UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number |
811-22334 |
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Western Asset Global Corporate Defined Opportunity Fund Inc. | ||||||
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(Exact name of registrant as specified in charter) | ||||||
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55 Water Street, New York, NY |
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10041 | ||||
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(Address of principal executive offices) |
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(Zip code) | ||||
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Robert I. Frenkel, Esq. | ||||||
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(Name and address of agent for service) | ||||||
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Registrant’s telephone number, including area code: |
1-888-777-0102 |
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Date of fiscal year end: |
October 31 |
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Date of reporting period: |
January 31, 2011 |
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ITEM 1. SCHEDULE OF INVESTMENTS
WESTERN ASSET GLOBAL CORPORATE
DEFINED OPPORTUNITY FUND INC.
FORM N-Q
JANUARY 31, 2011
Schedule of investments (unaudited)
January 31, 2011
WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
CORPORATE BONDS & NOTES — 87.4% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 12.4% |
|
|
|
|
|
|
|
|
| ||
|
Auto Components — 1.1% |
|
|
|
|
|
|
|
|
| ||
|
Allison Transmission Inc., Senior Toggle Notes |
|
11.250% |
|
11/1/15 |
|
|
770,000 |
|
$ |
848,925 |
(a)(b)(c) |
|
Europcar Groupe SA, Senior Notes |
|
9.375% |
|
4/15/18 |
|
785,000 |
EUR |
1,115,088 |
(a) | ||
|
Hertz Holdings Netherlands BV, Senior Secured Bonds |
|
8.500% |
|
7/31/15 |
|
1,420,000 |
EUR |
2,133,752 |
(a) | ||
|
Total Auto Components |
|
|
|
|
|
|
|
4,097,765 |
| ||
|
Automobiles — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Ford Motor Credit Co., LLC, Senior Notes |
|
12.000% |
|
5/15/15 |
|
2,000,000 |
|
2,538,026 |
| ||
|
Diversified Consumer Services — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Dignity Finance PLC, Secured Bonds |
|
6.310% |
|
12/31/23 |
|
547,209 |
GBP |
984,731 |
| ||
|
Stonemor Operating LLC/Cornerstone Family Services of WV/Osiris Holding, Senior Notes |
|
10.250% |
|
12/1/17 |
|
1,500,000 |
|
1,571,250 |
| ||
|
Total Diversified Consumer Services |
|
|
|
|
|
|
|
2,555,981 |
| ||
|
Hotels, Restaurants & Leisure — 2.1% |
|
|
|
|
|
|
|
|
| ||
|
Codere Finance Luxembourg SA, Senior Secured Notes |
|
8.250% |
|
6/15/15 |
|
780,000 |
EUR |
1,086,626 |
(a) | ||
|
Harrah’s Operating Co. Inc., Senior Secured Notes |
|
11.250% |
|
6/1/17 |
|
1,000,000 |
|
1,140,000 |
(c) | ||
|
Landry’s Restaurants Inc., Senior Secured Notes |
|
11.625% |
|
12/1/15 |
|
1,000,000 |
|
1,087,500 |
| ||
|
MGM Resorts International, Senior Notes |
|
11.375% |
|
3/1/18 |
|
1,000,000 |
|
1,122,500 |
| ||
|
Mitchells & Butlers Finance PLC, Secured Notes |
|
5.965% |
|
12/15/23 |
|
615,001 |
GBP |
1,048,795 |
| ||
|
Mohegan Tribal Gaming Authority, Senior Secured Notes |
|
11.500% |
|
11/1/17 |
|
1,000,000 |
|
967,500 |
(a)(c) | ||
|
NCL Corp. Ltd., Senior Secured Notes |
|
11.750% |
|
11/15/16 |
|
1,000,000 |
|
1,195,000 |
| ||
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
7,647,921 |
| ||
|
Household Durables — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Norcraft Cos. LP/Norcraft Finance Corp., |
|
10.500% |
|
12/15/15 |
|
1,500,000 |
|
1,608,750 |
| ||
|
Leisure Equipment & Products — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Carlson Wagonlit BV, Senior Notes |
|
6.795% |
|
5/1/15 |
|
840,000 |
EUR |
1,132,835 |
(a)(d) | ||
|
Media — 6.2% |
|
|
|
|
|
|
|
|
| ||
|
CCO Holdings LLC/CCO Holdings Capital Corp., |
|
7.875% |
|
4/30/18 |
|
2,030,000 |
|
2,146,725 |
| ||
|
CCO Holdings LLC/CCO Holdings Capital Corp., |
|
8.125% |
|
4/30/20 |
|
1,570,000 |
|
1,679,900 |
| ||
|
Comcast Corp., Senior Notes |
|
5.700% |
|
7/1/19 |
|
1,800,000 |
|
1,966,253 |
(c) | ||
|
Daily Mail & General Trust PLC, Senior Bonds |
|
5.750% |
|
12/7/18 |
|
1,280,000 |
GBP |
1,979,262 |
| ||
|
Grupo Televisa SA, Senior Bonds |
|
6.625% |
|
1/15/40 |
|
1,730,000 |
|
1,831,850 |
(c) | ||
|
ITV PLC, Senior Notes |
|
10.000% |
|
6/30/14 |
|
600,000 |
EUR |
952,929 |
| ||
|
Lighthouse International Co. SA, Senior Secured Notes |
|
8.000% |
|
4/30/14 |
|
292,000 |
EUR |
149,922 |
(a) | ||
|
NET Servicos de Comunicacao SA, Bonds |
|
7.500% |
|
1/27/20 |
|
920,000 |
|
1,044,200 |
| ||
|
Ono Finance II PLC, Senior Bonds |
|
11.125% |
|
7/15/19 |
|
500,000 |
EUR |
696,555 |
(a) | ||
|
Pearson PLC, Senior Bonds |
|
7.000% |
|
10/27/14 |
|
1,200,000 |
GBP |
2,153,583 |
| ||
|
Reed Elsevier Capital Inc., Notes |
|
8.625% |
|
1/15/19 |
|
870,000 |
|
1,110,392 |
| ||
|
Time Warner Cable Inc., Senior Notes |
|
8.750% |
|
2/14/19 |
|
1,500,000 |
|
1,905,317 |
| ||
|
UPC Holding BV, Senior Secured Notes |
|
9.750% |
|
4/15/18 |
|
600,000 |
EUR |
897,478 |
(a) | ||
|
Videotron Ltee, Senior Notes |
|
7.125% |
|
1/15/20 |
|
2,000,000 |
CAD |
2,114,645 |
(a) | ||
|
Virgin Media Finance PLC, Senior Bonds |
|
8.875% |
|
10/15/19 |
|
560,000 |
GBP |
1,022,621 |
| ||
|
Ziggo Bond Co. BV, Senior Notes |
|
8.000% |
|
5/15/18 |
|
750,000 |
EUR |
1,088,475 |
(a) | ||
|
Total Media |
|
|
|
|
|
|
|
22,740,107 |
| ||
|
Multiline Retail — 0.6% |
|
|
|
|
|
|
|
|
| ||
|
Neiman Marcus Group Inc., Senior Notes |
|
9.000% |
|
10/15/15 |
|
2,000,000 |
|
2,105,000 |
(b)(c) | ||
|
Neiman Marcus Group Inc., Senior Secured Notes |
|
7.125% |
|
6/1/28 |
|
180,000 |
|
167,400 |
(c) | ||
|
Total Multiline Retail |
|
|
|
|
|
|
|
2,272,400 |
| ||
|
Specialty Retail — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Edcon Proprietary Ltd., Senior Notes |
|
4.276% |
|
6/15/14 |
|
960,000 |
EUR |
1,153,372 |
(a)(d) | ||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
45,747,157 |
| ||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (cont’d)
January 31, 2011
WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
CONSUMER STAPLES — 4.9% |
|
|
|
|
|
|
|
|
| ||
|
Food & Staples Retailing — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
CVS Caremark Corp., Senior Notes |
|
6.125% |
|
9/15/39 |
|
|
1,000,000 |
|
$ |
1,037,192 |
(c) |
|
Tesco PLC, Senior Notes |
|
6.125% |
|
2/24/22 |
|
1,200,000 |
GBP |
2,082,082 |
| ||
|
Total Food & Staples Retailing |
|
|
|
|
|
|
|
3,119,274 |
| ||
|
Food Products — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Campofrio Food Group SA, Senior Notes |
|
8.250% |
|
10/31/16 |
|
530,000 |
EUR |
758,304 |
(a) | ||
|
Smithfield Foods Inc., Senior Secured Notes |
|
10.000% |
|
7/15/14 |
|
1,500,000 |
|
1,771,875 |
| ||
|
Total Food Products |
|
|
|
|
|
|
|
2,530,179 |
| ||
|
Tobacco — 3.4% |
|
|
|
|
|
|
|
|
| ||
|
Altria Group Inc., Senior Notes |
|
9.700% |
|
11/10/18 |
|
2,600,000 |
|
3,376,849 |
(c) | ||
|
BAT International Finance PLC, Senior Notes |
|
4.875% |
|
2/24/21 |
|
1,450,000 |
EUR |
2,059,517 |
| ||
|
Imperial Tobacco Finance PLC, Senior Notes |
|
8.375% |
|
2/17/16 |
|
1,150,000 |
EUR |
1,900,518 |
(c) | ||
|
Lorillard Tobacco Co., Senior Notes |
|
8.125% |
|
6/23/19 |
|
2,305,000 |
|
2,496,797 |
| ||
|
Reynolds American Inc., Senior Notes |
|
6.750% |
|
6/15/17 |
|
2,340,000 |
|
2,638,705 |
(c) | ||
|
Total Tobacco |
|
|
|
|
|
|
|
12,472,386 |
| ||
|
TOTAL CONSUMER STAPLES |
|
|
|
|
|
|
|
18,121,839 |
| ||
|
ENERGY — 10.8% |
|
|
|
|
|
|
|
|
| ||
|
Energy Equipment & Services — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Parker Drilling Co., Senior Notes |
|
9.125% |
|
4/1/18 |
|
300,000 |
|
318,000 |
| ||
|
Oil, Gas & Consumable Fuels — 10.7% |
|
|
|
|
|
|
|
|
| ||
|
Anadarko Petroleum Corp., Senior Notes |
|
6.450% |
|
9/15/36 |
|
1,370,000 |
|
1,340,497 |
(c) | ||
|
Belden & Blake Corp., Secured Notes |
|
8.750% |
|
7/15/12 |
|
1,500,000 |
|
1,481,250 |
| ||
|
Dolphin Energy Ltd., Senior Secured Bonds |
|
5.888% |
|
6/15/19 |
|
1,984,235 |
|
2,136,594 |
(a) | ||
|
Ecopetrol SA, Senior Notes |
|
7.625% |
|
7/23/19 |
|
1,650,000 |
|
1,918,125 |
(e) | ||
|
Energy Transfer Partners LP, Senior Notes |
|
9.700% |
|
3/15/19 |
|
1,000,000 |
|
1,312,560 |
(c) | ||
|
Enterprise Products Operating LLC, Senior Notes |
|
6.500% |
|
1/31/19 |
|
1,290,000 |
|
1,471,330 |
| ||
|
Indo Integrated Energy BV, Senior Subordinated Notes |
|
9.000% |
|
6/1/12 |
|
470,000 |
|
500,283 |
| ||
|
Infinis PLC, Senior Notes |
|
9.125% |
|
12/15/14 |
|
472,000 |
GBP |
807,108 |
(a) | ||
|
International Coal Group Inc., Senior Secured Notes |
|
9.125% |
|
4/1/18 |
|
480,000 |
|
525,600 |
| ||
|
KazMunaiGaz Finance Sub BV, Senior Notes |
|
8.375% |
|
7/2/13 |
|
980,000 |
|
1,089,858 |
(a)(c) | ||
|
KazMunaiGaz Finance Sub BV, Senior Notes |
|
11.750% |
|
1/23/15 |
|
675,000 |
|
843,750 |
(a) | ||
|
Kinder Morgan Energy Partners LP, Medium-Term Notes |
|
6.950% |
|
1/15/38 |
|
1,180,000 |
|
1,274,773 |
| ||
|
LUKOIL International Finance BV, Bonds |
|
6.356% |
|
6/7/17 |
|
310,000 |
|
331,313 |
(a) | ||
|
LUKOIL International Finance BV, Bonds |
|
6.656% |
|
6/7/22 |
|
1,860,000 |
|
1,930,215 |
(a)(c) | ||
|
Murray Energy Corp., Senior Secured Notes |
|
10.250% |
|
10/15/15 |
|
1,000,000 |
|
1,065,000 |
(a)(c) | ||
|
Novatek Finance Ltd., Notes |
|
6.604% |
|
2/3/21 |
|
1,130,000 |
|
1,125,582 |
(a) | ||
|
OPTI Canada Inc., Senior Secured Notes |
|
9.000% |
|
12/15/12 |
|
1,000,000 |
|
982,500 |
(a)(c) | ||
|
Pemex Project Funding Master Trust, Senior Bonds |
|
6.625% |
|
6/15/35 |
|
910,000 |
|
915,548 |
(c) | ||
|
Petrobras International Finance Co., Senior Notes |
|
6.750% |
|
1/27/41 |
|
760,000 |
|
770,148 |
| ||
|
Petroleum Co. of Trinidad & Tobago Ltd., Senior Notes |
|
9.750% |
|
8/14/19 |
|
2,590,000 |
|
3,159,800 |
(a) | ||
|
Petronas Capital Ltd. |
|
5.250% |
|
8/12/19 |
|
700,000 |
|
748,066 |
(a) | ||
|
Petronas Capital Ltd., Senior Notes |
|
5.250% |
|
8/12/19 |
|
1,780,000 |
|
1,889,406 |
(a)(e) | ||
|
Plains Exploration & Production Co., Senior Notes |
|
8.625% |
|
10/15/19 |
|
1,500,000 |
|
1,676,250 |
(c) | ||
|
Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Bonds |
|
6.750% |
|
9/30/19 |
|
2,280,000 |
|
2,636,927 |
(a) | ||
|
Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Notes |
|
5.500% |
|
9/30/14 |
|
1,050,000 |
|
1,136,634 |
(a) | ||
|
SandRidge Energy Inc., Senior Notes |
|
9.875% |
|
5/15/16 |
|
1,000,000 |
|
1,100,000 |
(a)(c) | ||
|
TNK-BP Finance SA, Senior Notes |
|
7.875% |
|
3/13/18 |
|
4,150,000 |
|
4,691,990 |
(a)(e) | ||
|
Williams Partners LP, Senior Notes |
|
5.250% |
|
3/15/20 |
|
610,000 |
|
629,815 |
| ||
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
39,490,922 |
| ||
|
TOTAL ENERGY |
|
|
|
|
|
|
|
39,808,922 |
| ||
|
FINANCIALS — 30.0% |
|
|
|
|
|
|
|
|
| ||
|
Capital Markets — 3.2% |
|
|
|
|
|
|
|
|
| ||
|
Credit Suisse AG, Subordinated Notes |
|
5.400% |
|
1/14/20 |
|
320,000 |
|
324,484 |
| ||
|
Credit Suisse London, Subordinated Notes |
|
6.750% |
|
1/16/23 |
|
2,500,000 |
GBP |
4,268,559 |
(d) | ||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (cont’d)
January 31, 2011
WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Capital Markets — continued |
|
|
|
|
|
|
|
|
| ||
|
Goldman Sachs Capital II, Junior Subordinated Bonds |
|
5.793% |
|
6/1/12 |
|
|
1,300,000 |
|
$ |
1,103,375 |
(c)(d)(f) |
|
Goldman Sachs Group Inc. |
|
5.500% |
|
10/12/21 |
|
600,000 |
GBP |
864,026 |
| ||
|
Goldman Sachs Group Inc., Subordinated Notes |
|
4.750% |
|
10/12/21 |
|
2,700,000 |
EUR |
3,308,030 |
| ||
|
UBS AG London, Senior Notes |
|
6.375% |
|
7/20/16 |
|
1,050,000 |
GBP |
1,827,949 |
| ||
|
Total Capital Markets |
|
|
|
|
|
|
|
11,696,423 |
| ||
|
Commercial Banks — 16.5% |
|
|
|
|
|
|
|
|
| ||
|
Australia & New Zealand Banking Group Ltd., Subordinated Bonds |
|
6.540% |
|
6/15/12 |
|
450,000 |
GBP |
728,978 |
(c)(d)(f) | ||
|
Australia & New Zealand Banking Group Ltd., Subordinated Notes |
|
5.125% |
|
9/10/19 |
|
1,250,000 |
EUR |
1,703,959 |
| ||
|
Banco del Estado de Chile, Senior Notes |
|
4.125% |
|
10/7/20 |
|
1,540,000 |
|
1,449,936 |
(a) | ||
|
BankAmerica Capital II, Junior Subordinated Bonds |
|
8.000% |
|
12/15/26 |
|
800,000 |
|
825,000 |
(c) | ||
|
BankAmerica Institutional Capital A, Junior Subordinated Bonds |
|
8.070% |
|
12/31/26 |
|
1,240,000 |
|
1,277,200 |
(a)(c) | ||
|
BankAmerica Institutional Capital B, Junior Subordinated Bonds |
|
7.700% |
|
12/31/26 |
|
850,000 |
|
864,875 |
(a)(c) | ||
|
Barclays Bank PLC, Subordinated Notes |
|
6.369% |
|
12/15/19 |
|
1,950,000 |
GBP |
2,686,303 |
(c)(d)(f) | ||
|
BB&T Capital Trust II, Junior Subordinated Notes |
|
6.750% |
|
6/7/36 |
|
660,000 |
|
668,152 |
(c) | ||
|
BB&T Capital Trust IV, Junior Subordinated Debentures |
|
6.820% |
|
6/12/57 |
|
2,700,000 |
|
2,676,961 |
(c)(d) | ||
|
BBVA International Preferred SA Unipersonal |
|
9.100% |
|
10/21/14 |
|
400,000 |
GBP |
597,490 |
(d)(f) | ||
|
BNP Paribas, Subordinated Notes |
|
8.667% |
|
9/11/13 |
|
1,600,000 |
EUR |
2,343,985 |
(c)(d)(f) | ||
|
Commonwealth Bank of Australia, Subordinated Notes |
|
5.500% |
|
8/6/19 |
|
1,200,000 |
EUR |
1,674,922 |
| ||
|
Credit Agricole SA, Junior Subordinated Notes |
|
7.875% |
|
10/26/19 |
|
400,000 |
EUR |
551,768 |
(c)(d)(f) | ||
|
Credit Agricole SA, Subordinated Notes |
|
8.375% |
|
10/13/19 |
|
2,530,000 |
|
2,669,150 |
(a)(d)(f) | ||
|
Fortis Bank SA/NV, Senior Subordinated Notes |
|
5.757% |
|
10/4/17 |
|
1,200,000 |
EUR |
1,742,614 |
(c) | ||
|
HSBC Capital Funding LP, Junior Subordinated Bonds |
|
5.369% |
|
3/24/14 |
|
1,900,000 |
EUR |
2,542,854 |
(d)(f) | ||
|
ICICI Bank Ltd., Junior Subordinated Bonds |
|
6.375% |
|
4/30/22 |
|
1,900,000 |
|
1,895,421 |
(a)(d)(e) | ||
|
ING Bank NV, Subordinated Notes |
|
6.875% |
|
5/29/23 |
|
2,850,000 |
GBP |
4,555,372 |
(d) | ||
|
Intesa Sanpaolo SpA, Subordinated Notes |
|
6.625% |
|
5/8/18 |
|
1,200,000 |
EUR |
1,618,119 |
| ||
|
Intesa Sanpaolo SpA, Subordinated Notes |
|
8.375% |
|
10/14/19 |
|
450,000 |
EUR |
602,255 |
(d)(f) | ||
|
Lloyds TSB Bank PLC, Notes |
|
5.800% |
|
1/13/20 |
|
520,000 |
|
505,686 |
(a) | ||
|
Matalan Finance Ltd., Senior Notes |
|
9.625% |
|
3/31/17 |
|
66,000 |
GBP |
111,008 |
(a) | ||
|
National Australia Bank Ltd., Subordinated Notes |
|
6.750% |
|
6/26/23 |
|
2,750,000 |
EUR |
4,042,392 |
(d) | ||
|
National Capital Trust I |
|
5.620% |
|
12/17/18 |
|
266,000 |
GBP |
382,418 |
(a)(c)(d)(f) | ||
|
NB Capital Trust IV, Junior Subordinated Notes |
|
8.250% |
|
4/15/27 |
|
1,650,000 |
|
1,701,563 |
(c) | ||
|
Rabobank Nederland NV, Junior Subordinated Notes |
|
11.000% |
|
6/30/19 |
|
1,997,000 |
|
2,588,719 |
(a)(c)(d)(f) | ||
|
Resona Preferred Global Securities Cayman Ltd., Junior Subordinated Bonds |
|
7.191% |
|
7/30/15 |
|
90,000 |
|
92,273 |
(a)(d)(f) | ||
|
Royal Bank of Scotland Group PLC, Subordinated Notes |
|
5.000% |
|
10/1/14 |
|
4,000,000 |
|
3,941,988 |
(c) | ||
|
Royal Bank of Scotland PLC, Senior Notes |
|
5.375% |
|
9/30/19 |
|
1,300,000 |
EUR |
1,730,719 |
| ||
|
Santander Finance Preferred SA Unipersonal, Subordinated Bonds |
|
11.300% |
|
7/27/14 |
|
350,000 |
GBP |
578,869 |
(c)(d)(f) | ||
|
Skandinaviska Enskilda Banken AB, Subordinated Notes |
|
9.250% |
|
3/31/15 |
|
450,000 |
EUR |
661,094 |
(d)(f) | ||
|
Societe Generale, Subordinated Notes |
|
9.375% |
|
9/4/19 |
|
1,550,000 |
EUR |
2,299,799 |
(d)(f) | ||
|
Standard Chartered Bank, Subordinated Notes |
|
5.875% |
|
9/26/17 |
|
1,250,000 |
EUR |
1,800,256 |
(a)(c) | ||
|
Standard Chartered Bank, Subordinated Notes |
|
7.750% |
|
4/3/18 |
|
1,000,000 |
GBP |
1,852,904 |
| ||
|
USB Capital XIII Trust, Junior Subordinated Notes |
|
6.625% |
|
12/15/39 |
|
1,500,000 |
|
1,565,343 |
(c) | ||
|
Wachovia Capital Trust III, Junior Subordinated Bonds |
|
5.800% |
|
3/21/11 |
|
760,000 |
|
665,950 |
(d)(f) | ||
|
Wells Fargo Capital XIII, Medium-Term Notes |
|
7.700% |
|
3/26/13 |
|
1,100,000 |
|
1,140,590 |
(c)(d)(f) | ||
|
Westpac Banking Corp., Senior Notes |
|
4.250% |
|
9/22/16 |
|
1,250,000 |
EUR |
1,750,642 |
| ||
|
Total Commercial Banks |
|
|
|
|
|
|
|
61,087,527 |
| ||
|
Consumer Finance — 1.7% |
|
|
|
|
|
|
|
|
| ||
|
American Express Co., Subordinated Debentures |
|
6.800% |
|
9/1/66 |
|
1,820,000 |
|
1,835,925 |
(c)(d) | ||
|
SLM Corp., Medium-Term Notes, Senior Notes |
|
5.050% |
|
11/14/14 |
|
2,400,000 |
|
2,408,050 |
(c) | ||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (cont’d)
January 31, 2011
WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Consumer Finance — continued |
|
|
|
|
|
|
|
|
| ||
|
SLM Corp., Medium-Term Notes, Senior Notes |
|
8.000% |
|
3/25/20 |
|
|
1,880,000 |
|
$ |
1,963,077 |
|
|
Total Consumer Finance |
|
|
|
|
|
|
|
6,207,052 |
| ||
|
Diversified Financial Services — 5.1% |
|
|
|
|
|
|
|
|
| ||
|
AES El Salvador Trust, Senior Notes |
|
6.750% |
|
2/1/16 |
|
1,000,000 |
|
978,867 |
(a)(e) | ||
|
Citigroup Inc., Senior Notes |
|
7.375% |
|
9/4/19 |
|
3,300,000 |
EUR |
5,145,118 |
| ||
|
Countrywide Capital III, Junior Subordinated Notes |
|
8.050% |
|
6/15/27 |
|
3,000,000 |
|
3,142,500 |
(c) | ||
|
General Electric Capital Corp., Subordinated Bonds |
|
5.500% |
|
9/15/67 |
|
940,000 |
EUR |
1,177,606 |
(a)(c)(d) | ||
|
General Electric Capital Corp., Subordinated Debentures |
|
6.375% |
|
11/15/67 |
|
1,200,000 |
|
1,216,500 |
(c)(d) | ||
|
International Lease Finance Corp., Senior Notes |
|
8.750% |
|
3/15/17 |
|
2,000,000 |
|
2,245,000 |
(a) | ||
|
ISS Financing PLC, Senior Secured Bonds |
|
11.000% |
|
6/15/14 |
|
560,000 |
EUR |
848,189 |
(a) | ||
|
JPMorgan Chase Capital XVIII, Bonds |
|
6.950% |
|
8/17/36 |
|
1,440,000 |
|
1,480,176 |
(c) | ||
|
JPMorgan Chase Capital XXVII, |
|
7.000% |
|
11/1/39 |
|
1,000,000 |
|
1,051,091 |
(c) | ||
|
LBI Escrow Corp., Senior Secured Notes |
|
8.000% |
|
11/1/17 |
|
676,800 |
EUR |
1,026,255 |
(a) | ||
|
MUFG Capital Finance 4 Ltd., Junior Subordinated Bonds |
|
5.271% |
|
1/25/17 |
|
550,000 |
EUR |
709,733 |
(d)(f) | ||
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
19,021,035 |
| ||
|
Insurance — 3.3% |
|
|
|
|
|
|
|
|
| ||
|
American International Group Inc., Senior Notes |
|
8.250% |
|
8/15/18 |
|
1,200,000 |
|
1,418,315 |
(c) | ||
|
Aviva PLC, Subordinated Notes |
|
5.250% |
|
10/2/23 |
|
1,300,000 |
EUR |
1,797,694 |
(d) | ||
|
AXA SA, Junior Subordinated Notes |
|
5.777% |
|
7/6/16 |
|
500,000 |
EUR |
621,252 |
(c)(d)(f) | ||
|
AXA SA, Junior Subordinated Notes |
|
6.463% |
|
12/14/18 |
|
2,000,000 |
|
1,770,000 |
(a)(c)(d)(f) | ||
|
ELM BV |
|
5.252% |
|
5/25/16 |
|
550,000 |
EUR |
683,377 |
(c)(d)(f) | ||
|
Farmers Insurance Exchange, Subordinated Notes |
|
8.625% |
|
5/1/24 |
|
1,295,000 |
|
1,445,196 |
(a)(c) | ||
|
Generali Finance BV, Junior Subordinated Bonds |
|
5.317% |
|
6/16/16 |
|
500,000 |
EUR |
602,426 |
(c)(d)(f) | ||
|
MetLife Capital Trust IV, Junior Subordinated Notes |
|
7.875% |
|
12/15/37 |
|
300,000 |
|
324,750 |
(a) | ||
|
Muenchener Rueckversicherungs-Gesellschaft AG (MunichRe), Subordinated Bonds |
|
5.767% |
|
6/12/17 |
|
500,000 |
EUR |
650,346 |
(c)(d)(f) | ||
|
QBE Insurance Group Ltd., Senior Notes |
|
6.125% |
|
9/28/15 |
|
550,000 |
GBP |
923,591 |
(a) | ||
|
Sampo Oyj, Senior Notes |
|
6.339% |
|
4/10/12 |
|
550,000 |
EUR |
783,631 |
| ||
|
Travelers Cos. Inc., Senior Notes |
|
5.350% |
|
11/1/40 |
|
1,150,000 |
|
1,112,525 |
| ||
|
Total Insurance |
|
|
|
|
|
|
|
12,133,103 |
| ||
|
Real Estate Management & Development — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Castle HoldCo 4 Ltd., Senior Secured Notes |
|
10.000% |
|
5/8/18 |
|
390,000 |
GBP |
621,598 |
(a) | ||
|
TOTAL FINANCIALS |
|
|
|
|
|
|
|
110,766,738 |
| ||
|
HEALTH CARE — 2.6% |
|
|
|
|
|
|
|
|
| ||
|
Health Care Providers & Services — 2.2% |
|
|
|
|
|
|
|
|
| ||
|
Crown Newco 3 PLC, Senior Notes |
|
8.875% |
|
2/15/19 |
|
150,000 |
GBP |
246,435 |
(a) | ||
|
HCA Inc., Senior Secured Notes |
|
9.250% |
|
11/15/16 |
|
1,500,000 |
|
1,621,875 |
(c) | ||
|
Humana Inc., Senior Notes |
|
7.200% |
|
6/15/18 |
|
2,700,000 |
|
3,076,185 |
(c) | ||
|
Labco SAS, Senior Secured Notes |
|
8.500% |
|
1/15/18 |
|
360,000 |
EUR |
506,449 |
(a) | ||
|
Tenet Healthcare Corp., Senior Secured Notes |
|
10.000% |
|
5/1/18 |
|
1,000,000 |
|
1,178,750 |
| ||
|
UnitedHealth Group Inc., Senior Notes |
|
6.000% |
|
2/15/18 |
|
1,350,000 |
|
1,532,628 |
| ||
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
8,162,322 |
| ||
|
Pharmaceuticals — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
ConvaTec Healthcare E SA, Senior Notes |
|
10.875% |
|
12/15/18 |
|
1,070,000 |
EUR |
1,559,300 |
(a) | ||
|
TOTAL HEALTH CARE |
|
|
|
|
|
|
|
9,721,622 |
| ||
|
INDUSTRIALS — 5.3% |
|
|
|
|
|
|
|
|
| ||
|
Air Freight & Logistics — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
TGI International Ltd., Senior Notes |
|
9.500% |
|
10/3/17 |
|
850,000 |
|
950,938 |
(a) | ||
|
Airlines — 2.8% |
|
|
|
|
|
|
|
|
| ||
|
Continental Airlines Inc., Pass-Through Certificates |
|
9.250% |
|
5/10/17 |
|
3,799,444 |
|
4,065,405 |
| ||
|
Continental Airlines Inc., Senior Secured Notes |
|
6.750% |
|
9/15/15 |
|
4,430,000 |
|
4,629,350 |
(a) | ||
|
DAE Aviation Holdings Inc., Senior Notes |
|
11.250% |
|
8/1/15 |
|
1,500,000 |
|
1,578,750 |
(a)(c) | ||
|
United Airlines, Pass-Through Trust, |
|
10.400% |
|
11/1/16 |
|
103,874 |
|
120,234 |
| ||
|
Total Airlines |
|
|
|
|
|
|
|
10,393,739 |
| ||
|
Commercial Services & Supplies — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
ACCO Brands Corp., Senior Secured Notes |
|
10.625% |
|
3/15/15 |
|
1,250,000 |
|
1,418,750 |
| ||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (cont’d)
January 31, 2011
WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Commercial Services & Supplies — continued |
|
|
|
|
|
|
|
|
| ||
|
Republic Services Inc., Senior Notes |
|
5.250% |
|
11/15/21 |
|
|
1,450,000 |
|
$ |
1,532,476 |
|
|
Total Commercial Services & Supplies |
|
|
|
|
|
|
|
2,951,226 |
| ||
|
Construction & Engineering — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Odebrecht Finance Ltd., Senior Notes |
|
7.000% |
|
4/21/20 |
|
1,450,000 |
|
1,569,625 |
(a) | ||
|
Road & Rail — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
FirstGroup PLC, Senior Bonds |
|
8.125% |
|
9/19/18 |
|
1,150,000 |
GBP |
2,154,884 |
| ||
|
RailAmerica Inc., Senior Secured Notes |
|
9.250% |
|
7/1/17 |
|
1,333,000 |
|
1,477,964 |
(c) | ||
|
Total Road & Rail |
|
|
|
|
|
|
|
3,632,848 |
| ||
|
TOTAL INDUSTRIALS |
|
|
|
|
|
|
|
19,498,376 |
| ||
|
INFORMATION TECHNOLOGY — 0.6% |
|
|
|
|
|
|
|
|
| ||
|
Communications Equipment — 0.6% |
|
|
|
|
|
|
|
|
| ||
|
Brocade Communications Systems Inc., |
|
6.625% |
|
1/15/18 |
|
2,000,000 |
|
2,135,000 |
| ||
|
MATERIALS — 8.6% |
|
|
|
|
|
|
|
|
| ||
|
Chemicals — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
CF Industries Inc., Senior Notes |
|
6.875% |
|
5/1/18 |
|
450,000 |
|
495,000 |
| ||
|
CF Industries Inc., Senior Notes |
|
7.125% |
|
5/1/20 |
|
600,000 |
|
668,250 |
| ||
|
Kerling PLC, Senior Secured Notes |
|
10.625% |
|
1/28/17 |
|
606,000 |
EUR |
923,047 |
(a) | ||
|
Solutia Inc., Senior Notes |
|
8.750% |
|
11/1/17 |
|
1,500,000 |
|
1,663,125 |
(c) | ||
|
Total Chemicals |
|
|
|
|
|
|
|
3,749,422 |
| ||
|
Construction Materials — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
HeidelbergCement AG, Senior Notes |
|
8.500% |
|
10/31/19 |
|
610,000 |
EUR |
933,315 |
| ||
|
Containers & Packaging — 1.4% |
|
|
|
|
|
|
|
|
| ||
|
Ardagh Glass Group PLC, Senior Toggle Notes |
|
10.750% |
|
3/1/15 |
|
799,480 |
EUR |
1,146,602 |
(b) | ||
|
Clondalkin Industries BV, Senior Secured Notes |
|
8.000% |
|
3/15/14 |
|
710,000 |
EUR |
962,376 |
(a) | ||
|
Nordenia Holdings GMBH, Senior Secured Bonds |
|
9.750% |
|
7/15/17 |
|
798,000 |
EUR |
1,212,766 |
(a)(g) | ||
|
Reynolds Group Issuer Inc., Senior Notes |
|
9.500% |
|
6/15/17 |
|
630,000 |
EUR |
910,006 |
(a) | ||
|
Suzano Trading Ltd., Senior Notes |
|
5.875% |
|
1/23/21 |
|
970,000 |
|
951,812 |
(a) | ||
|
Total Containers & Packaging |
|
|
|
|
|
|
|
5,183,562 |
| ||
|
Metals & Mining — 4.3% |
|
|
|
|
|
|
|
|
| ||
|
CSN Resources SA, Senior Bonds |
|
6.500% |
|
7/21/20 |
|
1,100,000 |
|
1,174,250 |
(a)(c) | ||
|
Evraz Group SA, Notes |
|
8.875% |
|
4/24/13 |
|
460,000 |
|
497,950 |
(a) | ||
|
Evraz Group SA, Notes |
|
9.500% |
|
4/24/18 |
|
450,000 |
|
510,188 |
(a) | ||
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes |
|
8.375% |
|
4/1/17 |
|
1,710,000 |
|
1,908,972 |
(c) | ||
|
Gerdau Holdings Inc., Senior Notes |
|
7.000% |
|
1/20/20 |
|
1,380,000 |
|
1,518,000 |
(a)(c) | ||
|
Metals USA Inc., Senior Secured Notes |
|
11.125% |
|
12/1/15 |
|
1,000,000 |
|
1,060,000 |
(c) | ||
|
New World Resources NV, Senior Secured Bonds |
|
7.875% |
|
5/1/18 |
|
349,000 |
EUR |
514,866 |
(a) | ||
|
Southern Copper Corp., Senior Notes |
|
6.750% |
|
4/16/40 |
|
1,680,000 |
|
1,720,407 |
(e) | ||
|
Vale Overseas Ltd., Notes |
|
6.250% |
|
1/23/17 |
|
670,000 |
|
748,039 |
| ||
|
Vale Overseas Ltd., Notes |
|
8.250% |
|
1/17/34 |
|
2,146,000 |
|
2,594,016 |
(e) | ||
|
Vale Overseas Ltd., Notes |
|
6.875% |
|
11/21/36 |
|
340,000 |
|
359,517 |
(e) | ||
|
Vedanta Resources PLC, Senior Notes |
|
8.750% |
|
1/15/14 |
|
1,570,000 |
|
1,679,900 |
(a) | ||
|
Vedanta Resources PLC, Senior Notes |
|
9.500% |
|
7/18/18 |
|
260,000 |
|
289,900 |
(a) | ||
|
Xstrata Finance Canada Ltd., Senior Notes |
|
5.250% |
|
6/13/17 |
|
950,000 |
EUR |
1,363,958 |
| ||
|
Total Metals & Mining |
|
|
|
|
|
|
|
15,939,963 |
| ||
|
Paper & Forest Products — 1.6% |
|
|
|
|
|
|
|
|
| ||
|
Celulosa Arauco y Constitucion SA, Senior Notes |
|
7.250% |
|
7/29/19 |
|
1,220,000 |
|
1,388,986 |
(c) | ||
|
M-real OYJ, Senior Notes |
|
8.750% |
|
4/1/13 |
|
730,000 |
EUR |
1,076,939 |
| ||
|
NewPage Corp., Senior Secured Notes |
|
11.375% |
|
12/31/14 |
|
1,500,000 |
|
1,511,250 |
(c) | ||
|
PE Paper Escrow GmbH, Senior Secured Notes |
|
11.750% |
|
8/1/14 |
|
640,000 |
EUR |
1,007,695 |
(a) | ||
|
Smurfit Kappa Acquisitions, Senior Secured Notes |
|
7.750% |
|
11/15/19 |
|
640,000 |
EUR |
939,785 |
(a) | ||
|
Total Paper & Forest Products |
|
|
|
|
|
|
|
5,924,655 |
| ||
|
TOTAL MATERIALS |
|
|
|
|
|
|
|
31,730,917 |
| ||
|
TELECOMMUNICATION SERVICES — 7.6% |
|
|
|
|
|
|
|
|
| ||
|
Diversified Telecommunication Services — 5.2% |
|
|
|
|
|
|
|
|
| ||
|
Axtel SAB de CV, Senior Notes |
|
7.625% |
|
2/1/17 |
|
260,000 |
|
249,275 |
(a)(c) | ||
|
Axtel SAB de CV, Senior Notes |
|
9.000% |
|
9/22/19 |
|
373,000 |
|
368,338 |
(a) | ||
|
British Telecommunications PLC, Senior Bonds |
|
8.750% |
|
12/7/16 |
|
1,200,000 |
GBP |
2,321,343 |
| ||
|
CC Holdings GS V LLC, Senior Secured Notes |
|
7.750% |
|
5/1/17 |
|
2,000,000 |
|
2,210,000 |
(a)(c) | ||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (cont’d)
January 31, 2011
WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Diversified Telecommunication Services — continued |
|
|
|
|
|
|
|
| |||
|
ERC Ireland Preferred Equity Ltd., Senior Notes |
|
8.050% |
|
2/15/17 |
|
|
1,080,814 |
EUR |
$ |
63,094 |
(a)(b)(d) |
|
Koninklijke KPN NV, Senior Notes |
|
7.500% |
|
2/4/19 |
|
1,150,000 |
EUR |
1,913,707 |
| ||
|
Qtel International Finance Ltd., Senior Notes |
|
4.750% |
|
2/16/21 |
|
650,000 |
|
623,413 |
(a) | ||
|
Sunrise Communications Holdings SA, |
|
8.500% |
|
12/31/18 |
|
266,000 |
EUR |
387,867 |
(a) | ||
|
Sunrise Communications International SA, |
|
7.000% |
|
12/31/17 |
|
224,000 |
EUR |
322,791 |
(a) | ||
|
Telecom Italia Capital SA, Senior Notes |
|
7.721% |
|
6/4/38 |
|
500,000 |
|
506,845 |
| ||
|
Telecom Italia SpA, Senior Notes |
|
5.375% |
|
1/29/19 |
|
1,400,000 |
EUR |
1,896,663 |
| ||
|
Telefonica Emisiones SAU, Senior Notes |
|
7.045% |
|
6/20/36 |
|
2,000,000 |
|
2,134,418 |
| ||
|
UBS Luxembourg SA for OJSC Vimpel Communications, Loan Participation Notes |
|
8.250% |
|
5/23/16 |
|
1,150,000 |
|
1,243,437 |
(a)(e) | ||
|
Unitymedia GmbH, Senior Subordinated Notes |
|
9.625% |
|
12/1/19 |
|
640,000 |
EUR |
974,835 |
(a) | ||
|
Vimpel Communications, Notes |
|
6.493% |
|
2/2/16 |
|
200,000 |
|
200,270 |
(a) | ||
|
Wind Acquisition Finance SA, Senior Secured Notes |
|
7.250% |
|
2/15/18 |
|
1,010,000 |
|
1,047,875 |
(a) | ||
|
Wind Acquisition Holdings Finance SpA, Senior Notes |
|
12.250% |
|
7/15/17 |
|
1,705,628 |
EUR |
2,714,740 |
(a)(b) | ||
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
19,178,911 |
| ||
|
Wireless Telecommunication Services — 2.4% |
|
|
|
|
|
|
|
|
| ||
|
America Movil SAB de CV, Senior Notes |
|
5.625% |
|
11/15/17 |
|
2,050,000 |
|
2,271,677 |
(c)(e) | ||
|
America Movil SAB de CV, Senior Notes |
|
6.125% |
|
3/30/40 |
|
650,000 |
|
676,105 |
| ||
|
Sprint Capital Corp., Senior Notes |
|
6.875% |
|
11/15/28 |
|
750,000 |
|
675,000 |
| ||
|
Sprint Capital Corp., Senior Notes |
|
8.750% |
|
3/15/32 |
|
2,000,000 |
|
2,092,500 |
(c) | ||
|
True Move Co., Ltd. |
|
10.750% |
|
12/16/13 |
|
2,530,000 |
|
2,732,400 |
(a)(e) | ||
|
True Move Co., Ltd., Notes |
|
10.750% |
|
12/16/13 |
|
260,000 |
|
280,800 |
(a) | ||
|
Total Wireless Telecommunication Services |
|
|
|
|
|
|
|
8,728,482 |
| ||
|
TOTAL TELECOMMUNICATION SERVICES |
|
|
|
|
|
|
|
27,907,393 |
| ||
|
UTILITIES — 4.6% |
|
|
|
|
|
|
|
|
| ||
|
Electric Utilities — 1.4% |
|
|
|
|
|
|
|
|
| ||
|
AES Ironwood LLC, Secured Notes |
|
8.857% |
|
11/30/25 |
|
132,839 |
|
133,835 |
| ||
|
Centrais Eletricas Brasileiras SA, Senior Notes |
|
6.875% |
|
7/30/19 |
|
1,680,000 |
|
1,887,900 |
(a)(c)(e) | ||
|
ENW Capital Finance PLC, Notes |
|
6.750% |
|
6/20/15 |
|
600,000 |
GBP |
1,038,342 |
(c) | ||
|
Scottish & Southern Energy PLC, Senior Notes |
|
5.750% |
|
2/5/14 |
|
1,200,000 |
GBP |
2,070,232 |
(c) | ||
|
Total Electric Utilities |
|
|
|
|
|
|
|
5,130,309 |
| ||
|
Gas Utilities — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Wales & West Utilities Finance PLC, |
|
5.125% |
|
12/2/16 |
|
650,000 |
GBP |
1,093,731 |
| ||
|
Independent Power Producers & Energy Traders — 1.4% |
|
|
|
|
|
|
| ||||
|
Calpine Corp., Senior Secured Notes |
|
7.500% |
|
2/15/21 |
|
1,000,000 |
|
1,017,500 |
(a) | ||
|
Colbun SA, Senior Notes |
|
6.000% |
|
1/21/20 |
|
1,370,000 |
|
1,419,906 |
(a) | ||
|
Energy Future Holdings Corp., Senior Notes |
|
10.875% |
|
11/1/17 |
|
197,000 |
|
147,750 |
| ||
|
Energy Future Intermediate Holding Co. LLC/EFIH Finance Inc., Senior Secured Notes |
|
10.000% |
|
12/1/20 |
|
512,000 |
|
545,590 |
| ||
|
Mirant Mid Atlantic LLC, Pass-Through Certificates |
|
10.060% |
|
12/30/28 |
|
1,948,589 |
|
2,201,906 |
| ||
|
Total Independent Power Producers & Energy Traders |
|
|
|
|
|
5,332,652 |
| ||||
|
Multi-Utilities — 1.5% |
|
|
|
|
|
|
|
|
| ||
|
Centrica PLC, Senior Notes |
|
6.375% |
|
3/10/22 |
|
1,200,000 |
GBP |
2,116,182 |
| ||
|
Empresas Publicas de Medellin ESP, Senior Notes |
|
7.625% |
|
7/29/19 |
|
1,210,000 |
|
1,389,988 |
(a) | ||
|
Veolia Environnement, Senior Notes |
|
6.750% |
|
4/24/19 |
|
1,200,000 |
EUR |
1,939,116 |
(c) | ||
|
Total Multi-Utilities |
|
|
|
|
|
|
|
5,445,286 |
| ||
|
TOTAL UTILITIES |
|
|
|
|
|
|
|
17,001,978 |
| ||
|
TOTAL CORPORATE BONDS & NOTES (Cost — $313,354,132) |
|
|
|
|
322,439,942 |
| |||||
|
ASSET-BACKED SECURITIES — 3.7% |
|
|
|
|
|
|
|
|
| ||
|
Argent Securities Inc., 2004-W10 A2 |
|
0.650% |
|
10/25/34 |
|
816,891 |
|
760,783 |
(d) | ||
|
Asset Backed Funding Certificates, 2003-WMC1 M1 |
|
1.235% |
|
6/25/33 |
|
2,678,746 |
|
2,435,517 |
(d) | ||
|
Countrywide Asset-Backed Certificates, 2005-5 M1 |
|
0.720% |
|
10/25/35 |
|
1,200,000 |
|
1,133,868 |
(d) | ||
|
Countrywide Home Equity Loan Trust, 2006-HW 2A1B |
|
0.410% |
|
11/15/36 |
|
991,889 |
|
777,198 |
(d) | ||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (cont’d)
January 31, 2011
WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Multi-Utilities — continued |
|
|
|
|
|
|
|
|
| ||
|
Home Equity Asset Trust, 2004-8 M1 |
|
1.130% |
|
3/25/35 |
|
|
641,516 |
|
$ |
583,492 |
(d) |
|
National Collegiate Student Loan Trust, IO, 2004-2 AIO |
|
9.750% |
|
10/27/14 |
|
2,853,000 |
|
418,418 |
(g) | ||
|
National Collegiate Student Loan Trust, IO, 2007-2 AIO |
|
6.700% |
|
7/25/12 |
|
6,050,000 |
|
544,161 |
(g) | ||
|
Park Place Securities Inc., 2004-WCW1 M2 |
|
0.940% |
|
9/25/34 |
|
1,900,000 |
|
1,775,235 |
(d) | ||
|
Residential Asset Mortgage Products Inc., 2003-RZ5 A7 |
|
4.970% |
|
9/25/33 |
|
2,807,857 |
|
2,843,851 |
| ||
|
Residential Asset Securities Corp., 2003-KS10 AI6 |
|
4.540% |
|
12/25/33 |
|
595,945 |
|
600,806 |
(d) | ||
|
Soundview Home Equity Loan Trust, 2005-3 M2 |
|
0.780% |
|
6/25/35 |
|
472,673 |
|
459,769 |
(d) | ||
|
Structured Asset Securities Corp., 2002-HF1 A |
|
0.550% |
|
1/25/33 |
|
1,516,806 |
|
1,383,447 |
(d) | ||
|
TOTAL ASSET-BACKED SECURITIES (Cost — $13,003,669) |
|
|
|
|
|
13,716,545 |
| ||||
|
COLLATERALIZED MORTGAGE OBLIGATIONS — 2.6% |
|
|
|
|
|
|
| ||||
|
ARM Trust, 2004-5 4A1 |
|
5.256% |
|
4/25/35 |
|
1,131,381 |
|
1,093,877 |
(d) | ||
|
Bayview Commercial Asset Trust, IO, 2005-2A |
|
2.870% |
|
8/25/35 |
|
27,291,206 |
|
985,213 |
(a) | ||
|
Bear Stearns ARM Trust, 2005-12 24A1 |
|
5.592% |
|
2/25/36 |
|
108,346 |
|
79,510 |
(d) | ||
|
Countrywide Home Loan Mortgage Pass-Through Trust, 2004-HYB6 A2 |
|
3.095% |
|
11/20/34 |
|
1,968,683 |
|
1,734,265 |
(d) | ||
|
Credit Suisse Mortgage Capital Certificates, |
|
5.588% |
|
7/27/36 |
|
687,951 |
|
686,551 |
(a)(d) | ||
|
GSMPS Mortgage Loan Trust, 2006-RP1 1A2 |
|
7.500% |
|
1/25/36 |
|
370,883 |
|
342,687 |
(a) | ||
|
Harborview Mortgage Loan Trust, 2004-10 4A |
|
2.820% |
|
1/19/35 |
|
501,291 |
|
505,587 |
(d) | ||
|
JPMorgan Mortgage Trust, 2005-A5 1A2 |
|
5.199% |
|
8/25/35 |
|
1,000,000 |
|
919,790 |
(d) | ||
|
Residential Asset Mortgage Products Inc., 2003-SL1 M1 |
|
7.320% |
|
4/25/31 |
|
2,379,768 |
|
1,596,921 |
(d) | ||
|
Sequoia Mortgage Trust, 2003-3 A1 |
|
0.591% |
|
7/20/33 |
|
868,759 |
|
805,447 |
(d) | ||
|
Washington Mutual Inc., Mortgage Pass-Through Certificates, 2007-0A5 1A |
|
1.078% |
|
6/25/47 |
|
1,135,015 |
|
805,718 |
(d) | ||
|
Washington Mutual Inc., Mortgage Pass-Through Certificates, 2007-HY4 4A1 |
|
5.357% |
|
9/25/36 |
|
122,791 |
|
101,014 |
(d) | ||
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $9,437,235) |
|
9,656,580 |
| ||||||||
|
CONVERTIBLE BONDS & NOTES — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
INDUSTRIALS — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Marine — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Horizon Lines Inc., Senior Notes (Cost - $488,588) |
|
4.250% |
|
8/15/12 |
|
556,000 |
|
523,335 |
| ||
|
SOVEREIGN BONDS — 4.9% |
|
|
|
|
|
|
|
|
| ||
|
Brazil — 1.1% |
|
|
|
|
|
|
|
|
| ||
|
Brazil Nota do Tesouro Nacional, Notes |
|
10.000% |
|
1/1/14 |
|
326,000 |
BRL |
182,370 |
| ||
|
Brazil Nota do Tesouro Nacional, Notes |
|
10.000% |
|
1/1/17 |
|
7,211,000 |
BRL |
3,856,863 |
| ||
|
Total Brazil |
|
|
|
|
|
|
|
4,039,233 |
| ||
|
Malaysia — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Government of Malaysia, Senior Bonds |
|
3.835% |
|
8/12/15 |
|
2,270,000 |
MYR |
752,468 |
| ||
|
Peru — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Republic of Peru, Bonds |
|
7.840% |
|
8/12/20 |
|
1,100,000 |
PEN |
453,343 |
| ||
|
Russia — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
RSHB Capital, Loan Participation Notes, |
|
6.299% |
|
5/15/17 |
|
3,070,000 |
|
3,169,775 |
(a)(e) | ||
|
United Arab Emirates — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
MDC-GMTN B.V., Senior Notes |
|
5.750% |
|
5/6/14 |
|
430,000 |
|
472,742 |
(a) | ||
|
MDC-GMTN B.V., Senior Notes |
|
7.625% |
|
5/6/19 |
|
1,250,000 |
|
1,494,263 |
(a)(e) | ||
|
Total United Arab Emirates |
|
|
|
|
|
|
|
1,967,005 |
| ||
|
United Kingdom — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
United Kingdom Treasury Gilt, Bonds |
|
4.500% |
|
3/7/19 |
|
1,019,000 |
GBP |
1,750,145 |
| ||
|
Venezuela — 1.6% |
|
|
|
|
|
|
|
|
| ||
|
Bolivarian Republic of Venezuela |
|
5.750% |
|
2/26/16 |
|
5,293,000 |
|
3,797,727 |
(a)(e) | ||
See Notes to Schedule of Investments.
Schedule of investments (unaudited) (cont’d)
January 31, 2011
WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Venezuela — continued |
|
|
|
|
|
|
|
|
| ||
|
Bolivarian Republic of Venezuela, Senior Bonds |
|
9.250% |
|
9/15/27 |
|
|
3,000,000 |
|
$ |
2,211,000 |
(e) |
|
Total Venezuela |
|
|
|
|
|
|
|
6,008,727 |
| ||
|
TOTAL SOVEREIGN BONDS (Cost — $17,531,172) |
|
|
|
|
|
|
|
18,140,696 |
| ||
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
SHARES |
|
|
| ||
|
PREFERRED STOCKS — 0.0% |
|
|
|
|
|
|
|
|
| ||
|
FINANCIALS — 0.0% |
|
|
|
|
|
|
|
|
| ||
|
Diversified Financial Services — 0.0% |
|
|
|
|
|
|
|
|
| ||
|
Citigroup Capital XIII (Cost - $80,711) |
|
7.875% |
|
|
|
3,050 |
|
81,526 |
(d) | ||
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $353,895,507) |
|
364,558,624 |
| ||||||||
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
FACE |
|
|
| ||
|
SHORT-TERM INVESTMENTS — 1.2% |
|
|
|
|
|
|
|
|
| ||
|
Sovereign Bonds — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Egypt Treasury Bills |
|
9.233% |
|
4/12/11 |
|
|
14,100,000 |
EGP |
2,356,186 |
(h) | |
|
Egypt Treasury Bills |
|
9.151% |
|
4/26/11 |
|
3,825,000 |
EGP |
639,035 |
(h) | ||
|
Total Sovereign Bonds (Cost — $3,030,891) |
|
|
|
|
|
|
|
2,995,221 |
| ||
|
U.S. Government Agencies — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Federal National Mortgage Association (FNMA), |
|
0.240% |
|
5/9/11 |
|
25,000 |
|
24,991 |
(h)(i) | ||
|
Federal National Mortgage Association (FNMA), |
|
0.200% |
|
5/16/11 |
|
125,000 |
|
124,949 |
(h)(i) | ||
|
Total U.S. Government Agencies (Cost — $149,912) |
|
|
|
|
|
149,940 |
| ||||
|
Repurchase Agreements — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Deutsche Bank Securities Inc. repurchase agreement dated 1/31/11; Proceeds at maturity - $1,100,006; (Fully collateralized by U.S. government agency obligations, 0.000% due 6/20/11; Market Value - $1,122,000) |
|
0.200% |
|
2/1/11 |
|
1,100,000 |
|
1,100,000 |
| ||
|
TOTAL SHORT-TERM INVESTMENTS (Cost — $4,280,803) |
|
|
|
|
|
4,245,161 |
| ||||
|
TOTAL INVESTMENTS — 100.0 % (Cost — $358,176,310#) |
|
|
|
|
|
$368,803,785 |
| ||||
|
† |
Face amount denominated in U.S. dollars, unless otherwise noted. | |
|
(a) |
Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors, unless otherwise noted. | |
|
(b) |
Payment-in-kind security for which part of the income earned may be paid as additional principal. | |
|
(c) |
All or a portion of this security is pledged as collateral pursuant to the loan agreement. | |
|
(d) |
Variable rate security. Interest rate disclosed is as of the most recent information available. | |
|
(e) |
All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. | |
|
(f) |
Security has no maturity date. The date shown represents the next call date. | |
|
(g) |
Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1). | |
|
(h) |
Rate shown represents yield-to-maturity. | |
|
(i) |
All or a portion of this security is held at the broker as collateral for open futures contracts. | |
|
# |
Aggregate cost for federal income tax purposes is substantially the same. | |
|
|
| |
|
|
Abbreviations used in this schedule: | |
|
|
ARM |
- Adjustable Rate Mortgage |
|
|
BRL |
- Brazilian Real |
|
|
CAD |
- Canadian Dollar |
|
|
EGP |
- Egyptian Pound |
|
|
EUR |
- Euro |
|
|
GBP |
- British Pound |
|
|
IO |
- Interest Only |
|
|
MYR |
- Malaysian Ringgit |
|
|
OJSC |
- Open Joint Stock Company |
|
|
PEN |
- Peruvian Nuevo Sol |
See Notes to Schedule of Investments.
Notes to Schedule of Investments (unaudited)
1. Organization and Significant Accounting Policies
Western Asset Global Corporate Defined Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland on September 17, 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 Fund’s primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Fund’s net assets to stockholders on or about December 2, 2024. As a secondary investment objective, the Fund will seek capital appreciation. The Fund seeks to achieve its investment objectives by investing 80% of its managed assets in a portfolio of U.S. and foreign corporate fixed-income securities of varying maturities.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment Valuation. Debt securities are valued at the mean between the last quoted bid and asked prices provided by an independent pricing service, which are based on transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and various other relationships between securities. Publicly traded foreign government debt securities are typically traded internationally in the over-the-counter market, and are valued at the mean between the last quoted bid and asked prices as of the close of business of that market. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When 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. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates fair value.
The Fund has adopted Financial Accounting Standards Board Codification Topic 820 (“ASC Topic 820”). ASC Topic 820 establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund’s investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized 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 methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of 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.
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 |
|
OTHER |
|
SIGNIFICANT |
|
TOTAL |
| ||||
|
Long-term investments†: |
|
|
|
|
|
|
|
|
| ||||
|
Corporate bonds & notes |
|
— |
|
$ |
322,439,942 |
|
— |
|
$ |
322,439,942 |
| ||
|
Asset-backed securities |
|
— |
|
12,753,966 |
|
$ |
962,579 |
|
13,716,545 |
| |||
|
Collateralized mortgage obligations |
|
— |
|
9,656,580 |
|
— |
|
9,656,580 |
| ||||
|
Convertible bonds & notes |
|
— |
|
523,335 |
|
— |
|
523,335 |
| ||||
|
Sovereign bonds |
|
— |
|
18,140,696 |
|
— |
|
18,140,696 |
| ||||
|
Preferred stocks |
|
$ |
81,526 |
|
— |
|
— |
|
81,526 |
| |||
|
Total long-term investments |
|
$ |
81,526 |
|
$ |
363,514,519 |
|
$ |
962,579 |
|
$ |
364,558,624 |
|
|
Short-term investments† |
|
— |
|
4,245,161 |
|
— |
|
4,245,161 |
| ||||
|
Total investments |
|
$ |
81,526 |
|
$ |
367,759,680 |
|
$ |
962,579 |
|
$ |
368,803,785 |
|
|
Other financial instruments: |
|
|
|
|
|
|
|
|
| ||||
|
Futures contracts |
|
$ |
90,626 |
|
— |
|
— |
|
$ |
90,626 |
| ||
|
Forward foreign currency contracts |
|
— |
|
$ |
371,033 |
|
— |
|
371,033 |
| |||
|
Total other financial instruments |
|
$ |
90,626 |
|
$ |
371,033 |
|
— |
|
$ |
461,659 |
| |
|
Total |
|
$ |
172,152 |
|
$ |
368,130,713 |
|
$ |
962,579 |
|
$ |
369,265,444 |
|
|
LIABILITIES | |||||||||||
|
|
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
|
| ||
|
DESCRIPTION |
|
(LEVEL 1) |
|
(LEVEL 2) |
|
(LEVEL 3) |
|
TOTAL |
| ||
|
Other financial instruments: |
|
|
|
|
|
|
|
|
| ||
|
Forward foreign currency contracts |
|
— |
|
$ |
56,562 |
|
— |
|
$ |
56,562 |
|
† See Schedule of Investments for additional detailed categorizations.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
INVESTMENTS IN SECURITIES |
|
CORPORATE |
|
ASSET- |
|
TOTAL |
| |||
|
Balance as of October 31, 2010 |
|
$ |
4,275,000 |
|
— |
|
$ |
4,275,000 |
| |
|
Accrued premiums/discounts |
|
— |
|
— |
|
— |
| |||
|
Realized gain (loss) |
|
— |
|
— |
|
— |
| |||
|
Change in unrealized appreciation (depreciation)1 |
|
(9,039 |
) |
|
|
(9,039 |
) | |||
|
Net purchases (sales) |
|
(200,556 |
) |
— |
|
(200,556 |
) | |||
|
Transfers into Level 3 |
|
— |
|
$ |
962,579 |
|
962,579 |
| ||
|
Transfers out of Level 3 |
|
(4,065,405 |
) |
— |
|
(4,065,405 |
) | |||
|
Balance as of January 31, 2011 |
|
— |
|
$ |
962,579 |
|
$ |
962,579 |
| |
|
Net change in unrealized appreciation (depreciation) for investments in securities still held at January 31, 20111 |
|
— |
|
— |
|
— |
| |||
1 Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized.
Notes to Schedule of Investments (unaudited) (continued)
(b) Repurchase Agreements. The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.
(c) Reverse Repurchase Agreements. The Fund may enter into reverse repurchase agreements. Under the terms of a typical reverse repurchase agreement, a Fund sells a security subject to an obligation to repurchase the security from the buyer at an agreed-upon time and price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the fund’s use of the proceeds of the agreement may be restricted pending a determination by the counterparty, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities. In entering into reverse repurchase agreements, the Fund will maintain cash, U.S. government securities or other liquid debt obligations at least equal in value to its obligations with respect to reverse repurchase agreements or will take other actions permitted by law to cover its obligations.
(d) Futures Contracts. The Fund uses futures contracts to gain exposure to, or hedge against, changes in the value of interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded.
Futures contracts involve, to varying degrees, risk of loss. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(e) Forward Foreign Currency Contracts. The Fund enters 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.
When entering into a forward foreign currency contract, 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.
(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.
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.
Notes to Schedule of Investments (unaudited) (continued)
(g) Stripped Securities. The Fund may invest in ‘‘Stripped Securities,’’ a term used collectively for components, or strips, of fixed income securities. Stripped securities can be principal only securities (“PO”), which are debt obligations that have been stripped of unmatured interest coupons or, interest only securities (“IO”), which are unmatured interest coupons that have been stripped from debt obligations. The market value of Stripped Securities will fluctuate in response to changes in economic conditions, rates of pre-payment, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation may increase with a longer period of maturity.
The yield to maturity on IO’s is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IO’s.
(h) Loan Participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund’s investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement related to the loan, or any rights of off-set against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.
The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any off-set between the lender and the borrower.
(i) Credit and Market Risk. The Fund invests in high-yield and emerging market instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Fund’s investment 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. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Fund. The Fund’s investment in non-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.
(j) 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 Fund’s investment manager 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 investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events 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 Fund’s net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
As of January 31, 2011, the Fund held forward foreign currency with credit related contingent features which had a liability position of $56,562. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives counterparties.
(k) Security Transactions. Security transactions are accounted for on a trade date basis.
Notes to Schedule of Investments (unaudited) (continued)
2. Investments
At January 31, 2011, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
Gross unrealized appreciation |
|
$18,861,476 |
|
|
Gross unrealized depreciation |
|
(8,234,001 |
) |
|
Net unrealized appreciation |
|
$10,627,475 |
|
At January 31, 2011, the Fund had the following open futures contracts:
|
|
|
NUMBER OF |
|
EXPIRATION |
|
BASIS |
|
MARKET |
|
UNREALIZED |
|
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 10-Year Notes |
|
8 |
|
3/11 |
|
$995,662 |
|
$966,375 |
|
$29,287 |
|
|
U.S. Treasury 30-Year Bonds |
|
11 |
|
3/11 |
|
1,388,214 |
|
1,326,875 |
|
61,339 |
|
|
Net unrealized gain on open futures contracts |
|
|
|
|
|
|
|
|
|
$90,626 |
|
Transactions in reverse repurchase agreements for the Fund during the period ended January 31, 2011 were as follows:
|
Average |
|
Weighted |
|
Maximum |
|
Daily |
|
Average |
|
Amount |
|
Balance* |
|
Interest Rate* |
|
Outstanding |
|
$25,947,840 |
|
0.959% |
|
$26,117,248 |
*Averages based on the number of days the Fund had reverse repurchase agreements outstanding.
Interest rates on reverse repurchase agreements ranged from 0.650% to 1.250% during the period ended January 31, 2011. Interest expense incurred on reverse repurchase agreements totaled $63,578.
At January 31, 2011, the Fund had the following open reverse repurchase agreements:
|
Security |
|
Face Amount |
| |
|
Reverse repurchase agreement with Credit Suisse, dated 11/3/10 bearing 0.750% to be repurchased at $518,973 on 3/15/11, collateralized by: $500,000 Centrais Eletricas Brasileiras SA, 6.875% due 7/30/19; Market value (including accrued interest) $567,180 |
|
$ |
517,550 |
|
|
|
|
|
|
|
|
Reverse repurchase agreement with Credit Suisse, dated 11/4/10 bearing 0.850% to be repurchased at $1,457,043 on 3/15/11, collateralized by: $1,900,000 ICICI Bank Ltd., 6.375% due 4/30/22; Market value (including accrued interest) $1,926,701 |
|
1,452,550 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Credit Suisse, dated 11/4/10 bearing 0.850% to be repurchased at $742,891 on 3/15/11, collateralized by: $1,000,000 AES El Salvador Trust, 6.750% due 2/1/16; Market value (including accrued interest) $1,012,617 |
|
740,600 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Credit Suisse, dated 11/4/10 bearing 0.750% to be repurchased at $1,170,686 on 3/15/11, collateralized by: $1,250,000 MDC-GMTN B.V., 7.625% due 5/6/19; Market value (including accrued interest) $1,517,169 |
|
1,167,500 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Credit Suisse, dated 11/24/10 bearing 0.650% to be repurchased at $1,724,790 on 3/15/11, collateralized by: $1,800,000 America Movil SAB de CV, 5.625% due 11/15/17; Market value (including accrued interest) $2,016,459 |
|
1,721,340 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Credit Suisse, dated 12/22/10 bearing 0.850% to be repurchased at $2,042,416 on 3/15/11, collateralized by: $2,530,000 True Move Co., Ltd., 10.750% due 12/16/13; Market value (including accrued interest) $2,767,518 |
|
2,038,421 |
| |
Notes to Schedule of Investments (unaudited) (continued)
|
Security |
|
Face Amount |
| |
|
Reverse repurchase agreement with Credit Suisse, dated 12/31/10 bearing 0.850% to be repurchased at $1,456,520 on 3/15/11, collateralized by: $1,650,000 Ecopetrol SA, 7.625% due 7/23/19; Market value (including accrued interest) $1,921,253 |
|
$ |
1,453,980 |
|
|
|
|
|
| |
|
Reverse repurchase agreement with Deutsche Bank Securities Inc., dated 1/12/10 bearing 1.100% to be repurchased at $2,837,560 on 3/18/11, collateralized by: $3,070,000 RSHB Capital, Loan Participation Notes, 6.299% due 5/15/17; Market value (including accrued interest) $3,211,442 |
|
2,800,761 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Deutsche Bank Securities Inc., dated 1/12/10 bearing 1.100% to be repurchased at an amount and date to be determined, collateralized by: $2,750,000 TNK-BP Finance SA, 7.875% due 3/13/18; Market value (including accrued interest) $3,193,502 |
|
2,628,175 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Deutsche Bank Securities Inc., dated 1/12/10 bearing 1.250% to be repurchased at $2,023,569 on 3/18/11, collateralized by: $3,000,000 Bolivarian Republic of Venezuela, 9.250% due 9/15/27; Market value (including accrued interest) $2,317,554 |
|
1,993,800 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Deutsche Bank Securities Inc., dated 1/12/10 bearing 1.250% to be repurchased at $2,304,704 on 3/18/11, collateralized by: $3,500,000 Bolivarian Republic of Venezuela, 5.750% due 2/26/16; Market value (including accrued interest) $2,598,203 |
|
2,270,800 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Deutsche Bank Securities Inc., dated 1/12/10 bearing 1.100% to be repurchased at an amount and date to be determined, collateralized by: $1,150,000 UBS Luxembourg SA for OJSC Vimpel Communications, 8.250% due 5/23/16; Market value (including accrued interest) $1,261,783 |
|
1,081,460 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Deutsche Bank Securities Inc., dated 1/27/10 bearing 0.850% to be repurchased at an amount and date to be determined, collateralized by: $1,780,000 Petronas Capital Ltd., 5.250% due 8/12/19; Market value (including accrued interest) $1,933,338 |
|
1,682,100 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Deutsche Bank Securities Inc., dated 9/14/10 bearing 0.850% to be repurchased at an amount and date to be determined, collateralized by: $300,000 Vale Overseas Ltd., 6.875% due 11/21/36; Market value (including accrued interest) $321,323 |
|
284,090 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Deutsche Bank Securities Inc., dated 10/7/10 bearing 0.850% to be repurchased at an amount and date to be determined, collateralized by: $1,680,000 Southern Copper Corp., 6.750% due 4/16/40; Market value (including accrued interest) $1,754,054 |
|
1,692,600 |
| |
|
|
|
|
| |
|
Reverse repurchase agreement with Deutsche Bank Securities Inc., dated 10/7/10 bearing 0.850% to be repurchased at an amount and date to be determined, collateralized by: $2,146,000 Vale Overseas Ltd., 8.250% due 1/17/34; Market value (including accrued interest) $2,601,352 |
|
2,319,826 |
| |
|
|
|
|
| |
|
Total Reverse Repurchase Agreements (Proceeds — $25,845,553) |
|
$ |
25,845,553 |
|
At January 31, 2011, the Fund had the following open forward foreign currency contracts:
|
FOREIGN CURRENCY |
|
COUNTERPARTY |
|
LOCAL |
|
MARKET |
|
SETTLEMENT |
|
UNREALIZED |
| ||
|
Contracts to Buy: |
|
|
|
|
|
|
|
|
|
|
| ||
|
Euro |
|
Morgan Stanley |
|
500,000 |
|
$ |
684,458 |
|
2/14/11 |
|
$ |
28,412 |
|
|
Euro |
|
UBS AG |
|
1,325,928 |
|
1,815,085 |
|
2/14/11 |
|
15,085 |
| ||
|
Euro |
|
UBS AG |
|
1,461,340 |
|
2,000,453 |
|
2/14/11 |
|
453 |
| ||
|
|
|
|
|
|
|
|
|
|
|
43,950 |
| ||
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
| ||
|
British Pound |
|
Morgan Stanley |
|
18,456,741 |
|
29,562,096 |
|
2/14/11 |
|
198,014 |
| ||
|
Canadian Dollar |
|
Morgan Stanley |
|
2,000,000 |
|
1,996,773 |
|
2/14/11 |
|
(2,497 |
) | ||
|
Euro |
|
Morgan Stanley |
|
37,767,932 |
|
51,701,161 |
|
2/14/11 |
|
120,785 |
| ||
|
Euro |
|
UBS AG |
|
1,000,000 |
|
1,368,917 |
|
2/14/11 |
|
(54,065 |
) | ||
|
Euro |
|
UBS AG |
|
2,225,000 |
|
3,045,840 |
|
2/14/11 |
|
8,284 |
| ||
|
|
|
|
|
|
|
|
|
|
|
270,521 |
| ||
|
Net unrealized gain on open forward foreign currency contracts |
|
|
|
|
|
$ |
314,471 |
| |||||
Notes to Schedule of Investments (unaudited) (continued)
4. Derivative Instruments and Hedging Activities
Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entity’s derivative and hedging activities.
The following is a summary of the Fund’s derivative instruments categorized by risk exposure at January 31, 2011.
|
|
|
Futures Contracts |
|
Forward Foreign Currency |
|
|
| ||||||||
|
Primary Underlying Risk |
|
Unrealized |
|
Unrealized |
|
Unrealized |
|
Unrealized |
|
Total |
| ||||
|
Interest Rate Contracts |
|
$ |
90,626 |
|
— |
|
— |
|
— |
|
$ |
90,626 |
| ||
|
Foreign Exchange Contracts |
|
— |
|
— |
|
$ |
371,033 |
|
$ |
(56,562 |
) |
314,471 |
| ||
|
Total |
|
$ |
90,626 |
|
— |
|
$ |
371,033 |
|
$ |
(56,562 |
) |
$ |
405,097 |
|
During the period ended January 31, 2011, the volume of derivative activity for the Fund was as follows:
|
|
|
Average Market |
| |
|
Futures contracts (to sell) |
|
$ |
2,360,914 |
|
|
Forward foreign currency contracts (to buy) |
|
4,270,664 |
| |
|
Forward foreign currency contracts (to sell) |
|
87,778,922 |
| |
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s 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 registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
|
Western Asset Global Corporate Defined Opportunity Fund Inc. | ||
|
|
| |
|
|
| |
|
By |
/s/ R. Jay Gerken |
|
|
|
R. Jay Gerken |
|
|
|
Chief Executive Officer |
|
|
|
| |
|
Date: March 25, 2011 |
| |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By |
/s/ R. Jay Gerken |
|
|
|
R. Jay Gerken |
|
|
|
Chief Executive Officer |
|
|
|
| |
|
Date: March 25, 2011 |
| |
|
|
| |
|
By |
/s/ Kaprel Ozsolak |
|
|
|
Kaprel Ozsolak |
|
|
|
Chief Financial Officer |
|
|
|
| |
|
Date: March 25, 2011 |
| |