UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22294
Western Asset Investment Grade Defined Opportunity Trust Inc.
Exact name of registrant as specified in charter)
620 Eighth
Avenue, 47th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
George P. Hoyt
Franklin
Templeton
100 First Stamford Place
Stamford, CT 06902
(Name
and address of agent for service)
Registrants telephone number, including area code: 1-888-777-0102
Date of fiscal year end: November 30
Date of reporting period: November 30, 2023
ITEM 1. |
REPORT TO STOCKHOLDERS. |
The Annual Report to Stockholders is filed herewith.
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Annual Report |
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November 30, 2023 |
WESTERN ASSET
INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC. (IGI)
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INVESTMENT PRODUCTS: NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE |
Fund objectives
The Funds primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Funds net assets to
stockholders on or about December 2, 2024. As a secondary investment objective, the Fund will seek capital appreciation. There can be no assurance the Fund will achieve its investment objectives.
The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in investment grade corporate fixed
income securities of varying maturities.
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II |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
Letter from the chairman
Dear Shareholder,
We are pleased to provide the annual report of Western Asset Investment Grade Defined Opportunity Trust Inc. for the twelve-month reporting period ended
November 30, 2023. 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.
As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support
you receive from your financial advisor. One way we accomplish this is through our website, www.franklintempleton.com. Here you can gain immediate access to market and investment information, including:
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Fund prices and performance, |
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Market insights and commentaries from our portfolio managers, and |
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A host of educational resources. |
We look forward to helping you meet your financial goals.
Sincerely,
Jane Trust, CFA
Chairman, President and Chief Executive Officer
December 29, 2023
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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 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 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. 2023 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, Ryan K. Brist, Blanton Keh, Kurt Halvorson and Dan Alexander.
Q. What were the overall market conditions during the Funds reporting period?
A. The overall U.S. fixed income market experienced periods of volatility and generated a modest return over the twelve-month reporting period ended
November 30, 2023. The market was driven by several factors, including elevated inflation, aggressive Federal Reserve Board (the Fed) monetary policy tightening, the repercussions from the war in Ukraine, unrest in the banking
industry, and several geopolitical issues. The fixed income market rallied sharply toward the end of the reporting period given expectations for the end of Fed rate hikes.
Short-term U.S. Treasury yields moved higher as the Fed raised interest rates in an attempt to rein in elevated inflation. The yield for the two-year Treasury note began the reporting period at 4.38% and ended the period at 4.73%. The low of 3.75% took place on May 4, 2023, and the high of 5.19% took place on October 17 and 18, 2023. Long-term
U.S. Treasury yields also moved higher given stubbornly high inflation and Fed monetary policy tightening. The yield for the ten-year Treasury note began the reporting period at 3.68% and ended the period at
4.37%. The low of 3.30% occurred on April 5 and 6, 2023, and the high of 4.98% took place on October 19, 2023.
All told, the Bloomberg U.S. Aggregate
Indexi returned 1.18% for the twelve-month reporting period ended November 30, 2023. Comparatively, the Bloomberg U.S. Credit Indexii returned 3.38% over the same period and the Bloomberg U.S. High Yield 2% Issuer Cap Indexiii returned
8.69%.
Q. How did we respond to these changing market conditions?
A. The Fund increased its allocation to securities rated BBB and reduced its below investment-grade exposure. Within the energy sector, the Fund added to its
investment-grade holdings and pared its high-yield holdings. Finally, the Fund reduced both its long investment-grade and high-yield index swaps (CDX) overlay.
During the reporting period, U.S. Treasury futures were used to manage the Funds duration and yield curve positioning. CDX were used for credit hedging purposes.
Currency forwards were used to manage the Funds currency exposure. Collectively, these instruments detracted from performance.
Performance review
For the twelve months ended
November 30, 2023, Western Asset Investment Grade Defined Opportunity Trust Inc. returned 3.84% based on its net asset value (NAV)iv and 4.23% based on its New York Stock Exchange (NYSE) market price per share. The
Funds unmanaged benchmark, the Bloomberg U.S. Credit Index, returned 3.38% for the same period.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
The Fund has a practice of seeking to maintain a
relatively stable level of distributions to shareholders. This practice has no impact on the Funds investment strategy and may reduce the Funds NAV. The Funds manager believes the practice helps maintain the Funds
competitiveness and may benefit the Funds market price and premium/discount to the Funds NAV.
During the twelve-month period, the Fund made
distributions to shareholders totaling $0.80 per share.* The performance table shows the Funds twelve-month total return based on its NAV and market price as of November 30, 2023. Past performance is no guarantee of future results.
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Performance Snapshot as of November 30, 2023 |
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Price Per Share |
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12-Month
Total Return** |
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$17.07 (NAV) |
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3.84 |
% |
$16.35 (Market Price) |
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4.23 |
% |
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. Among the largest contributors to the Funds relative performance during the reporting period was its positioning in a number of sectors/industries,
including an overweight to energy and an underweight to sovereigns. In terms of issue selection, holdings within the consumer cyclicals1 (overweight Las Vegas Sands), energy (overweight Energy Transfer Partners) and technology (overweight Texas
Instruments) sectors added the most value. The Funds quality biases were also rewarded, led by an overweight to lower quality securities, as they outperformed their higher quality counterparts.
Q. What were the leading detractors from performance?
A. The largest detractor from the Funds relative results during the reporting period was its duration position. In particular, having a duration that was
longer than the benchmark negatively impacted returns as rates moved higher across the yield curve. Looking at sector/ industry positioning, an overweight to financials and an underweight to technology
* |
For the tax character of distributions paid during the fiscal year ended November 30, 2023, please refer to page 48
of this report. |
1 |
Cyclicals consists of the following industries: automotive, entertainment, gaming, home construction, lodging, retailers,
restaurants, textiles and other consumer services. |
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
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Fund overview (contd)
detracted from performance. Elsewhere, issue selection within financials (overweight Credit
Suisse) was a headwind for results.
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.franklintempleton.com.
In a
continuing effort to provide information concerning the Fund, shareholders may call 1-888-777-0102 (toll free), Monday through
Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Funds current NAV, market price and other information.
Thank you for your investment in the Western
Asset Investment Grade Defined Opportunity Trust Inc. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Funds investment goals.
Sincerely,
Western Asset Management Company, LLC
December 13, 2023
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 higher yielding 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 market values of securities or other assets will fluctuate, sometimes sharply and unpredictably,
due to changes in general market conditions, overall 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, armed conflicts, economic sanctions and countermeasures in response to
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
sanctions, major cybersecurity events, 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. 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, 2023 and are subject to change and may not be representative of the portfolio managers current or
future investments. Please refer to pages 9 through 30 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, 2023 were: financials (33.7%), energy (13.8%), health care (11.4%), communication services (10.7%) and industrials (7.2%). 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.
i |
The Bloomberg 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. |
ii |
The Bloomberg U.S. Credit Index is an index composed of corporate and
non-corporate debt issues that are investment grade (rated Baa3/BBB or higher). |
iii |
The Bloomberg U.S. High Yield 2% Issuer Cap Index is an index of the 2% Issuer Cap component of the Bloomberg
Barclays U.S. Corporate High Yield Index, which covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market. |
iv |
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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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 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, 2023 and
November 30, 2022 and does not include derivatives, such as futures contracts, forward foreign currency contracts and swap contracts. The Fund is actively managed. As a result, the composition of the Funds investments is subject to change
at any time. |
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Fund performance (unaudited)
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Net Asset Value |
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Average annual total returns1 |
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Twelve Months Ended 11/30/23 |
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3.84 |
% |
Five Years Ended 11/30/23 |
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2.02 |
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Ten Years Ended 11/30/23 |
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2.78 |
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Cumulative total returns1 |
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11/30/13 through 11/30/23 |
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31.49 |
% |
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Market Price |
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Average annual total returns2 |
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Twelve Months Ended 11/30/23 |
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4.23 |
% |
Five Years Ended 11/30/23 |
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2.47 |
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Ten Years Ended 11/30/23 |
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3.40 |
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Cumulative total returns2 |
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11/30/13 through 11/30/23 |
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39.70 |
% |
All figures represent past performance and are not a guarantee of future results. 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.
1 |
Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value.
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2 |
Assumes the reinvestment of all distributions, including returns of capital, if any, in additional shares in accordance
with the Funds Dividend Reinvestment Plan. |
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
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7 |
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Fund performance
(unaudited) (contd)
Historical performance
Value of $10,000 invested in
Western Asset Investment Grade Defined Opportunity Trust Inc. vs. Bloomberg U.S. Credit Index November 2013 - November 2023
All figures represent past performance and are not a guarantee of future results. 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.
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Hypothetical illustration of $10,000 invested in Western Asset Investment Grade Defined Opportunity Trust Inc. on
November 30, 2013, assuming the reinvestment of all distributions, including returns of capital, if any, at net asset value and also assuming the reinvestment of all distributions, including returns of capital, if any, in additional shares in
accordance with the Funds Dividend Reinvestment Plan through November 30, 2023. The hypothetical illustration also assumes a $10,000 investment in the Bloomberg U.S. Credit Index. The Bloomberg U.S. Credit Index (the Index) is
an index composed of corporate and non-corporate debt issues that are investment grade. The Index is unmanaged. Please note that an investor cannot invest directly in an index. |
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8 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Schedule of investments
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
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Security |
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Rate |
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Maturity Date |
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Face Amount |
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Value |
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Corporate Bonds & Notes 95.7% |
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Communication Services 10.3% |
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Diversified Telecommunication Services
3.0% |
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AT&T Inc., Senior Notes |
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4.500 |
% |
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5/15/35 |
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370,000 |
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$ |
335,087 |
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AT&T Inc., Senior Notes |
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4.900 |
% |
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6/15/42 |
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250,000 |
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213,805 |
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AT&T Inc., Senior Notes |
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4.800 |
% |
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6/15/44 |
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290,000 |
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248,015 |
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AT&T Inc., Senior Notes |
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4.500 |
% |
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3/9/48 |
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422,000 |
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344,538 |
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AT&T Inc., Senior Notes |
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3.300 |
% |
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2/1/52 |
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190,000 |
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125,462 |
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AT&T Inc., Senior Notes |
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3.500 |
% |
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9/15/53 |
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180,000 |
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119,934 |
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AT&T Inc., Senior Notes |
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3.800 |
% |
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12/1/57 |
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150,000 |
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102,631 |
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AT&T Inc., Senior Notes |
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3.500 |
% |
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2/1/61 |
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260,000 |
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166,546 |
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British Telecommunications PLC, Senior Notes |
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9.625 |
% |
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12/15/30 |
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1,550,000 |
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1,875,767 |
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Telefonica Emisiones SA, Senior Notes |
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7.045 |
% |
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6/20/36 |
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140,000 |
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151,863 |
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Telefonica Europe BV, Senior Notes |
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8.250 |
% |
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9/15/30 |
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390,000 |
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448,210 |
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Verizon Communications Inc., Senior Notes |
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4.329 |
% |
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9/21/28 |
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218,000 |
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210,502 |
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Verizon Communications Inc., Senior Notes |
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5.500 |
% |
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3/16/47 |
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1,130,000 |
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1,111,033 |
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Verizon Communications Inc., Senior Notes |
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3.700 |
% |
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3/22/61 |
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100,000 |
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70,788 |
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Total Diversified Telecommunication
Services |
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5,524,181 |
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Entertainment
2.7% |
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Walt Disney Co., Senior Notes |
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6.650 |
% |
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11/15/37 |
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2,400,000 |
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2,695,303 |
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Warnermedia Holdings Inc., Senior Notes |
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5.141 |
% |
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|
3/15/52 |
|
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2,830,000 |
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2,263,571 |
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Total Entertainment |
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4,958,874 |
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Media 4.0% |
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CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
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4.500 |
% |
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|
5/1/32 |
|
|
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910,000 |
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|
|
750,178 |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
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6.384 |
% |
|
|
10/23/35 |
|
|
|
180,000 |
|
|
|
176,818 |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
|
|
3.500 |
% |
|
|
3/1/42 |
|
|
|
120,000 |
|
|
|
79,385 |
|
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
|
|
6.484 |
% |
|
|
10/23/45 |
|
|
|
420,000 |
|
|
|
390,157 |
|
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
|
|
5.375 |
% |
|
|
5/1/47 |
|
|
|
560,000 |
|
|
|
453,285 |
|
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
|
|
5.750 |
% |
|
|
4/1/48 |
|
|
|
110,000 |
|
|
|
92,881 |
|
See Notes to Financial
Statements.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
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9 |
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Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
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Security |
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Rate |
|
|
Maturity Date |
|
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Face Amount |
|
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Value |
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Media continued |
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Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
|
|
5.250 |
% |
|
|
4/1/53 |
|
|
|
250,000 |
|
|
$ |
200,409 |
|
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
|
|
3.950 |
% |
|
|
6/30/62 |
|
|
|
120,000 |
|
|
|
72,187 |
|
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.,
Senior Secured Notes |
|
|
5.500 |
% |
|
|
4/1/63 |
|
|
|
330,000 |
|
|
|
261,297 |
|
Comcast Corp., Senior Notes |
|
|
6.400 |
% |
|
|
5/15/38 |
|
|
|
2,500,000 |
|
|
|
2,675,596 |
|
DISH DBS Corp., Senior Secured Notes |
|
|
5.750 |
% |
|
|
12/1/28 |
|
|
|
250,000 |
|
|
|
185,640 |
(a) |
Fox Corp., Senior Notes |
|
|
5.476 |
% |
|
|
1/25/39 |
|
|
|
810,000 |
|
|
|
740,308 |
|
Paramount Global, Senior Notes |
|
|
5.250 |
% |
|
|
4/1/44 |
|
|
|
80,000 |
|
|
|
60,180 |
|
Time Warner Cable Enterprises LLC, Senior Secured Notes |
|
|
8.375 |
% |
|
|
7/15/33 |
|
|
|
370,000 |
|
|
|
415,179 |
|
Time Warner Cable LLC, Senior Secured Notes |
|
|
6.550 |
% |
|
|
5/1/37 |
|
|
|
370,000 |
|
|
|
349,680 |
|
Time Warner Cable LLC, Senior Secured Notes |
|
|
7.300 |
% |
|
|
7/1/38 |
|
|
|
330,000 |
|
|
|
330,372 |
|
Time Warner Cable LLC, Senior Secured Notes |
|
|
6.750 |
% |
|
|
6/15/39 |
|
|
|
20,000 |
|
|
|
19,089 |
|
Time Warner Cable LLC, Senior Secured Notes |
|
|
5.500 |
% |
|
|
9/1/41 |
|
|
|
200,000 |
|
|
|
165,554 |
|
Total Media |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,418,195 |
|
Wireless Telecommunication Services
0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sprint LLC, Senior Notes |
|
|
7.125 |
% |
|
|
6/15/24 |
|
|
|
230,000 |
|
|
|
231,225 |
|
T-Mobile USA Inc., Senior Notes |
|
|
4.375 |
% |
|
|
4/15/40 |
|
|
|
100,000 |
|
|
|
85,517 |
|
T-Mobile USA Inc., Senior Notes |
|
|
3.000 |
% |
|
|
2/15/41 |
|
|
|
100,000 |
|
|
|
70,590 |
|
T-Mobile USA Inc., Senior Notes |
|
|
4.500 |
% |
|
|
4/15/50 |
|
|
|
330,000 |
|
|
|
274,631 |
|
T-Mobile USA Inc., Senior Notes |
|
|
3.400 |
% |
|
|
10/15/52 |
|
|
|
360,000 |
|
|
|
242,711 |
|
Vodafone Group PLC, Senior Notes |
|
|
5.250 |
% |
|
|
5/30/48 |
|
|
|
320,000 |
|
|
|
292,448 |
|
Vodafone Group PLC, Senior Notes |
|
|
4.250 |
% |
|
|
9/17/50 |
|
|
|
20,000 |
|
|
|
15,497 |
|
Total Wireless Telecommunication
Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,212,619 |
|
Total Communication Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,113,869 |
|
Consumer Discretionary 5.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobile Components
0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ZF North America Capital Inc., Senior Notes |
|
|
4.750 |
% |
|
|
4/29/25 |
|
|
|
620,000 |
|
|
|
606,290 |
(a) |
Automobiles 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Co., Senior Notes |
|
|
3.250 |
% |
|
|
2/12/32 |
|
|
|
470,000 |
|
|
|
375,041 |
|
Ford Motor Credit Co. LLC, Senior Notes |
|
|
2.700 |
% |
|
|
8/10/26 |
|
|
|
630,000 |
|
|
|
571,350 |
|
General Motors Co., Senior Notes |
|
|
6.125 |
% |
|
|
10/1/25 |
|
|
|
300,000 |
|
|
|
301,530 |
|
General Motors Co., Senior Notes |
|
|
6.600 |
% |
|
|
4/1/36 |
|
|
|
290,000 |
|
|
|
297,283 |
|
General Motors Co., Senior Notes |
|
|
6.750 |
% |
|
|
4/1/46 |
|
|
|
580,000 |
|
|
|
589,458 |
|
Total Automobiles |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,134,662 |
|
See Notes to Financial
Statements.
|
|
|
|
|
10 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Broadline Retail
0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amazon.com Inc., Senior Notes |
|
|
3.875 |
% |
|
|
8/22/37 |
|
|
|
410,000 |
|
|
$ |
365,611 |
|
Amazon.com Inc., Senior Notes |
|
|
3.950 |
% |
|
|
4/13/52 |
|
|
|
520,000 |
|
|
|
428,595 |
|
Total Broadline Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
794,206 |
|
Diversified Consumer Services
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California Institute of Technology, Senior Notes |
|
|
3.650 |
% |
|
|
9/1/2119 |
|
|
|
180,000 |
|
|
|
114,513 |
|
Washington University, Senior Notes |
|
|
3.524 |
% |
|
|
4/15/54 |
|
|
|
150,000 |
|
|
|
110,569 |
|
Washington University, Senior Notes |
|
|
4.349 |
% |
|
|
4/15/2122 |
|
|
|
170,000 |
|
|
|
131,595 |
|
Total Diversified Consumer
Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
356,677 |
|
Hotels, Restaurants & Leisure
2.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Genting New York LLC/GENNY Capital Inc., |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior Notes |
|
|
3.300 |
% |
|
|
2/15/26 |
|
|
|
740,000 |
|
|
|
669,799 |
(a) |
Marriott International Inc., Senior Notes |
|
|
3.600 |
% |
|
|
4/15/24 |
|
|
|
320,000 |
|
|
|
317,061 |
|
McDonalds Corp., Senior Notes |
|
|
4.700 |
% |
|
|
12/9/35 |
|
|
|
260,000 |
|
|
|
246,123 |
|
McDonalds Corp., Senior Notes |
|
|
4.875 |
% |
|
|
12/9/45 |
|
|
|
370,000 |
|
|
|
337,275 |
|
Melco Resorts Finance Ltd., Senior Notes |
|
|
5.375 |
% |
|
|
12/4/29 |
|
|
|
590,000 |
|
|
|
494,701 |
(a) |
Sands China Ltd., Senior Notes |
|
|
5.375 |
% |
|
|
8/8/25 |
|
|
|
690,000 |
|
|
|
674,840 |
|
Sands China Ltd., Senior Notes |
|
|
5.650 |
% |
|
|
8/8/28 |
|
|
|
200,000 |
|
|
|
191,606 |
|
Sands China Ltd., Senior Notes |
|
|
4.875 |
% |
|
|
6/18/30 |
|
|
|
220,000 |
|
|
|
193,982 |
|
Sands China Ltd., Senior Notes |
|
|
3.500 |
% |
|
|
8/8/31 |
|
|
|
510,000 |
|
|
|
407,401 |
|
Wynn Macau Ltd., Senior Notes |
|
|
5.500 |
% |
|
|
10/1/27 |
|
|
|
370,000 |
|
|
|
338,922 |
(a) |
Total Hotels, Restaurants &
Leisure |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,871,710 |
|
Household Durables
0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Lennar Corp., Senior Notes |
|
|
5.000 |
% |
|
|
6/15/27 |
|
|
|
290,000 |
|
|
|
285,789 |
|
MDC Holdings Inc., Senior Notes |
|
|
2.500 |
% |
|
|
1/15/31 |
|
|
|
300,000 |
|
|
|
231,723 |
|
MDC Holdings Inc., Senior Notes |
|
|
6.000 |
% |
|
|
1/15/43 |
|
|
|
310,000 |
|
|
|
271,235 |
|
Total Household Durables |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
788,747 |
|
Specialty Retail
0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Depot Inc., Senior Notes |
|
|
3.300 |
% |
|
|
4/15/40 |
|
|
|
100,000 |
|
|
|
77,992 |
|
Home Depot Inc., Senior Notes |
|
|
3.350 |
% |
|
|
4/15/50 |
|
|
|
80,000 |
|
|
|
57,646 |
|
Home Depot Inc., Senior Notes |
|
|
3.625 |
% |
|
|
4/15/52 |
|
|
|
420,000 |
|
|
|
315,455 |
|
Lithia Motors Inc., Senior Notes |
|
|
4.625 |
% |
|
|
12/15/27 |
|
|
|
170,000 |
|
|
|
158,120 |
(a) |
Lithia Motors Inc., Senior Notes |
|
|
3.875 |
% |
|
|
6/1/29 |
|
|
|
300,000 |
|
|
|
264,662 |
(a) |
Lowes Cos. Inc., Senior Notes |
|
|
4.250 |
% |
|
|
4/1/52 |
|
|
|
440,000 |
|
|
|
345,725 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,219,600 |
|
Total Consumer Discretionary |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,771,892 |
|
Consumer Staples 3.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages 1.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
|
|
4.600 |
% |
|
|
4/15/48 |
|
|
|
1,730,000 |
|
|
|
1,541,114 |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
11 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Beverages
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coca-Cola Co., Senior Notes |
|
|
4.125 |
% |
|
|
3/25/40 |
|
|
|
290,000 |
|
|
$ |
256,216 |
|
Coca-Cola Co., Senior Notes |
|
|
4.200 |
% |
|
|
3/25/50 |
|
|
|
160,000 |
|
|
|
140,552 |
|
Total Beverages |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,937,882 |
|
Food Products
0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
J M Smucker Co., Senior Notes |
|
|
6.200 |
% |
|
|
11/15/33 |
|
|
|
360,000 |
|
|
|
376,105 |
|
Kraft Heinz Foods Co., Senior Notes |
|
|
5.000 |
% |
|
|
6/4/42 |
|
|
|
160,000 |
|
|
|
144,582 |
|
Mars Inc., Senior Notes |
|
|
3.200 |
% |
|
|
4/1/30 |
|
|
|
220,000 |
|
|
|
197,527 |
(a) |
Total Food Products |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
718,214 |
|
Tobacco 2.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Altria Group Inc., Senior Notes |
|
|
3.800 |
% |
|
|
2/14/24 |
|
|
|
290,000 |
|
|
|
288,437 |
|
Altria Group Inc., Senior Notes |
|
|
4.400 |
% |
|
|
2/14/26 |
|
|
|
500,000 |
|
|
|
490,759 |
|
Altria Group Inc., Senior Notes |
|
|
4.800 |
% |
|
|
2/14/29 |
|
|
|
1,360,000 |
|
|
|
1,328,078 |
|
Altria Group Inc., Senior Notes |
|
|
3.875 |
% |
|
|
9/16/46 |
|
|
|
80,000 |
|
|
|
56,342 |
|
Imperial Brands Finance PLC, Senior Notes |
|
|
6.125 |
% |
|
|
7/27/27 |
|
|
|
510,000 |
|
|
|
517,219 |
(a) |
Reynolds American Inc., Senior Notes |
|
|
8.125 |
% |
|
|
5/1/40 |
|
|
|
470,000 |
|
|
|
519,634 |
|
Reynolds American Inc., Senior Notes |
|
|
7.000 |
% |
|
|
8/4/41 |
|
|
|
510,000 |
|
|
|
511,881 |
|
Total Tobacco |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,712,350 |
|
Total Consumer Staples |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,368,446 |
|
Energy 13.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services
0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Halliburton Co., Senior Notes |
|
|
5.000 |
% |
|
|
11/15/45 |
|
|
|
930,000 |
|
|
|
850,684 |
|
Oil, Gas & Consumable Fuels
13.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apache Corp., Senior Notes |
|
|
6.000 |
% |
|
|
1/15/37 |
|
|
|
84,000 |
|
|
|
78,395 |
|
Apache Corp., Senior Notes |
|
|
5.100 |
% |
|
|
9/1/40 |
|
|
|
60,000 |
|
|
|
49,468 |
|
Apache Corp., Senior Notes |
|
|
5.250 |
% |
|
|
2/1/42 |
|
|
|
160,000 |
|
|
|
128,896 |
|
Apache Corp., Senior Notes |
|
|
4.750 |
% |
|
|
4/15/43 |
|
|
|
670,000 |
|
|
|
502,493 |
|
Cameron LNG LLC, Senior Secured Notes |
|
|
3.302 |
% |
|
|
1/15/35 |
|
|
|
40,000 |
|
|
|
32,649 |
(a) |
Cameron LNG LLC, Senior Secured Notes |
|
|
3.701 |
% |
|
|
1/15/39 |
|
|
|
50,000 |
|
|
|
39,675 |
(a) |
Cheniere Energy Partners LP, Senior Notes |
|
|
3.250 |
% |
|
|
1/31/32 |
|
|
|
360,000 |
|
|
|
296,605 |
|
Chesapeake Energy Corp., Senior Notes |
|
|
6.750 |
% |
|
|
4/15/29 |
|
|
|
270,000 |
|
|
|
269,250 |
(a) |
Chevron USA Inc., Senior Notes |
|
|
5.250 |
% |
|
|
11/15/43 |
|
|
|
240,000 |
|
|
|
238,955 |
|
Columbia Pipelines Operating Co. LLC, Senior Notes |
|
|
6.036 |
% |
|
|
11/15/33 |
|
|
|
460,000 |
|
|
|
464,477 |
(a) |
Columbia Pipelines Operating Co. LLC, Senior Notes |
|
|
6.544 |
% |
|
|
11/15/53 |
|
|
|
370,000 |
|
|
|
378,955 |
(a) |
ConocoPhillips, Senior Notes |
|
|
6.500 |
% |
|
|
2/1/39 |
|
|
|
1,500,000 |
|
|
|
1,661,853 |
|
Continental Resources Inc., Senior Notes |
|
|
2.268 |
% |
|
|
11/15/26 |
|
|
|
130,000 |
|
|
|
117,480 |
(a) |
Continental Resources Inc., Senior Notes |
|
|
4.375 |
% |
|
|
1/15/28 |
|
|
|
430,000 |
|
|
|
407,146 |
|
Continental Resources Inc., Senior Notes |
|
|
2.875 |
% |
|
|
4/1/32 |
|
|
|
180,000 |
|
|
|
141,064 |
(a) |
See Notes to Financial
Statements.
|
|
|
|
|
12 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Oil, Gas & Consumable Fuels
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Continental Resources Inc., Senior Notes |
|
|
4.900 |
% |
|
|
6/1/44 |
|
|
|
140,000 |
|
|
$ |
107,935 |
|
Devon Energy Corp., Senior Notes |
|
|
5.850 |
% |
|
|
12/15/25 |
|
|
|
560,000 |
|
|
|
561,706 |
|
Devon Energy Corp., Senior Notes |
|
|
4.500 |
% |
|
|
1/15/30 |
|
|
|
116,000 |
|
|
|
107,938 |
|
Devon Energy Corp., Senior Notes |
|
|
5.600 |
% |
|
|
7/15/41 |
|
|
|
20,000 |
|
|
|
18,442 |
|
Devon Energy Corp., Senior Notes |
|
|
5.000 |
% |
|
|
6/15/45 |
|
|
|
210,000 |
|
|
|
176,817 |
|
Diamondback Energy Inc., Senior Notes |
|
|
6.250 |
% |
|
|
3/15/53 |
|
|
|
370,000 |
|
|
|
372,369 |
|
Ecopetrol SA, Senior Notes |
|
|
5.875 |
% |
|
|
5/28/45 |
|
|
|
404,000 |
|
|
|
288,110 |
|
Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury
Constant Maturity Rate + 5.134%) |
|
|
6.750 |
% |
|
|
5/15/25 |
|
|
|
330,000 |
|
|
|
309,289 |
(b)(c) |
Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury
Constant Maturity Rate + 5.306%) |
|
|
7.125 |
% |
|
|
5/15/30 |
|
|
|
880,000 |
|
|
|
781,414 |
(b)(c) |
Energy Transfer LP, Senior Notes |
|
|
3.900 |
% |
|
|
7/15/26 |
|
|
|
630,000 |
|
|
|
604,970 |
|
Energy Transfer LP, Senior Notes |
|
|
5.250 |
% |
|
|
4/15/29 |
|
|
|
20,000 |
|
|
|
19,655 |
|
Energy Transfer LP, Senior Notes |
|
|
8.250 |
% |
|
|
11/15/29 |
|
|
|
240,000 |
|
|
|
266,645 |
|
Energy Transfer LP, Senior Notes |
|
|
6.625 |
% |
|
|
10/15/36 |
|
|
|
20,000 |
|
|
|
20,564 |
|
Energy Transfer LP, Senior Notes |
|
|
5.800 |
% |
|
|
6/15/38 |
|
|
|
60,000 |
|
|
|
57,342 |
|
Enterprise Products Operating LLC, Senior Notes |
|
|
4.250 |
% |
|
|
2/15/48 |
|
|
|
400,000 |
|
|
|
333,022 |
|
Enterprise Products Operating LLC, Senior Notes |
|
|
3.300 |
% |
|
|
2/15/53 |
|
|
|
230,000 |
|
|
|
160,702 |
|
Enterprise Products Operating LLC, Senior Notes |
|
|
3.950 |
% |
|
|
1/31/60 |
|
|
|
210,000 |
|
|
|
159,369 |
|
Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. Term SOFR +
2.832%) |
|
|
5.375 |
% |
|
|
2/15/78 |
|
|
|
700,000 |
|
|
|
606,318 |
(c) |
EOG Resources Inc., Senior Notes |
|
|
4.375 |
% |
|
|
4/15/30 |
|
|
|
370,000 |
|
|
|
358,037 |
|
Exxon Mobil Corp., Senior Notes |
|
|
4.227 |
% |
|
|
3/19/40 |
|
|
|
220,000 |
|
|
|
195,867 |
|
KazMunayGas National Co. JSC, Senior Notes |
|
|
3.500 |
% |
|
|
4/14/33 |
|
|
|
240,000 |
|
|
|
187,104 |
(a) |
Kinder Morgan Inc., Senior Notes |
|
|
7.800 |
% |
|
|
8/1/31 |
|
|
|
900,000 |
|
|
|
996,307 |
|
MPLX LP, Senior Notes |
|
|
4.500 |
% |
|
|
4/15/38 |
|
|
|
600,000 |
|
|
|
510,115 |
|
Occidental Petroleum Corp., Senior Notes |
|
|
7.875 |
% |
|
|
9/15/31 |
|
|
|
1,000,000 |
|
|
|
1,104,667 |
|
Occidental Petroleum Corp., Senior Notes |
|
|
4.400 |
% |
|
|
4/15/46 |
|
|
|
10,000 |
|
|
|
7,667 |
|
ONEOK Inc., Senior Notes |
|
|
6.050 |
% |
|
|
9/1/33 |
|
|
|
710,000 |
|
|
|
723,131 |
|
ONEOK Inc., Senior Notes |
|
|
6.625 |
% |
|
|
9/1/53 |
|
|
|
710,000 |
|
|
|
746,434 |
|
Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
|
|
4.125 |
% |
|
|
2/15/28 |
|
|
|
330,000 |
|
|
|
312,072 |
(a) |
Petrobras Global Finance BV, Senior Notes |
|
|
7.375 |
% |
|
|
1/17/27 |
|
|
|
530,000 |
|
|
|
551,435 |
|
Petrobras Global Finance BV, Senior Notes |
|
|
5.500 |
% |
|
|
6/10/51 |
|
|
|
160,000 |
|
|
|
125,819 |
|
Southern Natural Gas Co. LLC, Senior Notes |
|
|
8.000 |
% |
|
|
3/1/32 |
|
|
|
1,500,000 |
|
|
|
1,703,842 |
|
Southwestern Energy Co., Senior Notes |
|
|
4.750 |
% |
|
|
2/1/32 |
|
|
|
90,000 |
|
|
|
80,323 |
|
Targa Resources Corp., Senior Notes |
|
|
4.950 |
% |
|
|
4/15/52 |
|
|
|
260,000 |
|
|
|
213,435 |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
13 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Oil, Gas & Consumable Fuels
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
|
|
6.875 |
% |
|
|
1/15/29 |
|
|
|
760,000 |
|
|
$ |
772,035 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
7.850 |
% |
|
|
2/1/26 |
|
|
|
760,000 |
|
|
|
792,223 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
7.250 |
% |
|
|
12/1/26 |
|
|
|
180,000 |
|
|
|
187,219 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
3.250 |
% |
|
|
5/15/30 |
|
|
|
230,000 |
|
|
|
203,073 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
5.400 |
% |
|
|
8/15/41 |
|
|
|
10,000 |
|
|
|
9,200 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
4.450 |
% |
|
|
8/1/42 |
|
|
|
860,000 |
|
|
|
708,965 |
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
|
3.950 |
% |
|
|
5/15/50 |
|
|
|
30,000 |
|
|
|
22,542 |
|
Western Midstream Operating LP, Senior Notes |
|
|
4.650 |
% |
|
|
7/1/26 |
|
|
|
1,560,000 |
|
|
|
1,516,115 |
|
Western Midstream Operating LP, Senior Notes |
|
|
4.750 |
% |
|
|
8/15/28 |
|
|
|
890,000 |
|
|
|
855,740 |
|
Western Midstream Operating LP, Senior Notes |
|
|
4.050 |
% |
|
|
2/1/30 |
|
|
|
140,000 |
|
|
|
126,978 |
|
Western Midstream Operating LP, Senior Notes |
|
|
5.450 |
% |
|
|
4/1/44 |
|
|
|
120,000 |
|
|
|
102,938 |
|
Western Midstream Operating LP, Senior Notes |
|
|
5.250 |
% |
|
|
2/1/50 |
|
|
|
430,000 |
|
|
|
358,682 |
|
Williams Cos. Inc., Senior Notes |
|
|
4.550 |
% |
|
|
6/24/24 |
|
|
|
1,130,000 |
|
|
|
1,121,867 |
|
Williams Cos. Inc., Senior Notes |
|
|
7.750 |
% |
|
|
6/15/31 |
|
|
|
62,000 |
|
|
|
67,494 |
|
Williams Cos. Inc., Senior Notes |
|
|
8.750 |
% |
|
|
3/15/32 |
|
|
|
148,000 |
|
|
|
173,999 |
|
Williams Cos. Inc., Senior Notes |
|
|
3.500 |
% |
|
|
10/15/51 |
|
|
|
70,000 |
|
|
|
47,325 |
|
Total Oil, Gas & Consumable
Fuels |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,642,618 |
|
Total Energy |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,493,302 |
|
Financials 33.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banks 19.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banco Mercantil del Norte SA, Junior Subordinated Notes (7.500% to 6/27/29 then 10 year
Treasury Constant Maturity Rate + 5.470%) |
|
|
7.500 |
% |
|
|
6/27/29 |
|
|
|
200,000 |
|
|
|
182,708 |
(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 |
|
|
|
373,791 |
(a)(b)(c) |
Banco Mercantil del Norte SA, Junior Subordinated Notes (8.375% to 10/14/30 then 10 year
Treasury Constant Maturity Rate + 7.760%) |
|
|
8.375 |
% |
|
|
10/14/30 |
|
|
|
200,000 |
|
|
|
193,012 |
(a)(b)(c) |
Bank of America Corp., Junior Subordinated |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notes (6.100% to 3/17/25 then 3 mo. Term SOFR + 4.160%) |
|
|
6.100 |
% |
|
|
3/17/25 |
|
|
|
590,000 |
|
|
|
584,533 |
(b)(c) |
See Notes to Financial
Statements.
|
|
|
|
|
14 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity Date |
|
|
Face Amount |
|
|
Value |
|
Banks continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America Corp., Junior Subordinated Notes (6.250% to 9/5/24 then 3 mo. Term SOFR +
3.967%) |
|
|
6.250 |
% |
|
|
9/5/24 |
|
|
|
880,000 |
|
|
$ |
870,186 |
(b)(c) |
Bank of America Corp., Junior Subordinated Notes (6.500% to 10/23/24 then 3 mo. Term SOFR
+ 4.436%) |
|
|
6.500 |
% |
|
|
10/23/24 |
|
|
|
400,000 |
|
|
|
397,497 |
(b)(c) |
Bank of America Corp., Senior Notes |
|
|
5.875 |
% |
|
|
2/7/42 |
|
|
|
1,340,000 |
|
|
|
1,377,457 |
|
Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. Term SOFR +
3.412%) |
|
|
4.083 |
% |
|
|
3/20/51 |
|
|
|
250,000 |
|
|
|
198,136 |
(c) |
Bank of America Corp., Senior Notes (4.271% to 7/23/28 then 3 mo. Term SOFR +
1.572%) |
|
|
4.271 |
% |
|
|
7/23/29 |
|
|
|
690,000 |
|
|
|
651,971 |
(c) |
Bank of America Corp., Subordinated Notes |
|
|
7.750 |
% |
|
|
5/14/38 |
|
|
|
670,000 |
|
|
|
779,308 |
|
Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant
Maturity Rate + 2.050%) |
|
|
4.588 |
% |
|
|
5/4/37 |
|
|
|
560,000 |
|
|
|
476,420 |
(c) |
Barclays PLC, Junior Subordinated Notes (6.125% to 6/15/26 then 5 year Treasury Constant
Maturity Rate + 5.867%) |
|
|
6.125 |
% |
|
|
12/15/25 |
|
|
|
1,660,000 |
|
|
|
1,541,681 |
(b)(c) |
Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR +
3.054%) |
|
|
5.088 |
% |
|
|
6/20/30 |
|
|
|
500,000 |
|
|
|
459,190 |
(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 |
|
|
|
1,512,746 |
(a)(b)(c) |
BNP Paribas SA, Junior Subordinated Notes (8.500% to 8/14/28 then 5 year Treasury Constant
Maturity Rate + 4.354%) |
|
|
8.500 |
% |
|
|
8/14/28 |
|
|
|
290,000 |
|
|
|
295,033 |
(a)(b)(c) |
BPCE SA, Senior Notes (6.714% to 10/19/28 then SOFR + 2.270%) |
|
|
6.714 |
% |
|
|
10/19/29 |
|
|
|
530,000 |
|
|
|
541,152 |
(a)(c) |
Citigroup Inc., Junior Subordinated Notes (6.250% to 8/15/26 then 3 mo. Term SOFR +
4.779%) |
|
|
6.250 |
% |
|
|
8/15/26 |
|
|
|
1,100,000 |
|
|
|
1,071,004 |
(b)(c) |
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. Term SOFR +
3.685%) |
|
|
6.300 |
% |
|
|
5/15/24 |
|
|
|
1,350,000 |
|
|
|
1,333,032 |
(b)(c) |
Citigroup Inc., Senior Notes |
|
|
8.125 |
% |
|
|
7/15/39 |
|
|
|
752,000 |
|
|
|
928,042 |
|
Citigroup Inc., Senior Notes |
|
|
4.650 |
% |
|
|
7/23/48 |
|
|
|
780,000 |
|
|
|
675,343 |
|
Citigroup Inc., Senior Notes (3.785% to 3/17/32 then SOFR + 1.939%) |
|
|
3.785 |
% |
|
|
3/17/33 |
|
|
|
620,000 |
|
|
|
536,719 |
(c) |
Citigroup Inc., Subordinated Notes |
|
|
4.600 |
% |
|
|
3/9/26 |
|
|
|
490,000 |
|
|
|
478,546 |
|
Citigroup Inc., Subordinated Notes |
|
|
4.125 |
% |
|
|
7/25/28 |
|
|
|
1,990,000 |
|
|
|
1,862,722 |
|
Citigroup Inc., Subordinated Notes |
|
|
6.675 |
% |
|
|
9/13/43 |
|
|
|
630,000 |
|
|
|
663,184 |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
15 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Banks continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Citigroup Inc., Subordinated Notes (6.174% to 5/25/33 then SOFR + 2.661%) |
|
|
6.174 |
% |
|
|
5/25/34 |
|
|
|
380,000 |
|
|
$ |
377,223 |
(c) |
Cooperatieve Rabobank UA, Senior Notes |
|
|
5.750 |
% |
|
|
12/1/43 |
|
|
|
250,000 |
|
|
|
242,664 |
|
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 |
|
|
|
1,377,727 |
(a)(b)(c) |
Credit Agricole SA, Senior Notes (6.316% to 10/3/28 then SOFR + 1.860%) |
|
|
6.316 |
% |
|
|
10/3/29 |
|
|
|
450,000 |
|
|
|
459,005 |
(a)(c) |
Danske Bank A/S, Senior Notes |
|
|
5.375 |
% |
|
|
1/12/24 |
|
|
|
530,000 |
|
|
|
529,335 |
(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 |
|
|
|
782,836 |
(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 |
|
|
|
419,939 |
(b)(c) |
HSBC Holdings PLC, Senior Notes |
|
|
4.950 |
% |
|
|
3/31/30 |
|
|
|
200,000 |
|
|
|
193,859 |
|
HSBC Holdings PLC, Senior Notes (6.254% to 3/9/33 then SOFR + 2.390%) |
|
|
6.254 |
% |
|
|
3/9/34 |
|
|
|
1,300,000 |
|
|
|
1,324,734 |
(c) |
HSBC Holdings PLC, Subordinated Notes (4.762% to 3/29/32 then SOFR + 2.530%) |
|
|
4.762 |
% |
|
|
3/29/33 |
|
|
|
470,000 |
|
|
|
413,944 |
(c) |
Intesa Sanpaolo SpA, Senior Notes |
|
|
7.000 |
% |
|
|
11/21/25 |
|
|
|
290,000 |
|
|
|
293,868 |
(a) |
Intesa Sanpaolo SpA, Senior Notes |
|
|
4.700 |
% |
|
|
9/23/49 |
|
|
|
200,000 |
|
|
|
137,554 |
(a) |
Intesa Sanpaolo SpA, Senior Notes (7.778% to 6/20/53 then 1 year Treasury Constant
Maturity Rate + 3.900%) |
|
|
7.778 |
% |
|
|
6/20/54 |
|
|
|
340,000 |
|
|
|
326,961 |
(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 |
|
|
|
154,980 |
(a)(c) |
Intesa Sanpaolo SpA, Subordinated Notes (4.950% to 6/1/41 then 1 year Treasury Constant
Maturity Rate + 2.750%) |
|
|
4.950 |
% |
|
|
6/1/42 |
|
|
|
430,000 |
|
|
|
283,349 |
(a)(c) |
JPMorgan Chase & Co., Junior Subordinated Notes (3 mo. Term SOFR +
3.562%) |
|
|
8.939 |
% |
|
|
2/1/24 |
|
|
|
700,000 |
|
|
|
705,048 |
(b)(c) |
JPMorgan Chase & Co., Senior Notes |
|
|
6.400 |
% |
|
|
5/15/38 |
|
|
|
1,500,000 |
|
|
|
1,651,890 |
|
JPMorgan Chase & Co., Subordinated Notes |
|
|
5.625 |
% |
|
|
8/16/43 |
|
|
|
760,000 |
|
|
|
755,931 |
|
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 |
|
|
|
211,298 |
(b)(c) |
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 |
|
|
|
609,070 |
(b)(c) |
See Notes to Financial
Statements.
|
|
|
|
|
16 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Banks continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
$ |
454,093 |
(b)(c) |
Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30 then 5 year
Treasury Constant Maturity Rate + 3.913%) |
|
|
8.000 |
% |
|
|
9/27/29 |
|
|
|
410,000 |
|
|
|
389,327 |
(b)(c) |
NatWest Group PLC, Subordinated Notes (3.754% to 11/1/24 then 5 year Treasury Constant
Maturity Rate + 2.100%) |
|
|
3.754 |
% |
|
|
11/1/29 |
|
|
|
200,000 |
|
|
|
192,427 |
(c) |
PNC Bank NA, Subordinated Notes |
|
|
4.050 |
% |
|
|
7/26/28 |
|
|
|
650,000 |
|
|
|
607,117 |
|
Truist Financial Corp., Senior Notes (5.867% to 6/8/33 then SOFR + 2.361%) |
|
|
5.867 |
% |
|
|
6/8/34 |
|
|
|
390,000 |
|
|
|
379,939 |
(c) |
Truist Financial Corp., Senior Notes (7.161% to 10/30/28 then SOFR + 2.446%) |
|
|
7.161 |
% |
|
|
10/30/29 |
|
|
|
350,000 |
|
|
|
366,046 |
(c) |
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate +
4.914%) |
|
|
7.296 |
% |
|
|
4/2/34 |
|
|
|
1,610,000 |
|
|
|
1,577,310 |
(a)(c) |
US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) |
|
|
5.836 |
% |
|
|
6/12/34 |
|
|
|
470,000 |
|
|
|
463,029 |
(c) |
Wells Fargo & Co., Senior Notes (4.611% to 4/25/52 then SOFR + 2.130%) |
|
|
4.611 |
% |
|
|
4/25/53 |
|
|
|
600,000 |
|
|
|
502,937 |
(c) |
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR +
4.502%) |
|
|
5.013 |
% |
|
|
4/4/51 |
|
|
|
350,000 |
|
|
|
311,449 |
(c) |
Wells Fargo & Co., Senior Notes (5.557% to 7/25/33 then SOFR + 1.990%) |
|
|
5.557 |
% |
|
|
7/25/34 |
|
|
|
880,000 |
|
|
|
857,736 |
(c) |
Wells Fargo & Co., Subordinated Notes |
|
|
4.400 |
% |
|
|
6/14/46 |
|
|
|
420,000 |
|
|
|
327,882 |
|
Wells Fargo & Co., Subordinated Notes |
|
|
4.750 |
% |
|
|
12/7/46 |
|
|
|
530,000 |
|
|
|
435,363 |
|
Westpac Banking Corp., Subordinated Notes |
|
|
4.421 |
% |
|
|
7/24/39 |
|
|
|
170,000 |
|
|
|
135,402 |
|
Total Banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,234,685 |
|
Capital Markets
7.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Charles Schwab Corp., Junior Subordinated Notes (4.000% to 12/1/30 then 10 year Treasury
Constant Maturity Rate + 3.079%) |
|
|
4.000 |
% |
|
|
12/1/30 |
|
|
|
500,000 |
|
|
|
378,188 |
(b)(c) |
Charles Schwab Corp., Senior Notes |
|
|
3.850 |
% |
|
|
5/21/25 |
|
|
|
230,000 |
|
|
|
224,073 |
|
Charles Schwab Corp., Senior Notes (5.853% to 5/19/33 then SOFR + 2.500%) |
|
|
5.853 |
% |
|
|
5/19/34 |
|
|
|
410,000 |
|
|
|
405,316 |
(c) |
Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + 2.010%) |
|
|
6.136 |
% |
|
|
8/24/34 |
|
|
|
680,000 |
|
|
|
682,165 |
(c) |
CI Financial Corp., Senior Notes |
|
|
4.100 |
% |
|
|
6/15/51 |
|
|
|
250,000 |
|
|
|
139,567 |
|
CME Group Inc., Senior Notes |
|
|
5.300 |
% |
|
|
9/15/43 |
|
|
|
750,000 |
|
|
|
757,969 |
|
Credit Suisse AG AT1 Claim |
|
|
|
|
|
|
|
|
|
|
2,390,000 |
|
|
|
274,850 |
*(d) |
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
17 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Capital Markets
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse USA Inc., Senior Notes |
|
|
7.125 |
% |
|
|
7/15/32 |
|
|
|
70,000 |
|
|
$ |
76,723 |
|
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 |
|
|
|
150,000 |
|
|
|
152,558 |
(b)(c) |
Goldman Sachs Group Inc., Senior Notes |
|
|
5.700 |
% |
|
|
11/1/24 |
|
|
|
600,000 |
|
|
|
599,790 |
|
Goldman Sachs Group Inc., Senior Notes |
|
|
6.250 |
% |
|
|
2/1/41 |
|
|
|
2,550,000 |
|
|
|
2,678,711 |
|
Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + 1.846%) |
|
|
3.615 |
% |
|
|
3/15/28 |
|
|
|
1,670,000 |
|
|
|
1,571,890 |
(c) |
Goldman Sachs Group Inc., Subordinated Notes |
|
|
5.150 |
% |
|
|
5/22/45 |
|
|
|
70,000 |
|
|
|
63,123 |
|
Intercontinental Exchange Inc., Senior Notes |
|
|
4.950 |
% |
|
|
6/15/52 |
|
|
|
390,000 |
|
|
|
361,886 |
|
Intercontinental Exchange Inc., Senior Notes |
|
|
5.200 |
% |
|
|
6/15/62 |
|
|
|
400,000 |
|
|
|
376,621 |
|
KKR Group Finance Co. III LLC, Senior Notes |
|
|
5.125 |
% |
|
|
6/1/44 |
|
|
|
1,300,000 |
|
|
|
1,112,643 |
(a) |
KKR Group Finance Co. VI LLC, Senior Notes |
|
|
3.750 |
% |
|
|
7/1/29 |
|
|
|
110,000 |
|
|
|
99,369 |
(a) |
KKR Group Finance Co. X LLC, Senior Notes |
|
|
3.250 |
% |
|
|
12/15/51 |
|
|
|
160,000 |
|
|
|
98,970 |
(a) |
Morgan Stanley, Senior Notes |
|
|
6.375 |
% |
|
|
7/24/42 |
|
|
|
140,000 |
|
|
|
152,897 |
|
Morgan Stanley, Senior Notes (1.928% to 4/28/31 then SOFR + 1.020%) |
|
|
1.928 |
% |
|
|
4/28/32 |
|
|
|
900,000 |
|
|
|
692,000 |
(c) |
Morgan Stanley, Subordinated Notes |
|
|
4.350 |
% |
|
|
9/8/26 |
|
|
|
500,000 |
|
|
|
485,165 |
|
Morgan Stanley, Subordinated Notes (5.297% to 4/20/32 then SOFR + 2.620%) |
|
|
5.297 |
% |
|
|
4/20/37 |
|
|
|
190,000 |
|
|
|
176,961 |
(c) |
Morgan Stanley, Subordinated Notes (5.948% to 1/19/33 then 5 year Treasury Constant
Maturity Rate + 2.430%) |
|
|
5.948 |
% |
|
|
1/19/38 |
|
|
|
160,000 |
|
|
|
155,168 |
(c) |
Raymond James Financial Inc., Senior Notes |
|
|
4.650 |
% |
|
|
4/1/30 |
|
|
|
120,000 |
|
|
|
116,474 |
|
Raymond James Financial Inc., Senior Notes |
|
|
4.950 |
% |
|
|
7/15/46 |
|
|
|
150,000 |
|
|
|
129,817 |
|
S&P Global Inc., Senior Notes |
|
|
3.250 |
% |
|
|
12/1/49 |
|
|
|
110,000 |
|
|
|
77,045 |
|
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 |
|
|
|
917,980 |
(a)(b)(c) |
UBS Group AG, Junior Subordinated Notes (9.250% to 11/13/33 then 5 year Treasury Constant
Maturity Rate + 4.758%) |
|
|
9.250 |
% |
|
|
11/13/33 |
|
|
|
440,000 |
|
|
|
467,467 |
(a)(b)(c) |
UBS Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%) |
|
|
4.194 |
% |
|
|
4/1/31 |
|
|
|
400,000 |
|
|
|
359,285 |
(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 |
|
|
|
350,000 |
|
|
|
353,496 |
(a)(c) |
Total Capital Markets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,138,167 |
|
See Notes to Financial
Statements.
|
|
|
|
|
18 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Consumer Finance
0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital One Financial Corp., Senior Notes (5.817% to 2/1/33 then SOFR + 2.600%) |
|
|
5.817 |
% |
|
|
2/1/34 |
|
|
|
240,000 |
|
|
$ |
225,221 |
(c) |
Navient Corp., Senior Notes |
|
|
6.125 |
% |
|
|
3/25/24 |
|
|
|
480,000 |
|
|
|
480,070 |
|
Total Consumer Finance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
705,291 |
|
Financial Services
1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
|
|
3.850 |
% |
|
|
10/29/41 |
|
|
|
530,000 |
|
|
|
396,058 |
|
Berkshire Hathaway Energy Co., Senior Notes |
|
|
6.125 |
% |
|
|
4/1/36 |
|
|
|
1,000,000 |
|
|
|
1,028,954 |
|
Carlyle Finance LLC, Senior Notes |
|
|
5.650 |
% |
|
|
9/15/48 |
|
|
|
170,000 |
|
|
|
146,703 |
(a) |
Carlyle Finance Subsidiary LLC, Senior Notes |
|
|
3.500 |
% |
|
|
9/19/29 |
|
|
|
230,000 |
|
|
|
210,054 |
(a) |
Carlyle Holdings II Finance LLC, Senior Notes |
|
|
5.625 |
% |
|
|
3/30/43 |
|
|
|
360,000 |
|
|
|
320,086 |
(a) |
Everest Reinsurance Holdings Inc., Senior Notes |
|
|
3.500 |
% |
|
|
10/15/50 |
|
|
|
220,000 |
|
|
|
149,771 |
|
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 |
|
|
|
800,000 |
|
|
|
588,294 |
(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 |
|
|
|
100,000 |
|
|
|
76,944 |
(a)(c) |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer
Inc., Senior Notes |
|
|
2.875 |
% |
|
|
10/15/26 |
|
|
|
230,000 |
|
|
|
208,060 |
(a) |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer
Inc., Senior Notes |
|
|
4.000 |
% |
|
|
10/15/33 |
|
|
|
220,000 |
|
|
|
178,038 |
(a) |
Total Financial Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,302,962 |
|
Insurance 3.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Allianz SE, Junior Subordinated Notes (3.500% to 4/30/26 then 5 year Treasury Constant
Maturity Rate + 2.973%) |
|
|
3.500 |
% |
|
|
11/17/25 |
|
|
|
200,000 |
|
|
|
171,726 |
(a)(b)(c) |
American International Group Inc., Senior Notes |
|
|
4.750 |
% |
|
|
4/1/48 |
|
|
|
80,000 |
|
|
|
69,556 |
|
Americo Life Inc., Senior Notes |
|
|
3.450 |
% |
|
|
4/15/31 |
|
|
|
120,000 |
|
|
|
90,843 |
(a) |
Fidelity & Guaranty Life Holdings Inc., Senior Notes |
|
|
5.500 |
% |
|
|
5/1/25 |
|
|
|
360,000 |
|
|
|
354,406 |
(a) |
Liberty Mutual Insurance Co., Subordinated Notes |
|
|
7.875 |
% |
|
|
10/15/26 |
|
|
|
840,000 |
|
|
|
881,126 |
(a) |
Marsh & McLennan Cos. Inc., Senior Notes |
|
|
2.900 |
% |
|
|
12/15/51 |
|
|
|
170,000 |
|
|
|
106,491 |
|
Massachusetts Mutual Life Insurance Co., Subordinated Notes |
|
|
3.375 |
% |
|
|
4/15/50 |
|
|
|
100,000 |
|
|
|
67,606 |
(a) |
Massachusetts Mutual Life Insurance Co., Subordinated Notes |
|
|
4.900 |
% |
|
|
4/1/77 |
|
|
|
420,000 |
|
|
|
330,622 |
(a) |
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
19 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Insurance
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MetLife Inc., Junior Subordinated Notes |
|
|
6.400 |
% |
|
|
12/15/36 |
|
|
|
1,000,000 |
|
|
$ |
985,618 |
|
MetLife Inc., Junior Subordinated Notes |
|
|
9.250 |
% |
|
|
4/8/38 |
|
|
|
159,000 |
|
|
|
176,416 |
(a) |
Nationwide Mutual Insurance Co., Subordinated Notes |
|
|
9.375 |
% |
|
|
8/15/39 |
|
|
|
520,000 |
|
|
|
655,595 |
(a) |
New York Life Insurance Co., Subordinated Notes |
|
|
4.450 |
% |
|
|
5/15/69 |
|
|
|
140,000 |
|
|
|
109,107 |
(a) |
Northwestern Mutual Life Insurance Co., Subordinated Notes |
|
|
3.625 |
% |
|
|
9/30/59 |
|
|
|
180,000 |
|
|
|
121,653 |
(a) |
Prudential Financial Inc., Junior Subordinated Notes (6.750% to 3/1/33 then 5 year
Treasury Constant Maturity Rate + 2.848%) |
|
|
6.750 |
% |
|
|
3/1/53 |
|
|
|
270,000 |
|
|
|
269,174 |
(c) |
RenaissanceRe Holdings Ltd., Senior Notes |
|
|
5.750 |
% |
|
|
6/5/33 |
|
|
|
300,000 |
|
|
|
293,876 |
|
Teachers Insurance & Annuity Association of America, Subordinated Notes |
|
|
6.850 |
% |
|
|
12/16/39 |
|
|
|
1,050,000 |
|
|
|
1,138,603 |
(a) |
Teachers Insurance & Annuity Association of America, Subordinated Notes |
|
|
4.900 |
% |
|
|
9/15/44 |
|
|
|
660,000 |
|
|
|
586,127 |
(a) |
Teachers Insurance & Annuity Association of America, Subordinated Notes |
|
|
3.300 |
% |
|
|
5/15/50 |
|
|
|
330,000 |
|
|
|
219,015 |
(a) |
Travelers Cos. Inc., Senior Notes |
|
|
6.250 |
% |
|
|
6/15/37 |
|
|
|
400,000 |
|
|
|
432,470 |
|
Total Insurance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,060,030 |
|
Mortgage Real Estate Investment Trusts
(REITs) 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Blackstone Holdings Finance Co. LLC, Senior Notes |
|
|
6.200 |
% |
|
|
4/22/33 |
|
|
|
700,000 |
|
|
|
718,608 |
(a) |
Total Financials |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
62,159,743 |
|
Health Care 11.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology
1.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AbbVie Inc., Senior Notes |
|
|
3.200 |
% |
|
|
11/21/29 |
|
|
|
270,000 |
|
|
|
245,226 |
|
AbbVie Inc., Senior Notes |
|
|
4.050 |
% |
|
|
11/21/39 |
|
|
|
1,160,000 |
|
|
|
997,616 |
|
Amgen Inc., Senior Notes |
|
|
5.250 |
% |
|
|
3/2/33 |
|
|
|
1,160,000 |
|
|
|
1,148,730 |
|
Amgen Inc., Senior Notes |
|
|
5.650 |
% |
|
|
3/2/53 |
|
|
|
460,000 |
|
|
|
454,034 |
|
Amgen Inc., Senior Notes |
|
|
5.750 |
% |
|
|
3/2/63 |
|
|
|
160,000 |
|
|
|
156,719 |
|
Gilead Sciences Inc., Senior Notes |
|
|
5.650 |
% |
|
|
12/1/41 |
|
|
|
100,000 |
|
|
|
101,076 |
|
Gilead Sciences Inc., Senior Notes |
|
|
4.500 |
% |
|
|
2/1/45 |
|
|
|
500,000 |
|
|
|
434,765 |
|
Gilead Sciences Inc., Senior Notes |
|
|
4.750 |
% |
|
|
3/1/46 |
|
|
|
100,000 |
|
|
|
90,018 |
|
Total Biotechnology |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,628,184 |
|
Health Care Equipment & Supplies
0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbott Laboratories, Senior Notes |
|
|
4.900 |
% |
|
|
11/30/46 |
|
|
|
200,000 |
|
|
|
193,407 |
|
Becton Dickinson & Co., Senior Notes |
|
|
4.685 |
% |
|
|
12/15/44 |
|
|
|
910,000 |
|
|
|
794,864 |
|
Becton Dickinson & Co., Senior Notes |
|
|
4.669 |
% |
|
|
6/6/47 |
|
|
|
450,000 |
|
|
|
393,545 |
|
Total Health Care Equipment &
Supplies |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,381,816 |
|
See Notes to Financial
Statements.
|
|
|
|
|
20 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Health Care Providers & Services
6.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centene Corp., Senior Notes |
|
|
4.250 |
% |
|
|
12/15/27 |
|
|
|
160,000 |
|
|
$ |
151,172 |
|
Centene Corp., Senior Notes |
|
|
4.625 |
% |
|
|
12/15/29 |
|
|
|
560,000 |
|
|
|
520,600 |
|
Centene Corp., Senior Notes |
|
|
3.375 |
% |
|
|
2/15/30 |
|
|
|
790,000 |
|
|
|
683,704 |
|
Centene Corp., Senior Notes |
|
|
3.000 |
% |
|
|
10/15/30 |
|
|
|
120,000 |
|
|
|
100,229 |
|
Cigna Group, Senior Notes |
|
|
4.125 |
% |
|
|
11/15/25 |
|
|
|
540,000 |
|
|
|
527,625 |
|
Cigna Group, Senior Notes |
|
|
4.800 |
% |
|
|
8/15/38 |
|
|
|
540,000 |
|
|
|
498,623 |
|
Cigna Group, Senior Notes |
|
|
3.200 |
% |
|
|
3/15/40 |
|
|
|
220,000 |
|
|
|
163,762 |
|
CommonSpirit Health, Secured Notes |
|
|
4.350 |
% |
|
|
11/1/42 |
|
|
|
60,000 |
|
|
|
49,012 |
|
CVS Health Corp., Senior Notes |
|
|
4.100 |
% |
|
|
3/25/25 |
|
|
|
1,460,000 |
|
|
|
1,437,285 |
|
CVS Health Corp., Senior Notes |
|
|
4.300 |
% |
|
|
3/25/28 |
|
|
|
1,610,000 |
|
|
|
1,558,572 |
|
CVS Health Corp., Senior Notes |
|
|
4.780 |
% |
|
|
3/25/38 |
|
|
|
2,060,000 |
|
|
|
1,849,783 |
|
CVS Health Corp., Senior Notes |
|
|
5.125 |
% |
|
|
7/20/45 |
|
|
|
540,000 |
|
|
|
481,109 |
|
CVS Health Corp., Senior Notes |
|
|
5.050 |
% |
|
|
3/25/48 |
|
|
|
930,000 |
|
|
|
816,077 |
|
Dartmouth-Hitchcock Health, Secured Bonds |
|
|
4.178 |
% |
|
|
8/1/48 |
|
|
|
150,000 |
|
|
|
111,838 |
|
Elevance Health Inc., Senior Notes |
|
|
5.350 |
% |
|
|
10/15/25 |
|
|
|
500,000 |
|
|
|
499,785 |
|
Elevance Health Inc., Senior Notes |
|
|
4.375 |
% |
|
|
12/1/47 |
|
|
|
230,000 |
|
|
|
192,251 |
|
HCA Inc., Senior Notes |
|
|
4.125 |
% |
|
|
6/15/29 |
|
|
|
340,000 |
|
|
|
315,499 |
|
HCA Inc., Senior Notes |
|
|
5.125 |
% |
|
|
6/15/39 |
|
|
|
170,000 |
|
|
|
152,800 |
|
HCA Inc., Senior Notes |
|
|
5.500 |
% |
|
|
6/15/47 |
|
|
|
350,000 |
|
|
|
314,529 |
|
HCA Inc., Senior Notes |
|
|
5.250 |
% |
|
|
6/15/49 |
|
|
|
530,000 |
|
|
|
460,195 |
|
Humana Inc., Senior Notes |
|
|
4.800 |
% |
|
|
3/15/47 |
|
|
|
360,000 |
|
|
|
313,600 |
|
Inova Health System Foundation, Senior Notes |
|
|
4.068 |
% |
|
|
5/15/52 |
|
|
|
140,000 |
|
|
|
113,118 |
|
Kaiser Foundation Hospitals, Senior Notes |
|
|
3.002 |
% |
|
|
6/1/51 |
|
|
|
120,000 |
|
|
|
77,747 |
|
Orlando Health Obligated Group, Senior Notes |
|
|
4.089 |
% |
|
|
10/1/48 |
|
|
|
270,000 |
|
|
|
210,588 |
|
UnitedHealth Group Inc., Senior Notes |
|
|
3.500 |
% |
|
|
8/15/39 |
|
|
|
220,000 |
|
|
|
176,469 |
|
UnitedHealth Group Inc., Senior Notes |
|
|
4.750 |
% |
|
|
7/15/45 |
|
|
|
220,000 |
|
|
|
201,134 |
|
Total Health Care Providers &
Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,977,106 |
|
Pharmaceuticals
2.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bausch Health Cos. Inc., Senior Notes |
|
|
5.000 |
% |
|
|
1/30/28 |
|
|
|
130,000 |
|
|
|
48,731 |
(a) |
Pfizer Inc., Senior Notes |
|
|
7.200 |
% |
|
|
3/15/39 |
|
|
|
560,000 |
|
|
|
668,261 |
|
Pfizer Investment Enterprises Pte Ltd., Senior Notes |
|
|
4.750 |
% |
|
|
5/19/33 |
|
|
|
620,000 |
|
|
|
603,395 |
|
Pfizer Investment Enterprises Pte Ltd., Senior Notes |
|
|
5.110 |
% |
|
|
5/19/43 |
|
|
|
620,000 |
|
|
|
596,285 |
|
Pfizer Investment Enterprises Pte Ltd., Senior Notes |
|
|
5.300 |
% |
|
|
5/19/53 |
|
|
|
470,000 |
|
|
|
458,602 |
|
Pfizer Investment Enterprises Pte Ltd., Senior Notes |
|
|
5.340 |
% |
|
|
5/19/63 |
|
|
|
90,000 |
|
|
|
86,629 |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
21 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Pharmaceuticals
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
|
|
7.125 |
% |
|
|
1/31/25 |
|
|
|
200,000 |
|
|
$ |
201,022 |
|
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
|
|
8.125 |
% |
|
|
9/15/31 |
|
|
|
320,000 |
|
|
|
337,977 |
|
Wyeth LLC, Senior Notes |
|
|
5.950 |
% |
|
|
4/1/37 |
|
|
|
1,100,000 |
|
|
|
1,161,642 |
|
Zoetis Inc., Senior Notes |
|
|
4.700 |
% |
|
|
2/1/43 |
|
|
|
40,000 |
|
|
|
35,779 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,198,323 |
|
Total Health Care |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,185,429 |
|
Industrials 7.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense
3.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Avolon Holdings Funding Ltd., Senior Notes |
|
|
4.250 |
% |
|
|
4/15/26 |
|
|
|
640,000 |
|
|
|
608,908 |
(a) |
Boeing Co., Senior Notes |
|
|
3.100 |
% |
|
|
5/1/26 |
|
|
|
1,540,000 |
|
|
|
1,462,895 |
|
Boeing Co., Senior Notes |
|
|
3.250 |
% |
|
|
2/1/28 |
|
|
|
580,000 |
|
|
|
538,780 |
|
Boeing Co., Senior Notes |
|
|
5.705 |
% |
|
|
5/1/40 |
|
|
|
330,000 |
|
|
|
325,588 |
|
Boeing Co., Senior Notes |
|
|
5.805 |
% |
|
|
5/1/50 |
|
|
|
220,000 |
|
|
|
214,792 |
|
HEICO Corp., Senior Notes |
|
|
5.350 |
% |
|
|
8/1/33 |
|
|
|
380,000 |
|
|
|
371,677 |
|
Hexcel Corp., Senior Notes |
|
|
4.200 |
% |
|
|
2/15/27 |
|
|
|
1,000,000 |
|
|
|
952,433 |
|
Huntington Ingalls Industries Inc., Senior Notes |
|
|
3.483 |
% |
|
|
12/1/27 |
|
|
|
320,000 |
|
|
|
298,035 |
|
L3Harris Technologies Inc., Senior Notes |
|
|
5.400 |
% |
|
|
7/31/33 |
|
|
|
290,000 |
|
|
|
289,270 |
|
L3Harris Technologies Inc., Senior Notes |
|
|
4.854 |
% |
|
|
4/27/35 |
|
|
|
430,000 |
|
|
|
404,177 |
|
Lockheed Martin Corp., Senior Notes |
|
|
4.500 |
% |
|
|
5/15/36 |
|
|
|
50,000 |
|
|
|
46,952 |
|
Lockheed Martin Corp., Senior Notes |
|
|
4.700 |
% |
|
|
5/15/46 |
|
|
|
200,000 |
|
|
|
183,007 |
|
RTX Corp., Senior Notes |
|
|
4.625 |
% |
|
|
11/16/48 |
|
|
|
180,000 |
|
|
|
154,571 |
|
Total Aerospace &
Defense |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,851,085 |
|
Air Freight & Logistics
0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Parcel Service Inc., Senior Notes |
|
|
6.200 |
% |
|
|
1/15/38 |
|
|
|
700,000 |
|
|
|
765,798 |
|
Building Products
0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Carrier Global Corp., Senior Notes |
|
|
3.577 |
% |
|
|
4/5/50 |
|
|
|
160,000 |
|
|
|
114,058 |
|
Ground Transportation
0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Union Pacific Corp., Senior Notes |
|
|
4.375 |
% |
|
|
11/15/65 |
|
|
|
530,000 |
|
|
|
402,701 |
|
Union Pacific Corp., Senior Notes |
|
|
3.750 |
% |
|
|
2/5/70 |
|
|
|
30,000 |
|
|
|
21,114 |
|
Total Ground
Transportation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
423,815 |
|
Industrial Conglomerates
0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Electric Co., Senior Notes |
|
|
6.875 |
% |
|
|
1/10/39 |
|
|
|
143,000 |
|
|
|
162,682 |
|
Honeywell International Inc., Senior Notes |
|
|
5.000 |
% |
|
|
2/15/33 |
|
|
|
540,000 |
|
|
|
542,224 |
|
Total Industrial
Conglomerates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
704,906 |
|
Machinery 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Caterpillar Inc., Senior Notes |
|
|
4.750 |
% |
|
|
5/15/64 |
|
|
|
360,000 |
|
|
|
320,296 |
|
See Notes to Financial
Statements.
|
|
|
|
|
22 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Passenger Airlines
0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
|
|
5.500 |
% |
|
|
4/20/26 |
|
|
|
141,666 |
|
|
$ |
139,563 |
(a) |
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes |
|
|
5.750 |
% |
|
|
4/20/29 |
|
|
|
170,000 |
|
|
|
162,978 |
(a) |
Delta Air Lines Inc., Senior Secured Notes |
|
|
7.000 |
% |
|
|
5/1/25 |
|
|
|
420,000 |
|
|
|
424,561 |
(a) |
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
|
|
4.500 |
% |
|
|
10/20/25 |
|
|
|
260,000 |
|
|
|
253,822 |
(a) |
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
|
|
4.750 |
% |
|
|
10/20/28 |
|
|
|
210,000 |
|
|
|
201,764 |
(a) |
Southwest Airlines Co., Senior Notes |
|
|
5.125 |
% |
|
|
6/15/27 |
|
|
|
290,000 |
|
|
|
286,859 |
|
United Airlines Pass-Through Trust |
|
|
4.875 |
% |
|
|
1/15/26 |
|
|
|
194,560 |
|
|
|
186,700 |
|
Total Passenger Airlines |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,656,247 |
|
Trading Companies & Distributors
1.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Lease Corp., Senior Notes |
|
|
1.875 |
% |
|
|
8/15/26 |
|
|
|
1,000,000 |
|
|
|
905,010 |
|
Air Lease Corp., Senior Notes |
|
|
5.850 |
% |
|
|
12/15/27 |
|
|
|
480,000 |
|
|
|
482,295 |
|
Air Lease Corp., Senior Notes |
|
|
4.625 |
% |
|
|
10/1/28 |
|
|
|
500,000 |
|
|
|
476,152 |
|
Aircastle Ltd., Senior Notes |
|
|
5.250 |
% |
|
|
8/11/25 |
|
|
|
1,000,000 |
|
|
|
979,930 |
(a) |
Aviation Capital Group LLC, Senior Notes |
|
|
5.500 |
% |
|
|
12/15/24 |
|
|
|
250,000 |
|
|
|
247,123 |
(a) |
Aviation Capital Group LLC, Senior Notes |
|
|
4.125 |
% |
|
|
8/1/25 |
|
|
|
340,000 |
|
|
|
326,934 |
(a) |
Total Trading Companies &
Distributors |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,417,444 |
|
Total Industrials |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,253,649 |
|
Information Technology 3.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment,
Instruments & Components 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
TD SYNNEX Corp., Senior Notes |
|
|
1.250 |
% |
|
|
8/9/24 |
|
|
|
400,000 |
|
|
|
386,394 |
|
IT Services 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
International Business Machines Corp., Senior Notes |
|
|
3.500 |
% |
|
|
5/15/29 |
|
|
|
200,000 |
|
|
|
186,432 |
|
Kyndryl Holdings Inc., Senior Notes |
|
|
4.100 |
% |
|
|
10/15/41 |
|
|
|
450,000 |
|
|
|
317,870 |
|
Total IT Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
504,302 |
|
Semiconductors &
Semiconductor Equipment 1.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcom Inc., Senior Notes |
|
|
4.150 |
% |
|
|
11/15/30 |
|
|
|
178,000 |
|
|
|
165,066 |
|
Broadcom Inc., Senior Notes |
|
|
4.300 |
% |
|
|
11/15/32 |
|
|
|
580,000 |
|
|
|
533,066 |
|
Broadcom Inc., Senior Notes |
|
|
3.187 |
% |
|
|
11/15/36 |
|
|
|
22,000 |
|
|
|
16,820 |
(a) |
Broadcom Inc., Senior Notes |
|
|
4.926 |
% |
|
|
5/15/37 |
|
|
|
239,000 |
|
|
|
219,012 |
(a) |
Foundry JV Holdco LLC, Senior Secured Notes |
|
|
5.875 |
% |
|
|
1/25/34 |
|
|
|
470,000 |
|
|
|
466,181 |
(a) |
Intel Corp., Senior Notes |
|
|
4.900 |
% |
|
|
7/29/45 |
|
|
|
220,000 |
|
|
|
210,485 |
|
Intel Corp., Senior Notes |
|
|
4.750 |
% |
|
|
3/25/50 |
|
|
|
20,000 |
|
|
|
17,783 |
|
Intel Corp., Senior Notes |
|
|
4.950 |
% |
|
|
3/25/60 |
|
|
|
100,000 |
|
|
|
91,835 |
|
Intel Corp., Senior Notes |
|
|
3.200 |
% |
|
|
8/12/61 |
|
|
|
180,000 |
|
|
|
115,542 |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
23 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Semiconductors & Semiconductor
Equipment continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Micron Technology Inc., Senior Notes |
|
|
2.703 |
% |
|
|
4/15/32 |
|
|
|
210,000 |
|
|
$ |
168,207 |
|
Micron Technology Inc., Senior Notes |
|
|
3.366 |
% |
|
|
11/1/41 |
|
|
|
40,000 |
|
|
|
28,030 |
|
NVIDIA Corp., Senior Notes |
|
|
3.500 |
% |
|
|
4/1/40 |
|
|
|
100,000 |
|
|
|
82,478 |
|
NVIDIA Corp., Senior Notes |
|
|
3.500 |
% |
|
|
4/1/50 |
|
|
|
300,000 |
|
|
|
232,494 |
|
NVIDIA Corp., Senior Notes |
|
|
3.700 |
% |
|
|
4/1/60 |
|
|
|
120,000 |
|
|
|
92,501 |
|
QUALCOMM Inc., Senior Notes |
|
|
4.300 |
% |
|
|
5/20/47 |
|
|
|
70,000 |
|
|
|
60,211 |
|
Texas Instruments Inc., Senior Notes |
|
|
4.600 |
% |
|
|
2/15/28 |
|
|
|
380,000 |
|
|
|
379,701 |
|
Texas Instruments Inc., Senior Notes |
|
|
3.875 |
% |
|
|
3/15/39 |
|
|
|
430,000 |
|
|
|
375,378 |
|
Total Semiconductors &
Semiconductor Equipment |
|
|
|
|
|
|
|
|
|
|
|
3,254,790 |
|
Software 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Microsoft Corp., Senior Notes |
|
|
4.250 |
% |
|
|
2/6/47 |
|
|
|
1,520,000 |
|
|
|
1,400,110 |
|
Oracle Corp., Senior Notes |
|
|
3.950 |
% |
|
|
3/25/51 |
|
|
|
490,000 |
|
|
|
362,813 |
|
Oracle Corp., Senior Notes |
|
|
4.100 |
% |
|
|
3/25/61 |
|
|
|
580,000 |
|
|
|
418,986 |
|
Total Software |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,181,909 |
|
Technology Hardware,
Storage & Peripherals 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dell International LLC/EMC Corp., Senior Notes |
|
|
8.100 |
% |
|
|
7/15/36 |
|
|
|
200,000 |
|
|
|
235,684 |
|
Dell International LLC/EMC Corp., Senior Notes |
|
|
8.350 |
% |
|
|
7/15/46 |
|
|
|
60,000 |
|
|
|
74,050 |
|
Total Technology Hardware,
Storage & Peripherals |
|
|
|
|
|
|
|
|
|
|
|
309,734 |
|
Total Information Technology |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,637,129 |
|
Materials 1.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Celanese US Holdings LLC, Senior Notes |
|
|
5.900 |
% |
|
|
7/5/24 |
|
|
|
480,000 |
|
|
|
478,924 |
|
Ecolab Inc., Senior Notes |
|
|
4.800 |
% |
|
|
3/24/30 |
|
|
|
130,000 |
|
|
|
129,398 |
|
OCP SA, Senior Notes |
|
|
3.750 |
% |
|
|
6/23/31 |
|
|
|
200,000 |
|
|
|
165,806 |
(a) |
Total Chemicals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
774,128 |
|
Metals & Mining
1.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ArcelorMittal SA, Senior Notes |
|
|
6.550 |
% |
|
|
11/29/27 |
|
|
|
240,000 |
|
|
|
248,006 |
|
First Quantum Minerals Ltd., Senior Notes |
|
|
6.875 |
% |
|
|
10/15/27 |
|
|
|
400,000 |
|
|
|
324,468 |
(a) |
Freeport-McMoRan Inc., Senior Notes |
|
|
5.450 |
% |
|
|
3/15/43 |
|
|
|
330,000 |
|
|
|
296,315 |
|
Glencore Funding LLC, Senior Notes |
|
|
4.000 |
% |
|
|
3/27/27 |
|
|
|
590,000 |
|
|
|
562,382 |
(a) |
Yamana Gold Inc., Senior Notes |
|
|
4.625 |
% |
|
|
12/15/27 |
|
|
|
550,000 |
|
|
|
517,286 |
|
Total Metals &
Mining |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,948,457 |
|
Total Materials |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,722,585 |
|
Real Estate 1.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified REITs
0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Vornado Realty LP, Senior Notes |
|
|
3.500 |
% |
|
|
1/15/25 |
|
|
|
1,000,000 |
|
|
|
957,827 |
|
Health Care REITs
0.6% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Healthcare Trust, Senior Notes |
|
|
4.750 |
% |
|
|
5/1/24 |
|
|
|
190,000 |
|
|
|
179,685 |
|
See Notes to Financial
Statements.
|
|
|
|
|
24 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Health Care REITs
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ventas Realty LP, Senior Notes |
|
|
4.400 |
% |
|
|
1/15/29 |
|
|
|
540,000 |
|
|
$ |
507,234 |
|
Welltower OP LLC, Senior Notes |
|
|
4.125 |
% |
|
|
3/15/29 |
|
|
|
510,000 |
|
|
|
478,886 |
|
Total Health Care REITs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,165,805 |
|
Residential REITs
0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Invitation Homes Operating Partnership LP, Senior Notes |
|
|
4.150 |
% |
|
|
4/15/32 |
|
|
|
130,000 |
|
|
|
113,803 |
|
Retail REITs 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes |
|
|
3.750 |
% |
|
|
9/17/24 |
|
|
|
300,000 |
|
|
|
291,349 |
(a) |
Specialized REITs
0.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Extra Space Storage LP, Senior Notes |
|
|
3.900 |
% |
|
|
4/1/29 |
|
|
|
110,000 |
|
|
|
100,985 |
|
Total Real Estate |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,629,769 |
|
Utilities 4.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities
4.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CenterPoint Energy Houston Electric LLC, Senior Secured Bonds |
|
|
4.500 |
% |
|
|
4/1/44 |
|
|
|
530,000 |
|
|
|
452,572 |
|
Comision Federal de Electricidad, Senior Notes |
|
|
4.677 |
% |
|
|
2/9/51 |
|
|
|
200,000 |
|
|
|
129,778 |
(a) |
Commonwealth Edison Co., First Mortgage Bonds |
|
|
6.450 |
% |
|
|
1/15/38 |
|
|
|
600,000 |
|
|
|
636,339 |
|
Edison International, Junior Subordinated Notes (5.000% to 3/15/27 then 5 year Treasury
Constant Maturity Rate + 3.901%) |
|
|
5.000 |
% |
|
|
12/15/26 |
|
|
|
160,000 |
|
|
|
146,730 |
(b)(c) |
Edison International, Junior Subordinated Notes (5.375% to 3/15/26 then 5 year Treasury
Constant Maturity Rate + 4.698%) |
|
|
5.375 |
% |
|
|
3/15/26 |
|
|
|
230,000 |
|
|
|
213,269 |
(b)(c) |
Enel Finance International NV, Senior Notes |
|
|
6.800 |
% |
|
|
10/14/25 |
|
|
|
200,000 |
|
|
|
203,692 |
(a) |
Exelon Corp., Senior Notes |
|
|
4.050 |
% |
|
|
4/15/30 |
|
|
|
190,000 |
|
|
|
176,364 |
|
FirstEnergy Corp., Senior Notes |
|
|
4.150 |
% |
|
|
7/15/27 |
|
|
|
480,000 |
|
|
|
457,059 |
|
FirstEnergy Corp., Senior Notes |
|
|
7.375 |
% |
|
|
11/15/31 |
|
|
|
3,040,000 |
|
|
|
3,537,864 |
|
MidAmerican Energy Co., First Mortgage Bonds |
|
|
3.650 |
% |
|
|
4/15/29 |
|
|
|
240,000 |
|
|
|
223,434 |
|
Ohio Edison Co., Senior Notes |
|
|
5.500 |
% |
|
|
1/15/33 |
|
|
|
140,000 |
|
|
|
136,779 |
(a) |
Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
2.500 |
% |
|
|
2/1/31 |
|
|
|
130,000 |
|
|
|
103,615 |
|
Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
3.300 |
% |
|
|
8/1/40 |
|
|
|
30,000 |
|
|
|
20,529 |
|
Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
4.950 |
% |
|
|
7/1/50 |
|
|
|
310,000 |
|
|
|
247,043 |
|
Pacific Gas and Electric Co., First Mortgage Bonds |
|
|
6.750 |
% |
|
|
1/15/53 |
|
|
|
220,000 |
|
|
|
222,503 |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
25 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Electric Utilities
continued |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Southern California Edison Co., First Mortgage Bonds |
|
|
4.125 |
% |
|
|
3/1/48 |
|
|
|
480,000 |
|
|
$ |
374,054 |
|
Virginia Electric & Power Co., Senior Notes |
|
|
8.875 |
% |
|
|
11/15/38 |
|
|
|
500,000 |
|
|
|
649,986 |
|
Total Utilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,931,610 |
|
Total Corporate Bonds & Notes (Cost
$188,108,017) |
|
|
|
|
|
|
|
|
|
|
|
177,267,423 |
|
Sovereign Bonds 0.9% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentina 0.5% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Argentine Republic Government International Bond, Senior Notes |
|
|
1.000 |
% |
|
|
7/9/29 |
|
|
|
11,447 |
|
|
|
4,179 |
|
Argentine Republic Government International Bond, Senior Notes, Step bond (3.625% to
7/9/24 then 4.125%) |
|
|
3.625 |
% |
|
|
7/9/35 |
|
|
|
182,200 |
|
|
|
59,559 |
|
Provincia de Buenos Aires, Senior Notes, Step bond (6.375% to 9/1/24 then 6.625%) |
|
|
6.375 |
% |
|
|
9/1/37 |
|
|
|
2,141,885 |
|
|
|
787,678 |
(a) |
Total Argentina |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
851,416 |
|
Mexico 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mexican Bonos, Senior Notes |
|
|
8.500 |
% |
|
|
11/18/38 |
|
|
|
8,780,000 |
MXN |
|
|
471,012 |
|
Qatar 0.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Qatar Government International Bond, Senior Notes |
|
|
4.817 |
% |
|
|
3/14/49 |
|
|
|
410,000 |
|
|
|
365,931 |
(a) |
Total Sovereign Bonds (Cost
$2,025,121) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,688,359 |
|
Municipal Bonds 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Morongo Band of Mission Indians, CA, Revenue, Tribal Economic Development, Series
A |
|
|
7.000 |
% |
|
|
10/1/39 |
|
|
|
500,000 |
|
|
|
511,282 |
(a) |
Regents of the University of California Medical Center Pooled Revenue, Series Q |
|
|
4.563 |
% |
|
|
5/15/53 |
|
|
|
160,000 |
|
|
|
137,042 |
|
Total California |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
648,324 |
|
Florida 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sumter Landing, FL, Community Development District Recreational Revenue, Taxable Community
Development District |
|
|
4.172 |
% |
|
|
10/1/47 |
|
|
|
260,000 |
|
|
|
221,924 |
|
Illinois 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Illinois State, GO, Taxable, Build America Bonds, Series
2010-3 |
|
|
6.725 |
% |
|
|
4/1/35 |
|
|
|
489,231 |
|
|
|
500,937 |
|
Total Municipal Bonds (Cost
$1,458,504) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,371,185 |
|
See Notes to Financial
Statements.
|
|
|
|
|
26 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
(Percentages shown based on Fund net assets)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Rate |
|
|
Maturity
Date |
|
|
Face
Amount |
|
|
Value |
|
Convertible Bonds & Notes 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Communication Services 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
DISH Network Corp., Senior Notes (Cost $717,101) |
|
|
2.375 |
% |
|
|
3/15/24 |
|
|
|
730,000 |
|
|
$ |
700,325 |
|
Senior Loans 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail
0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Great Outdoors Group LLC, Term Loan B2 (3 mo. Term SOFR + 4.012%) |
|
|
9.402 |
% |
|
|
3/6/28 |
|
|
|
179,209 |
|
|
|
177,993 |
(c)(e)(f) |
Industrials 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Passenger Airlines
0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delta Air Lines Inc., Initial Term Loan (3 mo. Term SOFR + 3.750%) |
|
|
9.166 |
% |
|
|
10/20/27 |
|
|
|
224,000 |
|
|
|
229,265 |
(c)(e)(f) |
Materials 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products
0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Schweitzer-Mauduit International Inc., Term Loan B
(1 mo. Term SOFR + 3.864%) |
|
|
9.213 |
% |
|
|
4/20/28 |
|
|
|
87,975 |
|
|
|
87,095 |
(c)(e)(f) |
Total Senior Loans (Cost $488,815) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
494,353 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
Preferred Stocks 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 0.1% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delphi Financial Group Inc. (3 mo. Term SOFR + 3.452%) (Cost $233,032) |
|
|
8.831 |
% |
|
|
|
|
|
|
9,325 |
|
|
|
208,647 |
(c) |
Total Investments before Short-Term Investments
(Cost $193,030,590) |
|
|
|
181,730,292 |
|
Short-Term Investments 0.7% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost
$1,261,356) |
|
|
5.282 |
% |
|
|
|
|
|
|
1,261,356 |
|
|
|
1,261,356 |
(g)(h) |
Total Investments 98.8% (Cost
$194,291,946) |
|
|
|
|
|
|
|
|
|
|
|
182,991,648 |
|
Other Assets in Excess of Liabilities 1.2% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,178,704 |
|
Total Net Assets 100.0% |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
185,170,352 |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
27 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
Face amount denominated in U.S. dollars, unless otherwise noted. |
|
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) |
Security is fair valued in accordance with procedures approved by the Board of Directors (Note 1). |
(e) |
Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to
multiple contracts under the same loan. |
(f) |
Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from
the agent bank and/or borrower prior to the disposition of a senior loan. |
(g) |
Rate shown is one-day yield as of the end of the reporting period.
|
(h) |
In this instance, as defined in the Investment Company Act of 1940, an Affiliated Company represents Fund
ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At November 30, 2023, the total market value of investments in Affiliated Companies was
$1,261,356 and the cost was $1,261,356 (Note 7). |
|
|
|
Abbreviation(s) used in this
schedule: |
|
|
GO |
|
General Obligation |
|
|
GTD |
|
Guaranteed |
|
|
ICE |
|
Intercontinental Exchange |
|
|
JSC |
|
Joint Stock Company |
|
|
LIBOR |
|
London Interbank Offered Rate |
|
|
MXN |
|
Mexican Peso |
|
|
SOFR |
|
Secured Overnight Financing Rate |
|
|
USD |
|
United States Dollar |
At November 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 |
|
|
28 |
|
|
|
3/24 |
|
|
$ |
5,706,380 |
|
|
$ |
5,724,906 |
|
|
$ |
18,526 |
|
U.S. Treasury 5-Year Notes |
|
|
114 |
|
|
|
3/24 |
|
|
|
12,121,876 |
|
|
|
12,181,077 |
|
|
|
59,201 |
|
U.S. Treasury Ultra Long-Term Bonds |
|
|
16 |
|
|
|
3/24 |
|
|
|
1,943,373 |
|
|
|
1,968,000 |
|
|
|
24,627 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
102,354 |
|
See Notes to Financial
Statements.
|
|
|
|
|
28 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount |
|
|
Market
Value |
|
|
Unrealized
Appreciation (Depreciation) |
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Long-Term Bonds |
|
|
30 |
|
|
|
3/24 |
|
|
$ |
3,459,557 |
|
|
$ |
3,493,125 |
|
|
$ |
(33,568) |
|
U.S. Treasury Ultra 10-Year Notes |
|
|
19 |
|
|
|
3/24 |
|
|
|
2,141,342 |
|
|
|
2,156,797 |
|
|
|
(15,455) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(49,023) |
|
Net unrealized appreciation on open futures contracts |
|
|
|
|
|
|
|
|
|
|
$ |
53,331 |
|
At November 30, 2023, the Fund had the following open forward foreign currency contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Currency
Purchased |
|
|
Currency
Sold |
|
|
Counterparty |
|
Settlement
Date |
|
|
Unrealized
Appreciation |
|
EUR |
|
|
1,463,000 |
|
|
USD |
|
|
1,551,074 |
|
|
BNP Paribas SA |
|
|
1/19/24 |
|
|
$ |
45,019 |
|
JPY |
|
|
192,282,631 |
|
|
USD |
|
|
1,304,792 |
|
|
Citibank N.A. |
|
|
1/19/24 |
|
|
|
2,791 |
|
BRL |
|
|
4,479,974 |
|
|
USD |
|
|
873,903 |
|
|
Goldman Sachs Group Inc. |
|
|
1/19/24 |
|
|
|
31,122 |
|
Net unrealized appreciation on open forward foreign currency contracts |
|
|
|
|
|
$ |
78,932 |
|
|
|
|
Abbreviation(s) used in this
table: |
|
|
BRL |
|
Brazilian Real |
|
|
EUR |
|
Euro |
|
|
JPY |
|
Japanese Yen |
|
|
USD |
|
United States Dollar |
At November 30, 2023, the Fund had the following open swap contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES BUY PROTECTION1
|
|
Reference Entity |
|
Notional
Amount2 |
|
|
Termination
Date |
|
|
Periodic
Payments Made by the Fund |
|
Market
Value3 |
|
|
Upfront
Premiums Paid (Received) |
|
|
Unrealized
Depreciation |
|
Markit CDX.NA.HY.41 Index |
|
$ |
1,920,600 |
|
|
|
12/20/28 |
|
|
5.000% quarterly |
|
$ |
(74,566) |
|
|
$ |
(13,303) |
|
|
$ |
(61,263) |
|
Markit CDX.NA.IG.41 Index |
|
|
3,649,300 |
|
|
|
12/20/28 |
|
|
1.000% quarterly |
|
|
(61,282) |
|
|
|
(50,683) |
|
|
|
(10,599) |
|
Total |
|
$ |
5,569,900 |
|
|
|
|
|
|
|
|
$ |
(135,848) |
|
|
$ |
(63,986) |
|
|
$ |
(71,862) |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
29 |
|
Schedule of investments (contd)
November 30, 2023
Western Asset Investment Grade Defined Opportunity Trust Inc.
1 |
If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap
agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive
a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. |
2 |
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of
credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
3 |
The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit
indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the
period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced 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.
|
|
|
|
|
30 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Statement of assets and liabilities
November 30, 2023
|
|
|
|
|
|
|
Assets: |
|
|
|
|
Investments in unaffiliated securities, at value (Cost $193,030,590) |
|
$ |
181,730,292 |
|
Investments in affiliated securities, at value (Cost $1,261,356) |
|
|
1,261,356 |
|
Foreign currency, at value (Cost $97,765) |
|
|
108,682 |
|
Cash |
|
|
674 |
|
Interest receivable |
|
|
2,480,460 |
|
Deposits with brokers for open futures contracts |
|
|
259,556 |
|
Deposits with brokers for centrally cleared swap contracts |
|
|
204,800 |
|
Unrealized appreciation on forward foreign currency contracts |
|
|
78,932 |
|
Receivable for securities sold |
|
|
39,700 |
|
Dividends receivable from affiliated investments |
|
|
2,176 |
|
Prepaid expenses |
|
|
943 |
|
Total Assets |
|
|
186,167,571 |
|
|
|
Liabilities: |
|
|
|
|
Distributions payable |
|
|
743,089 |
|
Investment management fee payable |
|
|
89,130 |
|
Audit and tax fees payable |
|
|
54,383 |
|
Payable to brokers net variation margin on open futures contracts |
|
|
25,235 |
|
Directors fees payable |
|
|
7,785 |
|
Payable to brokers net variation margin on centrally cleared swap
contracts |
|
|
2,002 |
|
Accrued expenses |
|
|
75,595 |
|
Total Liabilities |
|
|
997,219 |
|
Total Net Assets |
|
$ |
185,170,352 |
|
|
|
Net Assets: |
|
|
|
|
Par value ($0.001 par value; 10,848,022 shares issued and outstanding; 100,000,000 shares
authorized) |
|
$ |
10,848 |
|
Paid-in capital in excess of par value |
|
|
206,591,313 |
|
Total distributable earnings (loss) |
|
|
(21,431,809) |
|
Total Net Assets |
|
$ |
185,170,352 |
|
|
|
Shares Outstanding |
|
|
10,848,022 |
|
|
|
Net Asset Value |
|
|
$17.07 |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
31 |
|
Statement of operations
For the Year Ended November 30, 2023
|
|
|
|
|
|
|
Investment Income: |
|
|
|
|
Interest |
|
$ |
10,277,210 |
|
Dividends from affiliated investments |
|
|
56,527 |
|
Dividends from unaffiliated investments |
|
|
19,609 |
|
Less: Foreign taxes withheld |
|
|
(8,210) |
|
Total Investment
Income |
|
|
10,345,136 |
|
|
|
Expenses: |
|
|
|
|
Investment management fee (Note 2) |
|
|
1,208,003 |
|
Directors fees |
|
|
62,431 |
|
Audit and tax fees |
|
|
54,383 |
|
Legal fees |
|
|
44,626 |
|
Transfer agent fees |
|
|
34,070 |
|
Fund accounting fees |
|
|
27,139 |
|
Shareholder reports |
|
|
13,106 |
|
Stock exchange listing fees |
|
|
12,549 |
|
Insurance |
|
|
1,246 |
|
Custody fees |
|
|
650 |
|
Miscellaneous expenses |
|
|
12,660 |
|
Total Expenses |
|
|
1,470,863 |
|
Less: Fee waivers and/or expense reimbursements (Note 2) |
|
|
(93,919) |
|
Net Expenses |
|
|
1,376,944 |
|
Net Investment Income |
|
|
8,968,192 |
|
|
|
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions (Notes
1, 3 and 4): |
|
|
|
|
Net Realized Gain (Loss) From: |
|
|
|
|
Investment transactions in unaffiliated securities |
|
|
(4,471,011) |
|
Futures contracts |
|
|
18,116 |
|
Swap contracts |
|
|
(326,183) |
|
Forward foreign currency contracts |
|
|
(184,461) |
|
Foreign currency transactions |
|
|
1,561 |
|
Net Realized Loss |
|
|
(4,961,978) |
|
Change in Net Unrealized Appreciation (Depreciation) From: |
|
|
|
|
Investments in unaffiliated securities |
|
|
2,823,020 |
|
Futures contracts |
|
|
(37,947) |
|
Swap contracts |
|
|
122,285 |
|
Forward foreign currency contracts |
|
|
20,727 |
|
Foreign currencies |
|
|
8,241 |
|
Change in Net Unrealized Appreciation
(Depreciation) |
|
|
2,936,326 |
|
Net Loss on Investments, Futures Contracts, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions |
|
|
(2,025,652) |
|
Increase in Net Assets From Operations |
|
$ |
6,942,540 |
|
See Notes to Financial
Statements.
|
|
|
|
|
32 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Statements of changes in net assets
|
|
|
|
|
|
|
|
|
For the Years Ended November 30, |
|
2023 |
|
|
2022 |
|
|
|
|
Operations: |
|
|
|
|
|
|
|
|
Net investment income |
|
$ |
8,968,192 |
|
|
$ |
8,426,977 |
|
Net realized loss |
|
|
(4,961,978) |
|
|
|
(846,043) |
|
Change in net unrealized appreciation (depreciation) |
|
|
2,936,326 |
|
|
|
(44,849,179) |
|
Increase (Decrease) in Net Assets From
Operations |
|
|
6,942,540 |
|
|
|
(37,268,245) |
|
|
|
|
Distributions to Shareholders From (Note 1): |
|
|
|
|
|
|
|
|
Total distributable earnings |
|
|
(8,721,810) |
|
|
|
(8,656,680) |
|
Decrease in Net Assets From Distributions
to Shareholders |
|
|
(8,721,810) |
|
|
|
(8,656,680) |
|
|
|
|
Fund Share Transactions: |
|
|
|
|
|
|
|
|
Reinvestment of distributions (0 and 1,236 shares issued, respectively) |
|
|
|
|
|
|
26,544 |
|
Increase in Net Assets From Fund Share
Transactions |
|
|
|
|
|
|
26,544 |
|
Decrease in Net
Assets |
|
|
(1,779,270) |
|
|
|
(45,898,381) |
|
|
|
|
Net Assets: |
|
|
|
|
|
|
|
|
Beginning of year |
|
|
186,949,622 |
|
|
|
232,848,003 |
|
End of year |
|
$ |
185,170,352 |
|
|
$ |
186,949,622 |
|
See Notes to Financial
Statements.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
33 |
|
Financial highlights
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For a share of capital stock outstanding throughout each year ended November 30: |
|
|
|
20231 |
|
|
20221 |
|
|
20211 |
|
|
20201 |
|
|
20191 |
|
|
|
|
|
|
|
Net asset value, beginning of year |
|
|
$17.23 |
|
|
|
$21.47 |
|
|
|
$22.09 |
|
|
|
$21.12 |
|
|
|
$19.21 |
|
|
|
|
|
|
|
Income (loss) from operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
0.83 |
|
|
|
0.78 |
|
|
|
0.76 |
|
|
|
0.79 |
|
|
|
0.88 |
|
Net realized and unrealized gain (loss) |
|
|
(0.19) |
|
|
|
(4.22) |
|
|
|
(0.58) |
|
|
|
1.03 |
|
|
|
2.05 |
|
Total income (loss) from
operations |
|
|
0.64 |
|
|
|
(3.44) |
|
|
|
0.18 |
|
|
|
1.82 |
|
|
|
2.93 |
|
|
|
|
|
|
|
Less distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.80) |
|
|
|
(0.80) |
|
|
|
(0.80) |
|
|
|
(0.81) |
|
|
|
(0.89) |
|
Net realized gains |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.04) |
|
|
|
(0.13) |
|
Total
distributions |
|
|
(0.80) |
|
|
|
(0.80) |
|
|
|
(0.80) |
|
|
|
(0.85) |
|
|
|
(1.02) |
|
|
|
|
|
|
|
Net asset value, end of year |
|
|
$17.07 |
|
|
|
$17.23 |
|
|
|
$21.47 |
|
|
|
$22.09 |
|
|
|
$21.12 |
|
|
|
|
|
|
|
Market price, end of year |
|
|
$16.35 |
|
|
|
$16.47 |
|
|
|
$22.03 |
|
|
|
$21.42 |
|
|
|
$21.24 |
|
Total return, based on NAV2,3 |
|
|
3.84 |
% |
|
|
(16.20) |
% |
|
|
0.83 |
% |
|
|
8.96 |
% |
|
|
15.59 |
% |
Total return, based on Market Price4 |
|
|
4.23 |
% |
|
|
(21.82) |
% |
|
|
6.70 |
% |
|
|
5.06 |
% |
|
|
23.70 |
% |
|
|
|
|
|
|
Net assets, end of year (millions) |
|
|
$185 |
|
|
|
$187 |
|
|
|
$233 |
|
|
|
$239 |
|
|
|
$229 |
|
|
|
|
|
|
|
Ratios to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses |
|
|
0.79 |
% |
|
|
0.80 |
% |
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
0.78 |
% |
Net expenses5 |
|
|
0.74 |
6 |
|
|
0.78 |
6 |
|
|
0.79 |
6 |
|
|
0.79 |
6 |
|
|
0.78 |
|
Net investment income |
|
|
4.83 |
|
|
|
4.16 |
|
|
|
3.49 |
|
|
|
3.77 |
|
|
|
4.33 |
|
|
|
|
|
|
|
Portfolio turnover rate |
|
|
13 |
% |
|
|
18 |
% |
|
|
19 |
% |
|
|
41 |
% |
|
|
56 |
% |
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 |
The manager has agreed to waive the Funds management fee to an extent sufficient to offset the net management fee
payable in connection with any investment in an affiliated money market fund. |
6 |
Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
|
|
|
|
|
34 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 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.
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. Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when
financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the
financial statements were issued.
(a) Investment valuation. The
valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically
the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that
are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at
the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market
quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund
will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable,
the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker.
When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its
net
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
35 |
|
Notes to financial statements (contd)
asset value, the Fund values these securities as determined in accordance with procedures approved
by the Funds Board of Directors.
Pursuant to policies adopted by the Board of Directors, the Funds manager has been designated as the valuation designee
and is responsible for the oversight of the daily valuation process. The Funds manager is assisted by the Global Fund Valuation Committee (the Valuation Committee). The Valuation Committee is responsible for making fair value
determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the Funds manager and the Board of Directors. When determining the reliability of third party pricing information for investments owned by the
Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies
include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental
investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the 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.
|
|
|
|
|
36 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 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 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 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 |
|
|
|
|
|
$ |
177,267,423 |
|
|
|
|
|
|
$ |
177,267,423 |
|
Sovereign Bonds |
|
|
|
|
|
|
1,688,359 |
|
|
|
|
|
|
|
1,688,359 |
|
Municipal Bonds |
|
|
|
|
|
|
1,371,185 |
|
|
|
|
|
|
|
1,371,185 |
|
Convertible Bonds & Notes |
|
|
|
|
|
|
700,325 |
|
|
|
|
|
|
|
700,325 |
|
Senior Loans |
|
|
|
|
|
|
494,353 |
|
|
|
|
|
|
|
494,353 |
|
Preferred Stocks |
|
|
|
|
|
|
208,647 |
|
|
|
|
|
|
|
208,647 |
|
Total Long-Term Investments |
|
|
|
|
|
|
181,730,292 |
|
|
|
|
|
|
|
181,730,292 |
|
Short-Term Investments |
|
$ |
1,261,356 |
|
|
|
|
|
|
|
|
|
|
|
1,261,356 |
|
Total Investments |
|
$ |
1,261,356 |
|
|
$ |
181,730,292 |
|
|
|
|
|
|
$ |
182,991,648 |
|
Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts |
|
$ |
102,354 |
|
|
|
|
|
|
|
|
|
|
$ |
102,354 |
|
Forward Foreign Currency Contracts |
|
|
|
|
|
$ |
78,932 |
|
|
|
|
|
|
|
78,932 |
|
Total Other Financial Instruments |
|
$ |
102,354 |
|
|
$ |
78,932 |
|
|
|
|
|
|
$ |
181,286 |
|
Total |
|
$ |
1,363,710 |
|
|
$ |
181,809,224 |
|
|
|
|
|
|
$ |
183,172,934 |
|
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
37 |
|
Notes to financial statements (contd)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES |
|
Description |
|
Quoted Prices
(Level 1) |
|
|
Other Significant
Observable Inputs (Level 2) |
|
|
Significant
Unobservable Inputs (Level 3) |
|
|
Total |
|
Other Financial Instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts |
|
$ |
49,023 |
|
|
|
|
|
|
|
|
|
|
$ |
49,023 |
|
Centrally Cleared Credit Default Swaps on Credit Indices Buy
Protection |
|
|
|
|
|
$ |
71,862 |
|
|
|
|
|
|
|
71,862 |
|
Total |
|
$ |
49,023 |
|
|
$ |
71,862 |
|
|
|
|
|
|
$ |
120,885 |
|
|
See Schedule of Investments for additional detailed categorizations. |
|
Reflects the unrealized appreciation (depreciation) of the instruments. |
(b) Futures contracts. The Fund uses futures contracts generally to gain
exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a
specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or securities with a broker in an amount equal to a certain
percentage of the contract amount. This is known as the initial margin and subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuation in the
value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. The daily changes in contract value are recorded as unrealized
appreciation or depreciation in the Statement of Operations and the Fund recognizes a realized gain or loss when the contract is closed.
Futures contracts involve,
to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(c) Forward foreign currency contracts. The Fund enters into a forward
foreign currency contract to hedge against, or manage exposure to, foreign issuers or markets. The Fund may also enter into a forward foreign currency contract to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between two parties to buy and sell a
currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an
unrealized gain or loss. When a forward foreign currency contract is closed, through either delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value of the contract at the time it is closed.
Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of
foreign currency.
|
|
|
|
|
38 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on the Statement of
Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the
counterparties to meet the terms of their contracts.
(d) Swap
agreements. The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes. The use of swaps involves risks that are different from those
associated with other portfolio transactions. Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract
(OTC Swaps) or centrally cleared (Centrally Cleared Swaps). Unlike Centrally Cleared Swaps, the Fund has credit exposure to the counterparties of OTC Swaps.
In a Centrally Cleared Swap, immediately following execution of the swap, the swap agreement is submitted to a clearinghouse or central counterparty (the
CCP) and the CCP becomes the ultimate counterparty of the swap agreement. The Fund is required to interface with the CCP through a broker, acting in an agency capacity. All payments are settled with the CCP through the broker. Upon
entering into a Centrally Cleared Swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities.
Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of Centrally Cleared Swaps, if any, is
recorded as a net receivable or payable for variation margin on the Statement of Assets and Liabilities. Gains or losses are realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities, may be required
to be held in segregated accounts with the Funds custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments and restricted cash, if any, is
identified on the Statement of Assets and Liabilities. Risks may exceed amounts recorded in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform
under the contracts terms, and the possible lack of liquidity with respect to the swap agreements.
OTC Swap payments received or made at the beginning of the
measurement period are reflected as a premium or deposit, respectively, on the Statement of Assets and Liabilities. These upfront payments are amortized over the life of the swap and are recognized as realized gain or loss in the Statement of
Operations. Net periodic payments received or paid by the Fund are recognized as a realized gain or loss in the Statement of Operations.
The Funds maximum
exposure in the event of a defined credit event on a credit default swap to sell protection is the notional amount. As of November 30, 2023, the Fund did not hold any credit default swaps to sell protection.
For average notional amounts of swaps held during the year ended November 30, 2023, see Note 4.
|
|
|
|
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
|
|
|
|
39 |
|
Notes to financial statements (contd)
Credit default swaps
The Fund enters into credit default swap (CDS) contracts for investment purposes, to manage its credit risk or to add leverage. CDS agreements involve one
party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a
write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has
exposure to an issuer) or to take an active long or short position with respect to the likelihood of a particular issuers default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the
term of the swap provided that there is no credit event. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted)
that the Fund could be required to make under a CDS agreement would be an amount equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced
obligations. As a seller of protection, the Fund effectively adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the
Fund generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied spreads are the theoretical prices a lender receives for
credit default protection. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection
and may include upfront payments required to enter into the agreement. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness
and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. Credit spreads utilized in determining the period end market value of CDS agreements on corporate or sovereign issues are
disclosed in the Schedule of Investments and serve as an indicator of the current status of the payment/ performance risk and represent the likelihood or risk of default for credit derivatives. For CDS agreements on asset-backed securities and
credit indices, the quoted market prices and resulting values, particularly in relation to the notional amount of the contract as well as the annual payment rate, serve as an indication of the current status of the payment/ performance risk.
The Funds maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract (this risk is mitigated by the posting of
collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty). As the protection seller, the Funds maximum risk is the notional amount of the contract. CDS are considered to have credit risk-related
contingent features since they require payment by the protection seller to the protection buyer upon the occurrence of a defined credit event.
|
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|
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
Entering into a CDS agreement involves, to varying
degrees, elements of credit, market and documentation risk in excess of the related amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the
counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates.
(e) Loan participations. The Fund may invest in loans arranged through
private negotiation between one or more financial institutions. The Funds investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will
have no right to enforce compliance by the borrower with the terms of the loan agreement related to the loan, or any rights of offset 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 offset between the lender and the
borrower.
(f) Foreign currency translation. Investment securities and
other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items
denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising
from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized
foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the
difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise
from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.
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.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
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|
|
|
41 |
|
Notes to financial statements (contd)
(g) Credit and market risk. The Fund invests in high-yield instruments that are subject to certain credit and market risks. The yields of high-yield obligations reflect, among other things, perceived credit and market risks. The Funds
investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price
volatility and less liquid secondary market trading.
(h) Foreign investment risks. The Funds investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or may pay
interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to
foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(i) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may
also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The
Funds subadviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based
on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the subadviser. In addition,
declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
With exchange traded and centrally cleared
derivatives, there is less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract;
therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of
the clearing broker or clearinghouse.
The Fund has entered into master agreements, such as an International Swaps and Derivatives Association, Inc. Master Agreement
(ISDA Master Agreement) or similar agreement, with certain of its derivative counterparties that govern over-the-counter (OTC) derivatives and
provide for general obligations, representations, agreements, collateral posting terms, netting provisions in the event of default or termination and credit related contingent features. The credit related contingent features include, but are not
limited to, a percentage decrease in the Funds net assets or net asset value per share over a specified period of time. If these credit related contingent features were triggered, the
|
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
derivatives counterparty could terminate the
positions and demand payment or require additional collateral.
Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the
counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement,
the terms of the ISDA Master Agreements do not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The
enforceability of the right to offset may vary by jurisdiction.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by
the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific for OTC traded derivatives. Cash collateral that has been pledged to cover obligations of the Fund under derivative contracts, if any,
will be reported separately in the Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.
As of November 30, 2023, the Fund did not have any open OTC derivative transactions with credit related contingent features in a net liability position.
(j) Security transactions and investment income. Security transactions are
accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities) is recorded on the accrual basis. Amortization of
premiums and accretion of discounts on debt securities are recorded to interest income over the lives of the respective securities, except for premiums on certain callable debt securities, which are amortized to the earliest call date. 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.
(k) 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.
(l) Compensating balance arrangements. The Fund has an arrangement with its
custodian bank whereby a portion of the custodians fees is paid indirectly by credits earned on the Funds cash on deposit with the bank.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
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|
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|
43 |
|
Notes to financial statements (contd)
(m) Federal and other taxes. It is the Funds policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the Code), as amended, applicable to regulated investment companies. Accordingly,
the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Funds
financial statements.
Management has analyzed the Funds tax positions taken on income tax returns for all open tax years and has concluded that as of
November 30, 2023, no provision for income tax is required in the Funds financial statements. The Funds federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not
expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Under the applicable foreign tax laws, a withholding tax may be
imposed on interest, dividends and capital gains at various rates.
(n) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share.
During the current year, the Fund had no reclassifications.
2. Investment management agreement and other transactions with
affiliates
Franklin Templeton Fund Adviser, LLC (FTFA) (formerly known as Legg Mason Partners Fund Advisor, LLC prior to November 30,
2023) 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. FTFA, Western Asset, Western Asset Singapore, Western Asset Japan and Western Asset London are indirect, wholly-owned
subsidiaries of Franklin Resources, Inc. (Franklin Resources).
FTFA provides administrative and certain oversight services to the Fund. The Fund pays
FTFA an investment management fee, calculated daily and paid monthly, at an annual rate of 0.65% of the Funds average daily net assets.
FTFA 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, FTFA 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.
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44 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
The manager has agreed to waive the Funds
management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund (the affiliated money market fund waiver).
Effective June 1, 2022, FTFA implemented a voluntary investment management fee waiver of 0.05% that will continue until May 31, 2024.
During the year ended November 30, 2023, fees waived and/or expenses reimbursed amounted to $93,919, which included an affiliated money market fund waiver of $996.
All officers and one Director of the Fund are employees of Franklin Resources or its affiliates and do not receive compensation from the Fund.
3. Investments
During the year ended
November 30, 2023, 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 |
|
$ |
20,102,059 |
|
|
$ |
3,854,729 |
|
Sales |
|
|
21,346,530 |
|
|
|
3,804,640 |
|
At November 30, 2023, 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 (Depreciation) |
|
Securities |
|
$ |
197,150,798 |
|
|
$ |
3,103,363 |
|
|
$ |
(17,262,513) |
|
|
$ |
(14,159,150) |
|
Futures contracts |
|
|
|
|
|
|
102,354 |
|
|
|
(49,023) |
|
|
|
53,331 |
|
Forward foreign currency contracts |
|
|
|
|
|
|
78,932 |
|
|
|
|
|
|
|
78,932 |
|
Swap contracts |
|
|
(63,986) |
|
|
|
|
|
|
|
(71,862) |
|
|
|
(71,862) |
|
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, 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSET DERIVATIVES1 |
|
|
|
Interest
Rate Risk |
|
|
Foreign
Exchange Risk |
|
|
Total |
|
Futures contracts2 |
|
$ |
102,354 |
|
|
|
|
|
|
$ |
102,354 |
|
Forward foreign currency contracts |
|
|
|
|
|
$ |
78,932 |
|
|
|
78,932 |
|
Total |
|
$ |
102,354 |
|
|
$ |
78,932 |
|
|
$ |
181,286 |
|
|
|
|
|
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
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|
|
|
45 |
|
Notes to financial statements (contd)
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITY DERIVATIVES1 |
|
|
|
Interest
Rate Risk |
|
|
Credit
Risk |
|
|
Total |
|
Futures contracts2 |
|
$ |
49,023 |
|
|
|
|
|
|
$ |
49,023 |
|
Centrally cleared swap contracts3 |
|
|
|
|
|
$ |
71,862 |
|
|
|
71,862 |
|
Total |
|
$ |
49,023 |
|
|
$ |
71,862 |
|
|
$ |
120,885 |
|
1 |
Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for liability
derivatives is payables/net unrealized depreciation. |
2 |
Includes cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of
Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities. |
3 |
Includes cumulative unrealized appreciation (depreciation) of centrally cleared swap contracts as reported in the Schedule
of Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities. |
The
following tables provide information about the effect of derivatives and hedging activities on the Funds Statement of Operations for the year ended November 30, 2023. 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 net unrealized appreciation (depreciation) resulting from the Funds derivatives and hedging activities
during the period.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMOUNT OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED |
|
|
|
Interest
Rate Risk |
|
|
Foreign
Exchange Risk |
|
|
Credit
Risk |
|
|
Total |
|
Futures contracts |
|
$ |
18,116 |
|
|
|
|
|
|
|
|
|
|
$ |
18,116 |
|
Swap contracts |
|
|
|
|
|
|
|
|
|
$ |
(326,183) |
|
|
|
(326,183) |
|
Forward foreign currency contracts |
|
|
|
|
|
$ |
(184,461) |
|
|
|
|
|
|
|
(184,461) |
|
Total |
|
$ |
18,116 |
|
|
$ |
(184,461) |
|
|
$ |
(326,183) |
|
|
$ |
(492,528) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED |
|
|
|
Interest
Rate Risk |
|
|
Foreign
Exchange Risk |
|
|
Credit Risk |
|
|
Total |
|
Futures contracts |
|
$ |
(37,947) |
|
|
|
|
|
|
|
|
|
|
$ |
(37,947) |
|
Swap contracts |
|
|
|
|
|
|
|
|
|
$ |
122,285 |
|
|
|
122,285 |
|
Forward foreign currency contracts |
|
|
|
|
|
$ |
20,727 |
|
|
|
|
|
|
|
20,727 |
|
Total |
|
$ |
(37,947) |
|
|
$ |
20,727 |
|
|
$ |
122,285 |
|
|
$ |
105,065 |
|
|
|
|
|
|
46 |
|
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|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
During the year ended November 30, 2023, the
volume of derivative activity for the Fund was as follows:
|
|
|
|
|
|
|
Average Market
Value |
|
Futures contracts (to buy) |
|
$ |
19,453,691 |
|
Futures contracts (to sell) |
|
|
4,819,977 |
|
Forward foreign currency contracts (to buy) |
|
|
2,752,359 |
|
|
|
|
|
Average Notional
Balance |
|
Credit default swap contracts (buy protection) |
|
$ |
6,413,654 |
|
The following table presents the Funds OTC derivative assets and liabilities by counterparty net of amounts available for offset
under an ISDA Master Agreement and net of the related collateral pledged (received) by the Fund as of November 30, 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Gross Assets
Subject to Master Agreements1 |
|
|
Gross
Liabilities Subject to Master
Agreements |
|
|
Net Assets
(Liabilities) Subject to Master
Agreements |
|
|
Collateral
Pledged (Received) |
|
|
Net Amount2
|
|
BNP Paribas SA |
|
$ |
45,019 |
|
|
|
|
|
|
$ |
45,019 |
|
|
|
|
|
|
$ |
45,019 |
|
Citibank N.A. |
|
|
2,791 |
|
|
|
|
|
|
|
2,791 |
|
|
|
|
|
|
|
2,791 |
|
Goldman Sachs Group Inc. |
|
|
31,122 |
|
|
|
|
|
|
|
31,122 |
|
|
|
|
|
|
|
31,122 |
|
Total |
|
$ |
78,932 |
|
|
|
|
|
|
$ |
78,932 |
|
|
|
|
|
|
$ |
78,932 |
|
1 |
Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in
the Statement of Assets and Liabilities. |
2 |
Represents the net amount receivable (payable) from (to) the counterparty in the event of default. |
5. Distributions subsequent to November 30, 2023
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 |
|
11/22/2023 |
|
|
12/1/2023 |
|
|
$ |
0.0685 |
|
12/21/2023 |
|
|
12/29/2023 |
|
|
$ |
0.0695 |
|
1/24/2024 |
|
|
2/1/2024 |
|
|
$ |
0.0695 |
|
2/22/2024 |
|
|
3/1/2024 |
|
|
$ |
0.0695 |
|
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 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 years ended November 30, 2023 and
November 30, 2022, the Fund did not repurchase any shares.
|
|
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|
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
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|
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|
47 |
|
Notes to financial statements (contd)
7. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common
ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the year ended November 30, 2023. The following transactions were effected in such company for the year ended
November 30, 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate Value at November 30, |
|
|
Purchased |
|
|
Sold |
|
|
|
2022 |
|
|
Cost |
|
|
Shares |
|
|
Proceeds |
|
|
Shares |
|
Western Asset Premier Institutional Government Reserves, Premium Shares |
|
$ |
838,034 |
|
|
$ |
22,736,660 |
|
|
|
22,736,660 |
|
|
$ |
22,313,338 |
|
|
|
22,313,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(contd) |
|
Realized
Gain (Loss) |
|
|
Dividend
Income |
|
|
Net Increase
(Decrease) in Unrealized Appreciation
(Depreciation) |
|
|
Affiliate
Value at November 30, 2023 |
|
Western Asset Premier Institutional Government Reserves, Premium Shares |
|
|
|
|
|
$ |
56,527 |
|
|
|
|
|
|
$ |
1,261,356 |
|
8. Income tax information and distributions to shareholders
The tax character of distributions paid during the fiscal years ended November 30, was as follows:
|
|
|
|
|
|
|
|
|
|
|
2023 |
|
|
2022 |
|
Distributions paid from: |
|
|
|
|
|
|
|
|
Ordinary income |
|
$ |
8,721,810 |
|
|
$ |
8,656,680 |
|
As of November 30, 2023, the components of distributable earnings (loss) on a tax basis were as follows:
|
|
|
|
|
Undistributed ordinary income net |
|
$ |
357,256 |
|
Deferred capital losses* |
|
|
(6,762,116) |
|
Other book/tax temporary differences(a) |
|
|
(939,036) |
|
Unrealized appreciation (depreciation)(b) |
|
|
(14,087,913) |
|
Total distributable earnings (loss) net |
|
$ |
(21,431,809) |
|
|
|
|
|
|
48 |
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|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
* |
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 and foreign currency contracts, the difference between cash and accrual basis distributions paid 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 premium on fixed income securities. |
9. Recent accounting pronouncement
In March
2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) Facilitation of the Effects of Reference Rate Reform
on Financial Reporting. In January 2021 and December 2022, the FASB issued ASU No. 2021-01 and ASU No. 2022-06, with further amendments to Topic 848. The
amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and
other interbank-offered based reference rates as of the end of 2021 for certain LIBOR settings and 2023 for the remainder. The ASUs are effective for certain reference rate-related contract modifications that occur during the period March 12,
2020 through December 31, 2024. Management has reviewed the requirements and believes the adoption of these ASUs will not have a material impact on the financial statements.
10. Other matter
The Funds investments,
payment obligations, and financing terms may be based on floating rates, such as the London Interbank Offered Rate, or LIBOR, which was the offered rate for short-term Eurodollar deposits between major international banks. In 2017, the
U.K. Financial Conduct Authority (FCA) announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. In addition, global regulators have announced that, with limited exceptions, no new
LIBOR-based contracts should be entered into after 2021. In connection with the global transition away from LIBOR led by regulators and market participants, LIBOR is no longer published on a representative basis. Alternative references rates have
been established in most major currencies. In March 2022, the U.S. federal government enacted legislation to establish a process for replacing LIBOR in certain existing contracts that do not already provide for the use of a clearly defined or
practicable replacement benchmark rate as described in the legislation. Generally speaking, for contracts that do not contain a fallback provision as described in the legislation, a benchmark replacement recommended by the Federal Reserve Board
effectively automatically replaced the USD LIBOR benchmark in the contract upon LIBORs cessation at the end of June 2023. The recommended benchmark replacement is based on the Secured Overnight Financing Rate (SOFR) published by the Federal
Reserve Bank of New York, including certain spread adjustments and benchmark replacement conforming changes. Various industry groups are in the process of facilitating the transition away from
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
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49 |
|
Notes to financial statements (contd)
LIBOR, but there remains uncertainty regarding the impact of the transition from LIBOR on the
Funds transactions and the financial markets generally.
|
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50 |
|
|
|
Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 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, 2023, the related statement of operations for the year ended November 30, 2023, the statement of changes in net assets for each of the two years in the period ended November 30, 2023,
including the related notes, and the financial highlights for each of the five years in the period ended November 30, 2023 (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, 2023, 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,
2023 and the financial highlights for each of the five years in the period ended November 30, 2023 in conformity with accounting principles generally accepted in the United States of America.
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, 2023 by correspondence with the custodian, agent banks and brokers. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Baltimore, Maryland
January 18, 2024
We have served as the auditor of one or more investment
companies in the Franklin Templeton Group of Funds since 1948.
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Western Asset Investment Grade Defined Opportunity Trust Inc. 2023 Annual Report |
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51 |
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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, Franklin Templeton, 280 Park Avenue, 8th Floor, New York, New York 10017.
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.
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Independent Directors |
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Robert D. Agdern |
|
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|
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) |
|
18 |
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) |
|
18 |
Other board memberships held by Director during the past five years |
|
None |
|
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|
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52 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
|
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|
Independent Directors
(contd) |
|
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|
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) |
|
18 |
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) |
|
18 |
Other board memberships held by Director during the past five years |
|
None |
|
|
|
|
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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53 |
|
Additional information
(unaudited) (contd)
Information about Directors and
Officers
|
|
|
Independent Directors
(contd) |
|
|
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|
Eileen A. Kamerick |
|
|
|
|
Year of birth |
|
1958 |
Position(s) held with Fund1 |
|
Lead Independent Director and Member of Nominating, Compensation, Pricing and Valuation and Audit Committees, 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, with Directorship
Certification since 2019) and NACD 2022 Directorship 100 honoree; Adjunct Professor, Georgetown University Law Center (since 2021); Adjunct Professor, The University of Chicago Law School (since 2018); Adjunct Professor, University of Iowa College
of Law (since 2007); formerly, 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) |
|
18 |
Other board memberships held by Director during the past five years |
|
Director, VALIC Company I (since October 2022); Director of ACV Auctions Inc. (since 2021); formerly, Director of Hochschild Mining plc (precious metals company) (2016 to 2023); Director of
Associated Banc-Corp (financial services company) (since 2007); formerly Trustee of AIG Funds and Anchor Series Trust (2018 to 2021) |
|
|
Nisha Kumar |
|
|
|
|
Year of birth |
|
1970 |
Position(s) held with Fund1 |
|
Director and Member of Nominating, Compensation and Pricing and Valuation Committees, and Chair of the Audit Committee, Class II |
Term of office1 and length of time served |
|
Since 2019 |
Principal occupation(s) during the past five years |
|
Formerly, Managing Director and the Chief Financial Officer and Chief Compliance Officer of Greenbriar Equity Group, LP (2011 to 2021); 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) |
|
18 |
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 to 2018); and Director of The Asia Tigers Fund, Inc. (2016 to
2018) |
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54 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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Interested Director and Officer |
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|
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 123 funds associated with FTFA or its affiliates (since 2015); President
and Chief Executive Officer of FTFA (since 2015); formerly, Senior Managing Director (2018 to 2020) and Managing Director (2016 to 2018) of Legg Mason & Co., LLC (Legg Mason & Co.); and Senior Vice President of FTFA
(2015) |
Number of portfolios in fund complex overseen by Director (including the Fund) |
|
123 |
Other board memberships held by Director during the past five years |
|
None |
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Additional Officers |
|
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|
Fred Jensen
Franklin Templeton
280 Park Avenue, 8th Floor, New York, NY
10017 |
|
|
|
|
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) |
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Marc A. De Oliveira Franklin
Templeton 100 First Stamford Place, 6th
Floor, Stamford, CT 06902 |
|
|
|
|
Year of birth |
|
1971 |
Position(s) held with Fund1 |
|
Secretary and Chief Legal Officer |
Term of office1 and length of time served |
|
Since 2023 |
Principal occupation(s) during the past five years |
|
Associate General Counsel of Franklin Templeton (since 2020); Secretary and Chief Legal Officer of certain funds associated with Legg Mason & Co. or its affiliates since 2020);
Assistant Secretary of certain funds associated with Legg Mason & Co. or its affiliates (since 2006); formerly, Managing Director (2016 to 2020) and Associate General Counsel of Legg Mason & Co. (2005 to 2020) |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
|
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55 |
|
Additional information
(unaudited) (contd)
Information about Directors and
Officers
|
|
|
Additional Officers (contd) |
|
|
|
|
Thomas C. Mandia Franklin
Templeton 100 First Stamford Place, 6th
Floor, Stamford, CT 06902 |
|
|
|
|
Year of birth |
|
1962 |
Position(s) held with Fund1 |
|
Senior Vice President |
Term of office1 and length of time served |
|
Since 2022 |
Principal occupation(s) during the past five years |
|
Senior Associate General Counsel of Franklin Templeton (since 2020); Secretary of FTFA (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) and Assistant Secretary of certain funds in the fund complex (2006 to 2022) |
|
|
Christopher Berarducci Franklin
Templeton 280 Park Avenue, 8th Floor, New
York, NY 10017 |
|
|
|
|
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. |
|
|
Jeanne M. Kelly Franklin
Templeton 280 Park Avenue, 8th Floor, New
York, NY 10017 |
|
|
|
|
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 FTFA (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) |
|
FTFA, referenced above, was formerly known as LMPFA prior to November 30, 2023. |
|
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). |
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 2025, year 2026 and year 2024, respectively, or thereafter in each case when their respective successors are duly elected and
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56 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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 FTFA and certain of its affiliates. |
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|
Western Asset Investment Grade Defined Opportunity Trust Inc. |
|
|
|
|
57 |
|
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.
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58 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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:
Franklin Resources Inc.
Compliance Department
280 Park Ave, 8th Floor
New York, NY 10017
Complaints may also be submitted by telephone at 1-800-742-5274. Complaints submitted through this number will be received by the CCO.
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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59 |
|
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
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60 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
may use the underlying credits short-term
ratings as a proxy for establishing the minimum credit requirement.
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.
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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61 |
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Summary of information regarding the Fund (unaudited) (contd)
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.
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62 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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. |
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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. |
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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
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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
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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.
Effective August 19, 2022, the Fund began operating under
Rule 18f-4 under the 1940 Act which, among other things, governs the use of derivative investments and certain financing
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transactions (e.g. reverse repurchase agreements) by
registered investment companies. Among other things, Rule 18f-4 requires funds that invest in derivative instruments beyond a specified limited amount to apply a value at risk (VaR) based limit to their use of
certain derivative instruments and financing transactions and to adopt and implement a derivatives risk management program. A fund that uses derivative instruments in a limited amount is not subject to the full requirements of Rule 18f-4. Compliance with Rule 18f-4 by the Fund could, among other things, make derivatives more costly, limit their availability or utility, or otherwise adversely affect their
performance. Rule 18f-4 may limit the Funds ability to use derivatives as part of its investment strategy.
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
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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 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,
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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.
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.
Valuation Risk. The sales price the Fund could receive for any particular portfolio investment may differ from the Funds valuation of the
investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair value methodology. These differences may increase significantly and affect Fund investments more broadly during periods of market
volatility. The Funds ability to value its investments may be impacted by technological issues and/or errors by pricing services or other third party service providers. The valuation of the Funds investments involves subjective judgment.
LIBOR Risk. The Funds investments, payment obligations, and financing terms may be based on floating rates, such as the London Interbank Offered Rate,
or LIBOR, which was the offered rate for short-term Eurodollar deposits between major international banks. In 2017, the U.K. Financial Conduct Authority (FCA) announced its intention to cease compelling banks to provide the
quotations needed to sustain LIBOR after 2021. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021. Actions by regulators have resulted in the establishment of
alternative reference rates to LIBOR in most major currencies. In March 2022, the U.S. federal government enacted legislation to establish a process for replacing LIBOR in certain existing contracts that do not already provide for the use of a
clearly defined or practicable replacement benchmark rate as described in the legislation. Generally speaking, for contracts that do not contain a fallback provision as described in the
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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Summary of information regarding the Fund (unaudited) (contd)
legislation, a benchmark replacement recommended by the Federal Reserve Board effectively automatically replaced the USD LIBOR benchmark in the contract upon
LIBORs cessation at the end of June 2023. The recommended benchmark replacement is based on the Secured Overnight Financing Rate (SOFR) published by the Federal Reserve Bank of New York, including certain spread adjustments and benchmark
replacement conforming changes. Various financial industry groups have been planning for the transition away from LIBOR, but there remains uncertainty regarding the impact of the transition from LIBOR on the Funds transactions and the
financial markets generally. The transition away from LIBOR may lead to increased volatility and illiquidity in markets that rely on LIBOR and may adversely affect the Funds performance. The transition may also result in a reduction in the
value of certain LIBOR-based investments held by the Fund or reduce the effectiveness of related transactions such as hedges. Any such effects of the transition away from LIBOR, as well as other unforeseen effects, could result in losses for the
Fund.
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 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
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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 time
the 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 factors such as economic 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, armed conflicts, economic sanctions and countermeasures
in response to sanctions, major cybersecurity events, the global and domestic effects of widespread or local health, weather or climate events, and other factors that may or may not be related to
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Summary of information regarding the Fund (unaudited) (contd)
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, wars, 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 or markets directly affected, the value and liquidity of the funds investments may be negatively affected. Following Russias invasion of Ukraine, Russian
stocks lost all, or nearly all, of their market value. Other securities or markets could be similarly affected by past or future geopolitical or other events or conditions. Furthermore, events involving limited liquidity, defaults, non-performance or other adverse developments that affect one industry, such as the financial services industry, or concerns or rumors about any events of these kinds, have in the past and may in the future lead to
market-wide liquidity problems, may spread to other industries, and could negatively affect the value and liquidity of the funds investments.
The long-term
impact of the COVID-19 pandemic and its subsequent variants on economies, markets, industries and individual issuers is not known. Some sectors of the economy and individual issuers have experienced or may
experience particularly large losses. Periods of extreme volatility in the financial markets, reduced liquidity of many instruments, increased government debt, inflation, and disruptions to supply chains, consumer demand and employee availability,
may continue for some time. The U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, took extraordinary actions to support local and global economies and the financial markets in response to the COVID-19 pandemic. This and other government intervention into the economy and financial markets may not work as intended, and have resulted in a large expansion of government deficits and debt, the long term
consequences of which are not known. In addition, the COVID-19 pandemic, and measures taken to mitigate its effects, could result in disruptions to the services provided to the fund by its service providers.
Raising the ceiling on U.S. government debt has become increasingly politicized. Any failure to increase the total amount that the U.S. government is authorized to
borrow could lead to a default on U.S. government obligations, with unpredictable consequences for economies and markets in the U.S. and elsewhere. Recently, inflation and interest rates have increased and may rise further. These circumstances could
adversely affect the value and liquidity of the funds investments, impair the funds ability to satisfy redemption requests, and negatively impact the funds performance.
The United States and other countries are periodically involved in disputes over trade and other matters, which may result in tariffs, investment restrictions and
adverse impacts on affected companies and securities. For example, the United States has imposed tariffs and other trade barriers on Chinese exports, has restricted sales of certain categories of goods
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to China, and has established barriers to
investments in China. Trade disputes may adversely affect the economies of the United States and its trading partners, as well as companies directly or indirectly affected and financial markets generally. The United States government has prohibited
U.S. persons from investing in Chinese companies designated as related to the Chinese military. These and possible future restrictions could limit the funds opportunities for investment and require the sale of securities at a loss or make them
illiquid. Moreover, the Chinese government is involved in a longstanding dispute with Taiwan that has included threats of invasion. If the political climate between the United States and China does not improve or continues to deteriorate, if China
were to attempt unification of Taiwan by force, or if other geopolitical conflicts develop or get worse, economies, markets and individual securities may be severely affected both regionally and globally, and the value of the funds assets may
go down.
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 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,
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Summary of information regarding the Fund (unaudited) (contd)
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.
Anti-Takeover Provisions Risk. The Charter and Bylaws of the Fund 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 of seeking high current income. The Bylaws also contain a provision providing that the Board of Directors has adopted a resolution to opt in the Fund to the provisions of the Maryland Control Share
Acquisition Act (MCSAA). There can be no assurance, however, that such provisions will be sufficient to deter professional arbitrageurs that seek to cause the Fund to take actions that may not be consistent with its investment objective
or aligned with the interests of long-term shareholders, such as liquidating debt investments prior to maturity, triggering taxable events for shareholders and decreasing the size of the Fund. Such provisions may limit the ability of shareholders to
sell their shares at a premium over prevailing market prices by discouraging an investor from seeking to obtain control of the Fund. There can be no assurance, however, that such provisions will be sufficient to deter professional investors that
seek to cause the Fund to take actions that may not be aligned with the interests of long-term shareholders in order to allow the professional investor to arbitrage the Funds market price.
Temporary Defensive Strategies Risk. When Western Asset anticipates unusual market or other conditions, the Fund may temporarily depart from its principal
investment strategies
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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 an effort to prevent or mitigate 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.
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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75 |
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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 P.O. Box 43006, Providence, RI 02940-3078 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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76 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
Plan participants who sell their shares will be charged a service charge (currently $5.00 per transaction) and the Plan Agent is authorized to deduct brokerage charges
actually incurred from the proceeds (currently $0.05 per share commission). There is no service charge for reinvestment of your dividends or distributions in Common Stock. However, all participants will pay a pro rata share of brokerage commissions
incurred by the Plan Agent when it makes open market purchases. Because all dividends and distributions will be automatically reinvested in additional shares of Common Stock, this allows you to add to your investment through dollar cost averaging,
which may lower the average cost of your Common Stock over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Funds net asset value declines. While dollar cost averaging has definite advantages,
it cannot assure profit or protect against loss in declining markets.
Automatically reinvesting dividends and distributions does not mean that you do not have to
pay income taxes due upon receiving dividends and distributions. Investors will be subject to income tax on amounts reinvested under the Plan.
The Fund reserves the
right to amend or terminate the Plan if, in the judgment of the Board of Directors, the change is warranted. The Plan may be terminated, amended or supplemented by the Fund upon notice in writing mailed to stockholders at least 30 days prior to the
record date for the payment of any dividend or distribution by the Fund for which the termination or amendment is to be effective. Upon any termination, you will be sent cash for any fractional share of Common Stock in your account. You may elect to
notify the Plan Agent in advance of such termination to have the Plan Agent sell part or all of your Common Stock on your behalf. Additional information about the Plan and your account may be obtained from the Plan Agent at P.O. Box 43006,
Providence, RI 02940-3078 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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77 |
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Important tax information (unaudited)
By mid-February, tax information related to a shareholders proportionate share of distributions paid during the preceding
calendar year will be received, if applicable. Please also refer to www.franklintempleton.com for per share tax information related to any distributions paid during the preceding calendar year. Shareholders are advised to consult with their tax
advisors for further information on the treatment of these amounts on their tax returns.
The following tax information for the Fund is required to be furnished to
shareholders with respect to income earned and distributions paid during its fiscal year.
The Fund hereby reports the following amounts, or if subsequently
determined to be different, the maximum allowable amounts, for the fiscal year ended November 30, 2023:
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Pursuant to: |
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Amount Reported |
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Income Eligible for Dividends Received Deduction (DRD) |
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§854(b)(1)(A) |
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$ |
19,609 |
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Qualified Dividend Income Earned (QDI) |
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§854(b)(1)(B) |
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$ |
19,609 |
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Qualified Net Interest Income (QII) |
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§871(k)(1)(C) |
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$ |
6,841,161 |
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Section 163(j) Interest Earned |
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§163(j) |
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$ |
10,054,285 |
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Interest Earned from Federal Obligations |
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Note (1) |
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$ |
18,287 |
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Note (1) The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is
exempt from state income tax. Shareholders are advised to consult with their tax advisors to determine if any portion of the dividends received is exempt from state income taxes.
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78 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
Western Asset
Investment Grade Defined Opportunity Trust Inc.
Directors
Robert D. Agdern
Carol L. Colman
Daniel P. Cronin
Paolo M. Cucchi
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
Marc A. De Oliveira*
Secretary and Chief Legal Officer
Thomas C. Mandia
Senior Vice President
Jeanne M. Kelly
Senior Vice President
Western Asset Investment Grade Defined Opportunity Trust Inc.
620 Eighth Avenue
47th Floor
New York, NY 10018
Investment manager
Franklin Templeton Fund Adviser, 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.
P.O. Box 43006
Providence, RI 02940-3078
Independent registered public accounting firm
PricewaterhouseCoopers LLP
Baltimore, MD
Legal counsel
Simpson Thacher & Bartlett
LLP
900 G Street NW
Washington, DC 20001
New York Stock Exchange Symbol
IGI
* |
Effective September 7, 2023, Mr. De Oliveira became Secretary and Chief Legal Officer. |
** |
Formerly known as Legg Mason Partners Fund Advisor, LLC. |
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 the Western Asset Money Market Funds sold by the Funds distributor, Franklin Distributors, LLC, as well as Legg
Mason-sponsored closed-end funds. The provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.
The Type of Nonpublic Personal Information the Funds Collect About You
The Funds collect and maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not limited
to:
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Personal information included on applications or other forms; |
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Account balances, transactions, and mutual fund holdings and positions; |
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Bank account information, legal documents, and identity verification documentation; and |
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Online account access user IDs, passwords, security challenge question responses. |
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, unless you have authorized the
Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have authorized or as permitted or required by law.
The Funds may disclose information about you to:
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Employees, agents, and affiliates on a need to know basis to enable the Funds to conduct ordinary business or
to comply with obligations to government regulators; |
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Service providers, including the Funds affiliates, who assist the Funds as part of the ordinary course of business
(such as printing, mailing services, or processing or servicing your account with us) or otherwise perform services on the Funds behalf, including companies that may perform statistical analysis, market research and marketing services solely
for the Funds; |
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Permit access to transfer, whether in the United States or countries outside of the United States to such Funds
employees, agents and affiliates and service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators; |
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The Funds representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary
business, or to comply with obligations to government regulators; |
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Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust.
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NOT PART OF THE ANNUAL REPORT |
Legg Mason Funds Privacy and Security Notice (contd)
Except as otherwise permitted by applicable law, companies acting on the Funds behalf,
including those outside the United States, are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them to
perform.
The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or
required by applicable law, such as in connection with a law enforcement or regulatory request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to
disclose your nonpublic personal information to third parties. While it is the Funds practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain
unchanged.
Keeping You Informed of the Funds Privacy and Security Practices
The Funds will notify you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time, they will
notify you promptly if this privacy policy changes.
The Funds Security Practices
The Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds internal data
security policies restrict access to your nonpublic personal information to authorized employees, who may use your nonpublic personal information for Fund business purposes only.
Although the Funds strive to protect your nonpublic personal information, they cannot ensure or warrant the security of any information you provide or transmit to them,
and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information, the Funds will attempt to notify you as necessary so you can take appropriate protective steps. If you have consented
to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances using the most current email address you have on record with them.
In order for the Funds to provide effective service to you, keeping your account information accurate is very important. If you believe that your account information is
incomplete, not accurate or not current, if you have questions about the Funds privacy practices, or our use of your nonpublic personal information, write the Funds using the contact information on your account statements, email the Funds by
clicking on the Contact Us section of the Funds website at www.franklintempleton.com, or contact the Funds at
1-877-721-1926 for the Western Asset Money Market Funds or 1-888-777-0102 for the Legg Mason-sponsored closed-end funds.
Revised
October 2022
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NOT PART OF THE ANNUAL REPORT |
Legg Mason Funds Privacy and Security Notice (contd)
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, 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).
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.
You also have the right to request the deletion of the personal information collected or maintained by the
Funds.
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 2022
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NOT PART OF THE ANNUAL REPORT |
Western Asset Investment Grade Defined Opportunity Trust Inc.
Western Asset Investment Grade Defined Opportunity Trust Inc.
620 Eighth Avenue
47th Floor
New York, NY 10018
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase, at market
prices, shares of its stock.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first
and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds Forms N-PORT are available on the SECs website at www.sec.gov.
To obtain information on Form N-PORT, shareholders can call the Fund at 1-888-777-0102.
Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th
of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling 1-888-777-0102, (2) at www.franklintempleton.com and (3) on the SECs website at www.sec.gov.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund may be found on Franklin Templetons website,
which can be accessed at www.franklintempleton.com. Any reference to Franklin Templetons website in this report is intended to allow investors public access to information regarding the Fund and does not, and is not intended to, incorporate
Franklin Templetons website in this report.
This report is transmitted to the shareholders of Western Asset Investment Grade Defined Opportunity Trust Inc. for
their information. This is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
Computershare Inc.
P.O. Box 43006
Providence, RI 02940-3078
WASX012164 1/24 SR23-4799
The registrant has adopted a code of ethics that applies to the registrants principal executive officer, principal financial officer,
principal accounting officer or controller.
ITEM 3. |
AUDIT COMMITTEE FINANCIAL EXPERT. |
The Board of Directors of the registrant has determined that Eileen A. Kamerick and Nisha Kumar, are the members of the Boards Audit
Committee, possesses the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an audit committee financial experts.
ITEM 4. |
PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) Audit Fees. The aggregate fees billed in the previous fiscal years ending November 30, 2022 and November 30, 2023 (the
Reporting Periods) for professional services rendered by the Registrants principal accountant (the Auditor) for the audit of the Registrants annual financial statements, or services that are normally provided by
the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $50,383 in November 30, 2022 and $50,383 in November 30, 2023.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Period for assurance and related services by the Auditor that are
reasonably related to the performance of the Registrants financial statements were $0 in November 30, 2022 and $0 in November 30, 2023.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax
compliance, tax advice and tax planning (Tax Services) were $10,000 in November 30, 2022 and $10,000 in November 30, 2023. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax
returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial
instruments held or proposed to be acquired or held.
There were no fees billed for tax services by the Auditors to service affiliates
during the Reporting Periods that required pre-approval by the Audit Committee.
(d) All Other
Fees. The aggregate fees for other fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item for the Western Asset Investment
Grade Defined Opportunity Trust Inc. were $0 in November 30, 2022 and $0 in November 30, 2023.
All Other Fees. There were no
other non-audit services rendered by the Auditor to Legg Mason Partners Fund Advisors, LLC (LMPFA), and any entity controlling, controlled by or under common control with LMPFA that provided
ongoing services to Western Asset Investment Grade Defined Opportunity Trust Inc. requiring pre-approval by the Audit Committee in the Reporting Period.
(e) Audit Committees preapproval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
(1) The Charter for the
Audit Committee (the Committee) of the Board of each registered investment company (the Fund) advised by LMPFA or one of their affiliates (each, an Adviser) requires that the Committee shall approve (a) all
audit and permissible non-audit services to be provided to the Fund and (b) all permissible non-audit services to be provided by the Funds independent
auditors to the Adviser and any Covered Service Providers if the
engagement relates directly to the operations and financial reporting of the Fund. The Committee may implement policies and procedures by which such services are approved other than by the
full Committee.
The Committee shall not approve non-audit services that the Committee believes
may impair the independence of the auditors. As of the date of the approval of this Audit Committee Charter, permissible non-audit services include any professional services (including tax services), that
are not prohibited services as described below, provided to the Fund by the independent auditors, other than those provided to the Fund in connection with an audit or a review of the financial statements of the Fund. Permissible non-audit services may not include: (i) bookkeeping or other services related to the accounting records or financial statements of the Fund; (ii) financial information systems design and implementation;
(iii) appraisal or valuation services, fairness opinions or contribution-in-kind reports; (iv) actuarial services; (v) internal audit outsourcing
services; (vi) management functions or human resources; (vii) broker or dealer, investment adviser or investment banking services; (viii) legal services and expert services unrelated to the audit; and (ix) any other service the
Public Company Accounting Oversight Board determines, by regulation, is impermissible.
Pre-approval by the Committee of any permissible non-audit
services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the Fund, the Adviser and any service providers controlling, controlled by or under
common control with the Adviser that provide ongoing services to the Fund (Covered Service Providers) constitutes not more than 5% of the total amount of revenues paid to the independent auditors during the fiscal year in which the
permissible non-audit services are provided to (a) the Fund, (b) the Adviser and (c) any entity controlling, controlled by or under common control with the Adviser that provides ongoing services
to the Fund during the fiscal year in which the services are provided that would have to be approved by the Committee; (ii) the permissible non-audit services were not recognized by the Fund at the time
of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the
audit.
(2) None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph
(c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not
applicable.
(g) Non-audit fees billed by the Auditor for services rendered to Western Asset
Investment Grade Defined Opportunity Trust Inc., LMPFA and any entity controlling, controlled by, or under common control with LMPFA that provides ongoing services to Western Asset Investment Grade Defined Opportunity Trust Inc. during the reporting
period were $350,359 in November 30, 2022 and $342,635 in November 30, 2023.
(h) Yes. Western Asset Investment Grade
Defined Opportunity Trust Inc.s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not
pre-approved (not requiring pre-approval), is compatible with maintaining the Accountants independence. All services provided by the Auditor to the Western
Asset Investment Grade Defined Opportunity Trust Inc. or to Service Affiliates, which were required to be pre-approved, were pre-approved as required.
(i) Not applicable.
(j) Not
applicable.
ITEM 5. |
AUDIT COMMITTEE OF LISTED REGISTRANTS. |
a) Registrant has a separately-designated standing Audit Committee established in accordance with Section 3(a)58(A) of
the Exchange Act. The Audit Committee consists of the following Board members:
Robert D. Agdern
Carol L. Colman
Daniel P.
Cronin
Paolo M. Cucchi
Eileen A. Kamerick
Nisha Kumar
b) Not applicable
ITEM 6. |
SCHEDULE OF INVESTMENTS. |
Included herein under Item 1.
ITEM 7. |
DISCLOSURE OF PROXY VOTING POLOCIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES |
Western Asset Management Company, LLC
Proxy Voting Policies and Procedures
NOTE
The policy below relating to proxy voting and
corporate actions is a global policy for Western Asset Management Company, LLC (Western Asset or the Firm) and all Western Asset affiliates, including Western Asset Management Company Limited (Western Asset
Limited), Western Asset Management Company Ltd (Western Asset Japan) and Western Asset Management Company Pte. Ltd. (Western Asset Singapore), as applicable. As compliance with the policy is monitored by Western Asset,
the policy has been adopted from the US Compliance Manual and all defined terms are those defined in the US Compliance Manual rather than the compliance manual of any other Western Asset affiliate.
BACKGROUND
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 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.
POLICY
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 Rule 206(4)-6 under the 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 Franklin Resources (Franklin Resources includes Franklin Resources, Inc. and organizations operating as Franklin Resources) or any of its affiliates (other than
Western Asset affiliated companies) regarding the voting of any securities owned by its clients.
PROCEDURES
Responsibility and Oversight
The Regulatory Affairs Group is responsible for administering and overseeing the proxy voting process. The gathering of proxies is coordinated
through the Corporate Actions area of Investment Operations Group (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.
Client Authority
The Investment Management Agreement for each client is reviewed at account start-up for proxy voting
instructions. If an agreement is silent on proxy voting, but contains an overall delegation of discretionary authority or if the account represents assets of an ERISA plan, Western Asset will assume responsibility for proxy voting. The Regulatory
Affairs Group maintains a matrix of proxy voting authority.
Proxy Gathering
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.
Proxy Voting
Once proxy materials are received by Corporate Actions, they are forwarded to the Regulatory Affairs Group for coordination and the
following actions:
Proxies are reviewed to determine accounts impacted.
Impacted accounts are checked to confirm Western Asset voting authority.
The Regulatory Affairs Group reviews proxy issues to determine any material conflicts of interest. (See Conflicts of Interest section of these
procedures for further information on determining material conflicts of interest.)
If a material conflict of interest exists, (i) to
the extent reasonably practicable and permitted by applicable law, the client is promptly notified, the conflict is disclosed and Western Asset obtains the clients proxy voting instructions, and (ii) to the extent that it is not
reasonably practicable or permitted by applicable law to notify the client and obtain such instructions (e.g., the client is a mutual fund or other commingled vehicle or is an ERISA plan client), Western Asset seeks voting instructions from an
independent third party.
The Regulatory Affairs Group provides proxy material to the appropriate research analyst or portfolio manager to
obtain their recommended vote. Research analysts and portfolio managers determine votes on a case-by-case basis taking into account the voting guidelines contained in
these procedures. For avoidance of doubt, depending on the best interest of each individual client, Western Asset may vote the same proxy
differently for different clients. The analysts or portfolio managers basis for their decision is documented and maintained by the Regulatory Affairs Group.
Portfolio Compliance Group votes the proxy pursuant to the instructions received in (d) or (e) and returns the voted proxy as indicated
in the proxy materials.
Timing
Western Assets Legal and Compliance Department 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.
Recordkeeping
Western Asset maintains records of proxies voted pursuant to Rule 204-2 of the Advisers Act
and ERISA DOL Bulletin 94-2. These records include:
|
|
A copy of Western Assets proxy voting policies and procedures. |
Copies of proxy statements received with respect to securities in client accounts.
A copy of any document created by Western Asset that was material to making a decision how to vote proxies.
Each written client request for proxy voting records and Western Assets written response to both verbal and written client requests.
A proxy log including:
|
2. |
Exchange ticker symbol of the issuers shares to be voted; |
|
3. |
Committee on Uniform Securities Identification Procedures (CUSIP) number for the shares to be
voted; |
|
4. |
A brief identification of the matter voted on; |
|
5. |
Whether the matter was proposed by the issuer or by a shareholder of the issuer; |
|
6. |
Whether a vote was cast on the matter; |
|
7. |
A record of how the vote was cast; and |
|
8. |
Whether the vote was cast for or against the recommendation of the issuers management team.
|
Records are maintained in an easily accessible place for a period of not less than five (5) years with the first
two (2) years in Western Assets offices.
Disclosure
Western Assets proxy policies and procedures are described in the Firms Form ADV Part 2A. Clients are provided with a copy of these
policies and procedures upon request. In addition, clients may receive reports on how their proxies have been voted, upon request.
Conflicts of Interest
All proxies are reviewed by the Regulatory Affairs Group for material conflicts of interest. Issues to be reviewed include, but are not limited
to:
|
1. |
Whether Western Asset (or, to the extent required to be considered by applicable law, its affiliates) manages
assets for the company or an employee group of the company or otherwise has an interest in the company; |
|
2. |
Whether Western Asset or an officer or director of Western Asset or the applicable portfolio manager or analyst
responsible for recommending the proxy vote (together, Voting Persons) is a close relative of |
|
or has a personal or business relationship with an executive, director or person who is a candidate for director of the company or is a participant in a proxy contest; and |
|
3. |
Whether there is any other business or personal relationship where a Voting Person has a personal interest in
the outcome of the matter before shareholders. |
Voting Guidelines
Western Assets substantive voting decisions are based 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.
Situations can arise in which more than one Western Asset client invests in instruments of the same issuer or in which a single client may
invest in instruments of the same issuer but in multiple accounts or strategies. Multiple clients or the same client in multiple accounts or strategies may have different investment objectives, investment styles, or investment professionals involved
in making decisions. While there may be differences, votes are always cast in the best interests of the client and the investment objectives agreed with Western Asset. As a result, there may be circumstances where Western Asset casts different votes
on behalf of different clients or on behalf of the same client with multiple accounts or strategies.
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.
I. |
Board Approved Proposals |
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:
|
1. |
Matters relating to the Board of Directors |
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:
|
a. |
Votes are withheld for the entire board of directors if the board does not have a majority of independent
directors or the board does not have nominating, audit and compensation committees composed solely of independent directors. |
|
b. |
Votes are withheld for any nominee for director who is considered an independent director by the company and
who has received compensation from the company other than for service as a director. |
|
c. |
Votes are withheld for any nominee for director who attends less than 75% of board and committee meetings
without valid reasons for absences. |
|
d. |
Votes are cast on a
case-by-case basis in contested elections of directors. |
|
2. |
Matters relating to Executive Compensation |
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:
|
a. |
Except where the firm is otherwise withholding votes for the entire board of directors, Western Asset votes for
stock option plans that will result in a minimal annual dilution. |
|
b. |
Western Asset votes against stock option plans or proposals that permit replacing or repricing of underwater
options. |
|
c. |
Western Asset votes against stock option plans that permit issuance of options with an exercise price below the
stocks current market price. |
|
d. |
Except where the firm is otherwise withholding votes for the entire board of directors, Western Asset votes for
employee stock purchase plans that limit the discount for shares purchased under the plan to no more than 15% of their market value, have an offering period of 27 months or less and result in dilution of 10% or less. |
|
3. |
Matters relating to Capitalization |
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.
|
a. |
Western Asset votes for proposals relating to the authorization of additional common stock.
|
|
b. |
Western Asset votes for proposals to effect stock splits (excluding reverse stock splits).
|
|
c. |
Western Asset votes for proposals authorizing share repurchase programs. |
|
4. |
Matters relating to Acquisitions, Mergers, Reorganizations and Other Transactions |
Western Asset votes these issues on a case-by-case basis on
board-approved transactions.
|
5. |
Matters relating to Anti-Takeover Measures |
Western Asset votes against board-approved proposals to adopt anti-takeover measures except as follows:
|
a. |
Western Asset votes on a
case-by-case basis on proposals to ratify or approve shareholder rights plans. |
|
b. |
Western Asset votes on a
case-by-case basis on proposals to adopt fair price provisions. |
|
6. |
Other Business Matters |
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.
|
a. |
Western Asset votes on a
case-by-case basis on proposals to amend a companys charter or bylaws. |
|
b. |
Western Asset votes against authorization to transact other unidentified, substantive business at the meeting.
|
|
7. |
Reporting of Financially Material Information |
Western Asset generally believes issuers should disclose information that is material to their business. This principle extends to
Environmental, Social and Governance matters. What qualifies as material can vary, so votes are cast on a case by case basis but consistent with the overarching principle.
II. |
Shareholder Proposals |
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:
|
1. |
Western Asset votes for shareholder proposals to require shareholder approval of shareholder rights plans.
|
|
2. |
Western Asset votes for shareholder proposals that are consistent with Western Assets proxy voting
guidelines for board-approved proposals. |
|
3. |
Western Asset votes on a
case-by-case basis on other shareholder proposals where the firm is otherwise withholding votes for the entire board of directors. |
Environmental or social issues that are the subject of a proxy vote will be considered on a case by case basis. Constructive proposals that
seek to advance the health of the issuer and the prospect for risk-adjusted returns to Western Assets clients are viewed more favorably than proposals that advance a single issue or limit the ability of management to meet its operating objectives.
III. |
Voting Shares of Investment Companies |
Western Asset may utilize shares of open or closed-end investment companies to implement its investment
strategies. Shareholder votes for investment companies that fall within the categories listed in Parts I and II above are voted in accordance with those guidelines.
|
1. |
Western Asset votes on a
case-by-case basis on proposals relating to changes in the investment objectives of an investment company taking into account the original intent of the fund and the
role the fund plays in the clients portfolios. |
|
2. |
Western Asset votes on a
case-by-case basis all proposals that would result in increases in expenses (e.g., proposals to adopt 12b-1 plans, alter
investment advisory arrangements or approve fund mergers) taking into account comparable expenses for similar funds and the services to be provided. |
IV. |
Voting Shares of Foreign Issuers |
In the event Western Asset is required to vote on securities held in non-U.S. issuers i.e.
issuers that are incorporated under the laws of a foreign jurisdiction and that are not listed on a U.S. securities exchange or the NASDAQ stock market, the following guidelines are used, which are premised on the existence of a sound corporate
governance and disclosure framework. These guidelines, however, may not be appropriate under some circumstances for foreign issuers and therefore apply only where applicable.
|
1. |
Western Asset votes for shareholder proposals calling for a majority of the directors to be independent of
management. |
|
2. |
Western Asset votes for shareholder proposals seeking to increase the independence of board nominating, audit
and compensation committees. |
|
3. |
Western Asset votes for shareholder proposals that implement corporate governance standards similar to those
established under U.S. federal law and the listing requirements of U.S. stock exchanges, and that do not otherwise violate the laws of the jurisdiction under which the company is incorporated. |
|
4. |
Western Asset votes on a
case-by-case basis on proposals relating to (1) the issuance of common stock in excess of 20% of a companys outstanding common stock where shareholders do not
have preemptive rights, or (2) the issuance of common stock in excess of 100% of a companys outstanding common stock where shareholders have preemptive rights. |
V. |
Environmental, Social and Governance Matters |
Western Asset considers ESG matters as part of the overall investment process where appropriate. The Firm seeks to identify and consider
material risks to the investment thesis, including material risks presented by ESG factors. While Western Asset is primarily a fixed income manager, opportunities to vote proxies are considered on the investment merits of the instruments and
strategies involved.
As a general proposition, Western Asset votes to encourage disclosure of information material to their business.
This principle extends to ESG matters. What qualifies as material can vary, so votes are cast on a case by case basis but consistent with the overarching principle. Western Asset recognizes that objective standards and criteria may not
be available or universally agreed and that there may be different views and subjective analysis regarding factors and their significance.
As a general matter, Western Asset votes to encourage management and governance practices that
enhance the strength of the issuer, build value for investors, and mitigate risks that might threaten their ability to operate and navigate competitive pressures.
Targeted environmental or social issues that are the subject of a proxy vote will be considered on a case by case basis. Constructive
proposals that seek to advance the health of the issuer and the prospect for risk-adjusted returns to Western Assets clients are viewed more favorably than proposals that advance a single issue or limit the ability of management to meet its
operating objectives.
Situations can arise in which different clients and strategies have explicit ESG objectives beyond generally taking
into account material ESG risks. Votes may be cast for such clients with the ESG objectives in mind. Votes involving ESG proposals that are not otherwise addressed in this policy will be voted on a case-by-case basis consistent with the Firms fiduciary duties to its clients, the potential consequences to the investment thesis for that issuer, and the specific facts and circumstances of each
proposal.
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 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 Department of Labor has determined that the responsibility remains with the investment manager.
In order to comply with the Department of Labors 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.
ITEM 8. |
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
|
(a)(1): As of the date of filing this report:
|
|
|
|
|
|
|
NAME AND
ADDRESS |
|
LENGTH OF PRINCIPAL OCCUPATION(S) DURING TIME SERVED PAST 5 YEARS |
S. Kenneth Leech
Western Asset 385 East Colorado Blvd. Pasadena, CA 91101 |
|
|
Since 2014 |
|
|
Responsible for the day-to-day management with other members of the Funds portfolio management team; Chief Investment Officer of Western Asset
from 1998 to 2008 and since 2014; Senior Advisor/Chief Investment Officer Emeritus of Western Asset from 2008-2013; Co- Chief Investment Officer of Western Asset from 2013-2014. |
|
|
|
Michael C. Buchanan Western Asset
385 East Colorado Blvd. Pasadena, CA
91101 |
|
|
Since 2009 |
|
|
Co-portfolio manager of the fund; Head of Credit of Western Asset since 2005; Managing Director and head of U.S. Credit Products from 2003-2005 at Credit Suisse Asset
Management |
|
|
|
|
|
Ryan Brist Western Asset
385 East Colorado Blvd
Pasadena, CA 91101 |
|
Since 2009 |
|
Co-portfolio manager of the fund; Head of U.S. Investment Grade Credit of Western Asset since 2009; Chief Investment Officer and Portfolio Manager of Logan Circle Partners 2007-2009);Co-Chief Investment Officer and Senior Portfolio Manager at Delaware Investment Advisors (2000-2007) |
|
|
|
Kurt Halvorson Western Asset
385 East Colorado Blvd
Pasadena, CA 91101 |
|
Since 2022 |
|
Co-portfolio manager of the fund; He has been employed by Western Asset as an investment professional for at least the past five years. |
|
|
|
Blanton Keh Western Asset
385 East Colorado Blvd
Pasadena, CA 91101 |
|
Since 2022 |
|
Co-portfolio manager of the fund; He has been employed by Western Asset as an investment professional for at least the past five years. |
|
|
|
Dan Alexander Western Asset
385 East Colorado Blvd
Pasadena, CA 91101 |
|
Since 2022 |
|
Co-portfolio manager of the fund; He has been employed by Western Asset as an investment professional for at least the past five years. |
(a)(2): DATA TO BE PROVIDED BY FINANCIAL CONTROL
The following tables set forth certain additional information with respect to the funds portfolio managers for the fund. Unless noted otherwise, all
information is provided as of November 30, 2023.
Other Accounts Managed by Portfolio Managers
The table below identifies the number of accounts (other than the fund) for which the funds portfolio managers have day-to-day management responsibilities and the total assets in such accounts, within each of the following categories: registered investment companies, other pooled investment
vehicles, and other accounts. For each category, the number of accounts and total assets in the accounts where fees are based on performance is also indicated.
|
|
|
|
|
|
|
|
|
|
|
Name of PM |
|
Type of Account |
|
Number of
Accounts
Managed |
|
Total Assets
Managed |
|
Number of
Accounts
Managed for
which
Advisory Fee
is Performance-
Based |
|
Assets
Managed for
which
Advisory Fee
is Performance-
Based |
S. Kenneth Leech |
|
Other Registered Investment Companies |
|
93 |
|
$123.02 billion |
|
None |
|
None |
|
Other Pooled Vehicles |
|
301 |
|
$69.06 billion |
|
24 |
|
$2.64 billion |
|
Other Accounts |
|
597 |
|
$183.59 billion |
|
21 |
|
$12.28 billion |
Ryan Brist |
|
Other Registered Investment Companies |
|
11 |
|
$5.70 billion |
|
None |
|
None |
|
Other Pooled Vehicles |
|
28 |
|
$12.05 billion |
|
None |
|
None |
|
Other Accounts |
|
121 |
|
$46.78 billion |
|
4 |
|
$1.03 billion |
Michael Buchanan |
|
Other Registered Investment Companies |
|
32 |
|
$15.80 billion |
|
None |
|
None |
|
Other Pooled Vehicles |
|
57 |
|
$18.00 billion |
|
7 |
|
$1.43 billion |
|
Other Accounts |
|
150 |
|
$55.77 billion |
|
6 |
|
$1.55 billion |
Kurt Halvorson |
|
Other Registered Investment Companies |
|
6 |
|
$1.59 billion |
|
None |
|
None |
|
Other Pooled Vehicles |
|
12 |
|
$3.72 billion |
|
None |
|
None |
|
Other Accounts |
|
105 |
|
$41.14 billion |
|
4 |
|
$1.03 billion |
Blanton Keh |
|
Other Registered Investment Companies |
|
6 |
|
$1.59 billion |
|
None |
|
None |
|
Other Pooled Vehicles |
|
15 |
|
$8.78 billion |
|
None |
|
None |
|
Other Accounts |
|
110 |
|
$44.16 billion |
|
4 |
|
$1.03 billion |
Dan Alexander |
|
Other Registered Investment Companies |
|
6 |
|
$1.59 billion |
|
None |
|
None |
|
Other Pooled Vehicles |
|
12 |
|
$3.72 billion |
|
None |
|
None |
|
Other Accounts |
|
105 |
|
$41.16 billion |
|
4 |
|
$1.03 billion |
|
The numbers above reflect the overall number of portfolios managed by employees of Western Asset Management
Company (Western Asset). Mr. Leech is involved in the management of all the Firms portfolios, but they are not solely responsible for particular portfolios. Western Assets investment discipline emphasizes a team
|
approach that combines the efforts of groups of specialists working in different market sectors. They are responsible for overseeing implementation of Western Assets overall investment
ideas and coordinating the work of the various sector teams. This structure ensures that client portfolios benefit from a consensus that draws on the expertise of all team members.
(a)(3): As of November 30, 2023:
Investment
Professional Compensation
Conflicts of Interest
The Subadviser has adopted compliance policies and procedures to address a wide range of potential conflicts of interest that could directly
impact client portfolios. For example, potential conflicts of interest may arise in connection with the management of multiple portfolios (including portfolios managed in a personal capacity). These could include potential conflicts of interest
related to the knowledge and timing of a portfolios trades, investment opportunities and broker selection. Portfolio managers are privy to the size, timing, and possible market impact of a portfolios trades.
It is possible that an investment opportunity may be suitable for both a portfolio and other accounts managed by a portfolio manager, but may
not be available in sufficient quantities for both the portfolio and the other accounts to participate fully. Similarly, there may be limited opportunity to sell an investment held by a portfolio and another account. A conflict may arise where the
portfolio manager may have an incentive to treat an account preferentially as compared to a portfolio because the account pays a performance-based fee or the portfolio manager, the Subadviser or an affiliate has an interest in the account. The
Subadviser has adopted procedures for allocation of portfolio transactions and investment opportunities across multiple client accounts on a fair and equitable basis over time. Eligible accounts that can participate in a trade generally share the
same price on a pro-rata allocation basis, taking into account differences based on factors such as cash availability, investment restrictions and guidelines, and portfolio composition versus strategy.
With respect to securities transactions, the Subadviser determines which broker or dealer to use to execute each order, consistent with their
duty to seek best execution of the transaction. However, with respect to certain other accounts (such as pooled investment vehicles that are not registered investment companies and other accounts managed for organizations and individuals), the
Subadviser may be limited by the client with respect to the selection of brokers or dealers or may be instructed to direct trades through a particular broker or dealer. In these cases, trades for a portfolio in a particular security may be placed
separately from, rather than aggregated with, such other accounts. Having separate transactions with respect to a security may temporarily affect the market price of the security or the execution of the transaction, or both, to the possible
detriment of a portfolio or the other account(s) involved. Additionally, the management of multiple portfolios and/or other accounts may result in a portfolio manager devoting unequal time and attention to the management of each portfolio and/or
other account. The Subadvisers team approach to portfolio management and block trading approach seeks to limit this potential risk.
The Subadviser also maintains a gift and entertainment policy to address the potential for a business contact to give gifts or host
entertainment events that may influence the business judgment of an employee. Employees are permitted to retain gifts of only a nominal value and are required to make reimbursement for entertainment events above a certain value. All gifts (except
those of a de minimis value) and entertainment events that are given or sponsored by a business contact are required to be reported in a gift and entertainment log which is reviewed on a regular basis for possible issues.
Employees of the Subadviser have access to transactions and holdings information regarding client
accounts and the Subadvisers overall trading activities. This information represents a potential conflict of interest because employees may take advantage of this information as they trade in their personal accounts. Accordingly, the
Subadviser maintains a Code of Ethics that is compliant with Rule 17j-1 under the 1940 Act and Rule 204A-1 under the Advisers Act to address personal trading. In
addition, the Code of Ethics seeks to establish broader principles of good conduct and fiduciary responsibility in all aspects of the Subadvisers business. The Code of Ethics is administered by the Legal and Compliance Department and monitored
through the Subadvisers compliance monitoring program.
The Subadviser may also face other potential conflicts of interest with
respect to managing client assets, and the description above is not a complete description of every conflict of interest that could be deemed to exist. The Subadviser also maintains a compliance monitoring program and engages independent auditors to
conduct a SOC1/ISAE 3402 audit on an annual basis. These steps help to ensure that potential conflicts of interest have been addressed.
Investment
Professional Compensation
With respect to the compensation of the Funds investment professionals, the Subadvisers
compensation system assigns each employee a total compensation range, which is derived from annual market surveys that benchmark each role with its job function and peer universe. This method is designed to reward employees with total compensation
reflective of the external market value of their skills, experience and ability to produce desired results. Standard compensation includes competitive base salaries, generous employee benefits and a retirement plan.
In addition, the Subadvisers employees are eligible for bonuses. These are structured to closely align the interests of employees with
those of the Subadviser, and are determined by the professionals job function and pre-tax performance as measured by a formal review process. All bonuses are completely discretionary. The principal
factor considered is an investment professionals investment performance versus appropriate peer groups and benchmarks (e.g., a securities index and with respect to the Fund, the benchmark set forth in the Funds Prospectus to which the
Funds average annual total returns are compared or, if none, the benchmark set forth in the Funds annual report). Performance is reviewed on a 1, 3 and 5 year basis for compensationwith 3 and 5 years having a larger emphasis. The
Subadviser may also measure an investment professionals pre-tax investment performance against other benchmarks, as it determines appropriate. Because investment professionals are generally responsible
for multiple accounts (including the Fund) with similar investment strategies, they are generally compensated on the performance of the aggregate group of similar accounts, rather than a specific account. Other factors that may be considered when
making bonus decisions include client service, business development, length of service to the Subadviser, management or supervisory responsibilities, contributions to developing business strategy and overall contributions to the Subadvisers
business.
Finally, in order to attract and retain top talent, all investment professionals are eligible for additional incentives in
recognition of outstanding performance. These are determined based upon the factors described above and include long-term incentives that vest over a set period of time past the award date.
(a)(4): Investment Professional Securities Ownership
The table below identifies the dollar range of securities beneficially owned by each investment professional as of November 30, 2023.
|
|
|
Investment Professional(s) |
|
Dollar Range of Portfolio Securities Beneficially Owned |
S. Kenneth Leech |
|
A |
Michael C. Buchanan |
|
A |
Ryan Brist |
|
A |
Kurt Halvorson |
|
A |
Blanton Keh |
|
A |
Dan Alexander |
|
A |
Dollar Range ownership is as follows:
A: none
B: $1 - $10,000
C: 10,001 - $50,000
D: $50,001 - $100,000
E: $100,001 - $500,000
F: $500,001 - $1 million
G: over $1 million
ITEM 9. |
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS |
Not applicable.
ITEM 10. |
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 11. |
CONTROLS AND PROCEDURES. |
|
(a) |
The registrants principal executive officer and principal financial officer have concluded that the
registrants disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of
the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
|
(b) |
There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the registrants internal control over financial reporting.
|
ITEM 12. |
DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT
INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. |
RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
(a) Not applicable.
(b) Not
applicable.
(a) (1) Code of Ethics attached hereto.
Exhibit
99.CODE ETH
(a) (2)
Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this
Report to be signed on its behalf by the undersigned, there unto duly authorized.
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
|
|
By: |
|
/s/ Jane Trust |
|
|
Jane Trust |
|
|
Chief Executive Officer |
|
|
Date: |
|
January 26, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940,
this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
By: |
|
/s/ Jane Trust |
|
|
Jane Trust |
|
|
Chief Executive Officer |
|
|
Date: |
|
January 26, 2024 |
|
|
By: |
|
/s/ Christopher Berarducci |
|
|
Christopher Berarducci |
|
|
Principal Financial Officer |
|
|
Date: |
|
January 26, 2024 |
Code of Conduct for Principal Executive and Financial Officers (SOX)
Covered Officers and Purpose of the Code
The Funds
code of ethics (the Code) for investment companies within the Legg Mason family of mutual funds (each a Fund, and collectively, the Funds) applies to each Funds Principal Executive Officer, Principal
Financial Officer, and Controller (the Covered Officers) for the purpose of promoting:
|
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honest and ethical conduct, including ethical handling of actual or apparent conflicts of interest between
personal and professional relationships; |
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full, fair, accurate, timely and understandable disclosure in reports and documents a registrant files with, or
submits to, the Securities and Exchange Commission (SEC) and in other public communications made by the Funds; |
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compliance with applicable laws and governmental rules and regulations; |
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prompt internal reporting of Code violations to appropriate persons identified in the Code; and
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accountability for adherence to the Code. |
Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as
apparent conflicts of interest.
Covered Officers Should Ethically Handle Actual and Apparent Conflicts of Interest
A conflict of interest occurs when a Covered Officers private interest interferes with the interests of, or his or her service to, a Fund.
For example, a conflict of interest would arise if a Covered Officer, or a member of his or her family, receives improper personal benefits as a result of his or her position with a Fund.
Certain conflicts of interest arise out of the relationships between Covered Officers and a Fund and already are subject to conflict of interest provisions in
the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the
purchase or sale of securities or other property) with a Fund because of their status as affiliated persons of the Fund. The Funds and the investment advisers compliance programs and procedures are designed to prevent, or
identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.
Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between
a Fund and an investment adviser of which Covered Officers are also officers or employees. As a result, this Code recognizes Covered Officers will, in the normal course of their duties (whether formally for a Fund or for the adviser, or for both),
be involved in establishing policies and
implementing decisions that will have different effects on the adviser and the Funds. The participation of Covered Officers in such activities is inherent in the contractual relationship between
a Fund and an adviser and is consistent with the performance by Covered Officers of their duties as officers of the Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such
activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds Boards of Directors/Trustees (Boards) that Covered Officers may also be officers or employees of one or more other investment
companies covered by this or other codes and that such service, by itself does not give rise to a conflict of interest.
Other conflicts of interest are
covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers
should keep in mind these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fund.
Each Covered Officer must:
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not use his or her personal influence or personal relationships improperly to influence investment decisions or
financial reporting by a Fund; |
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not cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered
Officer rather than the benefit the Fund; and, |
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not use material non-public knowledge of portfolio transactions made or
contemplated for the Trust to trade personally or cause others to trade personally in contemplation of the market effect of such transactions. |
There are some actual or potential conflict of interest situations that, if material, should always be discussed with the Chief Compliance Officer
(CCO) or designate that has been appointed by the Board of the Funds. Examples of these include:
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service as a director on the board of any public company (other than the Funds or their investment advisers or
any affiliated person thereof); |
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the receipt of any non-nominal gifts (i.e., in excess of $100);
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the receipt of any entertainment from any company with which a Fund has current or prospective business dealings
unless such entertainment is business-related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety; |
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any ownership interest in, or any consulting or employment relationship with, any of the Funds service
providers (other than their investment advisers, or principal underwriter, or any affiliated person thereof); |
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a direct or indirect financial interest in commissions, transaction charges or spreads paid by a Fund for
effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officers employment, such as compensation or equity ownership. |
Disclosure and Compliance
Each Covered Officer should:
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familiarize him or herself with the disclosure requirements generally applicable to the Funds;
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not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to others, whether within or
outside the Fund, including to the Funds Directors/Trustees and auditors, and to governmental regulators and self-regulatory organizations; and |
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to the extent appropriate within his or her area of responsibility, consult with other officers and employees of
the Funds and the advisers with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Funds file with, or submit to, the SEC and in other public communications made by the Funds.
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It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws,
rules and regulations.
Reporting and Accountability
Each Covered Officer must:
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upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to
the Board that he or she has received, read, and understands the Code; |
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annually thereafter affirm to the Board that he or she has complied with the requirements of the Code;
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not retaliate against any other Covered Officer or any employee of the Funds or their advisers or any affiliated
persons thereof or service providers of the Funds for reports of potential violations that are made in good faith; |
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notify the CCO promptly if he or she knows of any violation of this Code, of which failure to do so is itself a
violation; and |
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report at least annually, if necessary, any employment position, including officer or directorships, held by the
Covered Officer or any immediate family member of a Covered Officer with affiliated persons of or Service Providers to the Funds. |
The
CCO is responsible for applying this Code to specific situations in which questions are presented and has the authority to interpret this Code in any particular situation. However, approvals or waivers sought by a Covered Officer will be considered
by the Compliance Committee or Audit Committee, (the Committee) responsible for oversight of the Funds code of ethics under Rule 17j-1 under the Investment Company Act. If a Covered Officer
seeking an approval or waiver sits on the Committee, the Covered Person shall recuse him or herself from any such deliberations. Any approval or waiver granted by the Committee will be reported promptly to the Chair of the Audit Committees of the
Funds.
The Funds will follow these procedures in investigating and enforcing this Code:
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the CCO will take all appropriate action to investigate any potential violations reported to him, which actions
may include the use of internal or external counsel, accountants or other personnel; |
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if, after such investigation, the CCO believes that no violation has occurred, the CCO is not required to take
any further action; |
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any matter that the CCO believes is a violation will be reported to the Committee; |
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if the Committee concurs that a violation has occurred, it will inform the Board, which will consider appropriate
action, which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of the investment adviser or its board; or a recommendation to dismiss the Covered Officer;
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the Committee will be responsible for granting waivers, as appropriate; and, |
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any changes to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules.
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Other Policies and Procedures
This Code shall be the sole code of ethics adopted by the Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable
to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, the Funds advisers, principal underwriter, or other service providers govern or purport to govern the behavior or activities of Covered
Officers subject to this Code, they are superseded by this Code to the extent they overlap or conflict with the provisions of this Code. The Funds and their investment advisers and principal underwriters codes of
ethics under Rule 17j-1 under the Investment Company Act are separate requirements applying to Covered Officers and others, and are not part of this Code.
Confidentiality
All reports and records prepared or
maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the appropriate Board and
Fund counsel, and the board of Directors/Trustees and fund counsel of any other investment company for whom a Covered Officer serves in a similar capacity.
Annual Report
No less than annually, the CCO shall
provide the Board with a written report describing any issues having arisen since the prior years report.
Internal Use
This Code is intended solely for the internal use by the Funds and does not constitute an admission by or on behalf of any Fund, as to any fact, circumstance
or legal consideration.
CERTIFICATIONS PURSUANT TO SECTION 302
EX-99.CERT
CERTIFICATIONS
I, Jane Trust, certify that:
1. |
I have reviewed this report on Form N-CSR of Western Asset Investment
Grade Defined Opportunity Trust Inc.; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial statements, and other financial information included in this report,
fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
periods presented in this report; |
4. |
The registrants other certifying officers and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
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a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared; |
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b) |
Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles; |
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c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
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d) |
Disclosed in this report any change in the registrants internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officers and I have disclosed to the registrants auditors and the
audit committee of the registrants board of directors (or persons performing the equivalent functions): |
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a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
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b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrants internal control over financial reporting. |
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Date: January 26, 2024 |
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/s/ Jane Trust |
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Jane Trust |
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Chief Executive Officer |
CERTIFICATIONS
I, Christopher Berarducci, certify that:
1. |
I have reviewed this report on Form N-CSR of Western Asset Investment
Grade Defined Opportunity Trust Inc.; |
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. |
Based on my knowledge, the financial information included in this report, and the financial statements on which
the financial information is based, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the
registrant as of, and for, the periods presented in this report; |
4. |
The registrants other certifying officers and I are responsible for establishing and maintaining
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
|
a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared; |
|
b) |
Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles; |
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c) |
Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
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d) |
Disclosed in this report any change in the registrants internal control over financial reporting that
occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. |
The registrants other certifying officers and I have disclosed to the registrants auditors and the
audit committee of the registrants board of directors (or persons performing the equivalent functions): |
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a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over
financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
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b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrants internal control over financial reporting. |
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Date: January 26, 2024 |
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/s/ Christopher Berarducci |
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Christopher Berarducci |
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Principal Financial Officer |
CERTIFICATIONS PURSUANT TO SECTION 906
EX-99.906CERT
CERTIFICATION
Jane Trust, Chief
Executive Officer, and Christopher Berarducci, Principal Financial Officer of Western Asset Investment Grade Defined Opportunity Trust Inc. (the Registrant), each certify to the best of their knowledge that:
1. The Registrants periodic report on Form N-CSR for the period ended
November 30, 2023 (the Form N-CSR) fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; and
2. The information contained in the Form N-CSR fairly presents, in all material respects, the
financial condition and results of operations of the Registrant.
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Chief Executive Officer |
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Principal Financial Officer |
Western Asset Investment Grade Defined |
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Western Asset Investment Grade Defined |
Opportunity Trust Inc. |
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Opportunity Trust Inc. |
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/s/ Jane Trust |
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/s/ Christopher Berarducci |
Jane Trust |
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Christopher Berarducci |
Date: January 26, 2024 |
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Date: January 26, 2024 |
This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. § 1350 and
is not being filed as part of the Form N-CSR with the Commission.
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