
voting rights to holders of control shares.
|
|
|
44
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
Report of independent registered public accounting firm
To the Board of Directors and Shareholders of Western Asset
Investment Grade Defined Opportunity Trust Inc.
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Western Asset Investment Grade Defined Opportunity
Trust Inc. (the Fund) as of November 30, 2020, the related statement of operations for the year ended November 30, 2020, the statement of changes in net assets for each of the two years in the period ended November 30,
2020, including the related notes, and the financial highlights for each of the four years in the period ended November 30, 2020 (collectively referred to as the financial statements). In our opinion, the financial statements
present fairly, in all material respects, the financial position of the Fund as of November 30, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended
November 30, 2020 and the financial highlights for each of the four years in the period ended November 30, 2020 in conformity with accounting principles generally accepted in the United States of America.
The financial statements of the Fund as of and for the year ended November 30, 2016 and the financial highlights for the year then ended (not presented herein,
other than the financial highlights) were audited by other auditors whose report dated January 19, 2017 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements
are the responsibility of the Funds management. Our responsibility is to express an opinion on the Funds financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight
Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our
audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the
financial statements. Our procedures included confirmation of securities owned as of November 30, 2020 by correspondence with the custodian and broker; when replies were not received from the broker, we performed other auditing procedures. We
believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Baltimore, Maryland
January 22, 2021
We have served as the auditor of one or more investment companies in the Franklin Templeton Group of Funds since 1948.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Annual Report
|
|
45
|
Additional shareholder information (unaudited)
Results of special meeting of shareholders
On July 6, 2020, a special meeting of shareholders was held for the following purposes: 1) to approve a new management agreement between the Fund and its
investment manager; and 2) to approve a new subadvisory agreement with respect to each of the Funds subadvisers. The following table provides the number of votes cast for or against, as well as the number of abstentions and broker non-votes as to each matter voted on at the special meeting of shareholders. Each item voted on was approved.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Item Voted On
|
|
Voted For
|
|
|
Voted Against
|
|
|
Abstentions
|
|
|
Broker
Non-Votes
|
|
To Approve a New Management Agreement with Legg Mason Partners Fund Advisor, LLC
|
|
|
5,314,037
|
|
|
|
133,117
|
|
|
|
283,933
|
|
|
|
0
|
|
To Approve a New Subadvisory Agreement with Western Asset Management Company, LLC
|
|
|
5,317,573
|
|
|
|
130,559
|
|
|
|
282,955
|
|
|
|
0
|
|
To Approve a New Subadvisory Agreement with Western Asset Management Company Limited
|
|
|
5,310,680
|
|
|
|
130,046
|
|
|
|
290,361
|
|
|
|
0
|
|
To approve a New Subadvisory Agreement with Western Asset Management Company Ltd.
|
|
|
5,314,811
|
|
|
|
130,087
|
|
|
|
286,189
|
|
|
|
0
|
|
To approve a New Subadvisory Agreement with Western Asset Management Company Pte. Ltd.
|
|
|
5,304,847
|
|
|
|
137,296
|
|
|
|
288,944
|
|
|
|
0
|
|
|
|
|
46
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
Additional information (unaudited)
Information about Directors and Officers
The
business and affairs of Western Asset Investment Grade Defined Opportunity Trust Inc. (the Fund) are conducted by management under the supervision and subject to the direction of its Board of Directors. The business address of each
Director is c/o Jane Trust, Legg Mason, 100 International Drive, 11th Floor, Baltimore, Maryland 21202. Information pertaining to the Directors and officers of the Fund is set forth below.
The Funds annual proxy statement includes additional information about Directors and is available, without charge, upon request by calling the Fund at 1-888-777-0102.
|
|
|
Independent Directors
|
|
|
|
|
Robert D. Agdern
|
|
|
|
|
Year of birth
|
|
1950
|
Position(s) held with Fund1
|
|
Director and Member of Nominating, Audit, Compensation and Pricing and Valuation Committees, and Compliance Liaison, Class III
|
Term of office1 and length of time served
|
|
Since 2015
|
Principal occupation(s) during the past five years
|
|
Member of the Advisory Committee of the Dispute Resolution Research Center at the Kellogg Graduate School of Business, Northwestern University (2002
to 2016); formerly, Deputy General Counsel responsible for western hemisphere matters for BP PLC (1999 to 2001); Associate General Counsel at Amoco Corporation responsible for corporate, chemical, and refining and marketing matters and special
assignments (1993 to 1998) (Amoco merged with British Petroleum in 1998 forming BP PLC)
|
Number of portfolios in fund complex overseen by Director (including the Fund)
|
|
22
|
Other board memberships held by Director during the past five years
|
|
None
|
|
|
Carol L. Colman
|
|
|
|
|
Year of birth
|
|
1946
|
Position(s) held with Fund1
|
|
Director and Member of Nominating, Audit and Compensation Committees, and Chair of Pricing and Valuation Committee, Class I
|
Term of office1 and length of time served
|
|
Since 2009
|
Principal occupation(s) during the past five years
|
|
President, Colman Consulting Company (consulting)
|
Number of portfolios in fund complex overseen by Director (including the Fund)
|
|
22
|
Other board memberships held by Director during the past five years
|
|
None
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
47
|
Additional information
(unaudited) (contd)
Information about Directors and Officers
|
|
|
Independent
Directors
(contd)
|
|
|
Daniel P. Cronin
|
|
|
|
|
Year of birth
|
|
1946
|
|
|
Position(s) held with Fund1
|
|
Director and Member of Audit, Compensation and Pricing and Valuation Committees, and Chair of Nominating Committee, Class I
|
|
|
Term of office1 and length of time served
|
|
Since 2009
|
|
|
Principal occupation(s) during the past five years
|
|
Retired; formerly, Associate General Counsel, Pfizer Inc. (prior to and including 2004)
|
|
|
Number of portfolios in fund complex overseen by Director (including the Fund)
|
|
22
|
|
|
Other board memberships held by Director during the past five years
|
|
None
|
|
|
Paolo M. Cucchi
|
|
|
|
|
Year of birth
|
|
1941
|
Position(s) held with Fund1
|
|
Director and Member of Nominating, Audit, and Pricing and Valuation Committees, and Chair of Compensation Committee, Class I
|
Term of office1 and length of time served
|
|
Since 2009
|
Principal occupation(s) during the past five years
|
|
Emeritus Professor of French and Italian (since 2014) and formerly, Vice President and Dean of The College of Liberal Arts (1984 to 2009) and
Professor of French and Italian (2009 to 2014) at Drew University
|
Number of portfolios in fund complex overseen by Director (including the Fund)
|
|
22
|
Other board memberships held by Director during the past five years
|
|
None
|
|
|
William R. Hutchinson
|
|
|
|
|
Year of birth
|
|
1942
|
Position(s) held with Fund1
|
|
Lead Independent Director and Member of Nominating, Audit, Compensation and Pricing and Valuation Committees, Class II
|
Term of office1 and length of time served
|
|
Since 2009
|
Principal occupation(s) during the past five years
|
|
President, W.R. Hutchinson & Associates Inc. (consulting) (since 2001)
|
Number of portfolios in fund complex overseen by Director (including the Fund)
|
|
22
|
Other board memberships held by Director during the past five years
|
|
Director (since 1994) and formerly, Non-Executive Chairman of the Board (December 2009 to April 2020),
Associated Banc Corp. (banking)
|
|
|
|
48
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
Independent
Directors
(contd)
|
|
|
Eileen A. Kamerick
|
|
|
|
|
Year of birth
|
|
1958
|
Position(s) held with Fund1
|
|
Director and Member of Nominating, Compensation and Pricing and Valuation Committees, and Chair of Audit Committee, Class III
|
Term of office1 and length of time served
|
|
Since 2013
|
Principal occupation(s) during the past five years
|
|
Chief Executive Officer, The Governance Partners, LLC (consulting firm) (since 2015); National Association of Corporate Directors Board Leadership
Fellow (since 2016) and financial expert; Adjunct Professor, The University of Chicago Law School (since 2018); Adjunct Professor, Washington University in St. Louis and University of Iowa law schools (since 2007); formerly, Senior Advisor to the
Chief Executive Officer and Executive Vice President and Chief Financial Officer of ConnectWise, Inc. (software and services company) (2015 to 2016); Chief Financial Officer, Press Ganey Associates (health care informatics company) (2012 to 2014);
Managing Director and Chief Financial Officer, Houlihan Lokey (international investment bank) and President, Houlihan Lokey Foundation (2010 to 2012)
|
Number of portfolios in fund complex overseen by Director (including the Fund)
|
|
22
|
Other board memberships held by Director during the past five years
|
|
Trustee of AIG Funds and Anchor Series Trust (since 2018); Hochschild Mining plc (precious metals company) (since 2016); Director of Associated
Banc-Corp (financial services company) (since 2007); Westell Technologies, Inc. (technology company) (2003 to 2016)
|
|
|
Nisha Kumar
|
|
|
|
|
Year of birth
|
|
1970
|
Position(s) held with Fund1
|
|
Director and Member of Nominating, Audit, Compensation and Pricing and Valuation Committees, Class II
|
Term of office1 and length of time served
|
|
Since 2019
|
Principal occupation(s) during the past five years
|
|
Managing Director and the Chief Financial Officer and Chief Compliance Officer of Greenbriar Equity Group, LP (since 2011); formerly, Chief
Financial Officer and Chief Administrative Officer of Rent the Runway, Inc. (2011); Executive Vice President and Chief Financial Officer of AOL LLC, a subsidiary of Time Warner Inc. (2007 to 2009), Member of the Council of Foreign
Relations
|
Number of portfolios in fund complex overseen by Director (including the Fund)
|
|
22
|
Other board memberships held by Director during the past five years
|
|
Director of The India Fund, Inc. (since 2016); formerly, Director of Aberdeen Income Credit Strategies Fund (2017-2018); and Director of The Asia
Tigers Fund, Inc. (2016 to 2018)
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
49
|
Additional information
(unaudited) (contd)
Information about Directors and Officers
|
|
|
Interested Director and Officer
|
|
|
|
|
Jane Trust, CFA2
|
|
|
|
|
Year of birth
|
|
1962
|
Position(s) held with Fund1
|
|
Director, Chairman, President and Chief Executive Officer, Class II
|
Term of office1 and length of time served
|
|
Since 2015
|
Principal occupation(s) during the past five years
|
|
Senior Vice President, Fund Board Management, Franklin Templeton (since 2020); Officer and/or Trustee/Director of 148 funds associated with Legg
Mason Partners Fund Advisor, LLC (LMPFA) or its affiliates (since 2015); President and Chief Executive Officer of LMPFA (since 2015); formerly, Senior Managing Director (2018 to 2020) and Managing Director (2016 to 2018) of Legg
Mason & Co., LLC (Legg Mason & Co.); Senior Vice President of LMPFA (2015)
|
Number of portfolios in fund complex overseen by Director (including the Fund)
|
|
145
|
Other board memberships held by Director during the past five years
|
|
None
|
|
|
|
|
|
Additional Officers
|
|
|
|
Fred Jensen*
Franklin Templeton
620 Eighth Avenue, 47th Floor, New York, NY 10018
|
|
|
Year of birth
|
|
1963
|
Position(s) held with Fund1
|
|
Chief Compliance Officer
|
Term of office1 and length of time served
|
|
Since 2020
|
Principal occupation(s) during the past five years
|
|
Director - Global Compliance of Franklin Templeton (since 2020); Managing Director of Legg Mason & Co. (2006 to 2020); Director of
Compliance, Legg Mason Office of the Chief Compliance Officer (2006 to 2020); formerly, Chief Compliance Officer of Legg Mason Global Asset Allocation (prior to 2014); Chief Compliance Officer of Legg Mason Private Portfolio Group (prior to 2013);
formerly, Chief Compliance Officer of The Reserve Funds (investment adviser, funds and broker-dealer) (2004) and Ambac Financial Group (investment adviser, funds and broker-dealer) (2000 to 2003)
|
|
Jenna Bailey
Franklin Templeton
100 First Stamford Place, 5th Floor, Stamford, CT 06902
|
|
|
Year of birth
|
|
1978
|
Position(s) held with Fund1
|
|
Identity Theft Prevention Officer
|
Term of office1 and length of time served
|
|
Since 2015
|
Principal occupation(s) during the past five years
|
|
Senior Compliance Analyst of Franklin Templeton (since 2020); Identity Theft Prevention Officer of certain funds associated with Legg
Mason & Co. or its affiliates (since 2015); formerly, Compliance Officer of Legg Mason & Co. (2013 to 2020); Assistant Vice President of Legg Mason & Co. (2011 to 2020)
|
|
|
|
50
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
Additional Officers (contd)
|
|
|
|
|
George P. Hoyt**
Franklin Templeton
100 First Stamford Place, 6th Floor, Stamford, CT 06902
|
|
|
|
|
Year of birth
|
|
1965
|
Position(s) held with Fund1
|
|
Secretary and Chief Legal Officer
|
Term of office1 and length of time served
|
|
Since 2020
|
Principal occupation(s) during the past five years
|
|
Associate General Counsel of Franklin Templeton (since 2020); Secretary and Chief Legal Officer of certain mutual funds associated with Legg
Mason & Co. or its affiliates (since 2020); formerly, Managing Director (2016 to 2020) and Associate General Counsel for Legg Mason & Co. and Assistant Secretary of certain mutual funds associated with Legg Mason & Co. or
its affiliates (2006 to 2020)
|
|
|
Thomas C. Mandia
Franklin Templeton
100 First Stamford Place, 6th Floor, Stamford, CT 06902
|
|
|
|
|
Year of birth
|
|
1962
|
Position(s) held with Fund1
|
|
Assistant Secretary
|
Term of office1 and length of time served
|
|
Since 2006
|
Principal occupation(s) during the past five years
|
|
Senior Associate General Counsel of Franklin Templeton (since 2020); Secretary of LMPFA (since 2006); Assistant Secretary of certain funds
associated with Legg Mason & Co. or its affiliates (since 2006); Secretary of LM Asset Services, LLC (LMAS) (since 2002) and Legg Mason Fund Asset Management, Inc. (LMFAM) (since 2013) (formerly registered investment
advisers); formerly, Managing Director and Deputy General Counsel of Legg Mason & Co. (2005 to 2020)
|
|
|
Christopher Berarducci
Franklin Templeton
620 Eighth Avenue, 47th Floor, New York, NY 10018
|
|
|
|
|
Year of birth
|
|
1974
|
Position(s) held with Fund1
|
|
Treasurer and Principal Financial Officer
|
Term of office1 and length of time served
|
|
Since 2019
|
Principal occupation(s) during the past five years
|
|
Vice President, Fund Administration and Reporting, Franklin Templeton (since 2020); Treasurer (since 2010) and Principal Financial Officer (since
2019) of certain funds associated with Legg Mason & Co. or its affiliates; formerly, Managing Director (2020), Director (2015 to 2020), and Vice President (2011 to 2015) of Legg Mason & Co.
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
51
|
Additional information
(unaudited) (contd)
Information about Directors and Officers
|
|
|
Additional Officers (contd)
|
|
|
|
|
Jeanne M. Kelly
Franklin Templeton
620 Eighth Avenue, 47th Floor, New York, NY 10018
|
|
|
|
|
Year of birth
|
|
1951
|
Position(s) held with Fund1
|
|
Senior Vice President
|
Term of office1 and length of time served
|
|
Since 2009
|
Principal occupation(s) during the past five years
|
|
U.S. Fund Board Team Manager, Franklin Templeton (since 2020); Senior Vice President of certain funds associated with Legg Mason & Co. or
its affiliates (since 2007); Senior Vice President of LMPFA (since 2006); President and Chief Executive Officer of LMAS and LMFAM (since 2015); formerly, Managing Director of Legg Mason & Co. (2005 to 2020); Senior Vice President of LMFAM
(2013 to 2015)
|
|
Directors who are not interested persons of the Fund within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as
amended (the 1940 Act).
|
*
|
Effective April 17, 2020, Mr. Jensen became Chief Compliance Officer.
|
**
|
Effective August 13, 2020, Mr. Hoyt became Secretary and Chief Legal Officer.
|
1
|
The Funds Board of Directors is divided into three classes: Class I, Class II and Class III. The terms of office of the Class I, II and
III Directors expire at the Annual Meetings of Stockholders in the year 2022, year 2023 and year 2021, respectively, or thereafter in each case when their respective successors are duly elected and qualified. The Funds executive officers are
chosen each year, to hold office until their successors are duly elected and qualified.
|
2
|
Ms. Trust is an interested person of the Fund as defined in the 1940 Act because Ms. Trust is an officer of LMPFA and certain of its
affiliates.
|
|
|
|
52
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
Annual chief executive officer and
principal financial officer certifications (unaudited)
The Funds Chief
Executive Officer (CEO) has submitted to the NYSE the required annual certification and the Fund also has included the Certifications of the Funds CEO and Principal Financial Officer required by Section 302 of the
Sarbanes-Oxley Act in the Funds Form N-CSR filed with the SEC for the period of this report.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
53
|
Other shareholder communications regarding accounting
matters (unaudited)
The Funds Audit Committee has established guidelines and procedures
regarding the receipt, retention and treatment of complaints regarding accounting, internal accounting controls or auditing matters (collectively, Accounting Matters). Persons with complaints or concerns regarding Accounting Matters may
submit their complaints to the Chief Compliance Officer (CCO). Persons who are uncomfortable submitting complaints to the CCO, including complaints involving the CCO, may submit complaints directly to the Funds Audit Committee
Chair. Complaints may be submitted on an anonymous basis.
The CCO may be contacted at:
Legg Mason & Co., LLC
Compliance Department
620 Eighth Avenue, 47th Floor
New York, New York 10018
Complaints may also be submitted by telephone at 1-800-742-5274. Complaints submitted through
this number will be received by the CCO.
|
|
|
54
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
Summary of information regarding the Fund (unaudited)
Investment Objectives
The Funds
primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Funds net assets to stockholders on or about December 2, 2024. As a secondary investment objective, the Fund will seek
capital appreciation. The Funds investment objectives are fundamental and may not be changed without stockholder approval.
Principal Investment Policies and Strategies
The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in a portfolio of investment grade
corporate fixed income securities of varying maturities. Corporate fixed income securities include corporate bonds, debentures, notes and other similar types of corporate debt instruments, as well as preferred shares, senior secured
floating rate and fixed rate loans or debt (Senior Loans), second lien or other subordinated or unsecured floating rate and fixed rate loans or debt (Second Lien Loans), loan participations, payment-in-kind securities, zero-coupon bonds, bank certificates of deposit, fixed time deposits and bankers acceptances. Certain corporate debt instruments, such
as convertible securities, may also include the right to participate in equity appreciation, and Western Asset will generally evaluate those instruments based primarily on their debt characteristics. The Funds policy to invest, under normal
market conditions, at least 80% of its net assets in a portfolio of investment grade corporate fixed income securities of varying maturities may be changed by the Board without a stockholder vote, except that the Fund will give stockholders at least
60 days notice of any change to such policy.
Under normal market conditions, the Fund will invest at least 50% of its net assets in corporate
bonds, debentures and notes.
The Fund may invest up to 20% of its net assets in (i) corporate fixed income securities of below investment grade
quality (commonly referred to as high-yield securities or junk bonds) at the time of investment and (ii) other securities, including obligations of the U.S. Government, its agencies or instrumentalities, common stocks,
warrants and depositary receipts. Corporate fixed income securities of below investment grade quality are regarded as having predominately speculative characteristics with respect to the issuers capacity to pay interest and repay principal.
While the Common Stock issued by the Fund will not be rated by an NRSRO, it is expected that, under normal market conditions, the Fund will maintain on
an ongoing basis a dollar-weighted average credit quality of portfolio holdings of at least BBB- or higher by Standard & Poors Ratings Services (S&P) or Fitch Ratings, Inc.
(Fitch) or Baa3 or higher by Moodys Investors Service, Inc. (Moodys), or comparable quality as determined by Western Asset. For securities with legal final maturities of 270 days or less, Western Asset may use the
underlying credits short-term ratings as a proxy for establishing the minimum credit requirement.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
55
|
Summary of information regarding the Fund (unaudited) (contd)
Investment grade quality securities are those that, at the time of investment, are either rated by one of the NRSROs that rate such securities within
the four highest letter grades (including BBB- or higher by S&P or Fitch or Baa3 or higher by Moodys), or if unrated are determined by Western Asset to be of comparable quality. In the event that a
security is rated by multiple NRSROs and receives different ratings, the Fund will treat the security as being rated in the highest rating category received from an NRSRO (such securities are commonly referred to as split-rated securities).
Securities rated BBB by S&P and Fitch are the lowest category of investment grade securities and are regarded as having an adequate capacity to pay interest and repay principal, although adverse economic conditions or changing circumstances are
more likely to impair the issuers capacity to pay interest and repay principal for debt in this category than in higher rated categories. Securities rated Baa by Moodys are regarded as having an adequate capacity to pay interest and
repay principal for the present, but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such securities lack outstanding investment characteristics and, in fact, have speculative
characteristics as well. Ratings assigned by a rating agency are not absolute standards of credit quality and do not evaluate market risks or the liquidity of the securities.
Although the Fund invests primarily in securities of U.S. issuers, the Fund may invest up to 20% of its net assets in securities of foreign issuers located anywhere in the world, including issuers located in
emerging market countries. A foreign issuer is a company organized under the laws of a foreign country that is principally traded in the financial markets of a foreign country. Additionally, the Fund may invest up to 20% of its net assets in non-U.S. dollar denominated securities.
The Fund may invest in derivative instruments, such as options contracts,
futures contracts, options on futures contracts, indexed securities, credit default swaps and other swap agreements; provided that the Funds exposure to derivative instruments, as measured by the total notional amount of all such instruments,
will not exceed 20% of its net assets. With respect to this limitation, the Fund may net derivatives with opposite exposure to the same underlying instrument. The Fund will not include derivative instruments for the purposes of the Funds
policy to invest at least 80% of its net assets in investment grade corporate fixed income securities.
The Fund may invest up to 20% of its net assets
in illiquid securities, which are securities that cannot be sold within seven days in the ordinary course of business at approximately the value at which the Fund has valued the securities.
|
|
|
56
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
In order to reduce the interest rate risk inherent in the Funds underlying investments, the Fund may enter into
interest rate swap or cap transactions for hedging or investment purposes.
It is expected that, under normal market conditions, the Fund will maintain
on an ongoing basis a dollar-weighted average credit quality of portfolio holdings of at least BBB- or higher by S&P or Fitch or Baa3 or higher by Moodys, or comparable quality. For securities with
legal final maturities of 270 days or less, Western Asset may use the underlying credits short-term ratings as a proxy for establishing the minimum credit requirement. The Fund may purchase unrated securities if Western Asset determines that
the securities are of comparable quality to rated securities that the Fund may purchase.
In purchasing securities and other investments for the Fund,
Western Asset may take full advantage of the entire range of maturities and durations offered by corporate fixed-income securities and may adjust the average maturity or duration of the Funds portfolio from time to time, depending on its
assessment of the relative yields available on securities of different maturities and durations and its expectations of future changes in interest rates. As the termination date of the Fund approaches, Western Asset may manage the Funds assets
in a manner that causes the dollar-weighted average maturity of its assets to shorten and/or increase the percentage of cash or cash equivalents in the Funds portfolio.
The Fund may lend its portfolio securities so long as the terms and the structure of such loans are not inconsistent with the requirements of the 1940 Act.
As a fundamental policy, the Fund will not leverage its capital structure by issuing senior securities such as preferred shares or debt instruments. However, the Fund may borrow for temporary or emergency purposes
as permitted by the 1940 Act.
Principal Risk Factors
The Fund is a non-diversified, closed-end management investment company designed primarily as a long-term investment and not as a
trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent in all investments, there can be no assurance that the Fund will achieve its investment objectives. Your Common Stock at any point in
time may be worth less than you invested, even after taking into account the reinvestment of Fund dividends and distributions.
Investment and Market
Risk. An investment in the Fund is subject to investment risk, including the possible loss of the entire amount that you invest. Your investment in the Common Stock represents an indirect investment in the fixed income securities and other
investments owned by the Fund, most of which could be purchased directly. The value of the Funds portfolio securities may move up or down, sometimes rapidly and unpredictably. At any point in time, your Common Stock may be worth less than your
original investment, even after taking into account the reinvestment of Fund dividends and distributions.
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
57
|
Summary of information regarding the Fund (unaudited) (contd)
Fixed Income Securities Risk. In addition to the risks described elsewhere in this section with respect to valuations and liquidity, fixed income securities,
including high-yield securities, are also subject to certain risks, including:
|
|
Issuer Risk. The value of fixed income securities may decline for a number of reasons that directly relate to the issuer, such as management performance,
financial leverage and reduced demand for the issuers goods and services.
|
|
|
Interest Rate Risk. The market price of the Funds investments will change in response to changes in interest rates and other factors. During periods
of declining interest rates, the market price of fixed income securities generally rises. Conversely, during periods of rising interest rates, the market price of such securities generally declines. The magnitude of these fluctuations in the market
price of fixed income securities is generally greater for securities with longer maturities. Additionally, such risk may be greater during the current period of historically low interest rates. Fluctuations in the market price of the Funds
securities will not affect interest income derived from securities already owned by the Fund, but will be reflected in the Funds net asset value. The Fund may utilize certain strategies, including investments in structured notes or interest
rate swap or cap transactions, for the purpose of reducing the interest rate sensitivity of the portfolio and decreasing the Funds exposure to interest rate risk, although there is no assurance that it will do so or that such strategies will
be successful.
|
|
|
Prepayment Risk. During periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled,
forcing the Fund to reinvest the proceeds from such prepayment in lower yielding securities, which may result in a decline in the Funds income and distributions to stockholders. This is known as prepayment or call risk. Debt
securities frequently have call features that allow the issuer to redeem the security at dates prior to its stated maturity at a specified price (typically greater than par) only if certain prescribed conditions are met. An issuer may choose to
redeem a debt security if, for example, the issuer can refinance the debt at a lower cost due to declining interest rates or an improvement in the credit standing of the issuer.
|
|
|
Reinvestment Risk. Reinvestment risk is the risk that income from the Funds portfolio will decline if and when the Fund invests the proceeds from
matured, traded or called fixed income securities at market interest rates that are below the portfolios current earnings rate. A decline in income could affect the Funds Common Stock price, its distributions or its overall return.
|
Credit Risk. If an issuer or guarantor of a security held by the Fund or a counterparty to a financial contract with the Fund
defaults or its credit is downgraded, or is perceived to be less creditworthy, or if the value of the assets underlying a security declines, the value of
|
|
|
58
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
your investment will typically decline. Changes in actual or perceived creditworthiness may occur quickly. The Fund could be delayed or hindered in its enforcement of rights against an issuer,
guarantor or counterparty. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer and will be disproportionately affected by a default, downgrade or
perceived decline in creditworthiness.
Below Investment Grade (High-Yield or Junk Bond) Securities Risk. The Fund may invest up to 20% of its net
assets in corporate fixed income securities of below investment grade quality (commonly referred to as high-yield securities or junk bonds) at the time of investment. High yield debt securities are generally subject to
greater credit risks than higher-grade debt securities, including the risk of default on the payment of interest or principal. High yield debt securities are considered speculative, typically have lower liquidity and are more difficult to value than
higher grade bonds. High yield debt securities tend to be volatile and more susceptible to adverse events, credit downgrades and negative sentiments and may be difficult to sell at a desired price, or at all, during periods of uncertainty or market
turmoil.
Senior Loan Risk. Senior Loans are usually rated below investment grade. As a result, the risks associated with Senior Loans are similar
to the risks of below investment grade securities. While Senior Loans are typically senior and secured in contrast to other below investment grade securities which are often subordinated and unsecured, nevertheless, if a borrower of a Senior Loan
defaults or goes into bankruptcy, the Fund may recover only a fraction of what is owed on the Senior Loan or nothing at all. Senior Loans are subject to a number of risks described elsewhere in this Prospectus, including credit risk, liquidity risk
and management risk.
There is less readily available and reliable information about most Senior Loans than is the case for many other types of
securities. If there is no independent evaluation of a Senior Loan by an NRSRO, Western Asset will rely on its own evaluation of credit quality to determine the Senior Loans equivalent credit rating. As a result, the Fund is particularly
dependent on the analytical abilities of Western Asset when investing in Senior Loans.
Although Senior Loans in which the Fund will invest generally
will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrowers obligation in the event of non-payment of scheduled interest or principal
or that such collateral could be readily liquidated. Moreover, any specific collateral used to secure a Senior Loan may decline in value or become illiquid, which would adversely affect the Senior Loans value. In the event of the bankruptcy of
a borrower, the Fund could experience delays or limitations with respect to its ability to realize the benefits of the collateral securing a Senior Loan. If the terms of a Senior Loan do not require the borrower to pledge additional collateral in
the event of a decline in the value of the already pledged collateral, the Fund will be exposed to the risk that the value of the collateral will not at all times
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
59
|
Summary of information regarding the Fund (unaudited) (contd)
equal or exceed the amount of the borrowers obligations under the Senior Loans. To the extent that a Senior Loan is collateralized by stock in the borrower or
its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized or under-collateralized Senior Loans involve a greater risk of loss. Some Senior Loans are subject to the risk that a court,
pursuant to fraudulent conveyance or other similar laws, could subordinate the Senior Loans to presently existing or future indebtedness of the borrower or take other action detrimental to lenders, including the Fund. Such court action could under
certain circumstances include invalidation of Senior Loans.
If legislation or state or federal regulations impose additional requirements or
restrictions on the ability of financial institutions to make loans, the availability of Senior Loans for investment by the Fund may be adversely affected. In addition, such requirements or restrictions could reduce or eliminate sources of financing
for certain Borrowers. This would increase the risk of default. If legislation or federal or state regulations require financial institutions to dispose of Senior Loans that are considered highly levered transactions or subject Senior Loans to
increased regulatory scrutiny, financial institutions may determine to sell such Senior Loans. Such sales could result in prices that, in the opinion of Western Asset, do not represent fair value. If the Fund attempts to sell a Senior Loan at a time
when a financial institution is engaging in such a sale, the price the Fund could get for the Senior Loan may be adversely affected.
The Fund may
acquire Senior Loan assignments or participations. The purchaser of an assignment typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation;
however, the purchasers rights can be more restricted than those of the assigning institution, and, in any event, the Fund may not be able to unilaterally enforce all rights and remedies under the loan and with regard to any associated
collateral. A participation typically results in a contractual relationship only with the institution selling the participation, not with the borrower. In purchasing participations, the Fund generally will have no right to enforce compliance by the
borrower with the terms of the loan agreement against the borrower, and the Fund may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Fund will be exposed to the
credit risk of both the borrower and the institution selling the participation.
Second Lien Loans Risk. Second Lien Loans generally are subject
to similar risks as those associated with investments in Senior Loans. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the
borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. This risk is generally higher for subordinated unsecured
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loans or debt, which are not backed by a security interest in any specific collateral. Second Lien Loans generally
have greater price volatility than Senior Loans and may be less liquid. There is also a possibility that originators will not be able to sell participations in Second Lien Loans, which would create greater credit risk exposure for the holders of
such loans. Second Lien Loans share the same risks as other below investment grade securities.
Liquidity Risk. The Fund may invest up to 20% of
its net assets in illiquid securities. Liquidity risk exists when particular investments are difficult to sell. Securities may become illiquid after purchase by the Fund, particularly during periods of market turmoil. When the Fund holds illiquid
investments, the portfolio may be harder to value, especially in changing markets, and if the Fund is forced to sell these investments in order to segregate assets or for other cash needs, the Fund may suffer a loss.
Derivatives Risk. The Fund may utilize a variety of derivative instruments for investment, hedging or risk management purposes, such as options contracts,
futures contracts, options on futures contracts, indexed securities, credit default swaps and other swap agreements; provided that the Funds exposure to derivative instruments, as measured by the total notional amount of all such instruments,
will not exceed 20% of its net assets. With respect to this limitation, the Fund may net derivatives with opposite exposure to the same underlying instrument. The Fund will not include derivative instruments for the purposes of the Funds
policy to invest at least 80% of its net assets in investment grade corporate fixed income securities. Using derivatives can increase Fund losses and reduce opportunities for gains when market prices, interest rates, currencies, or the derivatives
themselves behave in a way not anticipated by the Fund. Using derivatives also can have a leveraging effect and increase Fund volatility. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment.
Derivatives may not be available at the time or price desired, may be difficult to sell, unwind or value, and the counterparty may default on its obligations to the Fund. Derivatives are generally subject to the risks applicable to the assets,
rates, indices or other indicators underlying the derivative. The value of a derivative may fluctuate more than the underlying assets, rates, indices or other indicators to which it relates. Use of derivatives may have different tax consequences for
the Fund than an investment in the underlying security, and those differences may affect the amount, timing and character of income distributed to shareholders. The U.S. government and foreign governments are in the process of adopting and
implementing regulations governing derivatives markets, including mandatory clearing of certain derivatives, margin and reporting requirements. The ultimate impact of the regulations remains unclear. Additional regulation of derivatives may make
derivatives more costly, limit their availability or utility, otherwise adversely affect their performance or disrupt markets.
The Securities and
Exchange Commission adopted a new rule on October 28, 2020 that mandates that a funds derivatives risk management program provide for specific items as
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Summary of information regarding the Fund (unaudited) (contd)
required by the rule, including compliance with a VaR test. Compliance with these new requirements will be required after an eighteen-month transition period
following the effective date of the adopted rule. Following the compliance date, these requirements may limit the ability of the Fund to use derivatives and reverse repurchase agreements and similar financing transactions as part of its investment
strategies. These requirements may increase the cost of the Funds investments in derivatives, which could adversely affect shareholders.
Credit
default swap contracts involve heightened risks and may result in losses to the Fund. Credit default swaps may be illiquid and difficult to value. When the Fund sells credit protection via a credit default swap, credit risk increases since the Fund
has exposure to both the issuer whose credit is the subject of the swap and the counterparty to the swap.
Equity Risk. The values of equity
securities, such as common stocks and preferred stocks, may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook
for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and
competitive conditions within an industry. Equity securities generally have greater price volatility than fixed income securities.
Convertible
Securities Risk. A convertible security is a bond, debenture, note, preferred stock or other security that may be converted into or exchanged for a prescribed amount of common stock or other equity security of the same or a different issuer
within a particular period of time at a specified price or formula. Before conversion, convertible securities have characteristics similar to nonconvertible income securities in that they ordinarily provide a stable stream of income with generally
higher yields than those of common stocks of the same or similar issuers, but lower yields than comparable nonconvertible securities. The value of a convertible security is influenced by changes in interest rates, with investment value declining as
interest rates increase and increasing as interest rates decline. The credit standing of the issuer and other factors also may have an effect on the convertible securitys investment value. Convertible securities rank senior to common stock in
a corporations capital structure but are usually subordinated to comparable nonconvertible securities. Convertible securities may be subject to redemption at the option of the issuer at a price established in the convertible securitys
governing instrument.
Foreign (Non-U.S.) Investment Risk. A fund that invests in foreign (non-U.S.) securities may experience more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies. The securities markets of many foreign countries are relatively
small, with a limited number of companies representing a small number of industries. Investments in foreign securities (including those denominated in U.S. dollars) are subject
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to economic and political developments in the countries and regions where the issuers operate or are domiciled, or
where the securities are traded, such as changes in economic or monetary policies. Values may also be affected by restrictions on receiving the investment proceeds from a foreign country. Less information may be publicly available about foreign
companies than about U.S. companies. Foreign companies are generally not subject to the same accounting, auditing and financial reporting standards as are U.S. companies. In addition, the Funds investments in foreign securities may be subject
to the risk of nationalization or expropriation of assets, imposition of currency exchange controls or restrictions on the repatriation of foreign currency, confiscatory taxation, political or financial instability and adverse diplomatic
developments. In addition, there may be difficulty in obtaining or enforcing a court judgment abroad. Dividends or interest on, or proceeds from the sale of, foreign securities may be subject to non-U.S.
withholding taxes, and special U.S. tax considerations may apply.
The risks of foreign investment are greater for investments in emerging markets. The
Fund considers an investment to be in an emerging market if the local currency long-term debt rating assigned by all NRSROs to debt issued by that country is below A-. Emerging market countries typically have
economic and political systems that are less fully developed, and that can be expected to be less stable, than those of more advanced countries. Low trading volumes may result in a lack of liquidity and in price volatility. Emerging market countries
may have policies that restrict investment by foreigners, that require governmental approval prior to investments by foreign persons, or that prevent foreign investors from withdrawing their money at will. An investment in emerging market securities
should be considered speculative.
Currency Risk. The value of investments in securities denominated in foreign currencies increases or decreases
as the rates of exchange between those currencies and the U.S. dollar change. Currency conversion costs and currency fluctuations could erase investment gains or add to investment losses. Currency exchange rates can be volatile, and are affected by
factors such as general economic conditions, the actions of the U.S. and foreign governments or central banks, the imposition of currency controls and speculation. The Fund may be unable or may choose not to hedge its foreign currency exposure.
Management Risk. The Fund is subject to management risk because it is an actively managed investment portfolio. Western Asset and each individual
portfolio manager will apply investment techniques and risk analyses in making investment decisions for the Fund, but there can be no guarantee that these will produce the desired results.
Short Sales Risk. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, which may be
substantial. A fund that engages in a short sale or short position may lose more money than the actual cost of the short sale or short position and its potential losses may be unlimited if the fund does not own the security sold short or the
reference instrument and it is unable to close out of the short sale or short position.
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63
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Summary of information regarding the Fund (unaudited) (contd)
Credit Crisis Liquidity and Volatility Risk. The markets for credit instruments, including fixed income securities, have experienced periods of extreme
illiquidity and volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have also resulted in significant valuation uncertainties in a variety of debt securities,
including certain fixed income securities. These conditions resulted, and in many cases continue to result in greater volatility, less liquidity, widening credit spreads and a lack of price transparency, with many debt securities remaining illiquid
and of uncertain value. During times of reduced market liquidity, the Fund may not be able to sell securities readily at prices reflecting the values at which the securities are carried on the Funds books. Sales of large blocks of securities
by market participants, such as the Fund, that are seeking liquidity can further reduce security prices in an illiquid market. These market conditions may make valuation of some of the Funds securities uncertain and/or result in sudden and
significant valuation increases or decreases in its holdings. Illiquidity and volatility in the credit markets may directly and adversely affect the setting of dividend rates on the Common Stock.
Government Intervention in Financial Markets. The instability in the financial markets has led the U.S. government and foreign governments to take a number
of unprecedented actions designed to support certain financial institutions and segments of the financial markets that have experienced extreme volatility, and in some cases a lack of liquidity. U.S. federal and state governments and foreign
governments, their regulatory agencies or self regulatory organizations may take additional actions that affect the regulation of the securities in which the Fund invests, or the issuers of such securities, in ways that are unforeseeable. Issuers of
corporate fixed income securities might seek protection under the bankruptcy laws. Legislation or regulation may also change the way in which the Fund itself is regulated. Such legislation or regulation could limit or preclude the Funds
ability to achieve its investment objectives. Western Asset will monitor developments and seek to manage the Funds portfolio in a manner consistent with achieving the Funds investment objectives, but there can be no assurance that it
will be successful in doing so.
Limited Term Risk. Unless the termination date is amended by stockholders in accordance with the Articles, the
Fund will be terminated on or about December 2, 2024. The Fund does not seek to return $20 per share upon termination. As the assets of the Fund will be liquidated in connection with its termination, the Fund may be required to sell portfolio
securities when it otherwise would not, including at times when market conditions are not favorable, which may cause the Fund to lose money. As the Fund approaches its termination date, the portfolio composition of the Fund may change, which may
cause the Funds returns to decrease and the market price of the Common Stock to fall. Rather than reinvesting the
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proceeds of its securities, the Fund may distribute the proceeds in one or more liquidating distributions prior to the
final liquidation, which may cause the Funds fixed expenses to increase when expressed as a percentage of net assets attributable to Common Stock, or the Fund may invest the proceeds in lower yielding securities or hold the proceeds in cash or
cash equivalents, which may adversely affect the performance of the Fund. Upon its termination, the Fund will distribute substantially all of its net assets to stockholders which may be more than, equal to or less than $20 per share.
Counterparty Risk. The Fund may enter into transactions with counterparties that become unable or unwilling to fulfill their contractual obligations. There
can be no assurance that any such counterparty will not default on its obligations to the Fund. In the event of a counterparty default, the Fund may be hindered or delayed in exercising rights against a counterparty and may experience significant
losses. To the extent that the Fund enters into multiple transactions with a single or small set of counterparties, the Fund will be subject to increased counterparty risk.
Inflation/Deflation Risk. Inflation risk is the risk that the value of certain assets or income from the Funds investments will be worth less in the future as inflation decreases the value of money. As
inflation increases, the real value of the Common Stock and distributions on the Common Stock can decline. In addition, during any periods of rising inflation, the dividend rates or borrowing costs associated with the Funds use of leverage
would likely increase, which would tend to further reduce returns to stockholders. Deflation risk is the risk that prices throughout the economy decline over timethe opposite of inflation. Deflation may have an adverse affect on the
creditworthiness of issuers and may make issuer defaults more likely, which may result in a decline in the value of the Funds portfolio.
Leverage Risk. As a fundamental policy, the Fund will not leverage its capital structure by issuing senior securities such as preferred shares or debt
instruments. However, the Fund may borrow for temporary or emergency purposes as permitted by the 1940 Act. The Fund may take on leveraging risk by, among other things, purchasing securities on a when-issued or delayed delivery basis, entering into
credit default swaps or futures contracts, engaging in short sales or writing options on portfolio securities. When the Fund engages in transactions that have a leveraging effect on the Funds portfolio, the value of the Fund will be more
volatile and all other risks will tend to be compounded. This is because leverage generally magnifies the effect of any increase or decrease in the value of the Funds underlying asset or creates investment risk with respect to a larger pool of
assets than the Fund would otherwise have. Engaging in such transactions may cause the Fund to liquidate positions when it may not be advantageous to do so to satisfy its obligations or meet segregation requirements.
Market Events Risk. The market values of securities or other assets will fluctuate, sometimes sharply and unpredictably, due to changes in general market
conditions, overall
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65
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Summary of information regarding the Fund (unaudited) (contd)
economic trends or events, governmental actions or intervention, actions taken by the U.S. Federal Reserve or foreign central banks, market disruptions caused by
trade disputes or other factors, political developments, investor sentiment, the global and domestic effects of a pandemic, and other factors that may or may not be related to the issuer of the security or other asset. Economies and financial
markets throughout the world are increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, public health events, terrorism, natural disasters and other circumstances in one country or region could have
profound impacts on global economies or markets. As a result, whether or not the Fund invests in securities of issuers located in or with significant exposure to the countries directly affected, the value and liquidity of the Funds investments
may be negatively affected.
The rapid and global spread of a highly contagious novel coronavirus respiratory disease, designated COVID-19, first detected in China in December 2019, has resulted in extreme volatility in the financial markets and severe losses; reduced liquidity of many instruments; restrictions on international and, in some
cases, local travel, significant disruptions to business operations (including business closures); strained healthcare systems; disruptions to supply chains, consumer demand and employee availability; and widespread uncertainty regarding the
duration and long-term effects of this pandemic. Some sectors of the economy and individual issuers have experienced particularly large losses. In addition, the COVID-19 pandemic may result in a sustained
economic downturn or a global recession, domestic and foreign political and social instability, damage to diplomatic and international trade relations and increased volatility and/or decreased liquidity in the securities markets. The ultimate
economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. Certain risks, such as interest rate risk, credit risk, liquidity risk and counterparty risk, may be heightened as
a result of such market events. The U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, are taking extraordinary actions to support local and global economies and the financial markets in response to
the COVID-19 pandemic, including by pushing interest rates to very low levels. This and other government intervention into the economy and financial markets to address the
COVID-19 pandemic may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results. The COVID-19
pandemic could adversely affect the value and liquidity of the Funds investments and negatively impact the Funds performance. In addition, the outbreak of COVID-19, and measures taken to mitigate
its effects, could result in disruptions to the services provided to the Fund by its service providers.
When-Issued and Delayed-Delivery Transactions
Risk. The Fund may purchase corporate fixed income securities on a when-issued basis, and may purchase or sell those securities for delayed delivery. When-issued and delayed-delivery transactions occur when securities are purchased or sold by
the Fund with payment and delivery taking place in the future to
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secure an advantageous yield or price. Securities purchased on a when-issued or delayed-delivery basis may expose the
Fund to counterparty risk of default as well as the risk that securities may experience fluctuations in value prior to their actual delivery. The Fund will not accrue income with respect to a when-issued or delayed-delivery security prior to its
stated delivery date. Purchasing securities on a when-issued or delayed-delivery basis can involve the additional risk that the price or yield available in the market when the delivery takes place may not be as favorable as that obtained in the
transaction itself. Similar concerns arise for securities sold on a delayed-delivery basis.
Market Price Discount from Net Asset Value. Shares of
closed-end investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Funds net asset value could decrease as a result of
its investment activities and may be a greater risk to investors expecting to sell their Common Stock in a relatively short period following completion of this offering. Whether investors will realize gains or losses upon the sale of the Common
Stock will depend not upon the Funds net asset value but upon whether the market price of the Common Stock at the time of sale is above or below the investors purchase price for the Common Stock.
Because the market price of the Common Stock will be determined by factors such as relative supply of and demand for the Common Stock in the market, general market
and economic conditions and other factors beyond the control of the Fund, the Fund cannot predict whether the Common Stock will trade at, above or below net asset value or at, above or below the initial public offering price. The Funds Common
Stock is designed primarily for long term investors and you should not view the Fund as a vehicle for trading purposes.
Portfolio Turnover Risk.
Changes to the investments of the Fund may be made regardless of the length of time particular investments have been held. A high portfolio turnover rate may result in increased transaction costs for the Fund in the form of increased dealer
spreads and other transactional costs, which may have an adverse impact on the Funds performance. The portfolio turnover rate of the Fund will vary from year to year, as well as within a year.
Non-Diversification Risk. The Fund is classified as
non-diversified under the 1940 Act. As a result, it can invest a greater portion of its assets in obligations of a single issuer than a diversified fund. The Fund may therefore be more
susceptible than a diversified fund to being adversely affected by any single corporate, economic, political or regulatory occurrence. The Fund intends to qualify for the special tax treatment available to regulated investment companies
under Subchapter M of the Code, and thus intends to satisfy the diversification requirements of Subchapter M, including the less stringent diversification requirement that applies to the percent of its total assets that are represented by cash and
cash items (including receivables), U.S. government securities, the securities of other regulated investment companies and certain other securities.
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Western Asset Investment Grade Defined Opportunity Trust Inc.
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67
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Summary of information regarding the Fund (unaudited) (contd)
Anti-Takeover Provisions Risk. The Funds Charter and Bylaws include provisions that are designed to limit the ability of other entities or persons to
acquire control of the Fund for short-term objectives, including by converting the Fund to open-end status or changing the composition of the Board, that may be detrimental to the Funds ability to
achieve its primary investment objective. Such provisions may limit the ability of shareholders to sell their shares at a premium over prevailing market prices by discouraging a third party from seeking to obtain control of the Fund. There can be no
assurance, however, that such provisions will be sufficient to deter activist investors that seek to cause the Fund to take actions that may not be aligned with the interests of long-term shareholders.
Temporary Defensive Strategies Risk. When Western Asset anticipates unusual market or other conditions, the Fund may temporarily depart from its principal
investment strategies as a defensive measure and invest all or a portion of its assets in cash or short-term fixed-income securities. To the extent that the Fund invests defensively, it may not achieve its investment objectives.
Operational risk. The valuation of the Funds investments may be negatively impacted because of the operational risks arising from factors such as
processing errors and human errors, inadequate or failed internal or external processes, failures in systems and technology, changes in personnel, and errors caused by third party service providers or trading counterparties. It is not possible to
identify all of the operational risks that may affect the Fund or to develop processes and controls that completely eliminate or mitigate the occurrence of such failures. The Fund and its shareholders could be negatively impacted as a result.
Cybersecurity risk. Cybersecurity incidents, both intentional and unintentional, may allow an unauthorized party to gain access to Fund assets,
Fund or proprietary information, cause the Fund, the Funds manager and subadvisers and/or their service providers to suffer data breaches, data corruption or loss of operational functionality or prevent fund investors from purchasing,
redeeming or exchanging shares or receiving distributions. The Fund, manager and subadvisers have limited ability to prevent or mitigate cybersecurity incidents affecting third party service providers, and such third party service providers may have
limited indemnification obligations to the Fund or the manager. Cybersecurity incidents may result in financial losses to the Fund and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
Issuers of securities in which the Fund invests are also subject to cybersecurity risks, and the value of these securities could decline if the issuers experience cybersecurity incidents.
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More Information
For a complete list of the Funds fundamental investment restrictions and more detailed descriptions of the Funds investment policies, strategies and risks, see the Funds registration statement on
Form N-2 that was declared effective by the SEC on June 25, 2009, as amended or superseded by subsequent disclosures. The Funds fundamental investment restrictions may not be changed without the
approval of the holders of a majority of the outstanding voting securities, as defined in the 1940 Act.
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Western Asset Investment Grade Defined Opportunity Trust Inc.
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69
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Dividend reinvestment plan (unaudited)
Unless you elect to receive distributions in cash (i.e., opt-out), all dividends, including any capital gain dividends and
return of capital distributions, on your Common Stock will be automatically reinvested by Computershare Trust Company, N.A., as agent for the stockholders (the Plan Agent), in additional shares of Common Stock under the Funds
Dividend Reinvestment Plan (the Plan). You may elect not to participate in the Plan by contacting the Plan Agent. If you do not participate, you will receive all cash distributions paid by check mailed directly to you by Computershare
Trust Company, N.A., as dividend paying agent.
If you participate in the Plan, the number of shares of Common Stock you will receive will be determined
as follows:
(1) If the market price of the Common Stock (plus $0.03 per share commission) on the payment date (or, if the payment date
is not a NYSE trading day, the immediately preceding trading day) is equal to or exceeds the net asset value per share of the Common Stock at the close of trading on the NYSE on the payment date, the Fund will issue new Common Stock at a price equal
to the greater of (a) the net asset value per share at the close of trading on the NYSE on the payment date or (b) 95% of the market price per share of the Common Stock on the payment date.
(2) If the net asset value per share of the Common Stock exceeds the market price of the Common Stock (plus $0.03 per share commission) at the close
of trading on the NYSE on the payment date, the Plan Agent will receive the dividend or distribution in cash and will buy Common Stock in the open market, on the NYSE or elsewhere, for your account as soon as practicable commencing on the trading
day following the payment date and terminating no later than the earlier of (a) 30 days after the dividend or distribution payment date, or (b) the payment date for the next succeeding dividend or distribution to be made to the stockholders;
except when necessary to comply with applicable provisions of the federal securities laws. If during this period: (i) the market price (plus $0.03 per share commission) rises so that it equals or exceeds the net asset value per share of the
Common Stock at the close of trading on the NYSE on the payment date before the Plan Agent has completed the open market purchases or (ii) if the Plan Agent is unable to invest the full amount eligible to be reinvested in open market purchases,
the Plan Agent will cease purchasing Common Stock in the open market and the Fund shall issue the remaining Common Stock at a price per share equal to the greater of (a) the net asset value per share at the close of trading on the NYSE on the
day prior to the issuance of shares for reinvestment or (b) 95% of the then current market price per share.
Common Stock in your account will be held by
the Plan Agent in non-certificated form. Any proxy you receive will include all shares of Common Stock you have received under the Plan. You may withdraw from the Plan (i.e.,
opt-out) by notifying the Plan Agent in writing at 462 South 4th Street, Suite 1600, Louisville, KY 40202 or by calling the Plan Agent at 1-888-888-0151. Such withdrawal will be effective immediately if notice is received by the Plan Agent not less than ten business days prior to any dividend or distribution record date; otherwise such
withdrawal will be effective as soon as practicable after the Plan Agents investment of the most recently declared dividend or distribution on the Common Stock.
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Western Asset Investment Grade Defined Opportunity Trust Inc.
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Plan participants who sell their shares will be charged a service charge (currently $5.00 per transaction) and the
Plan Agent is authorized to deduct brokerage charges actually incurred from the proceeds (currently $0.05 per share commission). There is no service charge for reinvestment of your dividends or distributions in Common Stock. However, all
participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. Because all dividends and distributions will be automatically reinvested in additional shares of Common Stock, this
allows you to add to your investment through dollar cost averaging, which may lower the average cost of your Common Stock over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Funds net asset
value declines. While dollar cost averaging has definite advantages, it cannot assure profit or protect against loss in declining markets.
Automatically
reinvesting dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Investors will be subject to income tax on amounts reinvested under the Plan.
The Fund reserves the right to amend or terminate the Plan if, in the judgment of the Board of Directors, the change is warranted. The Plan may be terminated,
amended or supplemented by the Fund upon notice in writing mailed to stockholders at least 30 days prior to the record date for the payment of any dividend or distribution by the Fund for which the termination or amendment is to be effective. Upon
any termination, you will be sent cash for any fractional share of Common Stock in your account. You may elect to notify the Plan Agent in advance of such termination to have the Plan Agent sell part or all of your Common Stock on your behalf.
Additional information about the Plan and your account may be obtained from the Plan Agent at 462 South 4th Street, Suite 1600, Louisville, KY 40202 or by calling the Plan Agent at 1-888-888-0151.
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Western Asset Investment Grade Defined Opportunity Trust Inc.
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71
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Important
tax information (unaudited)
The following information is provided with
respect to the distributions paid during the taxable year ended November 30, 2020:
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Record date:
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12/20/2019
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Monthly
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Payable date:
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12/31/2019
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January 2020 through
November 2020
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Ordinary income:
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Qualified Dividend Income for Individuals
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3.21
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%
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4.09
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%
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Dividends Qualifying for the Dividends
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Received Deduction for Corporations
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2.98
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%
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4.09
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%
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Qualified Interest Income Percentage *
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40.00
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%
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74.00
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%
|
Long-Term Capital Gain Dividend
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$0.007980
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Qualified Short-Term Capital Gain Dividend **
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$0.032884
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*
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Represents the ordinary income distribution that is eligible for exemption from U.S. withholding tax for nonresident shareholders and foreign
corporations.
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**
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Qualified Short-Term Capital Gain dividend is eligible for exemption from U.S. withholding tax for nonresident shareholders and foreign corporations.
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Western Asset Investment Grade Defined Opportunity Trust Inc.
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Western Asset
Investment Grade Defined Opportunity Trust Inc.
Directors
Robert D. Agdern
Carol L. Colman
Daniel P. Cronin
Paolo M. Cucchi
William R. Hutchinson
Eileen A. Kamerick
Nisha Kumar
Jane Trust
Chairman
Officers
Jane Trust
President and Chief Executive
Officer
Christopher Berarducci
Treasurer and Principal Financial
Officer
Fred Jensen*
Chief Compliance Officer
Jenna Bailey
Identity Theft Prevention Officer
George P. Hoyt**
Secretary and Chief Legal Officer
Thomas C.
Mandia
Assistant Secretary
Jeanne M. Kelly
Senior Vice President
Western Asset Investment Grade Defined Opportunity Trust Inc.
620 Eighth Avenue
47th Floor
New York, NY 10018
Investment manager
Legg Mason Partners Fund Advisor, LLC
Subadvisers
Western Asset Management Company, LLC
Western Asset Management
Company Limited
Western Asset Management Company Ltd
Western Asset Management Company Pte. Ltd.
Custodian
The Bank of New York Mellon
Transfer agent
Computershare
Inc.
462 South 4th Street, Suite 1600
Louisville, KY
40202
Independent registered public accounting firm
PricewaterhouseCoopers LLP
Baltimore, MD
Legal counsel
Simpson Thacher & Bartlett LLP
425 Lexington Avenue
New York, NY 10017
New York Stock Exchange Symbol
IGI
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Effective April 17, 2020, Mr. Jensen became Chief Compliance Officer.
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**
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Effective August 13, 2020, Mr. Hoyt became Secretary and Chief Legal Officer.
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Legg Mason Funds Privacy and Security Notice
Your Privacy and the Security of Your Personal Information is Very Important to the Legg Mason Funds
This Privacy and Security Notice (the Privacy Notice) addresses the Legg Mason Funds privacy and data protection practices with respect to
nonpublic personal information the Funds receive. The Legg Mason Funds include any funds sold by the Funds distributor, Legg Mason Investor Services, LLC, as well as Legg Mason-sponsored closed-end
funds. The provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.
The Type of Nonpublic Personal Information the Funds Collect About You
The Funds collect and maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not
limited to:
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Personal information included on applications or other forms;
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Account balances, transactions, and mutual fund holdings and positions;
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Bank account information, legal documents, and identity verification documentation;
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Online account access user IDs, passwords, security challenge question responses; and
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Information received from consumer reporting agencies regarding credit history and creditworthiness (such as the amount of an individuals total debt,
payment history, etc.).
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How the Funds Use Nonpublic Personal Information About You
The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, or with other financial
institutions or affiliates for joint marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have
authorized or as permitted or required by law.
The Funds may disclose information about you to:
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Employees, agents, and affiliates on a need to know basis to enable the Funds to conduct ordinary business, or to comply with obligations to
government regulators;
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Service providers, including the Funds affiliates, who assist the Funds as part of the ordinary course of business (such as printing, mailing services, or
processing or servicing your account with us) or otherwise perform services on the Funds behalf, including companies that may perform statistical analysis, market research and marketing services solely for the Funds;
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Permit access to transfer, whether in the United States or countries outside of the United States to such Funds employees, agents and affiliates and
service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;
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The Funds representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary business, or to comply with obligations
to government regulators;
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NOT PART OF THE ANNUAL REPORT
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Legg Mason Funds Privacy and Security Notice (contd)
Except as otherwise permitted by applicable law, companies acting on the Funds
behalf, including those outside the United States, are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them
to perform. The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or required by applicable law, such as in connection with a law enforcement or regulatory
request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to disclose your nonpublic personal information to third parties. While it is the Funds
practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain unchanged.
Keeping You Informed of the Funds Privacy and Security Practices
The Funds will notify
you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time they will notify you promptly if this privacy policy changes.
The Funds Security Practices
The
Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds internal data security policies restrict access to your nonpublic personal information to authorized
employees, who may use your nonpublic personal information for Fund business purposes only.
Although the Funds strive to protect your nonpublic
personal information, they cannot ensure or warrant the security of any information you provide or transmit to them, and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information,
the Funds will attempt to notify you as necessary, so you can take appropriate protective steps. If you have consented to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances
using the most current email address you have on record with them.
In order for the Funds to provide effective service to you, keeping your account
information accurate is very important. If you believe that your account information is incomplete, not accurate or not current, if you have questions about the Funds privacy practices, or our use of your nonpublic personal information, write
the Funds using the contact information on your account statements, email the Funds by clicking on the Contact Us section of the Funds website at www.leggmason.com, or contact the Fund at 1-888-777-0102.
Revised April 2018
Legg Mason California Consumer Privacy Act Policy
Although much of the personal information we collect is nonpublic personal information subject to federal law, residents of California may, in certain circumstances, have additional rights under the
California Consumer Privacy Act (CCPA). For example, if you are a broker,
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NOT PART OF THE ANNUAL REPORT
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Legg Mason Funds Privacy and Security Notice (contd)
dealer, agent, fiduciary, or representative acting by or on behalf of, or for, the
account of any other person(s) or household, or a financial advisor, or if you have otherwise provided personal information to us separate from the relationship we have with personal investors, the provisions of this Privacy Policy apply to your
personal information (as defined by the CCPA).
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In addition to the provisions of the Legg Mason Funds Security and Privacy Notice, you may have the right to know the categories and specific pieces of personal
information we have collected about you.
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You also have the right to request the deletion of the personal information collected or maintained by the Funds.
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If you wish to exercise any of the rights you have in respect of your personal information, you should advise the Funds by contacting them as set forth below. The
rights noted above are subject to our other legal and regulatory obligations and any exemptions under the CCPA. You may designate an authorized agent to make a rights request on your behalf, subject to the identification process described below. We
do not discriminate based on requests for information related to our use of your personal information, and you have the right not to receive discriminatory treatment related to the exercise of your privacy rights.
We may request information from you in order to verify your identity or authority in making such a request. If you have appointed an authorized agent to make a
request on your behalf, or you are an authorized agent making such a request (such as a power of attorney or other written permission), this process may include providing a password/passcode, a copy of government issued identification, affidavit or
other applicable documentation, i.e. written permission. We may require you to verify your identity directly even when using an authorized agent, unless a power of attorney has been provided. We reserve the right to deny a request submitted by an
agent if suitable and appropriate proof is not provided.
For the 12-month period prior to the date of this
Privacy Policy, the Legg Mason Funds have not sold any of your personal information; nor do we have any plans to do so in the future.
Contact
Information
Address: Data Privacy Officer, 100 International Dr., Baltimore, MD 21202
Email: DataProtectionOfficer@franklintempleton.com
Phone: 1-800-396-4748
Revised October 2020
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NOT PART OF THE ANNUAL REPORT
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Western Asset Investment Grade Defined Opportunity Trust Inc.
Western Asset Investment Grade Defined Opportunity Trust Inc.
620
Eighth Avenue
47th Floor
New York, NY 10018
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase, at
market prices, shares of its stock.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission
(SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds Forms N-PORT are available on the
SECs website at www.sec.gov. To obtain information on Form N-PORT, shareholders can call the Fund at
1-888-777-0102.
Information on
how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to
vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling 1-888-777-0102,
(2) at www.lmcef.com and (3) on the SECs website at www.sec.gov.
This report is transmitted to the shareholders of Western Asset Investment
Grade Defined Opportunity Trust Inc. for their information. This is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
Computershare Inc.
462 South 4th Street, Suite 1600
Louisville, KY 40202
WASX012164 1/21 SR20-4055
An investment adviser is
required to adopt and implement policies and procedures that we believe are reasonably designed to ensure that proxies are voted in the best interest of clients, in accordance with fiduciary duties and SEC Rule
206(4)-6 under the Investment Advisers Act of 1940 (Advisers Act). The authority to vote the proxies of our clients is established through investment management agreements or comparable documents.
In addition to SEC requirements governing advisers, long-standing fiduciary standards and responsibilities have been established for ERISA accounts. Unless a manager of ERISA assets has been expressly precluded from voting proxies, the Department of
Labor has determined that the responsibility for these votes lies with the investment manager.
As a fixed income only manager, the occasion to vote proxies is very rare. However, the Firm has adopted and implemented policies and
procedures that we believe are reasonably designed to ensure that proxies are voted in the best interest of clients, in accordance with our fiduciary duties and SEC Rule 206(4)- 6 under the Investment Advisers Act of 1940 (Advisers Act).
In addition to SEC requirements governing advisers, our proxy voting policies reflect the long-standing fiduciary standards and responsibilities for ERISA accounts. Unless a manager of ERISA assets has been expressly precluded from voting proxies,
the Department of Labor has determined that the responsibility for these votes lies with the Investment Manager.
While the guidelines included in the procedures are intended to provide a benchmark for voting
standards, each vote is ultimately cast on a case-by-case basis, taking into consideration the Firms contractual obligations to our clients and all other relevant
facts and circumstances at the time of the vote (such that these guidelines may be overridden to the extent the Firm deems appropriate).
In exercising its voting authority, Western Asset will not consult or enter into agreements with officers, directors or employees of Legg
Mason Inc. or any of its affiliates (other than Western Asset affiliated companies) regarding the voting of any securities owned by its clients.
The Western Asset Legal and Compliance Department (Compliance Department) is responsible for administering and overseeing the proxy
voting process. The gathering of proxies is coordinated through the Corporate Actions area of Investment Support (Corporate Actions). Research analysts and portfolio managers are responsible for determining appropriate voting positions
on each proxy utilizing any applicable guidelines contained in these procedures.
Registered owners of record, client custodians, client banks and trustees (Proxy Recipients) that receive proxy materials on behalf
of clients should forward them to Corporate Actions. Proxy Recipients for new clients (or, if Western Asset becomes aware that the applicable Proxy Recipient for an existing client has changed, the Proxy Recipient for the existing client) are
notified at start-up of appropriate routing to Corporate Actions of proxy materials received and reminded of their responsibility to forward all proxy materials on a timely basis. If Western Asset personnel
other than Corporate Actions receive proxy materials, they should promptly forward the materials to Corporate Actions.
Once proxy materials are received by Corporate Actions, they are forwarded to the Legal and Compliance Department for coordination and the
following actions:
Western Asset personnel act in such a manner to ensure that, absent special circumstances, the proxy gathering, and proxy voting steps noted
above can be completed before the applicable deadline for returning proxy votes.
Records are maintained in an easily accessible place for five years, the first two in Western Assets offices.
Western Assets proxy
policies are described in the firms Part 2A of Form ADV. Clients will be provided a copy of these policies and procedures upon request. In addition, upon request, clients may receive reports on how their proxies have been voted.
All proxies are reviewed
by the Legal and Compliance Department for material conflicts of interest.
Western Assets substantive voting decisions turn on the particular facts and circumstances of each proxy vote and are evaluated by the
designated research analyst or portfolio manager. The examples outlined below are meant as guidelines to aid in the decision making process.
Guidelines are grouped according to the types of proposals generally presented to shareholders. Part I deals with proposals which have been
approved and are recommended by a companys board of directors; Part II deals with proposals submitted by shareholders for inclusion in proxy statements; Part III addresses issues relating to voting shares of investment companies; and Part IV
addresses unique considerations pertaining to foreign issuers.
The vast majority of matters presented to shareholders for a vote involve proposals made by a company itself that have been approved and
recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies, Western Asset generally votes in support of decisions reached by independent boards of directors. More
specific guidelines related to certain board-approved proposals are as follows:
Western Asset votes proxies for the election of the companys nominees for directors and for board- approved proposals on
other matters relating to the board of directors with the following exceptions:
Western Asset generally favors compensation programs that relate executive compensation to a companys long-term
performance. Votes are cast on a case-by-case basis on board-approved proposals relating to executive compensation, except as follows:
The management of a companys capital structure involves a number of important issues, including cash flows, financing
needs and market conditions that are unique to the circumstances of each company. As a result, Western Asset votes on a case-by-case basis on board-approved proposals
involving changes to a companys capitalization except where Western Asset is otherwise withholding votes for the entire board of directors.
Western Asset votes against board-approved proposals to adopt anti-takeover measures except as follows:
Western Asset votes for board-approved proposals approving such routine business matters such as changing the companys
name, ratifying the appointment of auditors and procedural matters relating to the shareholder meeting.
SEC regulations permit shareholders to submit proposals for inclusion in a companys proxy statement. These proposals generally seek to
change some aspect of a companys corporate governance structure or to change some aspect of its business operations. Western Asset votes in accordance with the recommendation of the companys board of directors on all shareholder
proposals, except as follows:
For accounts subject
to ERISA, as well as other Retirement Accounts, Western Asset is presumed to have the responsibility to vote proxies for the client. The Department of Labor (DOL) has issued a bulletin that states that investment managers have the
responsibility to vote proxies on behalf of Retirement Accounts unless the authority to vote proxies has been specifically reserved to another named fiduciary. Furthermore, unless Western Asset is expressly precluded from voting the proxies, the DOL
has determined that the responsibility remains with the investment manager.
In order to comply with the DOLs position, Western
Asset will be presumed to have the obligation to vote proxies for its Retirement Accounts unless Western Asset has obtained a specific written instruction indicating that: (a) the right to vote proxies has been reserved to a named fiduciary of
the client, and (b) Western Asset is precluded from voting proxies on behalf of the client. If Western Asset does not receive such an instruction, Western Asset will be responsible for voting proxies in the best interests of the Retirement
Account client and in accordance with any proxy voting guidelines provided by the client.
While the guidelines included in the procedures are intended to provide a benchmark for voting standards, each vote is ultimately cast on a case-by-case basis, taking into consideration the Firms contractual obligations to our clients and all other relevant facts and circumstances at the time of the vote
(such that these guidelines may be overridden to the extent the Firm deems appropriate).
In exercising its voting authority, Western
Asset will not consult or enter into agreements with officers, directors or employees of Legg Mason Inc. or any of its affiliates (other than Western Asset affiliated companies) regarding the voting of any securities owned by its clients.
The Western
Asset Legal and Compliance Department (Compliance Department) is responsible for administering and overseeing the proxy voting process. The gathering of proxies is coordinated through the Corporate Actions area of Investment Support
(Corporate Actions). Research analysts and portfolio managers are responsible for determining appropriate voting positions on each proxy utilizing any applicable guidelines contained in these procedures.
Registered owners of
record, client custodians, client banks and trustees (Proxy Recipients) that receive proxy materials on behalf of clients should forward them to Corporate Actions. Proxy Recipients for new clients (or, if Western Asset becomes aware that
the applicable Proxy Recipient for an existing client has changed, the Proxy Recipient for the existing client) are notified at start-up of appropriate routing to Corporate Actions of proxy materials received
and reminded of their responsibility to forward all proxy materials on a timely basis. If Western Asset personnel other than Corporate Actions receive proxy materials, they should promptly forward the materials to Corporate Actions.
Once proxy materials are
received by Corporate Actions, they are forwarded to the Legal and Compliance Department for coordination and the following actions:
Western Asset personnel act in such a manner to ensure that, absent special circumstances, the proxy gathering and proxy voting steps noted
above can be completed before the applicable deadline for returning proxy votes.
Records are maintained in an easily accessible place for five years, the first two in Western Assets offices.
Western Assets proxy
policies are described in the firms Part 2A of Form ADV. Clients will be provided a copy of these policies and procedures upon request. In addition, upon request, clients may receive reports on how their proxies have been voted.
All proxies are
reviewed by the Legal and Compliance Department for material conflicts of interest. Issues to be reviewed include, but are not limited to:
Western Assets substantive voting decisions turn on the particular facts and circumstances of each proxy vote and are evaluated by the
designated research analyst or portfolio manager. The examples outlined below are meant as guidelines to aid in the decision making process.
Guidelines are grouped according to the types of proposals generally presented to shareholders. Part I deals with proposals which have been
approved and are recommended by a companys board of directors; Part II deals with proposals submitted by shareholders for inclusion in proxy statements; Part III addresses issues relating to voting shares of investment companies; and Part IV
addresses unique considerations pertaining to foreign issuers.
The vast majority of matters presented to shareholders for a vote involve proposals made by a company itself that have been approved and
recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies, Western Asset generally votes in support of decisions reached by independent boards of directors. More
specific guidelines related to certain board-approved proposals are as follows:
SEC regulations permit shareholders to submit proposals for inclusion in a companys proxy statement. These proposals generally seek to
change some aspect of a companys corporate governance structure or to change some aspect of its business operations. Western Asset votes in accordance with the recommendation of the companys board of directors on all shareholder
proposals, except as follows:
For accounts subject
to ERISA, as well as other Retirement Accounts, Western Asset is presumed to have the responsibility to vote proxies for the client. The Department of Labor (DOL) has issued a bulletin that states that investment managers have the
responsibility to vote proxies on behalf of Retirement Accounts unless the authority to vote proxies has been specifically reserved to another named fiduciary.
Furthermore, unless Western Asset is expressly precluded from voting the proxies, the DOL has determined that the responsibility remains with the investment
manager.
In order to comply with the DOLs position, Western Asset will be presumed to have the obligation to vote proxies for its
Retirement Accounts unless Western Asset has obtained a specific written instruction indicating that: (a) the right to vote proxies has been reserved to a named fiduciary of the client, and (b) Western Asset is precluded from voting
proxies on behalf of the client. If Western Asset does not receive such an instruction, Western Asset will be responsible for voting proxies in the best interests of the Retirement Account client and in accordance with any proxy voting guidelines
provided by the client.
Western Asset must pay strict attention to any corporate actions that are taken with respect to issuers whose securities are held in client
accounts. For example, Western Asset must review any tender offers, rights offerings, etc., made in connection with securities owned by clients. Western Asset must also act in a timely manner and in the best interest of each client with respect to
any such corporate actions.
As a fixed income only
manager, the occasion to vote proxies for WAMJ is very rare. However, the Firm has adopted and implemented policies and procedures that we believe are reasonably designed to ensure that proxies are voted in the best interest of clients.
While the guidelines included in the procedures are intended to provide a benchmark for voting standards, each vote is ultimately cast on a case-by-case basis, taking into consideration the Firms contractual obligations to our clients and all other relevant facts and circumstances at the time of the vote
(such that these guidelines may be overridden to the extent the Firm deems appropriate).
In exercising its voting authority, WAMJ will
not consult or enter into agreements with officers, directors or employees of Legg Mason Inc. or any of its affiliates (other than Western Asset affiliated companies) regarding the voting of any securities owned by its clients.
The WAMJ Legal and Compliance Department (Compliance Department) is responsible for administering and overseeing the proxy voting
process. The gathering of proxies is coordinated through the Corporate Actions area of Investment Operations (Corporate Actions). Research analysts and portfolio managers are responsible for determining appropriate voting positions on
each proxy utilizing any applicable guidelines contained in these procedures.
Registered
owners of record, client custodians, client banks and trustees (Proxy Recipients) that receive proxy materials on behalf of clients should forward them to Corporate Actions. Proxy Recipients for new clients (or, if WAMJ becomes aware
that the applicable Proxy Recipient for an existing client has changed, the Proxy Recipient for the existing client) are notified at start-up of appropriate routing to Corporate Actions of proxy materials
received and reminded of their responsibility to forward all proxy materials on a timely basis. If WAMJ personnel other than Corporate Actions receive proxy materials, they should promptly forward the materials to Corporate Actions.
Once proxy materials are received
by Corporate Actions, they are forwarded to the Legal and Compliance Department for coordination and the following actions:
WAMJ personnel act in such a manner to ensure that, absent special circumstances, the proxy gathering and proxy voting steps noted above can be
completed before the applicable deadline for returning proxy votes.
WAMJ maintains records of proxies. These records include:
Records are maintained in an easily accessible place for five years, the first two in WAMJs offices.
WAMJs proxy policies are
described in the firms Part 2A of Form ADV. Clients will be provided a copy of these policies and procedures upon request. In addition, upon request, clients may receive reports on how their proxies have been voted.
All proxies are reviewed
by the Legal and Compliance Department for material conflicts of interest. Issues to be reviewed include, but are not limited to:
WAMJs substantive voting decisions turn on the particular facts and circumstances of each proxy vote and are evaluated by the designated
research analyst or portfolio manager. The examples outlined below are meant as guidelines to aid in the decision making process.
Guidelines are grouped according to the types of proposals generally presented to shareholders. Part I deals with proposals which have been
approved and are recommended by a companys board of directors; Part II deals with proposals submitted by shareholders for inclusion in proxy statements; Part III addresses issues relating to voting shares of investment companies; and Part IV
addresses unique considerations pertaining to foreign issuers.
The vast majority of matters presented to shareholders for a vote involve proposals made by a company itself that have been approved and
recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies, WAMJ generally votes in support of decisions reached by independent boards of directors. More specific
guidelines related to certain board-approved proposals are as follows:
WAMJ votes proxies for the election of the companys nominees for directors and for board-approved proposals on other matters relating to
the board of directors with the following exceptions:
WAMJ generally favors compensation programs that relate executive compensation to a companys long- term performance. Votes are cast on a case-by-case basis on board-approved proposals relating to executive compensation, except as follows:
The management of a companys capital structure involves a number of important issues, including cash flows, financing needs and market
conditions that are unique to the circumstances of each company. As a result, WAMJ votes on a case-by-case basis on board-approved proposals involving changes to a
companys capitalization except where WAMJ is otherwise withholding votes for the entire board of directors.
WAMJ votes against board-approved proposals to adopt anti-takeover measures except as follows:
WAMJ votes for board-approved proposals approving such routine business matters such as changing the companys name, ratifying the
appointment of auditors and procedural matters relating to the shareholder meeting.
SEC regulations permit shareholders to submit proposals for inclusion in a companys proxy statement. These proposals generally seek to
change some aspect of a companys corporate governance structure or to change some aspect of its business operations. WAMJ votes in accordance with the recommendation of the companys board of directors on all shareholder proposals, except
as follows:
WAMS has adopted and
implemented policies and procedures that we believe are reasonably designed to ensure that proxies are voted in the best interest of clients, in accordance with our fiduciary duties and the applicable laws and regulations. In addition to SEC
requirements governing advisers, our proxy voting policies reflect the long-standing fiduciary standards and responsibilities for ERISA accounts.
While the guidelines included in the procedures are intended to provide a benchmark for voting standards, each vote is ultimately cast on a case-by-case basis, taking into consideration the Firms contractual obligations to our clients and all other relevant facts and circumstances at the time of the vote
(such that these guidelines may be overridden to the extent the Firm deems appropriate).
In exercising its voting authority, WAMS will
not consult or enter into agreements with officers, directors or employees of Legg Mason Inc. or any of its affiliates (other than Western Asset affiliated companies) regarding the voting of any securities owned by its clients.
The Western Asset Legal and Compliance Department is responsible for administering and overseeing the proxy voting process. The gathering of
proxies is coordinated through the Corporate Actions area of Investment Support (Corporate Actions). Research analysts and portfolio managers are responsible for determining appropriate voting positions on each proxy utilizing any
applicable guidelines contained in these procedures.
Registered owners of record, client custodians, client banks and trustees (Proxy Recipients) that receive proxy materials on behalf
of clients should forward them to Corporate Actions. Proxy Recipients for new clients (or, if Western Asset becomes aware that the applicable Proxy Recipient for an existing client has changed, the Proxy Recipient for the existing client) are
notified at start-up of appropriate routing to Corporate Actions of proxy materials received and reminded of their responsibility to forward all proxy materials on a timely basis. If Western Asset personnel
other than Corporate Actions receive proxy materials, they should promptly forward the materials to Corporate Actions.
Once
proxy materials are received by Corporate Actions, they are forwarded to the Legal and Compliance Department for coordination and the following actions:
Western Asset personnel act in such a manner to ensure that, absent special circumstances, the proxy gathering and proxy voting steps noted
above can be completed before the applicable deadline for returning proxy votes.
Records are maintained in an easily accessible place for five years, the first two in Western Assets offices.
Western
Assets proxy policies are described in the firms Part 2A of Form ADV. Clients will be provided a copy of these policies and procedures upon request. In addition, upon request, clients may receive reports on how their proxies have been
voted.
All proxies are reviewed by the Legal and Compliance Department for material conflicts of interest. Issues to be reviewed include, but are not
limited to:
Western Assets substantive voting decisions turn on the particular facts and circumstances of each proxy vote and are evaluated by the
designated research analyst or portfolio manager. The examples outlined below are meant as guidelines to aid the decision making process.
Guidelines are grouped according to the types of proposals generally presented to shareholders. Part 1 deals with proposals which have been
approved and are recommended by a companys board of directors; Part 2 deals with proposals submitted by shareholders for inclusion in proxy statements; Part 3 addresses issues relating to voting shares of investment companies; and Part 4
addresses unique considerations pertaining to foreign issuers
The vast majority of matters presented to shareholders for a vote involve proposals made by a company itself that have been
approved and recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies, Western Asset generally votes in support of decisions reached by independent boards of
directors. More specific guidelines related to certain board-approved proposals are as follows:
SEC regulations permit shareholders to submit proposals for inclusion in a companys proxy statement. These proposals generally seek to
change some aspect of a companys corporate governance structure or to change some aspect of its business operations. Western Asset votes in accordance with the recommendation of the companys board of directors on all shareholder
proposals, except as follows:
For accounts subject to ERISA, as well as other Retirement Accounts, Western Asset is presumed to have the responsibility to vote proxies for
the client. The Department of Labor (DOL) has issued a bulletin that states that investment managers have the responsibility to vote proxies on behalf of Retirement Accounts unless the authority to vote proxies has been specifically
reserved to another named fiduciary. Furthermore, unless Western Asset is expressly precluded from voting the proxies, the DOL has determined that the responsibility remains with the investment manager. In order to comply with the DOLs
position, Western Asset will be presumed to have the obligation to vote proxies for its Retirement Accounts unless Western Asset has obtained a specific written instruction indicating that: (1) the right to vote proxies has been reserved to a
named fiduciary of the client, and (2) Western Asset is precluded from voting proxies on behalf of the client. If Western Asset does not receive such an instruction, Western Asset will be responsible for voting proxies in the best interests of
the Retirement Account client and in accordance with any proxy voting guidelines provided by the client.