WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| CORPORATE BONDS & NOTES - 92.8% | ||||||||||||||||
| COMMUNICATION SERVICES - 10.4% | ||||||||||||||||
| Diversified Telecommunication Services - 3.4% |
||||||||||||||||
| AT&T Inc., Senior Notes |
4.300 | % | 2/15/30 | $ | 80,000 | $ | 86,081 | |||||||||
| AT&T Inc., Senior Notes |
4.500 | % | 5/15/35 | 360,000 | 385,131 | |||||||||||
| AT&T Inc., Senior Notes |
6.350 | % | 3/15/40 | 50,000 | 63,501 | |||||||||||
| AT&T Inc., Senior Notes |
5.350 | % | 9/1/40 | 30,000 | 34,750 | |||||||||||
| AT&T Inc., Senior Notes |
4.900 | % | 6/15/42 | 150,000 | 165,980 | |||||||||||
| AT&T Inc., Senior Notes |
4.800 | % | 6/15/44 | 210,000 | 230,007 | |||||||||||
| AT&T Inc., Senior Notes |
4.550 | % | 3/9/49 | 310,000 | 334,818 | |||||||||||
| British Telecommunications PLC, Senior Notes |
9.625 | % | 12/15/30 | 70,000 | 109,551 | |||||||||||
| Corning Inc., Senior Notes |
3.900 | % | 11/15/49 | 130,000 | 128,051 | |||||||||||
| Telefonica Emisiones SA, Senior Notes |
7.045 | % | 6/20/36 | 60,000 | 71,675 | |||||||||||
| Verizon Communications Inc., Senior Notes |
5.150 | % | 9/15/23 | 1,790,000 | 1,991,674 | |||||||||||
| Verizon Communications Inc., Senior Notes |
5.500 | % | 3/16/47 | 630,000 | 865,978 | |||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
4,467,197 | |||||||||||||||
|
|
|
|||||||||||||||
| Media - 4.9% |
||||||||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
4.500 | % | 5/1/32 | 580,000 | 568,878 | (a) | ||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
6.384 | % | 10/23/35 | 110,000 | 130,960 | |||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
6.484 | % | 10/23/45 | 260,000 | 314,912 | |||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
5.375 | % | 5/1/47 | 350,000 | 379,411 | |||||||||||
| Comcast Corp., Senior Notes |
6.450 | % | 3/15/37 | 220,000 | 315,763 | |||||||||||
| Comcast Corp., Senior Notes |
6.950 | % | 8/15/37 | 160,000 | 249,528 | |||||||||||
| Comcast Corp., Senior Notes |
6.400 | % | 5/15/38 | 950,000 | 1,377,356 | |||||||||||
| Fox Corp., Senior Notes |
5.476 | % | 1/25/39 | 510,000 | 592,787 | (a) | ||||||||||
| Interpublic Group of Cos. Inc., Senior Notes |
4.750 | % | 3/30/30 | 140,000 | 138,992 | |||||||||||
| Time Warner Cable LLC, Senior Secured Notes |
6.550 | % | 5/1/37 | 180,000 | 202,578 | |||||||||||
| Time Warner Cable LLC, Senior Secured Notes |
7.300 | % | 7/1/38 | 200,000 | 246,121 | |||||||||||
| Time Warner Cable LLC, Senior Secured Notes |
6.750 | % | 6/15/39 | 10,000 | 11,369 | |||||||||||
| Time Warner Cable LLC, Senior Secured Notes |
5.500 | % | 9/1/41 | 50,000 | 52,459 | |||||||||||
| Time Warner Entertainment Co. LP, Senior Secured Notes |
8.375 | % | 3/15/23 | 180,000 | 203,429 | |||||||||||
| Time Warner Entertainment Co. LP, Senior Secured Notes |
8.375 | % | 7/15/33 | 410,000 | 565,229 | |||||||||||
| Walt Disney Co., Senior Notes |
6.550 | % | 3/15/33 | 545,000 | 774,998 | |||||||||||
| Walt Disney Co., Senior Notes |
7.750 | % | 12/1/45 | 130,000 | 229,252 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
6,354,022 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
1 |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Wireless Telecommunication Services - 2.1% |
||||||||||||||||
| America Movil SAB de CV, Senior Notes |
6.125 | % | 3/30/40 | $ | 850,000 | $ | 1,119,022 | |||||||||
| Sprint Corp., Senior Notes |
7.250 | % | 9/15/21 | 640,000 | 663,142 | |||||||||||
| Sprint Corp., Senior Notes |
7.875 | % | 9/15/23 | 340,000 | 375,304 | |||||||||||
| Telefonica Europe BV, Senior Notes |
8.250 | % | 9/15/30 | 230,000 | 321,306 | |||||||||||
| Vodafone Group PLC, Senior Notes |
5.250 | % | 5/30/48 | 210,000 | 254,099 | |||||||||||
| Vodafone Group PLC, Senior Notes |
4.250 | % | 9/17/50 | 10,000 | 10,412 | |||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
2,743,285 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
13,564,504 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 3.2% | ||||||||||||||||
| Automobiles - 0.3% |
||||||||||||||||
| General Motors Co., Senior Notes |
6.600 | % | 4/1/36 | 170,000 | 148,320 | |||||||||||
| General Motors Co., Senior Notes |
6.750 | % | 4/1/46 | 270,000 | 216,510 | |||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
364,830 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Consumer Services - 0.3% |
||||||||||||||||
| Board of Trustees of The Leland Stanford Junior University |
3.089 | % | 5/1/29 | 340,000 | 355,643 | |||||||||||
|
|
|
|||||||||||||||
| Hotels, Restaurants & Leisure - 1.4% |
||||||||||||||||
| Marriott International Inc., Senior Notes |
3.600 | % | 4/15/24 | 200,000 | 186,272 | |||||||||||
| McDonald’s Corp., Senior Notes |
4.700 | % | 12/9/35 | 150,000 | 169,803 | |||||||||||
| McDonald’s Corp., Senior Notes |
4.875 | % | 12/9/45 | 230,000 | 269,627 | |||||||||||
| McDonald’s Corp., Senior Notes |
4.450 | % | 9/1/48 | 10,000 | 11,128 | |||||||||||
| Melco Resorts Finance Ltd., Senior Notes |
5.375 | % | 12/4/29 | 380,000 | 330,286 | (a) | ||||||||||
| Sands China Ltd., Senior Notes |
4.600 | % | 8/8/23 | 200,000 | 205,698 | |||||||||||
| Sands China Ltd., Senior Notes |
5.125 | % | 8/8/25 | 450,000 | 435,355 | |||||||||||
| Sands China Ltd., Senior Notes |
5.400 | % | 8/8/28 | 200,000 | 188,954 | |||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
1,797,123 | |||||||||||||||
|
|
|
|||||||||||||||
| Household Durables - 0.3% |
||||||||||||||||
| Lennar Corp., Senior Notes |
5.000 | % | 6/15/27 | 250,000 | 230,886 | |||||||||||
| MDC Holdings Inc., Senior Notes |
6.000 | % | 1/15/43 | 200,000 | 190,165 | |||||||||||
|
|
|
|||||||||||||||
| Total Household Durables |
421,051 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
2 |
Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Specialty Retail - 0.9% |
||||||||||||||||
| Home Depot Inc., Senior Notes |
3.900 | % | 12/6/28 | $ | 590,000 | $ | 658,706 | |||||||||
| Home Depot Inc., Senior Notes |
3.300 | % | 4/15/40 | 60,000 | 61,595 | |||||||||||
| Home Depot Inc., Senior Notes |
3.350 | % | 4/15/50 | 50,000 | 52,389 | |||||||||||
| Target Corp., Senior Notes |
3.375 | % | 4/15/29 | 340,000 | 368,297 | |||||||||||
|
|
|
|||||||||||||||
| Total Specialty Retail |
1,140,987 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
4,079,634 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 5.6% | ||||||||||||||||
| Beverages - 3.0% |
||||||||||||||||
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes |
4.900 | % | 2/1/46 | 840,000 | 919,004 | |||||||||||
| Anheuser-Busch InBev Worldwide Inc., Senior Notes |
4.150 | % | 1/23/25 | 1,390,000 | 1,494,748 | |||||||||||
| Anheuser-Busch InBev Worldwide Inc., Senior Notes |
4.600 | % | 4/15/48 | 70,000 | 74,411 | |||||||||||
| Coca-Cola Co., Senior Notes |
4.125 | % | 3/25/40 | 180,000 | 219,844 | |||||||||||
| Coca-Cola Co., Senior Notes |
4.200 | % | 3/25/50 | 110,000 | 144,057 | |||||||||||
| Pernod Ricard SA, Senior Notes |
5.750 | % | 4/7/21 | 350,000 | 360,237 | (a) | ||||||||||
| Pernod Ricard SA, Senior Notes |
5.500 | % | 1/15/42 | 670,000 | 726,112 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Beverages |
3,938,413 | |||||||||||||||
|
|
|
|||||||||||||||
| Food & Staples Retailing - 0.0% |
||||||||||||||||
| Kroger Co., Senior Notes |
4.650 | % | 1/15/48 | 30,000 | 34,094 | |||||||||||
|
|
|
|||||||||||||||
| Food Products - 0.2% |
||||||||||||||||
| Kraft Heinz Foods Co., Senior Notes |
5.000 | % | 6/4/42 | 110,000 | 104,623 | |||||||||||
| Mars Inc., Senior Notes |
3.200 | % | 4/1/30 | 140,000 | 146,438 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Food Products |
251,061 | |||||||||||||||
|
|
|
|||||||||||||||
| Tobacco - 2.4% |
||||||||||||||||
| Altria Group Inc., Senior Notes |
3.800 | % | 2/14/24 | 190,000 | 192,953 | |||||||||||
| Altria Group Inc., Senior Notes |
4.400 | % | 2/14/26 | 410,000 | 432,326 | |||||||||||
| Altria Group Inc., Senior Notes |
4.800 | % | 2/14/29 | 870,000 | 907,375 | |||||||||||
| Philip Morris International Inc., Senior Notes |
2.875 | % | 5/1/24 | 680,000 | 693,992 | |||||||||||
| Philip Morris International Inc., Senior Notes |
4.500 | % | 3/20/42 | 100,000 | 111,970 | |||||||||||
| Reynolds American Inc., Senior Notes |
8.125 | % | 5/1/40 | 270,000 | 306,326 | |||||||||||
| Reynolds American Inc., Senior Notes |
7.000 | % | 8/4/41 | 320,000 | 347,432 | |||||||||||
| Reynolds American Inc., Senior Notes |
5.850 | % | 8/15/45 | 90,000 | 97,130 | |||||||||||
|
|
|
|||||||||||||||
| Total Tobacco |
3,089,504 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
7,313,072 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 13.3% | ||||||||||||||||
| Energy Equipment & Services - 0.2% |
||||||||||||||||
| Halliburton Co., Senior Notes |
2.920 | % | 3/1/30 | 130,000 | 101,068 | |||||||||||
| Halliburton Co., Senior Notes |
5.000 | % | 11/15/45 | 200,000 | 155,070 | |||||||||||
|
|
|
|||||||||||||||
| Total Energy Equipment & Services |
256,138 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
3 |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - 13.1% |
||||||||||||||||
| Apache Corp., Senior Notes |
6.000 | % | 1/15/37 | $ | 106,000 | $ | 59,416 | |||||||||
| Apache Corp., Senior Notes |
5.100 | % | 9/1/40 | 160,000 | 70,914 | |||||||||||
| Apache Corp., Senior Notes |
5.250 | % | 2/1/42 | 90,000 | 41,002 | |||||||||||
| BP Capital Markets America Inc., Senior Notes |
3.410 | % | 2/11/26 | 440,000 | 440,567 | |||||||||||
| BP Capital Markets America Inc., Senior Notes |
3.000 | % | 2/24/50 | 470,000 | 440,384 | |||||||||||
| Cameron LNG LLC, Senior Secured Notes |
3.302 | % | 1/15/35 | 20,000 | 17,378 | (a) | ||||||||||
| Cameron LNG LLC, Senior Secured Notes |
3.701 | % | 1/15/39 | 40,000 | 35,583 | (a) | ||||||||||
| Cimarex Energy Co., Senior Notes |
4.375 | % | 6/1/24 | 600,000 | 473,685 | |||||||||||
| Cimarex Energy Co., Senior Notes |
3.900 | % | 5/15/27 | 170,000 | 114,098 | |||||||||||
| Concho Resources Inc., Senior Notes |
4.300 | % | 8/15/28 | 180,000 | 155,757 | |||||||||||
| ConocoPhillips, Senior Notes |
6.500 | % | 2/1/39 | 810,000 | 1,014,907 | |||||||||||
| Continental Resources Inc., Senior Notes |
4.500 | % | 4/15/23 | 690,000 | 383,912 | |||||||||||
| Continental Resources Inc., Senior Notes |
4.375 | % | 1/15/28 | 140,000 | 64,983 | |||||||||||
| Devon Energy Corp., Senior Notes |
5.850 | % | 12/15/25 | 350,000 | 277,114 | |||||||||||
| Devon Energy Corp., Senior Notes |
5.600 | % | 7/15/41 | 320,000 | 197,477 | |||||||||||
| Ecopetrol SA, Senior Notes |
5.375 | % | 6/26/26 | 740,000 | 725,601 | |||||||||||
| Energy Transfer Operating LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%) |
6.750 | % | 5/15/25 | 210,000 | 128,625 | (b)(c) | ||||||||||
| Energy Transfer Operating LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%) |
7.125 | % | 5/15/30 | 560,000 | 337,725 | (b)(c) | ||||||||||
| Energy Transfer Operating LP, Senior Notes |
4.200 | % | 9/15/23 | 860,000 | 752,631 | |||||||||||
| Energy Transfer Operating LP, Senior Notes |
5.250 | % | 4/15/29 | 30,000 | 24,929 | |||||||||||
| Energy Transfer Operating LP, Senior Notes |
6.625 | % | 10/15/36 | 20,000 | 18,598 | |||||||||||
| Energy Transfer Operating LP, Senior Notes |
5.800 | % | 6/15/38 | 40,000 | 34,783 | |||||||||||
| Energy Transfer Operating LP, Senior Notes |
5.000 | % | 5/15/50 | 250,000 | 196,608 | |||||||||||
| Enterprise Products Operating LLC, Senior Notes |
6.125 | % | 10/15/39 | 320,000 | 328,931 | |||||||||||
| Enterprise Products Operating LLC, Senior Notes |
3.950 | % | 1/31/60 | 100,000 | 85,194 | |||||||||||
| Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. USD LIBOR + 2.570%) |
5.375 | % | 2/15/78 | 360,000 | 252,628 | (c) | ||||||||||
| Exxon Mobil Corp., Senior Notes |
3.482 | % | 3/19/30 | 200,000 | 221,163 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
2.995 | % | 8/16/39 | 120,000 | 120,630 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
4.227 | % | 3/19/40 | 140,000 | 164,373 | |||||||||||
| Kinder Morgan Inc., Senior Notes |
7.800 | % | 8/1/31 | 2,000,000 | 2,277,762 | |||||||||||
| MPLX LP, Senior Notes |
4.800 | % | 2/15/29 | 60,000 | 52,948 | |||||||||||
| MPLX LP, Senior Notes |
4.500 | % | 4/15/38 | 380,000 | 297,902 | |||||||||||
| Noble Energy Inc., Senior Notes |
6.000 | % | 3/1/41 | 390,000 | 261,876 | |||||||||||
| Noble Energy Inc., Senior Notes |
5.250 | % | 11/15/43 | 150,000 | 88,393 | |||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
4 |
Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
| Occidental Petroleum Corp., Senior Notes |
6.950 | % | 7/1/24 | $ | 1,080,000 | $ | 608,124 | |||||||||
| Occidental Petroleum Corp., Senior Notes |
5.550 | % | 3/15/26 | 460,000 | 243,721 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
3.200 | % | 8/15/26 | 160,000 | 76,839 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
3.500 | % | 8/15/29 | 160,000 | 75,760 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
7.500 | % | 5/1/31 | 465,000 | 240,564 | |||||||||||
| Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
5.625 | % | 10/15/27 | 120,000 | 85,266 | (a) | ||||||||||
| Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
4.125 | % | 2/15/28 | 200,000 | 137,500 | (a) | ||||||||||
| Petrobras Global Finance BV, Senior Notes |
7.375 | % | 1/17/27 | 190,000 | 195,763 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
6.900 | % | 3/19/49 | 280,000 | 273,441 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
6.850 | % | 6/5/2115 | 300,000 | 286,591 | |||||||||||
| Petroleos Mexicanos, Senior Notes |
6.875 | % | 8/4/26 | 450,000 | 346,969 | |||||||||||
| Petroleos Mexicanos, Senior Notes |
6.625 | % | 6/15/35 | 1,005,000 | 699,184 | |||||||||||
| Phillips 66, Senior Notes |
5.875 | % | 5/1/42 | 160,000 | 159,290 | |||||||||||
| Range Resources Corp., Senior Notes |
9.250 | % | 2/1/26 | 460,000 | 278,587 | (a) | ||||||||||
| Shell International Finance BV, Senior Notes |
6.375 | % | 12/15/38 | 250,000 | 346,180 | |||||||||||
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
7.850 | % | 2/1/26 | 470,000 | 536,094 | |||||||||||
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
7.250 | % | 12/1/26 | 230,000 | 284,307 | |||||||||||
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
5.400 | % | 8/15/41 | 310,000 | 321,710 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
4.650 | % | 7/1/26 | 660,000 | 336,864 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
4.750 | % | 8/15/28 | 680,000 | 319,821 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
4.050 | % | 2/1/30 | 90,000 | 39,376 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
5.450 | % | 4/1/44 | 80,000 | 31,122 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
5.250 | % | 2/1/50 | 270,000 | 112,569 | |||||||||||
| Williams Cos. Inc., Senior Notes |
7.500 | % | 1/15/31 | 47,000 | 54,716 | |||||||||||
| Williams Cos. Inc., Senior Notes |
7.750 | % | 6/15/31 | 37,000 | 39,420 | |||||||||||
| Williams Cos. Inc., Senior Notes |
8.750 | % | 3/15/32 | 610,000 | 663,817 | |||||||||||
| WPX Energy Inc., Senior Notes |
4.500 | % | 1/15/30 | 110,000 | 60,143 | |||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
17,012,215 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
17,268,353 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 31.5% | ||||||||||||||||
| Banks - 21.4% |
||||||||||||||||
| 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 | 152,752 | (a)(b)(c) | ||||||||||
| Banco Nacional de Costa Rica, Senior Notes |
5.875 | % | 4/25/21 | 340,000 | 333,186 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
5 |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Banks - (continued) |
||||||||||||||||
| Banco Santander SA, Senior Notes |
3.848 | % | 4/12/23 | $ | 400,000 | $ | 402,555 | |||||||||
| Bank of America Corp., Senior Notes |
5.875 | % | 2/7/42 | 320,000 | 452,011 | |||||||||||
| Bank of America Corp., Senior Notes (3.458% to 3/15/24 then 3 mo. USD LIBOR + 0.970%) |
3.458 | % | 3/15/25 | 70,000 | 72,291 | (c) | ||||||||||
| Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. USD LIBOR + 3.150%) |
4.083 | % | 3/20/51 | 160,000 | 183,648 | (c) | ||||||||||
| Bank of America Corp., Subordinated Notes |
6.110 | % | 1/29/37 | 320,000 | 412,271 | |||||||||||
| Bank of America Corp., Subordinated Notes |
7.750 | % | 5/14/38 | 900,000 | 1,333,286 | |||||||||||
| Barclays Bank PLC, Subordinated Notes |
10.179 | % | 6/12/21 | 240,000 | 256,466 | (a) | ||||||||||
| Barclays Bank PLC, Subordinated Notes |
7.625 | % | 11/21/22 | 450,000 | 460,571 | |||||||||||
| Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%) |
5.088 | % | 6/20/30 | 640,000 | 670,032 | (c) | ||||||||||
| BNP Paribas SA, Junior Subordinated Notes (7.625% to 3/30/21 then USD 5 year ICE Swap Rate + 6.314%) |
7.625 | % | 3/30/21 | 330,000 | 322,369 | (a)(b)(c) | ||||||||||
| BNP Paribas SA, Senior Notes (3.052% to 1/13/30 then SOFR + 1.507%) |
3.052 | % | 1/13/31 | 360,000 | 337,893 | (a)(c) | ||||||||||
| BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. USD LIBOR + 2.567%) |
5.198 | % | 1/10/30 | 280,000 | 309,612 | (a)(c) | ||||||||||
| BPCE SA, Subordinated Notes |
5.150 | % | 7/21/24 | 410,000 | 432,979 | (a) | ||||||||||
| Citigroup Inc., Senior Notes |
8.125 | % | 7/15/39 | 251,000 | 394,858 | |||||||||||
| Citigroup Inc., Senior Notes |
5.875 | % | 1/30/42 | 240,000 | 305,570 | |||||||||||
| Citigroup Inc., Subordinated Notes |
5.500 | % | 9/13/25 | 750,000 | 822,640 | |||||||||||
| Citigroup Inc., Subordinated Notes |
6.125 | % | 8/25/36 | 404,000 | 480,293 | |||||||||||
| Citigroup Inc., Subordinated Notes |
6.675 | % | 9/13/43 | 370,000 | 486,544 | |||||||||||
| Commonwealth Bank of Australia, Subordinated Notes |
3.743 | % | 9/12/39 | 220,000 | 186,387 | (a) | ||||||||||
| Cooperatieve Rabobank UA, Senior Notes |
5.750 | % | 12/1/43 | 450,000 | 558,742 | |||||||||||
| Cooperatieve Rabobank UA, Senior Notes |
5.250 | % | 8/4/45 | 340,000 | 414,173 | |||||||||||
| Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%) |
8.125 | % | 12/23/25 | 1,040,000 | 1,077,724 | (a)(b)(c) | ||||||||||
| Danske Bank A/S, Senior Notes |
5.000 | % | 1/12/22 | 1,780,000 | 1,829,166 | (a) | ||||||||||
| Danske Bank A/S, Senior Notes |
3.875 | % | 9/12/23 | 200,000 | 197,776 | (a) | ||||||||||
| Danske Bank A/S, Senior Notes |
5.375 | % | 1/12/24 | 230,000 | 237,586 | (a) | ||||||||||
| Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%) |
3.244 | % | 12/20/25 | 200,000 | 186,239 | (a)(c) | ||||||||||
| HSBC Holdings PLC, Junior Subordinated Notes (6.500% to 3/23/28 then USD 5 year ICE Swap Rate + 3.606%) |
6.500 | % | 3/23/28 | 300,000 | 280,745 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
6 |
Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Banks - (continued) |
||||||||||||||||
| HSBC Holdings PLC, Senior Notes |
4.950 | % | 3/31/30 | $ | 200,000 | $ | 218,660 | |||||||||
| HSBC Holdings PLC, Senior Notes (3.973% to 5/22/29 then 3 mo. USD LIBOR + 1.610%) |
3.973 | % | 5/22/30 | 530,000 | 543,934 | (c) | ||||||||||
| HSBC Holdings PLC, Subordinated Notes |
4.250 | % | 8/18/25 | 210,000 | 217,259 | |||||||||||
| HSBC Holdings PLC, Subordinated Notes |
7.625 | % | 5/17/32 | 70,000 | 95,610 | |||||||||||
| ING Bank NV, Subordinated Notes |
5.800 | % | 9/25/23 | 600,000 | 651,185 | (a) | ||||||||||
| Intesa Sanpaolo SpA, Senior Notes |
3.125 | % | 7/14/22 | 300,000 | 286,601 | (a) | ||||||||||
| Intesa Sanpaolo SpA, Senior Notes |
4.700 | % | 9/23/49 | 200,000 | 172,531 | (a) | ||||||||||
| JPMorgan Chase & Co., Junior Subordinated Notes (6.000% to 8/1/23 then 3 mo. USD LIBOR + 3.300%) |
6.000 | % | 8/1/23 | 260,000 | 257,581 | (b)(c) | ||||||||||
| JPMorgan Chase & Co., Senior Notes (3.897% to 1/23/48 then 3 mo. USD LIBOR + 1.220%) |
3.897 | % | 1/23/49 | 50,000 | 57,540 | (c) | ||||||||||
| JPMorgan Chase & Co., Subordinated Notes |
5.625 | % | 8/16/43 | 440,000 | 571,828 | |||||||||||
| JPMorgan Chase & Co., Subordinated Notes |
4.950 | % | 6/1/45 | 490,000 | 616,092 | |||||||||||
| Lloyds Banking Group PLC, Junior Subordinated Notes (7.500% to 6/27/24 then USD 5 year ICE Swap Rate + 4.760%) |
7.500 | % | 6/27/24 | 360,000 | 311,049 | (b)(c) | ||||||||||
| Lloyds Banking Group PLC, Junior Subordinated Notes (7.500% to 9/27/25 then USD 5 year ICE Swap Rate + 4.496%) |
7.500 | % | 9/27/25 | 370,000 | 332,813 | (b)(c) | ||||||||||
| NatWest Markets NV, Subordinated Notes |
7.750 | % | 5/15/23 | 480,000 | 521,222 | |||||||||||
| Royal Bank of Scotland Group PLC, Junior Subordinated Notes (7.648% to 9/30/31 then 3 mo. USD LIBOR + 2.500%) |
7.648 | % | 9/30/31 | 1,360,000 | 1,741,242 | (b)(c) | ||||||||||
| Royal Bank of Scotland Group PLC, Junior Subordinated Notes (8.625% to 8/15/21 then USD 5 year ICE Swap Rate + 7.598%) |
8.625 | % | 8/15/21 | 590,000 | 578,392 | (b)(c) | ||||||||||
| Royal Bank of Scotland Group PLC, Subordinated Notes |
6.100 | % | 6/10/23 | 1,010,000 | 1,046,346 | |||||||||||
| Royal Bank of Scotland Group PLC, Subordinated Notes |
6.000 | % | 12/19/23 | 350,000 | 367,565 | |||||||||||
| Royal Bank of Scotland Group PLC, Subordinated Notes (3.754% to 11/1/24 then 5 year Treasury Constant Maturity Rate + 2.100%) |
3.754 | % | 11/1/29 | 230,000 | 212,951 | (c) | ||||||||||
| Santander UK Group Holdings PLC, Subordinated Notes |
4.750 | % | 9/15/25 | 210,000 | 209,350 | (a) | ||||||||||
| Standard Chartered PLC, Subordinated Notes |
5.700 | % | 3/26/44 | 410,000 | 427,561 | (a) | ||||||||||
| UniCredit SpA, Senior Notes |
6.572 | % | 1/14/22 | 590,000 | 601,524 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
7 |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Banks - (continued) |
||||||||||||||||
| UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%) |
7.296 | % | 4/2/34 | $ | 1,040,000 | $ | 988,502 | (a)(c) | ||||||||
| Wachovia Capital Trust III Ltd., Junior Subordinated Bonds (the greater of 3 mo. USD LIBOR + 0.930% or 5.570%) |
5.570 | % | 5/1/20 | 1,190,000 | 1,156,109 | (b)(c) | ||||||||||
| Wells Fargo & Co., Senior Notes (3.196% to 6/17/26 then 3 mo. USD LIBOR + 1.170%) |
3.196 | % | 6/17/27 | 410,000 | 423,306 | (c) | ||||||||||
| Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%) |
5.013 | % | 4/4/51 | 260,000 | 334,833 | (c) | ||||||||||
| Wells Fargo & Co., Subordinated Notes |
5.375 | % | 11/2/43 | 430,000 | 505,860 | |||||||||||
| Wells Fargo & Co., Subordinated Notes |
4.750 | % | 12/7/46 | 580,000 | 643,558 | |||||||||||
| Westpac Banking Corp., Subordinated Notes |
4.421 | % | 7/24/39 | 110,000 | 107,791 | |||||||||||
|
|
|
|||||||||||||||
| Total Banks |
27,789,160 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 4.1% |
||||||||||||||||
| CME Group Inc., Senior Notes |
5.300 | % | 9/15/43 | 440,000 | 592,791 | |||||||||||
| Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%) |
4.194 | % | 4/1/31 | 250,000 | 256,524 | (a)(c)(d) | ||||||||||
| Credit Suisse USA Inc., Senior Notes |
7.125 | % | 7/15/32 | 40,000 | 56,903 | |||||||||||
| Goldman Sachs Group Inc., Senior Notes |
6.250 | % | 2/1/41 | 570,000 | 770,169 | |||||||||||
| Goldman Sachs Group Inc., Subordinated Notes |
6.750 | % | 10/1/37 | 640,000 | 849,597 | |||||||||||
| Goldman Sachs Group Inc., Subordinated Notes |
5.150 | % | 5/22/45 | 500,000 | 579,932 | |||||||||||
| KKR Group Finance Co. III LLC, Senior Notes |
5.125 | % | 6/1/44 | 820,000 | 841,609 | (a) | ||||||||||
| KKR Group Finance Co. VI LLC, Senior Notes |
3.750 | % | 7/1/29 | 70,000 | 69,942 | (a) | ||||||||||
| Morgan Stanley, Senior Notes |
5.500 | % | 7/24/20 | 100,000 | 100,950 | |||||||||||
| Morgan Stanley, Senior Notes |
6.375 | % | 7/24/42 | 90,000 | 125,928 | |||||||||||
| Raymond James Financial Inc., Senior Notes |
4.650 | % | 4/1/30 | 80,000 | 83,383 | |||||||||||
| Raymond James Financial Inc., Senior Notes |
4.950 | % | 7/15/46 | 90,000 | 104,016 | |||||||||||
| UBS AG Stamford, CT, Subordinated Notes |
7.625 | % | 8/17/22 | 340,000 | 350,367 | |||||||||||
| UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%) |
7.000 | % | 1/31/24 | 580,000 | 545,603 | (a)(b)(c) | ||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
5,327,714 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Finance - 0.8% |
||||||||||||||||
| Navient Corp., Senior Notes |
7.250 | % | 1/25/22 | 830,000 | 804,818 | |||||||||||
| Navient Corp., Senior Notes |
6.125 | % | 3/25/24 | 290,000 | 270,416 | |||||||||||
|
|
|
|||||||||||||||
| Total Consumer Finance |
1,075,234 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
8 |
Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Diversified Financial Services - 1.7% |
||||||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
4.875 | % | 1/16/24 | $ | 330,000 | $ | 284,243 | |||||||||
| Carlyle Finance LLC, Senior Notes |
5.650 | % | 9/15/48 | 110,000 | 122,153 | (a) | ||||||||||
| Carlyle Finance Subsidiary LLC, Senior Notes |
3.500 | % | 9/19/29 | 150,000 | 134,599 | (a) | ||||||||||
| Carlyle Holdings II Finance LLC, Senior Notes |
5.625 | % | 3/30/43 | 220,000 | 245,656 | (a) | ||||||||||
| Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) |
6.500 | % | 9/15/24 | 470,000 | 306,205 | (a)(e) | ||||||||||
| 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%) |
3.330 | % | 12/21/65 | 470,000 | 215,845 | (a)(c) | ||||||||||
| ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate or 30 year Treasury Constant Maturity Rate) + 1.800%) |
3.570 | % | 12/21/65 | 270,000 | 110,782 | (a)(c) | ||||||||||
| International Lease Finance Corp., Senior Notes |
8.250 | % | 12/15/20 | 190,000 | 188,654 | |||||||||||
| Park Aerospace Holdings Ltd., Senior Notes |
5.250 | % | 8/15/22 | 392,000 | 354,789 | (a) | ||||||||||
| Park Aerospace Holdings Ltd., Senior Notes |
5.500 | % | 2/15/24 | 220,000 | 189,785 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Financial Services |
2,152,711 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 3.3% |
||||||||||||||||
| Allstate Corp., Junior Subordinated Notes (6.500% to 5/15/37 then 3 mo. USD LIBOR + 2.120%) |
6.500 | % | 5/15/57 | 480,000 | 519,238 | (c) | ||||||||||
| American International Group Inc., Junior Subordinated Notes |
6.250 | % | 3/15/37 | 80,000 | 64,193 | |||||||||||
| American International Group Inc., Senior Notes |
6.400 | % | 12/15/20 | 90,000 | 92,576 | |||||||||||
| American International Group Inc., Senior Notes |
4.750 | % | 4/1/48 | 70,000 | 74,164 | |||||||||||
| AXA SA, Subordinated Notes |
8.600 | % | 12/15/30 | 200,000 | 266,421 | |||||||||||
| Fidelity & Guaranty Life Holdings Inc., Senior Notes |
5.500 | % | 5/1/25 | 230,000 | 228,912 | (a) | ||||||||||
| Liberty Mutual Insurance Co., Subordinated Notes |
7.875 | % | 10/15/26 | 490,000 | 651,112 | (a) | ||||||||||
| Massachusetts Mutual Life Insurance Co., Subordinated Notes |
4.900 | % | 4/1/77 | 260,000 | 276,689 | (a) | ||||||||||
| MetLife Inc., Junior Subordinated Notes (6.400% to 12/15/36 then 3 mo. USD LIBOR + 2.205%) |
6.400 | % | 12/15/36 | 1,150,000 | 1,203,872 | |||||||||||
| New York Life Insurance Co., Subordinated Notes |
4.450 | % | 5/15/69 | 90,000 | 94,428 | (a) | ||||||||||
| Nippon Life Insurance Co., Subordinated Notes (3.400% to 1/23/30 then 5 year Treasury Constant Maturity Rate + 2.612%) |
3.400 | % | 1/23/50 | 200,000 | 192,712 | (a)(c) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
9 |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Insurance - (continued) |
||||||||||||||||
| Northwestern Mutual Life Insurance Co., Subordinated Notes |
3.625 | % | 9/30/59 | $ | 110,000 | $ | 96,969 | (a) | ||||||||
| Teachers Insurance & Annuity Association of America, Subordinated Notes |
6.850 | % | 12/16/39 | 400,000 | 556,948 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Insurance |
4,318,234 | |||||||||||||||
|
|
|
|||||||||||||||
| Investment Companies - 0.2% |
||||||||||||||||
| MDGH - GMTN BV, Senior Notes |
2.500 | % | 11/7/24 | 320,000 | 305,841 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
40,968,894 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 9.3% | ||||||||||||||||
| Biotechnology - 1.3% |
||||||||||||||||
| AbbVie Inc., Senior Notes |
3.200 | % | 11/21/29 | 710,000 | 717,240 | (a) | ||||||||||
| AbbVie Inc., Senior Notes |
4.050 | % | 11/21/39 | 740,000 | 764,733 | (a) | ||||||||||
| Gilead Sciences Inc., Senior Notes |
5.650 | % | 12/1/41 | 60,000 | 81,954 | |||||||||||
| Gilead Sciences Inc., Senior Notes |
4.750 | % | 3/1/46 | 50,000 | 64,108 | |||||||||||
|
|
|
|||||||||||||||
| Total Biotechnology |
1,628,035 | |||||||||||||||
|
|
|
|||||||||||||||
| Health Care Equipment & Supplies - 0.4% |
||||||||||||||||
| Abbott Laboratories, Senior Notes |
4.900 | % | 11/30/46 | 90,000 | 123,330 | |||||||||||
| Becton Dickinson and Co., Senior Notes |
4.669 | % | 6/6/47 | 410,000 | 443,534 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Equipment & Supplies |
566,864 | |||||||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 6.2% |
||||||||||||||||
| Centene Corp., Senior Notes |
4.750 | % | 1/15/25 | 240,000 | 242,099 | (a) | ||||||||||
| Centene Corp., Senior Notes |
4.250 | % | 12/15/27 | 100,000 | 98,555 | (a) | ||||||||||
| Centene Corp., Senior Notes |
4.625 | % | 12/15/29 | 360,000 | 363,798 | (a) | ||||||||||
| Centene Corp., Senior Notes |
3.375 | % | 2/15/30 | 500,000 | 466,875 | (a) | ||||||||||
| Cigna Corp., Senior Notes |
4.125 | % | 11/15/25 | 340,000 | 364,312 | |||||||||||
| Cigna Corp., Senior Notes |
4.800 | % | 8/15/38 | 340,000 | 383,854 | |||||||||||
| Cigna Corp., Senior Notes |
3.200 | % | 3/15/40 | 140,000 | 130,950 | |||||||||||
| CVS Health Corp., Senior Notes |
2.625 | % | 8/15/24 | 140,000 | 142,271 | |||||||||||
| CVS Health Corp., Senior Notes |
4.100 | % | 3/25/25 | 940,000 | 996,102 | |||||||||||
| CVS Health Corp., Senior Notes |
4.300 | % | 3/25/28 | 540,000 | 578,751 | |||||||||||
| CVS Health Corp., Senior Notes |
4.780 | % | 3/25/38 | 570,000 | 632,566 | |||||||||||
| CVS Health Corp., Senior Notes |
5.125 | % | 7/20/45 | 340,000 | 392,943 | |||||||||||
| CVS Health Corp., Senior Notes |
5.050 | % | 3/25/48 | 560,000 | 642,323 | |||||||||||
| Dartmouth-Hitchcock Health, Secured Bonds |
4.178 | % | 8/1/48 | 100,000 | 110,498 | |||||||||||
| DH Europe Finance II Sarl, Senior Notes |
3.250 | % | 11/15/39 | 40,000 | 39,741 | |||||||||||
| DH Europe Finance II Sarl, Senior Notes |
3.400 | % | 11/15/49 | 10,000 | 9,864 | |||||||||||
| HCA Inc., Senior Secured Notes |
4.125 | % | 6/15/29 | 210,000 | 211,066 | |||||||||||
| HCA Inc., Senior Secured Notes |
5.125 | % | 6/15/39 | 110,000 | 114,120 | |||||||||||
| HCA Inc., Senior Secured Notes |
5.500 | % | 6/15/47 | 220,000 | 240,626 | |||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
10 |
Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Health Care Providers & Services - (continued) |
||||||||||||||||
| HCA Inc., Senior Secured Notes |
5.250 | % | 6/15/49 | $ | 350,000 | $ | 375,714 | |||||||||
| Humana Inc., Senior Notes |
8.150 | % | 6/15/38 | 80,000 | 117,039 | |||||||||||
| Humana Inc., Senior Notes |
4.800 | % | 3/15/47 | 230,000 | 257,294 | |||||||||||
| Magellan Health Inc., Senior Notes |
4.900 | % | 9/22/24 | 690,000 | 640,834 | |||||||||||
| Orlando Health Obligated Group, Senior Notes |
4.089 | % | 10/1/48 | 170,000 | 181,293 | |||||||||||
| UnitedHealth Group Inc., Senior Notes |
3.700 | % | 12/15/25 | 160,000 | 172,726 | |||||||||||
| UnitedHealth Group Inc., Senior Notes |
3.500 | % | 8/15/39 | 140,000 | 151,721 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
8,057,935 | |||||||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals - 1.4% |
||||||||||||||||
| Allergan Funding SCS, Senior Notes |
4.550 | % | 3/15/35 | 130,000 | 143,522 | |||||||||||
| Bausch Health Cos. Inc., Senior Notes |
5.000 | % | 1/30/28 | 80,000 | 76,336 | (a) | ||||||||||
| Bausch Health Cos. Inc., Senior Notes |
5.250 | % | 1/30/30 | 80,000 | 76,245 | (a) | ||||||||||
| Bristol-Myers Squibb Co., Senior Notes |
3.400 | % | 7/26/29 | 910,000 | 1,006,715 | (a) | ||||||||||
| Bristol-Myers Squibb Co., Senior Notes |
5.000 | % | 8/15/45 | 250,000 | 335,633 | (a) | ||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
7.125 | % | 1/31/25 | 200,000 | 199,251 | (a) | ||||||||||
| Zoetis Inc., Senior Notes |
4.700 | % | 2/1/43 | 30,000 | 33,876 | |||||||||||
|
|
|
|||||||||||||||
| Total Pharmaceuticals |
1,871,578 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
12,124,412 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 7.5% | ||||||||||||||||
| Aerospace & Defense - 2.6% |
||||||||||||||||
| Avolon Holdings Funding Ltd., Senior Notes |
5.125 | % | 10/1/23 | 210,000 | 181,791 | (a) | ||||||||||
| Avolon Holdings Funding Ltd., Senior Notes |
3.950 | % | 7/1/24 | 140,000 | 113,180 | (a) | ||||||||||
| Boeing Co., Senior Notes |
2.800 | % | 3/1/24 | 320,000 | 300,975 | |||||||||||
| Boeing Co., Senior Notes |
3.100 | % | 5/1/26 | 1,400,000 | 1,290,724 | |||||||||||
| Huntington Ingalls Industries Inc., Senior Notes |
3.483 | % | 12/1/27 | 200,000 | 197,741 | |||||||||||
| Lockheed Martin Corp., Senior Notes |
4.500 | % | 5/15/36 | 40,000 | 42,419 | |||||||||||
| Northrop Grumman Systems Corp., Senior Notes |
7.875 | % | 3/1/26 | 870,000 | 1,108,119 | |||||||||||
| United Technologies Corp., Senior Notes |
4.625 | % | 11/16/48 | 110,000 | 130,539 | |||||||||||
|
|
|
|||||||||||||||
| Total Aerospace & Defense |
3,365,488 | |||||||||||||||
|
|
|
|||||||||||||||
| Airlines - 0.7% |
||||||||||||||||
| Continental Airlines Pass-Through Trust |
6.250 | % | 4/11/20 | 58,005 | 57,982 | |||||||||||
| Delta Air Lines Inc., Senior Notes |
2.900 | % | 10/28/24 | 540,000 | 433,474 | |||||||||||
| Delta Air Lines Inc., Senior Notes |
3.750 | % | 10/28/29 | 150,000 | 121,451 | |||||||||||
| Delta Air Lines Pass-Through Certificates Trust |
8.021 | % | 8/10/22 | 35,560 | 36,586 | |||||||||||
| US Airways Pass-Through Trust, Senior Secured Notes |
5.900 | % | 10/1/24 | 210,608 | 212,624 | |||||||||||
|
|
|
|||||||||||||||
| Total Airlines |
862,117 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
11 |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Building Products - 0.4% |
||||||||||||||||
| Carrier Global Corp., Senior Notes |
2.493 | % | 2/15/27 | $ | 160,000 | $ | 153,338 | (a) | ||||||||
| Carrier Global Corp., Senior Notes |
3.377 | % | 4/5/40 | 180,000 | 159,482 | (a) | ||||||||||
| Carrier Global Corp., Senior Notes |
3.577 | % | 4/5/50 | 200,000 | 173,553 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Building Products |
486,373 | |||||||||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 1.0% |
||||||||||||||||
| California Institute of Technology, Senior Notes |
3.650 | % | 9/1/2119 | 110,000 | 114,439 | |||||||||||
| Republic Services Inc., Senior Notes |
5.250 | % | 11/15/21 | 330,000 | 347,335 | |||||||||||
| Waste Connections Inc., Senior Notes |
4.250 | % | 12/1/28 | 480,000 | 512,713 | |||||||||||
| Waste Management Inc., Senior Notes |
4.000 | % | 7/15/39 | 350,000 | 382,183 | |||||||||||
|
|
|
|||||||||||||||
| Total Commercial Services & Supplies |
1,356,670 | |||||||||||||||
|
|
|
|||||||||||||||
| Construction & Engineering - 0.7% |
||||||||||||||||
| Vinci SA, Senior Notes |
3.750 | % | 4/10/29 | 890,000 | 962,129 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Industrial Conglomerates - 0.9% |
||||||||||||||||
| General Electric Co., Senior Notes |
6.750 | % | 3/15/32 | 200,000 | 237,908 | |||||||||||
| General Electric Co., Senior Notes |
6.875 | % | 1/10/39 | 716,000 | 888,279 | |||||||||||
|
|
|
|||||||||||||||
| Total Industrial Conglomerates |
1,126,187 | |||||||||||||||
|
|
|
|||||||||||||||
| Machinery - 0.6% |
||||||||||||||||
| Caterpillar Inc., Senior Notes |
4.750 | % | 5/15/64 | 220,000 | 248,766 | |||||||||||
| Otis Worldwide Corp., Senior Notes |
2.565 | % | 2/15/30 | 520,000 | 508,673 | (a) | ||||||||||
| Otis Worldwide Corp., Senior Notes |
3.112 | % | 2/15/40 | 80,000 | 75,867 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Machinery |
833,306 | |||||||||||||||
|
|
|
|||||||||||||||
| Road & Rail - 0.3% |
||||||||||||||||
| Union Pacific Corp., Senior Notes |
4.375 | % | 11/15/65 | 320,000 | 343,422 | |||||||||||
|
|
|
|||||||||||||||
| Transportation Infrastructure - 0.3% |
||||||||||||||||
| SMBC Aviation Capital Finance DAC, Senior Notes |
4.125 | % | 7/15/23 | 350,000 | 378,261 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
9,713,953 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 2.8% | ||||||||||||||||
| Communications Equipment - 0.4% |
||||||||||||||||
| Harris Corp., Senior Notes |
4.854 | % | 4/27/35 | 260,000 | 282,230 | |||||||||||
| Harris Corp., Senior Notes |
5.054 | % | 4/27/45 | 210,000 | 232,520 | |||||||||||
|
|
|
|||||||||||||||
| Total Communications Equipment |
514,750 | |||||||||||||||
|
|
|
|||||||||||||||
| IT Services - 0.1% |
||||||||||||||||
| International Business Machines Corp., Senior Notes |
3.500 | % | 5/15/29 | 110,000 | 119,615 | |||||||||||
|
|
|
|||||||||||||||
| Semiconductors & Semiconductor Equipment - 0.8% |
||||||||||||||||
| Intel Corp., Senior Notes |
4.900 | % | 7/29/45 | 130,000 | 170,664 | |||||||||||
| Intel Corp., Senior Notes |
4.750 | % | 3/25/50 | 60,000 | 81,289 | |||||||||||
| Intel Corp., Senior Notes |
4.950 | % | 3/25/60 | 60,000 | 83,678 | |||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
12 |
Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Semiconductors & Semiconductor Equipment - (continued) |
||||||||||||||||
| NVIDIA Corp., Senior Notes |
3.500 | % | 4/1/40 | $ | 60,000 | $ | 63,794 | |||||||||
| NVIDIA Corp., Senior Notes |
3.500 | % | 4/1/50 | 190,000 | 207,177 | |||||||||||
| NVIDIA Corp., Senior Notes |
3.700 | % | 4/1/60 | 80,000 | 89,715 | |||||||||||
| Texas Instruments Inc., Senior Notes |
3.875 | % | 3/15/39 | 270,000 | 311,643 | |||||||||||
|
|
|
|||||||||||||||
| Total Semiconductors & Semiconductor Equipment |
1,007,960 | |||||||||||||||
|
|
|
|||||||||||||||
| Software - 1.0% |
||||||||||||||||
| Microsoft Corp., Senior Notes |
4.250 | % | 2/6/47 | 970,000 | 1,255,353 | |||||||||||
|
|
|
|||||||||||||||
| Technology Hardware, Storage & Peripherals - 0.5% |
||||||||||||||||
| Apple Inc., Senior Notes |
3.850 | % | 8/4/46 | 340,000 | 411,350 | |||||||||||
| HP Inc., Senior Notes |
4.650 | % | 12/9/21 | 310,000 | 312,332 | |||||||||||
|
|
|
|||||||||||||||
| Total Technology Hardware, Storage & Peripherals |
723,682 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
3,621,360 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 6.0% | ||||||||||||||||
| Chemicals - 0.8% |
||||||||||||||||
| Dow Chemical Co., Senior Notes |
7.375 | % | 11/1/29 | 800,000 | 1,006,004 | |||||||||||
| Ecolab Inc., Senior Notes |
4.800 | % | 3/24/30 | 80,000 | 90,218 | |||||||||||
|
|
|
|||||||||||||||
| Total Chemicals |
1,096,222 | |||||||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 4.9% |
||||||||||||||||
| Alcoa Nederland Holding BV, Senior Notes |
6.125 | % | 5/15/28 | 400,000 | 366,220 | (a) | ||||||||||
| Anglo American Capital PLC, Senior Notes |
4.000 | % | 9/11/27 | 500,000 | 473,183 | (a) | ||||||||||
| ArcelorMittal SA, Senior Notes |
6.125 | % | 6/1/25 | 50,000 | 49,582 | |||||||||||
| ArcelorMittal SA, Senior Notes |
4.550 | % | 3/11/26 | 470,000 | 422,452 | |||||||||||
| Barrick North America Finance LLC, Senior Notes |
5.700 | % | 5/30/41 | 50,000 | 61,783 | |||||||||||
| Barrick PD Australia Finance Pty Ltd., Senior Notes |
5.950 | % | 10/15/39 | 180,000 | 222,431 | |||||||||||
| BHP Billiton Finance USA Ltd., Senior Notes (6.750% to 10/19/25, then USD 5 year ICE Swap Rate + 5.093% to 10/19/45, then USD 5 year ICE Swap Rate + 5.843%) |
6.750 | % | 10/19/75 | 470,000 | 499,142 | (a)(c) | ||||||||||
| First Quantum Minerals Ltd., Senior Notes |
7.250 | % | 4/1/23 | 340,000 | 288,364 | (a) | ||||||||||
| First Quantum Minerals Ltd., Senior Notes |
7.500 | % | 4/1/25 | 200,000 | 167,689 | (a) | ||||||||||
| Freeport-McMoRan Inc., Senior Notes |
3.550 | % | 3/1/22 | 60,000 | 58,295 | |||||||||||
| Glencore Finance Canada Ltd., Senior Notes |
6.900 | % | 11/15/37 | 430,000 | 419,039 | (a) | ||||||||||
| Glencore Finance Canada Ltd., Senior Notes |
5.550 | % | 10/25/42 | 150,000 | 120,950 | (a) | ||||||||||
| Glencore Funding LLC, Senior Notes |
4.125 | % | 3/12/24 | 530,000 | 488,078 | (a) | ||||||||||
| Glencore Funding LLC, Senior Notes |
4.000 | % | 3/27/27 | 360,000 | 328,906 | (a) | ||||||||||
| Glencore Funding LLC, Senior Notes |
3.875 | % | 10/27/27 | 170,000 | 156,039 | (a) | ||||||||||
| Southern Copper Corp., Senior Notes |
5.375 | % | 4/16/20 | 150,000 | 149,362 | |||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
13 |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Metals & Mining - (continued) |
||||||||||||||||
| Southern Copper Corp., Senior Notes |
5.250 | % | 11/8/42 | $ | 470,000 | $ | 480,427 | |||||||||
| Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/21/36 | 1,148,000 | 1,286,696 | |||||||||||
| Yamana Gold Inc., Senior Notes |
4.625 | % | 12/15/27 | 350,000 | 351,499 | |||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
6,390,137 | |||||||||||||||
|
|
|
|||||||||||||||
| Paper & Forest Products - 0.3% |
||||||||||||||||
| Georgia-Pacific LLC, Senior Notes |
7.375 | % | 12/1/25 | 250,000 | 316,610 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
7,802,969 | |||||||||||||||
|
|
|
|||||||||||||||
| REAL ESTATE - 0.8% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) - 0.6% |
||||||||||||||||
| MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
5.000 | % | 10/15/27 | 250,000 | 244,394 | |||||||||||
| MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
4.625 | % | 8/1/29 | 170,000 | 159,056 | |||||||||||
| Welltower Inc., Senior Notes |
4.125 | % | 3/15/29 | 320,000 | 327,345 | |||||||||||
|
|
|
|||||||||||||||
| Total Equity Real Estate Investment Trusts (REITs) |
730,795 | |||||||||||||||
|
|
|
|||||||||||||||
| Real Estate Management & Development - 0.2% |
||||||||||||||||
| Security Capital Group Inc., Senior Notes |
7.700 | % | 6/15/28 | 280,000 | 315,748 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL REAL ESTATE |
1,046,543 | |||||||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 2.4% | ||||||||||||||||
| Electric Utilities - 2.4% |
||||||||||||||||
| CenterPoint Energy Houston Electric LLC, Senior Secured Bonds |
4.500 | % | 4/1/44 | 210,000 | 246,460 | |||||||||||
| Exelon Corp., Senior Notes |
4.050 | % | 4/15/30 | 120,000 | 121,443 | |||||||||||
| FirstEnergy Corp., Senior Notes |
3.900 | % | 7/15/27 | 310,000 | 315,582 | |||||||||||
| FirstEnergy Corp., Senior Notes |
7.375 | % | 11/15/31 | 830,000 | 1,083,085 | |||||||||||
| Jersey Central Power & Light Co., Senior Notes |
4.300 | % | 1/15/26 | 100,000 | 108,286 | (a) | ||||||||||
| MidAmerican Energy Co., First Mortgage Bonds |
3.650 | % | 4/15/29 | 150,000 | 161,291 | |||||||||||
| Oncor Electric Delivery Co. LLC, Senior Secured Notes |
3.100 | % | 9/15/49 | 150,000 | 146,180 | |||||||||||
| Southern California Edison Co., First Mortgage Bonds |
4.125 | % | 3/1/48 | 310,000 | 332,175 | |||||||||||
| Virginia Electric & Power Co., Senior Notes |
8.875 | % | 11/15/38 | 390,000 | 616,448 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL UTILITIES |
3,130,950 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $117,927,852) |
120,634,644 | |||||||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 3.9% | ||||||||||||||||
| Argentina - 0.5% |
||||||||||||||||
| Argentine Republic Government International Bond, Senior Notes |
7.500 | % | 4/22/26 | 370,000 | 106,379 | |||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
14 |
Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Argentina - (continued) |
||||||||||||||||
| Argentine Republic Government International Bond, Senior Notes |
6.875 | % | 1/26/27 | $ | 120,000 | $ | 34,201 | |||||||||
| Argentine Republic Government International Bond, Senior Notes |
5.875 | % | 1/11/28 | 390,000 | 108,619 | |||||||||||
| Argentine Republic Government International Bond, Senior Notes |
7.625 | % | 4/22/46 | 150,000 | 39,752 | |||||||||||
| Argentine Republic Government International Bond, Senior Notes |
6.875 | % | 1/11/48 | 150,000 | 40,314 | |||||||||||
| Provincia de Buenos Aires, Senior Notes |
9.125 | % | 3/16/24 | 1,220,000 | 329,400 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Argentina |
658,665 | |||||||||||||||
|
|
|
|||||||||||||||
| Canada - 0.8% |
||||||||||||||||
| Province of Quebec Canada, Senior Notes |
7.970 | % | 7/22/36 | 650,000 | 1,026,163 | |||||||||||
|
|
|
|||||||||||||||
| Colombia - 0.7% |
||||||||||||||||
| Colombia Government International Bond, Senior Notes |
4.500 | % | 3/15/29 | 870,000 | 899,208 | |||||||||||
|
|
|
|||||||||||||||
| Ghana - 0.2% |
||||||||||||||||
| Ghana Government International Bond, Senior Notes |
8.950 | % | 3/26/51 | 310,000 | 220,336 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Indonesia - 0.2% |
||||||||||||||||
| Indonesia Government International Bond, Senior Notes |
4.350 | % | 1/11/48 | 240,000 | 247,383 | |||||||||||
|
|
|
|||||||||||||||
| Kenya - 0.3% |
||||||||||||||||
| Kenya Government International Bond, Senior Notes |
8.000 | % | 5/22/32 | 460,000 | 426,644 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Mexico - 0.3% |
||||||||||||||||
| Mexico Government International Bond, Senior Notes |
4.350 | % | 1/15/47 | 360,000 | 351,547 | |||||||||||
|
|
|
|||||||||||||||
| Qatar - 0.5% |
||||||||||||||||
| Qatar Government International Bond, Senior Notes |
3.375 | % | 3/14/24 | 410,000 | 418,497 | (a) | ||||||||||
| Qatar Government International Bond, Senior Notes |
4.817 | % | 3/14/49 | 270,000 | 319,318 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Qatar |
737,815 | |||||||||||||||
|
|
|
|||||||||||||||
| United Arab Emirates - 0.4% |
||||||||||||||||
| Abu Dhabi Government International Bond, Senior Notes |
4.125 | % | 10/11/47 | 440,000 | 479,007 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Uruguay - 0.0% |
||||||||||||||||
| Uruguay Government International Bond, Senior Notes |
4.975 | % | 4/20/55 | 70,000 | 80,172 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS (Cost - $6,578,803) |
5,126,940 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
15 |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| MUNICIPAL BONDS - 1.5% | ||||||||||||||||
| Alabama - 0.2% |
||||||||||||||||
| Alabama State Economic Settlement Authority, BP Settlement Revenue, Series B |
3.163 | % | 9/15/25 | $ | 240,000 | $ | 247,997 | |||||||||
|
|
|
|||||||||||||||
| California - 0.9% |
||||||||||||||||
| Los Angeles County, CA Public Works Financing Authority Revenue, Multiple Capital Projects I, Series 2010 B, Taxable Build America Bonds |
7.618 | % | 8/1/40 | 650,000 | 1,036,262 | |||||||||||
| University of California Revenue, Taxable, General Series AG |
4.062 | % | 5/15/33 | 150,000 | 159,083 | |||||||||||
|
|
|
|||||||||||||||
| Total California |
1,195,345 | |||||||||||||||
|
|
|
|||||||||||||||
| Florida - 0.1% |
||||||||||||||||
| Sumter Landing, FL, Community Development District Recreational Revenue, Taxable Community Development District |
4.172 | % | 10/1/47 | 170,000 | 191,632 | |||||||||||
|
|
|
|||||||||||||||
| Illinois - 0.3% |
||||||||||||||||
| Illinois State, GO, Taxable, Build America Bonds, Series 2010-3 |
6.725 | % | 4/1/35 | 310,000 | 335,547 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MUNICIPAL BONDS (Cost - $1,822,856) |
1,970,521 | |||||||||||||||
|
|
|
|||||||||||||||
| Shares | ||||||||||||||||
| PREFERRED STOCKS - 0.1% | ||||||||||||||||
| FINANCIALS - 0.1% | ||||||||||||||||
| Insurance - 0.1% |
||||||||||||||||
| Delphi Financial Group Inc. (3 mo. USD LIBOR + 3.190%) (Cost - $143,068) |
4.882 | % | 5,725 | 130,244 | (c) | |||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $126,472,579) |
127,862,349 | |||||||||||||||
|
|
|
|||||||||||||||
| SHORT-TERM INVESTMENTS - 0.5% | ||||||||||||||||
| Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $605,462)0.334% |
605,462 | 605,462 | (f) | |||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 98.8% (Cost - $127,078,041) |
128,467,811 | |||||||||||||||
| Other Assets in Excess of Liabilities - 1.2% |
1,578,267 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 130,046,078 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
16 |
Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
WESTERN ASSET INVESTMENT GRADE INCOME FUND INC.
| Schedule of investments (unaudited) (cont’d) | March 31, 2020 |
| (a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
| (b) | Security has no maturity date. The date shown represents the next call date. |
| (c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (d) | Securities traded on a when-issued or delayed delivery basis. |
| (e) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities. |
| (f) | 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. At March 31, 2020, the total market value of investments in Affiliated Companies was $605,462 and the cost was $605,462 (Note 2). |
Abbreviations used in this schedule:
| GO | — General Obligation | |
| GTD | — Guaranteed | |
| ICE | — Intercontinental Exchange | |
| LIBOR | — London Interbank Offered Rate | |
| PIK | — Payment-In-Kind | |
| SOFR | — Secured Overnight Financing Rate | |
| USD | — United States Dollar |
At March 31, 2020, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| U.S. Treasury 2-Year Notes |
71 | 6/20 | $ | 15,373,717 | $ | 15,647,180 | $ | 273,463 | ||||||||||||
| U.S. Treasury 5-Year Notes |
89 | 6/20 | 10,863,987 | 11,156,985 | 292,998 | |||||||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
31 | 6/20 | 6,082,756 | 6,878,125 | 795,369 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 1,361,830 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| U.S. Treasury 10-Year Notes |
71 | 6/20 | 9,479,963 | 9,846,813 | (366,850 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds |
137 | 6/20 | 22,688,723 | 24,531,562 | (1,842,839 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (2,209,689 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation on open futures contracts |
|
$ | (847,859 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Investment Grade Income Fund Inc. 2020 Quarterly Report |
17 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Investment Grade Income Fund Inc. (the “Fund”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a closed-end diversified investment company. The Fund seeks a high level of current income, consistent with prudent investment risk. Capital appreciation is a secondary investment objective.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.
The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
|
|
||||
|
18 |
Notes to Schedule of Investments (unaudited) (continued)
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
|
| ||||
|
19 |
Notes to Schedule of Investments (unaudited) (continued)
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
| ASSETS |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-Term Investments†: |
||||||||||||||||
| Corporate Bonds & Notes |
— | $ | 120,634,644 | — | $ | 120,634,644 | ||||||||||
| Sovereign Bonds |
— | 5,126,940 | — | 5,126,940 | ||||||||||||
| Municipal Bonds |
— | 1,970,521 | — | 1,970,521 | ||||||||||||
| Preferred Stocks |
— | 130,244 | — | 130,244 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
— | 127,862,349 | — | 127,862,349 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
$ | 605,462 | — | — | 605,462 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 605,462 | $ | 127,862,349 | — | $ | 128,467,811 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 1,361,830 | — | — | $ | 1,361,830 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,967,292 | $ | 127,862,349 | — | $ | 129,829,641 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 2,209,689 | — | — | $ | 2,209,689 | ||||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Fund’s relative ownership, the following company was considered an affiliated company for all or some portion of the period ended March 31, 2020. The following transactions were effected in shares of such company for the period ended March 31, 2020.
| Affiliate Value at December 31, 2019 |
Purchased | Sold | ||||||||||||||||||
|
|
Cost | Shares | Cost | Shares | ||||||||||||||||
| Western Asset Premier Institutional Government Reserves, Premium Shares | $ | 28,103 | $ | 8,841,248 | 8,841,248 | $ | 8,263,889 | 8,263,889 | ||||||||||||
|
|
||||
|
20 |
Notes to Schedule of Investments (unaudited) (continued)
| (cont’d) |
Realized Gain (Loss) |
Interest Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
Affiliate Value at March 31, 2020 |
||||||||||||
| Western Asset Premier Institutional Government Reserves, Premium Shares | — | $ | 1,209 | — | $ | 605,462 | ||||||||||
|
| ||||
|
21 |