WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  
CORPORATE BONDS & NOTES - 92.6%           
COMMUNICATION SERVICES - 8.8%           

Diversified Telecommunication Services - 1.9%

          

AT&T Inc., Senior Notes

     4.300     2/15/30      $ 80,000      $ 72,873  

AT&T Inc., Senior Notes

     4.500     5/15/35        360,000        307,283  

AT&T Inc., Senior Notes

     6.350     3/15/40        50,000        47,657  

AT&T Inc., Senior Notes

     4.900     6/15/42        150,000        122,073  

AT&T Inc., Senior Notes

     4.800     6/15/44        210,000        167,778  

AT&T Inc., Senior Notes

     4.550     3/9/49        310,000        236,184  

AT&T Inc., Senior Notes

     3.300     2/1/52        120,000        73,919  

AT&T Inc., Senior Notes

     3.500     9/15/53        130,000        80,392  

AT&T Inc., Senior Notes

     3.800     12/1/57        130,000        82,437  

AT&T Inc., Senior Notes

     3.500     2/1/61        70,000        41,913  

British Telecommunications PLC, Senior Notes

     9.625     12/15/30        70,000        82,481  

Telefonica Emisiones SA, Senior Notes

     7.045     6/20/36        60,000        61,777  

Telefonica Europe BV, Senior Notes

     8.250     9/15/30        230,000        256,038  

Verizon Communications Inc., Senior Notes

     5.500     3/16/47        630,000        584,914  
          

 

 

 

Total Diversified Telecommunication Services

             2,217,719  
          

 

 

 

Entertainment - 1.8%

          

Walt Disney Co., Senior Notes

     6.550     3/15/33        545,000        576,200  

Walt Disney Co., Senior Notes

     7.750     12/1/45        130,000        155,867  

Warnermedia Holdings Inc., Senior Notes

     5.141     3/15/52        1,820,000        1,353,419  
          

 

 

 

Total Entertainment

             2,085,486  
          

 

 

 

Media - 3.7%

          

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

     4.500     5/1/32        580,000        455,806  

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

     6.384     10/23/35        110,000        102,558  

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

     3.500     3/1/42        80,000        49,489  

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

     6.484     10/23/45        260,000        227,213  

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

     5.375     5/1/47        350,000        266,954  

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

     5.750     4/1/48        70,000        55,946  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

1


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Media - (continued)

          

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

     5.250     4/1/53      $ 160,000      $ 119,728  

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

     3.950     6/30/62        80,000        45,440  

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

     5.500     4/1/63        210,000        155,542  

Comcast Corp., Senior Notes

     6.450     3/15/37        220,000        229,985  

Comcast Corp., Senior Notes

     6.950     8/15/37        160,000        173,667  

Comcast Corp., Senior Notes

     6.400     5/15/38        950,000        991,475  

DISH DBS Corp., Senior Secured Notes

     5.750     12/1/28        160,000        123,300 (a)  

Fox Corp., Senior Notes

     5.476     1/25/39        510,000        441,121  

Time Warner Cable Enterprises LLC, Senior Secured Notes

     8.375     7/15/33        410,000        441,041  

Time Warner Cable LLC, Senior Secured Notes

     6.550     5/1/37        180,000        163,375  

Time Warner Cable LLC, Senior Secured Notes

     7.300     7/1/38        200,000        192,801  

Time Warner Cable LLC, Senior Secured Notes

     6.750     6/15/39        10,000        9,160  

Time Warner Cable LLC, Senior Secured Notes

     5.500     9/1/41        50,000        39,145  
          

 

 

 

Total Media

             4,283,746  
          

 

 

 

Wireless Telecommunication Services - 1.4%

          

America Movil SAB de CV, Senior Notes

     6.125     3/30/40        850,000        841,936  

Sprint LLC, Senior Notes

     7.125     6/15/24        150,000        151,042  

T-Mobile USA Inc., Senior Notes

     4.375     4/15/40        60,000        48,239  

T-Mobile USA Inc., Senior Notes

     4.500     4/15/50        210,000        161,145  

T-Mobile USA Inc., Senior Notes

     3.400     10/15/52        230,000        143,793  

Vodafone Group PLC, Senior Notes

     5.250     5/30/48        210,000        179,552  

Vodafone Group PLC, Senior Notes

     4.250     9/17/50        10,000        7,257  
          

 

 

 

Total Wireless Telecommunication Services

             1,532,964  
          

 

 

 

TOTAL COMMUNICATION SERVICES

             10,119,915  
          

 

 

 
CONSUMER DISCRETIONARY - 5.5%           

Automobile Components - 0.3%

          

ZF North America Capital Inc., Senior Notes

     4.750     4/29/25        400,000        384,984 (a)  
          

 

 

 

Automobiles - 1.2%

          

Ford Motor Co., Senior Notes

     3.250     2/12/32        290,000        223,776  

Ford Motor Credit Co. LLC, Senior Notes

     2.700     8/10/26        400,000        357,348  

General Motors Co., Senior Notes

     6.125     10/1/25        190,000        189,876  

General Motors Co., Senior Notes

     6.600     4/1/36        170,000        165,344  

 

See Notes to Schedule of Investments.

 

 

 

2

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Automobiles - (continued)

          

General Motors Co., Senior Notes

     6.750     4/1/46      $ 270,000      $ 252,610  

Nissan Motor Co. Ltd., Senior Notes

     4.810     9/17/30        200,000        172,596 (a)  
          

 

 

 

Total Automobiles

             1,361,550  
          

 

 

 

Broadline Retail - 0.6%

          

Amazon.com Inc., Senior Notes

     3.950     4/13/52        330,000        255,301  

MercadoLibre Inc., Senior Notes

     2.375     1/14/26        470,000        429,449  
          

 

 

 

Total Broadline Retail

             684,750  
          

 

 

 

Diversified Consumer Services - 0.1%

          

Washington University, Senior Notes

     3.524     4/15/54        90,000        64,253  

Washington University, Senior Notes

     4.349     4/15/2122        110,000        82,302  
          

 

 

 

Total Diversified Consumer Services

             146,555  
          

 

 

 

Hotels, Restaurants & Leisure - 2.3%

          

Genting New York LLC/GENNY Capital Inc.,

          

Senior Notes

     3.300     2/15/26        550,000        488,246 (a)  

Marriott International Inc., Senior Notes

     3.600     4/15/24        200,000        197,567  

McDonald’s Corp., Senior Notes

     4.700     12/9/35        150,000        136,976  

McDonald’s Corp., Senior Notes

     4.875     12/9/45        230,000        199,379  

McDonald’s Corp., Senior Notes

     4.450     9/1/48        10,000        8,203  

Melco Resorts Finance Ltd., Senior Notes

     5.375     12/4/29        380,000        313,416 (a)  

Sands China Ltd., Senior Notes

     5.375     8/8/25        450,000        436,210  

Sands China Ltd., Senior Notes

     5.650     8/8/28        200,000        188,393  

Sands China Ltd., Senior Notes

     4.875     6/18/30        200,000        172,845  

Sands China Ltd., Senior Notes

     3.500     8/8/31        330,000        261,406  

Wynn Macau Ltd., Senior Notes

     5.500     10/1/27        240,000        214,433 (a)  
          

 

 

 

Total Hotels, Restaurants & Leisure

             2,617,074  
          

 

 

 

Household Durables - 0.4%

          

Lennar Corp., Senior Notes

     5.000     6/15/27        190,000        184,931  

MDC Holdings Inc., Senior Notes

     2.500     1/15/31        100,000        74,757  

MDC Holdings Inc., Senior Notes

     6.000     1/15/43        200,000        167,618  
          

 

 

 

Total Household Durables

             427,306  
          

 

 

 

Specialty Retail - 0.6%

          

Home Depot Inc., Senior Notes

     3.350     4/15/50        50,000        34,122  

Home Depot Inc., Senior Notes

     3.625     4/15/52        270,000        193,435  

Lithia Motors Inc., Senior Notes

     4.625     12/15/27        110,000        100,561 (a)  

Lithia Motors Inc., Senior Notes

     3.875     6/1/29        190,000        160,341 (a)  

Lowe’s Cos. Inc., Senior Notes

     3.750     4/1/32        80,000        69,304  

Lowe’s Cos. Inc., Senior Notes

     4.250     4/1/52        280,000        206,761  
          

 

 

 

Total Specialty Retail

             764,524  
          

 

 

 

TOTAL CONSUMER DISCRETIONARY

             6,386,743  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

3


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  
CONSUMER STAPLES - 3.7%           

Beverages - 1.4%

          

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes

     4.900     2/1/46      $ 840,000      $ 732,626  

Anheuser-Busch InBev Worldwide Inc., Senior Notes

     4.600     4/15/48        70,000        59,211  

Coca-Cola Co., Senior Notes

     4.125     3/25/40        180,000        152,262  

Coca-Cola Co., Senior Notes

     4.200     3/25/50        110,000        92,383  

Pernod Ricard SA, Senior Notes

     5.500     1/15/42        670,000        627,172 (a)  
          

 

 

 

Total Beverages

             1,663,654  
          

 

 

 

Food Products - 0.1%

          

Kraft Heinz Foods Co., Senior Notes

     5.000     6/4/42        110,000        95,357  
          

 

 

 

Tobacco - 2.2%

          

Altria Group Inc., Senior Notes

     3.800     2/14/24        190,000        188,457  

Altria Group Inc., Senior Notes

     4.400     2/14/26        410,000        398,162  

Altria Group Inc., Senior Notes

     4.800     2/14/29        870,000        827,820  

Imperial Brands Finance PLC, Senior Notes

     6.125     7/27/27        330,000        329,261 (a)  

Philip Morris International Inc., Senior Notes

     4.500     3/20/42        100,000        79,925  

Reynolds American Inc., Senior Notes

     8.125     5/1/40        270,000        282,368  

Reynolds American Inc., Senior Notes

     7.000     8/4/41        320,000        300,688  

Reynolds American Inc., Senior Notes

     5.850     8/15/45        90,000        74,646  
          

 

 

 

Total Tobacco

             2,481,327  
          

 

 

 

TOTAL CONSUMER STAPLES

             4,240,338  
          

 

 

 
ENERGY - 14.3%           

Energy Equipment & Services - 0.1%

          

Halliburton Co., Senior Notes

     5.000     11/15/45        200,000        169,782  
          

 

 

 

Oil, Gas & Consumable Fuels - 14.2%

          

Apache Corp., Senior Notes

     6.000     1/15/37        106,000        95,556  

Apache Corp., Senior Notes

     5.100     9/1/40        20,000        15,910  

Apache Corp., Senior Notes

     5.250     2/1/42        90,000        70,558  

Cameron LNG LLC, Senior Secured Notes

     3.302     1/15/35        20,000        15,942 (a)  

Cameron LNG LLC, Senior Secured Notes

     3.701     1/15/39        40,000        30,849 (a)  

Cheniere Energy Partners LP, Senior Notes

     3.250     1/31/32        220,000        175,099  

Chesapeake Energy Corp., Senior Notes

     6.750     4/15/29        170,000        166,533 (a)  

Columbia Pipelines Operating Co. LLC, Senior Notes

     6.036     11/15/33        290,000        283,231 (a)  

Columbia Pipelines Operating Co. LLC, Senior Notes

     6.544     11/15/53        240,000        234,898 (a)  

ConocoPhillips, Senior Notes

     6.500     2/1/39        810,000        868,481  

Continental Resources Inc., Senior Notes

     2.268     11/15/26        80,000        70,916 (a)  

 

See Notes to Schedule of Investments.

 

 

 

4

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Oil, Gas & Consumable Fuels - (continued)

          

Continental Resources Inc., Senior Notes

     4.375     1/15/28      $ 140,000      $ 129,919  

Continental Resources Inc., Senior Notes

     2.875     4/1/32        120,000        89,937 (a)  

Continental Resources Inc., Senior Notes

     4.900     6/1/44        90,000        66,218  

Devon Energy Corp., Senior Notes

     5.850     12/15/25        350,000        348,341  

Devon Energy Corp., Senior Notes

     5.600     7/15/41        320,000        283,484  

Diamondback Energy Inc., Senior Notes

     6.250     3/15/53        230,000        219,642  

Ecopetrol SA, Senior Notes

     5.375     6/26/26        540,000        518,989  

Ecopetrol SA, Senior Notes

     5.875     11/2/51        260,000        165,936  

Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%)

     6.750     5/15/25        210,000        194,860 (b)(c) 

Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%)

     7.125     5/15/30        560,000        484,216 (b)(c) 

Energy Transfer LP, Senior Notes

     5.250     4/15/29        30,000        28,780  

Energy Transfer LP, Senior Notes

     8.250     11/15/29        160,000        174,802  

Energy Transfer LP, Senior Notes

     6.625     10/15/36        20,000        19,819  

Energy Transfer LP, Senior Notes

     5.800     6/15/38        40,000        36,591  

Enterprise Products Operating LLC, Senior Notes

     6.125     10/15/39        320,000        320,034  

Enterprise Products Operating LLC, Senior Notes

     3.300     2/15/53        150,000        97,745  

Enterprise Products Operating LLC, Senior Notes

     3.950     1/31/60        100,000        70,364  

Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. Term SOFR + 2.832%)

     5.375     2/15/78        430,000        358,610 (c)  

EOG Resources Inc., Senior Notes

     4.375     4/15/30        240,000        226,363  

Exxon Mobil Corp., Senior Notes

     4.227     3/19/40        140,000        119,378  

KazMunayGas National Co. JSC, Senior Notes

     3.500     4/14/33        200,000        150,025 (a)  

Kinder Morgan Inc., Senior Notes

     7.800     8/1/31        2,000,000        2,172,891  

MPLX LP, Senior Notes

     4.800     2/15/29        60,000        56,957  

MPLX LP, Senior Notes

     4.500     4/15/38        380,000        308,189  

Occidental Petroleum Corp., Senior Notes

     7.500     5/1/31        465,000        494,001  

Occidental Petroleum Corp., Senior Notes

     7.875     9/15/31        190,000        205,786  

ONEOK Inc., Senior Notes

     6.050     9/1/33        460,000        452,189  

ONEOK Inc., Senior Notes

     6.625     9/1/53        460,000        450,979  

Parsley Energy LLC/Parsley Finance Corp., Senior Notes

     4.125     2/15/28        200,000        183,875 (a)  

Petrobras Global Finance BV, Senior Notes

     7.375     1/17/27        190,000        195,992  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

5


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Oil, Gas & Consumable Fuels - (continued)

          

Petrobras Global Finance BV, Senior Notes

     6.900     3/19/49      $ 280,000      $ 258,602  

Petrobras Global Finance BV, Senior Notes

     5.500     6/10/51        100,000        76,049  

Petrobras Global Finance BV, Senior Notes

     6.850     6/5/2115        300,000        257,817  

Phillips 66, Senior Notes

     5.875     5/1/42        160,000        156,075  

QatarEnergy, Senior Notes

     3.300     7/12/51        490,000        319,059 (a)  

Reliance Industries Ltd., Senior Notes

     3.625     1/12/52        300,000        191,805 (a)  

Shell International Finance BV, Senior Notes

     6.375     12/15/38        250,000        266,879  

Targa Resources Corp., Senior Notes

     4.950     4/15/52        160,000        123,274  

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes

     6.875     1/15/29        490,000        490,898  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     7.850     2/1/26        470,000        488,818  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     7.250     12/1/26        230,000        236,795  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     3.250     5/15/30        130,000        111,647  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     5.400     8/15/41        310,000        275,099  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     3.950     5/15/50        30,000        21,376  

Western Midstream Operating LP, Senior Notes

     4.650     7/1/26        660,000        634,611  

Western Midstream Operating LP, Senior Notes

     4.750     8/15/28        680,000        636,594  

Western Midstream Operating LP, Senior Notes

     4.050     2/1/30        90,000        78,766  

Western Midstream Operating LP, Senior Notes

     5.450     4/1/44        80,000        64,581  

Western Midstream Operating LP, Senior Notes

     5.250     2/1/50        270,000        210,648  

Williams Cos. Inc., Senior Notes

     7.500     1/15/31        47,000        50,077  

Williams Cos. Inc., Senior Notes

     7.750     6/15/31        37,000        39,778  

Williams Cos. Inc., Senior Notes

     8.750     3/15/32        610,000        694,135  

Williams Cos. Inc., Senior Notes

     3.500     10/15/51        50,000        31,923  
          

 

 

 

Total Oil, Gas & Consumable Fuels

             16,368,191  
          

 

 

 

TOTAL ENERGY

             16,537,973  
          

 

 

 
FINANCIALS - 32.2%           

Banks - 18.5%

          

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        178,275 (a)(b)(c) 

 

See Notes to Schedule of Investments.

 

 

 

6

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Banks - (continued)

          

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      $ 250,000      $ 237,460 (a)(b)(c) 

Banco Santander SA, Senior Notes

     5.294     8/18/27        400,000        386,969  

Banco Santander SA, Senior Notes

     3.490     5/28/30        200,000        168,260  

Bank of America Corp., Senior Notes

     5.875     2/7/42        320,000        314,148  

Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. Term SOFR + 3.412%)

     4.083     3/20/51        160,000        118,424 (c)  

Bank of America Corp., Subordinated Notes

     6.110     1/29/37        320,000        315,891  

Bank of America Corp., Subordinated Notes

     7.750     5/14/38        900,000        1,008,433  

Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%)

     4.588     5/4/37        390,000        325,317 (c)  

Barclays PLC, Junior Subordinated Notes (6.125% to 6/15/26 then 5 year Treasury Constant Maturity Rate + 5.867%)

     6.125     12/15/25        1,060,000        961,100 (b)(c) 

Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%)

     5.088     6/20/30        640,000        572,293 (c)  

BNP Paribas SA, Junior Subordinated Notes (8.500% to 8/14/28 then 5 year Treasury Constant Maturity Rate + 4.354%)

     8.500     8/14/28        940,000        921,973 (a)(b)(c) 

BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. Term SOFR + 2.829%)

     5.198     1/10/30        280,000        266,108 (a)(c) 

BPCE SA, Subordinated Notes

     5.150     7/21/24        410,000        403,581 (a)  

BPCE SA, Subordinated Notes (3.582% to 10/19/41 then SOFR + 1.952%)

     3.582     10/19/42        270,000        167,229 (a)(c) 

Citigroup Inc., Senior Notes

     8.125     7/15/39        251,000        295,397  

Citigroup Inc., Senior Notes

     5.875     1/30/42        240,000        230,850  

Citigroup Inc., Senior Notes (3.785% to 3/17/32 then SOFR + 1.939%)

     3.785     3/17/33        420,000        350,532 (c)  

Citigroup Inc., Subordinated Notes

     5.500     9/13/25        750,000        741,233  

Citigroup Inc., Subordinated Notes

     6.125     8/25/36        404,000        391,294  

Citigroup Inc., Subordinated Notes

     6.675     9/13/43        370,000        368,450  

Citigroup Inc., Subordinated Notes (6.174% to 5/25/33 then SOFR + 2.661%)

     6.174     5/25/34        250,000        239,077 (c)  

Commonwealth Bank of Australia, Subordinated Notes

     3.743     9/12/39        220,000        154,252 (a)  

Cooperatieve Rabobank UA, Senior Notes

     5.750     12/1/43        450,000        415,771  

Cooperatieve Rabobank UA, Senior Notes

     5.250     8/4/45        340,000        292,540  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

7


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Banks - (continued)

          

Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%)

     3.758     4/6/33      $ 350,000      $ 292,111 (a)(c) 

Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%)

     8.125     12/23/25        1,040,000        1,035,575 (a)(b)(c) 

Credit Agricole SA, Senior Notes (6.316% to 10/3/28 then SOFR + 1.860%)

     6.316     10/3/29        290,000        290,174 (a)(c)(d) 

Danske Bank A/S, Senior Notes

     5.375     1/12/24        230,000        229,098 (a)  

HSBC Holdings PLC, Junior Subordinated Notes (4.600% to 6/17/31 then 5 year Treasury Constant Maturity Rate + 3.649%)

     4.600     12/17/30        320,000        242,621 (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        300,000        271,166 (b)(c) 

HSBC Holdings PLC, Senior Notes

     4.950     3/31/30        200,000        186,949  

HSBC Holdings PLC, Senior Notes (6.254% to 3/9/33 then SOFR + 2.390%)

     6.254     3/9/34        840,000        821,618 (c)  

HSBC Holdings PLC, Subordinated Notes

     7.625     5/17/32        70,000        72,690  

HSBC Holdings PLC, Subordinated Notes (4.762% to 3/29/32 then SOFR + 2.530%)

     4.762     3/29/33        400,000        340,860 (c)  

Intesa Sanpaolo SpA, Senior Notes

     7.000     11/21/25        200,000        202,517 (a)  

Intesa Sanpaolo SpA, Senior Notes

     4.700     9/23/49        200,000        129,851 (a)  

Intesa Sanpaolo SpA, Senior Notes (7.778% to 6/20/53 then 1 year Treasury Constant Maturity Rate + 3.900%)

     7.778     6/20/54        220,000        198,590 (a)(c) 

Intesa Sanpaolo SpA, Subordinated Notes (4.198% to 6/1/31 then 1 year Treasury Constant Maturity Rate + 2.600%)

     4.198     6/1/32        200,000        147,538 (a)(c) 

Intesa Sanpaolo SpA, Subordinated Notes (4.950% to 6/1/41 then 1 year Treasury Constant Maturity Rate + 2.750%)

     4.950     6/1/42        200,000        124,220 (a)(c) 

JPMorgan Chase & Co., Junior Subordinated Notes (3 mo. Term SOFR + 3.562%)

     8.934     11/1/23        260,000        261,532 (b)(c) 

JPMorgan Chase & Co., Senior Notes (3.897% to 1/23/48 then 3 mo. Term SOFR + 1.482%)

     3.897     1/23/49        50,000        36,312 (c)  

JPMorgan Chase & Co., Subordinated Notes

     5.625     8/16/43        440,000        414,309  

JPMorgan Chase & Co., Subordinated Notes

     4.950     6/1/45        490,000        419,468  

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        360,000        351,636 (b)(c) 

 

See Notes to Schedule of Investments.

 

 

 

8

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Banks - (continued)

          

Lloyds Banking Group PLC, Junior Subordinated Notes (7.500% to 9/27/25 then USD 5 year ICE Swap Rate + 4.496%)

     7.500     9/27/25      $ 370,000      $ 346,607 (b)(c) 

Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30 then 5 year Treasury Constant Maturity Rate + 3.913%)

     8.000     9/27/29        270,000        242,721 (b)(c)  

Mitsubishi UFJ Financial Group Inc., Senior Notes (4.315% to 4/19/32 then 1 year Treasury Constant Maturity Rate + 1.550%)

     4.315     4/19/33        330,000        294,031 (c)  

NatWest Group PLC, Subordinated Notes

     6.000     12/19/23        350,000        349,095  

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        230,000        219,072 (c)  

Santander UK Group Holdings PLC, Subordinated Notes

     4.750     9/15/25        210,000        200,683 (a)  

Standard Chartered PLC, Subordinated Notes

     5.700     3/26/44        410,000        355,671 (a)  

Truist Financial Corp., Senior Notes (5.867% to 6/8/33 then SOFR + 2.361%)

     5.867     6/8/34        250,000        235,482 (c)  

UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%)

     7.296     4/2/34        1,040,000        980,547 (a)(c)  

US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%)

     5.836     6/12/34        300,000        283,178 (c)  

Wells Fargo & Co., Senior Notes (4.611% to 4/25/52 then SOFR + 2.130%)

     4.611     4/25/53        380,000        297,849 (c)  

Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR + 4.502%)

     5.013     4/4/51        230,000        193,477 (c)  

Wells Fargo & Co., Senior Notes (5.557% to 7/25/33 then SOFR + 1.990%)

     5.557     7/25/34        570,000        540,035 (c)  

Wells Fargo & Co., Subordinated Notes

     5.375     11/2/43        430,000        373,336  

Wells Fargo & Co., Subordinated Notes

     4.750     12/7/46        580,000        453,388  

Westpac Banking Corp., Subordinated Notes

     4.421     7/24/39        110,000        83,910  
          

 

 

 

Total Banks

             21,342,774  
          

 

 

 

Capital Markets - 7.2%

          

Charles Schwab Corp., Junior Subordinated Notes (4.000% to 12/1/30 then 10 year Treasury Constant Maturity Rate + 3.079%)

     4.000     12/1/30        320,000        226,183 (b)(c)  

Charles Schwab Corp., Senior Notes (5.853% to 5/19/33 then SOFR + 2.500%)

     5.853     5/19/34        260,000        247,497 (c)  

Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + 2.010%)

     6.136     8/24/34        600,000        583,984 (c)  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

9


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Capital Markets - (continued)

          

CI Financial Corp., Senior Notes

     3.200     12/17/30      $ 330,000      $ 250,561  

CI Financial Corp., Senior Notes

     4.100     6/15/51        160,000        92,752  

CME Group Inc., Senior Notes

     5.300     9/15/43        440,000        422,677  

Credit Suisse AG AT1 Claim

     -       1/1/50        1,700,000        0 *(e)(f)(g)  

Credit Suisse USA Inc., Senior Notes

     7.125     7/15/32        40,000        42,717  

Goldman Sachs Group Inc., Junior Subordinated Notes (7.500% to 2/10/29 then 5 year Treasury Constant Maturity Rate + 3.156%)

     7.500     2/10/29        100,000        99,086 (b)(c) 

Goldman Sachs Group Inc., Senior Notes

     5.700     11/1/24        380,000        378,680  

Goldman Sachs Group Inc., Senior Notes

     6.250     2/1/41        570,000        575,593  

Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + 1.846%)

     3.615     3/15/28        740,000        683,051 (c) 

Goldman Sachs Group Inc., Subordinated Notes

     6.750     10/1/37        640,000        648,660  

Goldman Sachs Group Inc., Subordinated Notes

     5.150     5/22/45        500,000        429,107  

Intercontinental Exchange Inc., Senior Notes

     4.950     6/15/52        250,000        217,608  

Intercontinental Exchange Inc., Senior Notes

     5.200     6/15/62        260,000        228,721  

KKR Group Finance Co. III LLC, Senior Notes

     5.125     6/1/44        820,000        680,354 (a) 

KKR Group Finance Co. VI LLC, Senior Notes

     3.750     7/1/29        70,000        61,934 (a)  

KKR Group Finance Co. X LLC, Senior Notes

     3.250     12/15/51        90,000        52,790 (a)  

Morgan Stanley, Senior Notes

     6.375     7/24/42        90,000        93,258  

Morgan Stanley, Senior Notes (4.889% to 7/20/32 then SOFR + 2.076%)

     4.889     7/20/33        280,000        254,563 (c) 

Morgan Stanley, Subordinated Notes (5.297% to 4/20/32 then SOFR + 2.620%)

     5.297     4/20/37        130,000        115,910 (c) 

Morgan Stanley, Subordinated Notes (5.948% to 1/19/33 then 5 year Treasury Constant Maturity Rate + 2.430%)

     5.948     1/19/38        100,000        93,541 (c)  

Raymond James Financial Inc., Senior Notes

     4.650     4/1/30        70,000        65,953  

Raymond James Financial Inc., Senior Notes

     4.950     7/15/46        90,000        74,619  

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        580,000        572,970 (a)(b)(c) 

UBS Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%)

     4.194     4/1/31        250,000        218,425 (a)(c) 

UBS Group AG, Senior Notes (6.301% to 9/22/33 then 1 year Treasury Constant Maturity Rate + 2.000%)

     6.301     9/22/34        230,000        224,805 (a)(c) 

 

See Notes to Schedule of Investments.

 

 

 

10

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Capital Markets - (continued)

          

UBS Group AG, Senior Notes (6.537% to 8/12/32 then SOFR + 3.920%)

     6.537     8/12/33      $ 380,000      $ 375,796 (a)(c) 

UBS Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%)

     9.016     11/15/33        250,000        288,899 (a)(c) 
          

 

 

 

Total Capital Markets

             8,300,694  
          

 

 

 

Consumer Finance - 0.3%

          

Capital One Financial Corp., Senior Notes (5.817% to 2/1/33 then SOFR + 2.600%)

     5.817     2/1/34        150,000        135,298 (c)  

Navient Corp., Senior Notes

     6.125     3/25/24        290,000        288,713  
          

 

 

 

Total Consumer Finance

             424,011  
          

 

 

 

Financial Services - 2.2%

          

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

     4.875     1/16/24        330,000        328,711  

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

     3.000     10/29/28        430,000        368,901  

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

     3.850     10/29/41        540,000        383,607  

Carlyle Finance LLC, Senior Notes

     5.650     9/15/48        110,000        90,591 (a)  

Carlyle Finance Subsidiary LLC, Senior Notes

     3.500     9/19/29        150,000        134,473 (a)  

Carlyle Holdings II Finance LLC, Senior Notes

     5.625     3/30/43        220,000        183,179 (a)  

Everest Reinsurance Holdings Inc., Senior Notes

     3.500     10/15/50        140,000        89,973  

ILFC E-Capital Trust I, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.550%)

     7.209     12/21/65        470,000        344,520 (a)(c) 

ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.800%)

     7.459     12/21/65        270,000        204,315 (a)(c) 

Park Aerospace Holdings Ltd., Senior Notes

     5.500     2/15/24        220,000        218,941 (a)  

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

     2.875     10/15/26        160,000        141,055 (a)  

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

     4.000     10/15/33        140,000        105,917 (a)  
          

 

 

 

Total Financial Services

             2,594,183  
          

 

 

 

Insurance - 3.6%

          

Allianz SE, Junior Subordinated Notes (3.500% to 4/30/26 then 5 year Treasury Constant Maturity Rate + 2.973%)

     3.500     11/17/25        200,000        165,157 (a)(b)(c) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

11


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Insurance - (continued)

          

Allstate Corp., Junior Subordinated Notes (6.500% to 5/15/37 then 3 mo. USD LIBOR + 2.120%)

     6.500     5/15/57      $ 480,000      $ 450,050 (c)  

American International Group Inc., Junior Subordinated Notes

     6.250     3/15/37        80,000        72,058  

American International Group Inc., Senior Notes

     4.750     4/1/48        70,000        57,641  

Americo Life Inc., Senior Notes

     3.450     4/15/31        80,000        57,835 (a)  

AXA SA, Subordinated Notes

     8.600     12/15/30        200,000        233,461  

Fidelity & Guaranty Life Holdings Inc., Senior Notes

     5.500     5/1/25        230,000        224,638 (a)  

Liberty Mutual Insurance Co., Subordinated Notes

     7.875     10/15/26        490,000        492,397 (a)  

Massachusetts Mutual Life Insurance Co., Subordinated Notes

     4.900     4/1/77        260,000        196,885 (a)  

MetLife Inc., Junior Subordinated Notes

     6.400     12/15/36        1,150,000        1,125,142  

New York Life Insurance Co., Subordinated Notes

     4.450     5/15/69        90,000        66,299 (a)  

Nippon Life Insurance Co., Subordinated Notes (2.750% to 1/21/31 then 5 year Treasury Constant Maturity Rate + 2.653%)

     2.750     1/21/51        200,000        157,640 (a)(c)  

Northwestern Mutual Life Insurance Co., Subordinated Notes

     3.625     9/30/59        110,000        70,388 (a)  

Prudential Financial Inc., Junior Subordinated Notes (6.750% to 3/1/33 then 5 year Treasury Constant Maturity Rate + 2.848%)

     6.750     3/1/53        170,000        164,760 (c)  

RenaissanceRe Holdings Ltd., Senior Notes

     5.750     6/5/33        190,000        178,977  

Teachers Insurance & Annuity Association of America, Subordinated Notes

     6.850     12/16/39        400,000        421,588 (a)  
          

 

 

 

Total Insurance

             4,134,916  
          

 

 

 

Mortgage Real Estate Investment Trusts (REITs) - 0.4%

          

Blackstone Holdings Finance Co. LLC, Senior Notes

     6.200     4/22/33        450,000        445,681 (a)  
          

 

 

 

TOTAL FINANCIALS

             37,242,259  
          

 

 

 
HEALTH CARE - 8.0%           

Biotechnology - 1.6%

          

AbbVie Inc., Senior Notes

     4.050     11/21/39        740,000        605,775  

Amgen Inc., Senior Notes

     5.250     3/2/33        740,000        707,737  

Amgen Inc., Senior Notes

     5.650     3/2/53        300,000        280,988  

Amgen Inc., Senior Notes

     5.750     3/2/63        110,000        101,567  

 

See Notes to Schedule of Investments.

 

 

 

12

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Biotechnology - (continued)

          

Gilead Sciences Inc., Senior Notes

     5.650     12/1/41      $ 60,000      $ 58,324  

Gilead Sciences Inc., Senior Notes

     4.750     3/1/46        50,000        42,869  
          

 

 

 

Total Biotechnology

             1,797,260  
          

 

 

 

Health Care Equipment & Supplies - 0.4%

          

Abbott Laboratories, Senior Notes

     4.900     11/30/46        90,000        82,042  

Becton Dickinson & Co., Senior Notes

     4.669     6/6/47        410,000        341,520  
          

 

 

 

Total Health Care Equipment & Supplies

             423,562  
          

 

 

 

Health Care Providers & Services - 4.7%

          

Centene Corp., Senior Notes

     4.250     12/15/27        100,000        92,277  

Centene Corp., Senior Notes

     4.625     12/15/29        360,000        324,646  

Centene Corp., Senior Notes

     3.375     2/15/30        500,000        417,604  

Cigna Group, Senior Notes

     4.125     11/15/25        340,000        329,295  

Cigna Group, Senior Notes

     4.800     8/15/38        340,000        299,759  

CVS Health Corp., Senior Notes

     4.100     3/25/25        530,000        517,905  

CVS Health Corp., Senior Notes

     4.300     3/25/28        540,000        511,224  

CVS Health Corp., Senior Notes

     4.780     3/25/38        570,000        491,139  

CVS Health Corp., Senior Notes

     5.125     7/20/45        340,000        286,392  

CVS Health Corp., Senior Notes

     5.050     3/25/48        560,000        465,696  

Dartmouth-Hitchcock Health, Secured Bonds

     4.178     8/1/48        100,000        73,052  

Elevance Health Inc., Senior Notes

     5.350     10/15/25        320,000        318,068  

HCA Inc., Senior Notes

     4.125     6/15/29        210,000        190,207  

HCA Inc., Senior Notes

     5.125     6/15/39        110,000        95,398  

HCA Inc., Senior Notes

     5.500     6/15/47        220,000        188,006  

HCA Inc., Senior Notes

     5.250     6/15/49        350,000        287,973  

Humana Inc., Senior Notes

     8.150     6/15/38        80,000        90,550  

Humana Inc., Senior Notes

     4.800     3/15/47        150,000        125,097  

Inova Health System Foundation, Senior Notes

     4.068     5/15/52        90,000        70,664  

Kaiser Foundation Hospitals, Senior Notes

     3.002     6/1/51        80,000        50,451  

Orlando Health Obligated Group, Senior Notes

     4.089     10/1/48        170,000        128,079  

UnitedHealth Group Inc., Senior Notes

     3.500     8/15/39        140,000        107,958  
          

 

 

 

Total Health Care Providers & Services

             5,461,440  
          

 

 

 

Pharmaceuticals - 1.3%

          

Bausch Health Cos. Inc., Senior Notes

     5.000     1/30/28        80,000        32,701 (a)  

Pfizer Investment Enterprises Pte Ltd., Senior Notes

     4.750     5/19/33        390,000        368,815  

Pfizer Investment Enterprises Pte Ltd., Senior Notes

     5.110     5/19/43        400,000        367,578  

Pfizer Investment Enterprises Pte Ltd., Senior Notes

     5.300     5/19/53        290,000        269,669  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

13


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Pharmaceuticals - (continued)

          

Pfizer Investment Enterprises Pte Ltd., Senior Notes

     5.340     5/19/63      $ 60,000      $ 54,859  

Teva Pharmaceutical Finance Netherlands III BV, Senior Notes

     7.125     1/31/25        200,000        200,897  

Teva Pharmaceutical Finance Netherlands III BV, Senior Notes

     8.125     9/15/31        200,000        207,160  

Zoetis Inc., Senior Notes

     4.700     2/1/43        30,000        25,885  
          

 

 

 

Total Pharmaceuticals

             1,527,564  
          

 

 

 

TOTAL HEALTH CARE

             9,209,826  
          

 

 

 
INDUSTRIALS - 6.4%           

Aerospace & Defense - 2.4%

          

Avolon Holdings Funding Ltd., Senior Notes

     5.125     10/1/23        520,000        520,000 (a)  

Avolon Holdings Funding Ltd., Senior Notes

     3.950     7/1/24        140,000        137,075 (a)  

Avolon Holdings Funding Ltd., Senior Notes

     4.250     4/15/26        530,000        498,368 (a)  

Boeing Co., Senior Notes

     3.250     2/1/28        370,000        333,925  

Boeing Co., Senior Notes

     5.705     5/1/40        210,000        193,898  

Boeing Co., Senior Notes

     5.805     5/1/50        140,000        126,892  

HEICO Corp., Senior Notes

     5.350     8/1/33        240,000        227,479  

Huntington Ingalls Industries Inc., Senior Notes

     3.483     12/1/27        200,000        182,990  

L3Harris Technologies Inc., Senior Notes

     5.400     7/31/33        190,000        182,715  

L3Harris Technologies Inc., Senior Notes

     4.854     4/27/35        260,000        236,984  

Lockheed Martin Corp., Senior Notes

     4.500     5/15/36        40,000        36,509  

RTX Corp., Senior Notes

     4.625     11/16/48        110,000        89,778  
          

 

 

 

Total Aerospace & Defense

             2,766,613  
          

 

 

 

Building Products - 0.1%

          

Carrier Global Corp., Senior Notes

     3.577     4/5/50        100,000        67,583  
          

 

 

 

Commercial Services & Supplies - 0.4%

          

California Institute of Technology, Senior Notes

     3.650     9/1/2119        110,000        67,495  

Waste Connections Inc., Senior Notes

     4.250     12/1/28        480,000        454,232  
          

 

 

 

Total Commercial Services & Supplies

             521,727  
          

 

 

 

Construction & Engineering - 0.7%

          

Vinci SA, Senior Notes

     3.750     4/10/29        890,000        823,894 (a)  
          

 

 

 

Ground Transportation - 0.2%

          

Union Pacific Corp., Senior Notes

     4.375     11/15/65        320,000        226,453  
          

 

 

 

Industrial Conglomerates - 0.4%

          

General Electric Co., Senior Notes

     6.875     1/10/39        94,000        105,188  

Honeywell International Inc., Senior Notes

     5.000     2/15/33        350,000        340,081  
          

 

 

 

Total Industrial Conglomerates

             445,269  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

14

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Machinery - 0.2%

          

Caterpillar Inc., Senior Notes

     4.750     5/15/64      $ 220,000      $ 189,818  
          

 

 

 

Passenger Airlines - 1.1%

          

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

     5.500     4/20/26        100,833        98,570 (a)  

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

     5.750     4/20/29        110,000        102,396 (a)  

Delta Air Lines Inc., Senior Secured Notes

     7.000     5/1/25        260,000        262,913 (a)  

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

     4.500     10/20/25        286,000        277,902 (a)  

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

     4.750     10/20/28        180,000        171,128 (a)  

Southwest Airlines Co., Senior Notes

     5.125     6/15/27        190,000        185,356  

United Airlines Pass-Through Trust

     4.875     1/15/26        135,765        131,534  
          

 

 

 

Total Passenger Airlines

             1,229,799  
          

 

 

 

Trading Companies & Distributors - 0.9%

          

Air Lease Corp., Senior Notes

     5.850     12/15/27        320,000        315,917  

Aircastle Ltd., Senior Notes

     5.250     8/11/25        630,000        613,925 (a)  

Aviation Capital Group LLC, Senior Notes

     5.500     12/15/24        180,000        177,036 (a)  
          

 

 

 

Total Trading Companies & Distributors

             1,106,878  
          

 

 

 

TOTAL INDUSTRIALS

             7,378,034  
          

 

 

 
INFORMATION TECHNOLOGY - 3.7%           

Electronic Equipment, Instruments & Components - 0.3%

          

TD SYNNEX Corp., Senior Notes

     1.250     8/9/24        380,000        363,151  
          

 

 

 

IT Services - 0.3%

          

International Business Machines Corp., Senior Notes

     3.500     5/15/29        110,000        99,514  

Kyndryl Holdings Inc., Senior Notes

     4.100     10/15/41        300,000        197,433  
          

 

 

 

Total IT Services

             296,947  
          

 

 

 

Semiconductors & Semiconductor Equipment - 1.6%

          

Broadcom Inc., Senior Notes

     4.150     11/15/30        113,000        100,135  

Broadcom Inc., Senior Notes

     4.300     11/15/32        370,000        322,920  

Broadcom Inc., Senior Notes

     3.187     11/15/36        14,000        10,057 (a)  

Broadcom Inc., Senior Notes

     4.926     5/15/37        152,000        131,090 (a)  

Foundry JV Holdco LLC, Senior Secured Notes

     5.875     1/25/34        300,000        286,901 (a)  

Intel Corp., Senior Notes

     4.900     7/29/45        130,000        117,657  

Intel Corp., Senior Notes

     4.750     3/25/50        10,000        8,277  

Intel Corp., Senior Notes

     4.950     3/25/60        60,000        51,427  

Intel Corp., Senior Notes

     3.200     8/12/61        120,000        70,110  

Micron Technology Inc., Senior Notes

     3.366     11/1/41        30,000        19,787  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

15


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Semiconductors & Semiconductor Equipment - (continued)

          

NVIDIA Corp., Senior Notes

     3.500     4/1/40      $ 60,000      $ 47,277  

NVIDIA Corp., Senior Notes

     3.500     4/1/50        190,000        138,605  

NVIDIA Corp., Senior Notes

     3.700     4/1/60        80,000        58,676  

Texas Instruments Inc., Senior Notes

     4.600     2/15/28        250,000        245,154  

Texas Instruments Inc., Senior Notes

     3.875     3/15/39        270,000        223,300  
          

 

 

 

Total Semiconductors & Semiconductor Equipment

             1,831,373  
          

 

 

 

Software - 1.1%

          

Microsoft Corp., Senior Notes

     4.250     2/6/47        970,000        843,349  

Oracle Corp., Senior Notes

     3.950     3/25/51        310,000        212,729  

Oracle Corp., Senior Notes

     4.100     3/25/61        380,000        253,744  
          

 

 

 

Total Software

             1,309,822  
          

 

 

 

Technology Hardware, Storage & Peripherals - 0.4%

          

Apple Inc., Senior Notes

     3.850     8/4/46        340,000        269,378  

Dell International LLC/EMC Corp., Senior Notes

     8.100     7/15/36        120,000        134,326  

Dell International LLC/EMC Corp., Senior Notes

     8.350     7/15/46        30,000        35,100  
          

 

 

 

Total Technology Hardware, Storage & Peripherals

             438,804  
          

 

 

 

TOTAL INFORMATION TECHNOLOGY

             4,240,097  
          

 

 

 
MATERIALS - 6.3%           

Chemicals - 1.4%

          

Celanese US Holdings LLC, Senior Notes

     5.900     7/5/24        310,000        309,415  

Dow Chemical Co., Senior Notes

     7.375     11/1/29        800,000        860,292  

Ecolab Inc., Senior Notes

     4.800     3/24/30        80,000        77,850  

OCP SA, Senior Notes

     3.750     6/23/31        200,000        158,465 (a)  

Sociedad Quimica y Minera de Chile SA, Senior Notes

     3.500     9/10/51        240,000        147,679 (a)  
          

 

 

 

Total Chemicals

             1,553,701  
          

 

 

 

Metals & Mining - 4.5%

          

Anglo American Capital PLC, Senior Notes

     4.000     9/11/27        500,000        467,240 (a)  

ArcelorMittal SA, Senior Notes

     4.550     3/11/26        470,000        458,442  

ArcelorMittal SA, Senior Notes

     6.550     11/29/27        160,000        162,396  

Barrick North America Finance LLC, Senior Notes

     5.700     5/30/41        50,000        47,976  

Barrick PD Australia Finance Pty Ltd., Senior Notes

     5.950     10/15/39        180,000        177,377  

First Quantum Minerals Ltd., Senior Notes

     7.500     4/1/25        200,000        199,872 (a)  

Freeport-McMoRan Inc., Senior Notes

     5.450     3/15/43        210,000        179,319  

Glencore Finance Canada Ltd., Senior Notes

     6.900     11/15/37        430,000        433,033 (a)  

Glencore Finance Canada Ltd., Senior Notes

     5.550     10/25/42        150,000        130,332 (a)  

Glencore Funding LLC, Senior Notes

     4.125     3/12/24        530,000        525,531 (a)  

 

See Notes to Schedule of Investments.

 

 

 

16

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Metals & Mining - (continued)

          

Glencore Funding LLC, Senior Notes

     4.000     3/27/27      $ 360,000      $ 338,148 (a) 

Glencore Funding LLC, Senior Notes

     3.875     10/27/27        170,000        158,324 (a)  

Glencore Funding LLC, Senior Notes

     3.375     9/23/51        70,000        42,242 (a)  

Southern Copper Corp., Senior Notes

     5.250     11/8/42        470,000        406,747  

Vale Overseas Ltd., Senior Notes

     6.875     11/21/36        1,148,000        1,156,106  

Yamana Gold Inc., Senior Notes

     4.625     12/15/27        350,000        328,837  

Yamana Gold Inc., Senior Notes

     2.630     8/15/31        30,000        23,051  
          

 

 

 

Total Metals & Mining

             5,234,973  
          

 

 

 

Paper & Forest Products - 0.4%

          

Georgia-Pacific LLC, Senior Notes

     7.375     12/1/25        250,000        257,008  

Suzano Austria GmbH, Senior Notes

     3.125     1/15/32        230,000        176,859  
          

 

 

 

Total Paper & Forest Products

             433,867  
          

 

 

 

TOTAL MATERIALS

             7,222,541  
          

 

 

 
REAL ESTATE - 0.6%           

Health Care REITs - 0.4%

          

Diversified Healthcare Trust, Senior Notes

     4.750     5/1/24        130,000        123,050  

Welltower OP LLC, Senior Notes

     4.125     3/15/29        320,000        292,530  
          

 

 

 

Total Health Care REITs

             415,580  
          

 

 

 

Residential REITs - 0.0%††

          

Invitation Homes Operating Partnership LP, Senior Notes

     4.150     4/15/32        80,000        68,882  
          

 

 

 

Retail REITs - 0.2%

          

WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes

     3.750     9/17/24        200,000        192,442 (a)  
          

 

 

 

Specialized REITs - 0.0%††

          

Extra Space Storage LP, Senior Notes

     3.900     4/1/29        60,000        53,942  
          

 

 

 

TOTAL REAL ESTATE

             730,846  
          

 

 

 
UTILITIES - 3.1%           

Electric Utilities - 3.1%

          

CenterPoint Energy Houston Electric LLC, Senior Secured Bonds

     4.500     4/1/44        210,000        172,593  

Comision Federal de Electricidad, Senior Notes

     3.348     2/9/31        200,000        156,771 (a)  

Edison International, Junior Subordinated Notes (5.375% to 3/15/26 then 5 year Treasury Constant Maturity Rate + 4.698%)

     5.375     3/15/26        270,000        238,873 (b)(c) 

Enel Finance International NV, Senior Notes

     6.800     10/14/25        330,000        333,964 (a)  

Exelon Corp., Senior Notes

     4.050     4/15/30        120,000        108,091  

FirstEnergy Corp., Senior Notes

     4.150     7/15/27        310,000        288,401  

FirstEnergy Corp., Senior Notes

     7.375     11/15/31        830,000        906,668  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

17


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Electric Utilities - (continued)

          

MidAmerican Energy Co., First Mortgage Bonds

     3.650     4/15/29      $ 150,000      $ 137,192  

Ohio Edison Co., Senior Notes

     5.500     1/15/33        90,000        86,324 (a)  

Pacific Gas and Electric Co., First Mortgage Bonds

     3.300     8/1/40        20,000        12,830  

Pacific Gas and Electric Co., First Mortgage Bonds

     4.950     7/1/50        240,000        179,204  

Pacific Gas and Electric Co., First Mortgage Bonds

     6.750     1/15/53        140,000        131,414  

PG&E Wildfire Recovery Funding LLC, Senior Secured Notes

     5.081     6/1/41        120,000        110,111  

PG&E Wildfire Recovery Funding LLC, Senior Secured Notes

     5.212     12/1/47        30,000        27,408  

Southern California Edison Co., First Mortgage Bonds

     4.125     3/1/48        310,000        230,078  

Virginia Electric & Power Co., Senior Notes

     8.875     11/15/38        390,000        486,979  
          

 

 

 

TOTAL UTILITIES

             3,606,901  
          

 

 

 

TOTAL CORPORATE BONDS & NOTES
(Cost - $117,803,832)

             106,915,473  
          

 

 

 
SOVEREIGN BONDS - 3.5%           

Argentina - 0.5%

          

Argentine Republic Government International Bond, Senior Notes

     1.000     7/9/29        35,342        9,896  

Argentine Republic Government International Bond, Senior Notes, Step bond (0.750% to 7/9/27 then 1.750%)

     0.750     7/9/30        127,826        36,665  

Argentine Republic Government International Bond, Senior Notes, Step bond (3.625% to 7/9/24 then 4.125%)

     3.625     7/9/35        412,973        102,894  

Provincia de Buenos Aires, Senior Notes, Step bond (6.375% to 9/1/24 then 6.625%)

     6.375     9/1/37        1,353,938        445,642 (a)  
          

 

 

 

Total Argentina

             595,097  
          

 

 

 

Canada - 0.7%

          

Province of Quebec Canada, Senior Notes

     7.970     7/22/36        650,000        788,305  
          

 

 

 

Chile - 0.1%

          

Chile Government International Bond, Senior Notes

     2.550     7/27/33        200,000        154,060  
          

 

 

 

Colombia - 0.7%

          

Colombia Government International Bond, Senior Notes

     4.500     3/15/29        870,000        758,045  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

18

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Indonesia - 0.2%

          

Indonesia Government International Bond, Senior Notes

     4.350     1/11/48      $ 240,000      $ 191,438  
          

 

 

 

Kenya - 0.3%

          

Republic of Kenya Government International Bond, Senior Notes

     8.000     5/22/32        460,000        358,786 (a)  
          

 

 

 

Mexico - 0.5%

          

Mexico Government International Bond, Senior Notes

     3.500     2/12/34        230,000        180,414  

Mexico Government International Bond, Senior Notes

     4.280     8/14/41        200,000        147,944  

Mexico Government International Bond, Senior Notes

     4.350     1/15/47        360,000        255,253  
          

 

 

 

Total Mexico

             583,611  
          

 

 

 

Qatar - 0.2%

          

Qatar Government International Bond, Senior Notes

     4.817     3/14/49        270,000        234,910 (a)  
          

 

 

 

United Arab Emirates - 0.3%

          

Abu Dhabi Government International Bond, Senior Notes

     4.125     10/11/47        440,000        348,103 (a)  
          

 

 

 

Uruguay - 0.0%††

          

Uruguay Government International Bond, Senior Notes

     4.975     4/20/55        70,000        60,775  
          

 

 

 

TOTAL SOVEREIGN BONDS
(Cost - $5,043,989)

             4,073,130  
          

 

 

 
MUNICIPAL BONDS - 1.1%           

California - 0.7%

          

Los Angeles County, CA Public Works Financing Authority Revenue, Multiple Capital Projects I, Series 2010 B, Taxable Build America Bonds

     7.618     8/1/40        650,000        750,756  

Regents of the University of California Medical Center Pooled Revenue, Series Q

     4.563     5/15/53        110,000        93,041  
          

 

 

 

Total California

             843,797  
          

 

 

 

Florida - 0.1%

          

Sumter Landing, FL, Community Development District Recreational Revenue, Taxable Community Development District

     4.172     10/1/47        170,000        140,687  
          

 

 

 

Illinois - 0.3%

          

Illinois State, GO, Taxable, Build America Bonds, Series 2010-3

     6.725     4/1/35        286,154        291,512  
          

 

 

 

TOTAL MUNICIPAL BONDS
(Cost - $1,480,347)

             1,275,996  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

19


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

(Percentages shown based on Fund net assets)

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.5%           

U.S. Government Obligations - 0.5%

          

U.S. Treasury Notes
(Cost - $598,529)

     5.000     8/31/25      $ 600,000      $ 598,828  
          

 

 

 
CONVERTIBLE BONDS & NOTES - 0.4%           
COMMUNICATION SERVICES - 0.4%           

Media - 0.4%

          

DISH Network Corp., Senior Notes
(Cost - $456,871)

     2.375     3/15/24        470,000        452,962  
          

 

 

 
                  SHARES         
PREFERRED STOCKS - 0.1%           
FINANCIALS - 0.1%           

Insurance - 0.1%

          

Delphi Financial Group Inc. (3 mo. Term SOFR + 3.452%)
(Cost - $143,068)

     8.816        5,725        126,666 (c)  
          

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $125,526,636)

 

        113,443,055  
          

 

 

 
           MATURITY
DATE
     FACE
AMOUNT
        
SHORT-TERM INVESTMENTS - 1.0%           

U.S. Treasury Bills - 0.4%

          

U.S. Treasury Bills
(Cost - $398,246)

     5.133     10/31/23        400,000        398,303 (h)  
          

 

 

 
                  SHARES         
MONEY MARKET FUNDS - 0.6%           

Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost - $713,627)

     5.259        713,627        713,627 (i)(j)  
          

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Cost - $1,111,873)

 

          1,111,930  
          

 

 

 

TOTAL INVESTMENTS - 99.2%
(Cost - $126,638,509)

 

          114,554,985  

Other Assets in Excess of Liabilities - 0.8%

             976,270  
          

 

 

 

TOTAL NET ASSETS - 100.0%

           $ 115,531,255  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

20

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

 

††

Represents less than 0.1%.

 

*

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)

Securities traded on a when-issued or delayed delivery basis.

 

(e)

Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1).

 

(f)

Security is valued using significant unobservable inputs (Note 1).

 

(g)

Value is less than $1.

 

(h)

Rate shown represents yield-to-maturity.

 

(i)

Rate shown is one-day yield as of the end of the reporting period.

 

(j)

In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At September 30, 2023, the total market value of investments in Affiliated Companies was $713,627 and the cost was $713,627 (Note 2).

Abbreviation(s) used in this schedule:

 

GO    — General Obligation
GTD    — Guaranteed
ICE    — Intercontinental Exchange
JSC    — Joint Stock Company
LIBOR    — London Interbank Offered Rate
SOFR    — Secured Overnight Financing Rate
USD    — United States Dollar

At September 30, 2023, the Fund had the following open futures contracts:

 

     Number of
Contracts
     Expiration
Date
     Notional
Amount
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 
Contracts to Buy:               

U.S. Treasury 2-Year Notes

     45        12/23      $ 9,140,701      $ 9,121,992      $ (18,709

U.S. Treasury 5-Year Notes

     98        12/23        10,406,626        10,325,220        (81,406

U.S. Treasury 10-Year Notes

     5        12/23        549,344        540,313        (9,031

U.S. Treasury Ultra Long-Term Bonds

     34        12/23        4,293,775        4,035,375        (258,400
              

 

 

 
                 (367,546
              

 

 

 
Contracts to Sell:               

U.S. Treasury Long-Term Bonds

     67        12/23        8,036,744        7,623,344        413,400  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report    

 

 

 

21


WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.

 

Schedule of investments (unaudited) (cont’d)    September 30, 2023

 

     Number of
Contracts
     Expiration
Date
     Notional
Amount
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 
Contracts to Sell continued               

U.S. Treasury Ultra 10-Year Notes

     22        12/23      $ 2,515,329      $ 2,454,375      $ 60,954  
              

 

 

 
                 474,354  
              

 

 

 
Net unrealized appreciation on open futures contracts

 

         $ 106,808  
              

 

 

 

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

 

 

22

 

    Western Asset Investment Grade Income Fund Inc. 2023 Quarterly Report

 


Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset Investment Grade Income Fund Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a closed-end diversified investment company. The Fund’s primary investment objective is to seek a high level of current income, consistent with prudent investment risk, through investment in a diversified portfolio of debt securities. To a lesser extent, the Fund may also invest in privately placed debt securities and in certain equity securities. Capital appreciation is a secondary investment objective.

The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the adviser to be unreliable, the market price may be determined by the adviser using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.

Pursuant to policies adopted by the Board of Directors, the Fund’s adviser has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s adviser is assisted by the Global Fund Valuation Committee

 

   

 

 

23


Notes to Schedule of Investments (unaudited) (continued)

 

(the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s adviser and the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

 

 

 

24

   


Notes to Schedule of Investments (unaudited) (continued)

 

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

 

   

Level 1 — unadjusted quoted prices in active markets for identical investments

 

   

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:

 

ASSETS

 

DESCRIPTION

   QUOTED PRICES
(LEVEL 1)
     OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)
     SIGNIFICANT
UNOBSERVABLE
INPUTS

(LEVEL 3)
    TOTAL  

Long-Term Investments†:

          

Corporate Bonds & Notes

     —        $ 106,915,473      $ 0   $ 106,915,473  

Sovereign Bonds

     —          4,073,130        —         4,073,130  

Municipal Bonds

     —          1,275,996        —         1,275,996  

U.S. Government & Agency

          

Obligations

     —          598,828        —         598,828  

Convertible Bonds & Notes

     —          452,962        —         452,962  

Preferred Stocks

     —          126,666        —         126,666  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Long-Term Investments

     —          113,443,055        0     113,443,055  
  

 

 

    

 

 

    

 

 

   

 

 

 

Short-Term Investments†:

          

U.S. Treasury Bills

     —          398,303        —         398,303  

Money Market Funds

   $ 713,627        —          —         713,627  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Short-Term Investments

     713,627        398,303        —         1,111,930  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total Investments

   $ 713,627      $ 113,841,358      $ 0   $ 114,554,985  
  

 

 

    

 

 

    

 

 

   

 

 

 

Other Financial Instruments:

          

Futures Contracts††

   $ 474,354        —          —       $ 474,354  
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 1,187,981      $ 113,841,358      $ 0   $ 115,029,339  
  

 

 

    

 

 

    

 

 

   

 

 

 

LIABILITIES

 

DESCRIPTION

   QUOTED PRICES
(LEVEL 1)
     OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)
     SIGNIFICANT
UNOBSERVABLE
INPUTS

(LEVEL 3)
    TOTAL  

Other Financial Instruments:

          

Futures Contracts††

   $ 367,546        —          —       $ 367,546  

 

   

 

 

25


Notes to Schedule of Investments (unaudited) (continued)

 

See Schedule of Investments for additional detailed categorizations.

 

*

Amount represents less than $1.

 

††

Reflects the unrealized appreciation (depreciation) of the instruments.

2. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended September 30, 2023. The following transactions were effected in such company for the period ended September 30, 2023.

 

     Affiliate
Value at
December 31,

2022
     Purchased      Sold  
     Cost      Shares      Proceeds      Shares  
Western Asset Premier Institutional Government Reserves, Premium Shares    $ 44,839      $ 13,118,088        13,118,088      $ 12,449,300        12,449,300  

 

(cont’d)

   Realized
Gain (Loss)
     Dividend
Income
     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
     Affiliate
Value at
September 30,
2023
 
Western Asset Premier Institutional Government Reserves, Premium Shares      —        $ 27,945        —        $ 713,627  

 

 

 

26

   

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