UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-22334

 

Western Asset Global Corporate Defined Opportunity Fund Inc.

(Exact name of registrant as specified in charter)

 

620 Eighth Avenue, 49th Floor, New York, NY

 

10018

(Address of principal executive offices)

 

(Zip code)

 

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

1-888-777-0102

 

 

Date of fiscal year end:

October 31

 

 

Date of reporting period:

January 31, 2012

 

 


 

ITEM 1.              SCHEDULE OF INVESTMENTS

 


 

WESTERN ASSET GLOBAL CORPORATE
DEFINED OPPORTUNITY FUND INC.

 

FORM N-Q

JANUARY 31, 2012

 


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited)

January 31, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

CORPORATE BONDS & NOTES — 103.0%

 

 

 

 

 

 

 

 

 

CONSUMER DISCRETIONARY — 15.3%

 

 

 

 

 

 

 

 

 

Auto Components — 0.9%

 

 

 

 

 

 

 

 

 

Europcar Groupe SA, Senior Notes

 

9.375%

 

4/15/18

 

785,000

EUR

$

610,957

(a)

Hertz Holdings Netherlands BV, Senior Secured Bonds

 

8.500%

 

7/31/15

 

1,420,000

EUR

1,985,129

(a)

Total Auto Components

 

 

 

 

 

 

 

2,596,086

 

Automobiles — 0.8%

 

 

 

 

 

 

 

 

 

Ford Motor Credit Co., LLC, Senior Notes

 

12.000%

 

5/15/15

 

2,000,000

 

2,510,000

 

Diversified Consumer Services — 1.1%

 

 

 

 

 

 

 

 

 

Dignity Finance PLC, Secured Bonds

 

6.310%

 

12/31/23

 

520,813

GBP

986,093

(a)

Odeon & UCI Finco PLC, Senior Secured Notes

 

9.000%

 

8/1/18

 

559,000

GBP

872,064

(a)

Stonemor Operating LLC/Cornerstone Family Services of WV/Osiris Holding, Senior Notes

 

10.250%

 

12/1/17

 

1,500,000

 

1,387,500

(b)

Total Diversified Consumer Services

 

 

 

 

 

 

 

3,245,657

 

Hotels, Restaurants & Leisure — 2.2%

 

 

 

 

 

 

 

 

 

Caesars Entertainment Operating Co. Inc., Senior Secured Notes

 

11.250%

 

6/1/17

 

1,000,000

 

1,088,750

 

Landry’s Acquisition Co., Secured Notes

 

11.625%

 

12/1/15

 

220,000

 

237,050

(a)

Landry’s Restaurants Inc., Senior Secured Notes

 

11.625%

 

12/1/15

 

1,000,000

 

1,077,500

 

MGM Resorts International, Senior Notes

 

11.375%

 

3/1/18

 

1,000,000

 

1,152,500

 

Mitchells & Butlers Finance PLC, Secured Notes

 

5.965%

 

12/15/25

 

569,866

GBP

963,576

 

Mohegan Tribal Gaming Authority, Senior Secured Notes

 

11.500%

 

11/1/17

 

1,000,000

 

945,000

(a)

NCL Corp. Ltd., Senior Secured Notes

 

11.750%

 

11/15/16

 

1,000,000

 

1,170,000

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

6,634,376

 

Household Durables — 0.8%

 

 

 

 

 

 

 

 

 

Norcraft Cos. LP/Norcraft Finance Corp., Senior Secured Notes

 

10.500%

 

12/15/15

 

2,500,000

 

2,331,250

(b)

Media — 8.9%

 

 

 

 

 

 

 

 

 

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

 

7.875%

 

4/30/18

 

2,030,000

 

2,212,700

(b)

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

 

8.125%

 

4/30/20

 

1,570,000

 

1,744,662

(b)

Comcast Corp., Senior Notes

 

5.700%

 

7/1/19

 

1,800,000

 

2,130,070

(b)

Daily Mail & General Trust PLC, Senior Bonds

 

5.750%

 

12/7/18

 

1,280,000

GBP

2,045,909

 

Grupo Televisa SA, Senior Bonds

 

6.625%

 

1/15/40

 

1,730,000

 

1,982,864

(b)

ITV PLC, Senior Notes

 

10.000%

 

6/30/14

 

600,000

EUR

873,515

 

Musketeer GmbH, Senior Secured Notes

 

9.500%

 

3/15/21

 

300,000

EUR

412,036

(a)

Nara Cable Funding Ltd., Senior Secured Notes

 

8.875%

 

12/1/18

 

1,000,000

EUR

1,209,946

(a)

NET Servicos de Comunicacao SA, Bonds

 

7.500%

 

1/27/20

 

920,000

 

1,074,100

 

Ono Finance II PLC, Senior Bonds

 

11.125%

 

7/15/19

 

500,000

EUR

586,987

(a)

Pearson PLC, Senior Bonds

 

7.000%

 

10/27/14

 

1,200,000

GBP

2,135,855

 

Reed Elsevier Capital Inc., Notes

 

8.625%

 

1/15/19

 

870,000

 

1,082,766

(b)

Time Warner Cable Inc., Senior Notes

 

8.750%

 

2/14/19

 

1,500,000

 

1,975,057

(b)

UPC Holding BV, Senior Secured Notes

 

9.750%

 

4/15/18

 

310,000

EUR

425,770

(a)

UPCB Finance II Ltd., Senior Notes

 

6.375%

 

7/1/20

 

1,000,000

EUR

1,268,808

(a)

Videotron Ltee, Senior Notes

 

7.125%

 

1/15/20

 

2,000,000

CAD

2,079,386

(a)

Vivendi SA, Senior Notes

 

4.750%

 

7/13/21

 

1,300,000

EUR

1,748,797

 

Ziggo Bond Co. BV, Senior Notes

 

8.000%

 

5/15/18

 

750,000

EUR

1,032,542

(a)

Total Media

 

 

 

 

 

 

 

26,021,770

 

Multiline Retail — 0.1%

 

 

 

 

 

 

 

 

 

Neiman Marcus Group Inc., Senior Secured Notes

 

7.125%

 

6/1/28

 

180,000

 

166,275

 

Specialty Retail — 0.5%

 

 

 

 

 

 

 

 

 

Edcon Proprietary Ltd., Senior Notes

 

4.676%

 

6/15/14

 

960,000

EUR

1,023,418

(a)(c)

Edcon Proprietary Ltd., Senior Secured Notes

 

9.500%

 

3/1/18

 

300,000

EUR

335,515

(a)

Total Specialty Retail

 

 

 

 

 

 

 

1,358,933

 

TOTAL CONSUMER DISCRETIONARY

 

 

 

 

 

 

 

44,864,347

 

 

See Notes to Schedule of Investments.

 

1


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

January 31, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

CONSUMER STAPLES — 7.0%

 

 

 

 

 

 

 

 

 

Food & Staples Retailing — 1.2%

 

 

 

 

 

 

 

 

 

CVS Caremark Corp., Senior Notes

 

6.125%

 

9/15/39

 

1,000,000

 

$

1,243,421

(b)

Tesco PLC, Senior Notes

 

6.125%

 

2/24/22

 

1,200,000

GBP

2,217,292

 

Total Food & Staples Retailing

 

 

 

 

 

 

 

3,460,713

 

Food Products — 1.1%

 

 

 

 

 

 

 

 

 

Boparan Holdings Ltd., Senior Notes

 

9.875%

 

4/30/18

 

700,000

GBP

1,025,846

(a)

Campofrio Food Group SA, Senior Notes

 

8.250%

 

10/31/16

 

530,000

EUR

720,997

(a)

Foodcorp Ltd., Senior Secured Notes

 

8.750%

 

3/1/18

 

360,000

EUR

447,353

(a)

Smithfield Foods Inc., Senior Secured Notes

 

10.000%

 

7/15/14

 

801,000

 

945,180

 

Total Food Products

 

 

 

 

 

 

 

3,139,376

 

Personal Products — 0.2%

 

 

 

 

 

 

 

 

 

Hypermarcas SA, Notes

 

6.500%

 

4/20/21

 

760,000

 

718,200

(a)

Tobacco — 4.5%

 

 

 

 

 

 

 

 

 

Altria Group Inc., Senior Notes

 

9.700%

 

11/10/18

 

2,600,000

 

3,585,468

(b)

BAT International Finance PLC, Senior Notes

 

4.875%

 

2/24/21

 

1,450,000

EUR

2,167,298

 

Imperial Tobacco Finance PLC, Senior Notes

 

8.375%

 

2/17/16

 

1,150,000

EUR

1,828,187

 

Lorillard Tobacco Co., Senior Notes

 

8.125%

 

6/23/19

 

2,305,000

 

2,812,330

(b)

Reynolds American Inc., Senior Notes

 

6.750%

 

6/15/17

 

2,340,000

 

2,729,458

(b)

Total Tobacco

 

 

 

 

 

 

 

13,122,741

 

TOTAL CONSUMER STAPLES

 

 

 

 

 

 

 

20,441,030

 

ENERGY — 12.0%

 

 

 

 

 

 

 

 

 

Energy Equipment & Services — 0.1%

 

 

 

 

 

 

 

 

 

Parker Drilling Co., Senior Notes

 

9.125%

 

4/1/18

 

300,000

 

319,500

 

Oil, Gas & Consumable Fuels — 11.9%

 

 

 

 

 

 

 

 

 

Anadarko Petroleum Corp., Senior Notes

 

6.450%

 

9/15/36

 

1,370,000

 

1,641,713

(b)

Dolphin Energy Ltd., Senior Secured Bonds

 

5.888%

 

6/15/19

 

1,812,235

 

1,945,887

(a)

Ecopetrol SA, Senior Notes

 

7.625%

 

7/23/19

 

1,650,000

 

2,004,750

(b)

Energy Transfer Partners LP, Senior Notes

 

9.700%

 

3/15/19

 

1,000,000

 

1,266,161

(b)

Enterprise Products Operating LLC, Senior Notes

 

6.500%

 

1/31/19

 

1,290,000

 

1,527,383

(b)

Indo Energy Finance BV, Senior Notes

 

7.000%

 

5/7/18

 

470,000

 

484,100

(a)

KazMunaiGaz Finance Sub BV, Senior Notes

 

8.375%

 

7/2/13

 

980,000

 

1,051,246

(a)

KazMunaiGaz Finance Sub BV, Senior Notes

 

11.750%

 

1/23/15

 

675,000

 

821,812

(a)

Kinder Morgan Energy Partners LP, Medium-Term Notes

 

6.950%

 

1/15/38

 

1,180,000

 

1,363,481

(b)

LUKOIL International Finance BV, Bonds

 

6.356%

 

6/7/17

 

310,000

 

330,925

(a)

LUKOIL International Finance BV, Bonds

 

6.656%

 

6/7/22

 

1,860,000

 

1,962,300

(a)

Novatek Finance Ltd., Notes

 

6.604%

 

2/3/21

 

750,000

 

788,438

(a)

Pemex Project Funding Master Trust, Senior Bonds

 

6.625%

 

6/15/35

 

910,000

 

1,030,575

 

Petrobras International Finance Co., Senior Notes

 

6.750%

 

1/27/41

 

760,000

 

869,223

 

Petroleum Co. of Trinidad & Tobago Ltd., Senior Notes

 

9.750%

 

8/14/19

 

2,590,000

 

3,101,525

(a)

Petronas Capital Ltd.

 

5.250%

 

8/12/19

 

700,000

 

793,596

(a)

Petronas Capital Ltd., Senior Notes

 

5.250%

 

8/12/19

 

1,780,000

 

2,018,000

(a)

Plains Exploration & Production Co., Senior Notes

 

8.625%

 

10/15/19

 

1,500,000

 

1,695,000

 

Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Bonds

 

6.750%

 

9/30/19

 

2,280,000

 

2,710,350

(a)(b)

Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Notes

 

5.500%

 

9/30/14

 

1,050,000

 

1,126,125

(a)

SandRidge Energy Inc., Senior Notes

 

9.875%

 

5/15/16

 

1,000,000

 

1,080,000

(a)

TNK-BP Finance SA, Senior Notes

 

7.875%

 

3/13/18

 

4,150,000

 

4,679,125

(a)(b)

Williams Partners LP, Senior Notes

 

5.250%

 

3/15/20

 

610,000

 

673,540

(b)

Total Oil, Gas & Consumable Fuels

 

 

 

 

 

 

 

34,965,255

 

TOTAL ENERGY

 

 

 

 

 

 

 

35,284,755

 

FINANCIALS — 31.8%

 

 

 

 

 

 

 

 

 

Capital Markets — 3.7%

 

 

 

 

 

 

 

 

 

Credit Suisse AG, Subordinated Notes

 

5.400%

 

1/14/20

 

320,000

 

324,134

(b)

Credit Suisse London, Subordinated Notes

 

6.750%

 

1/16/23

 

2,500,000

GBP

3,955,642

(c)

 

See Notes to Schedule of Investments.

 

2


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

January 31, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Capital Markets — continued

 

 

 

 

 

 

 

 

 

Goldman Sachs Capital II, Junior Subordinated Bonds

 

5.793%

 

6/1/12

 

1,300,000

 

$

893,750

(b)(c)

Goldman Sachs Group Inc.

 

5.500%

 

10/12/21

 

600,000

GBP

868,517

 

Goldman Sachs Group Inc., Subordinated Notes

 

4.750%

 

10/12/21

 

2,700,000

EUR

3,029,620

 

UBS AG London, Senior Notes

 

6.375%

 

7/20/16

 

1,050,000

GBP

1,854,930

 

Total Capital Markets

 

 

 

 

 

 

 

10,926,593

 

Commercial Banks — 16.0%

 

 

 

 

 

 

 

 

 

Australia & New Zealand Banking Group Ltd., Subordinated Bonds

 

6.540%

 

6/15/12

 

450,000

GBP

710,493

(c)(d)

Australia & New Zealand Banking Group Ltd., Subordinated Notes

 

5.125%

 

9/10/19

 

1,250,000

EUR

1,734,515

 

BankAmerica Capital II, Junior Subordinated Bonds

 

8.000%

 

12/15/26

 

800,000

 

788,000

(b)

BankAmerica Institutional Capital A, Junior Subordinated Bonds

 

8.070%

 

12/31/26

 

1,240,000

 

1,221,400

(a)(b)

BankAmerica Institutional Capital B, Junior Subordinated Bonds

 

7.700%

 

12/31/26

 

850,000

 

813,875

(a)

BB&T Capital Trust II, Junior Subordinated Notes

 

6.750%

 

6/7/36

 

660,000

 

693,165

(b)

BB&T Capital Trust IV, Junior Subordinated Debentures

 

6.820%

 

6/12/57

 

2,700,000

 

2,737,125

(b)(c)

BBVA International Preferred SA Unipersonal

 

9.100%

 

10/21/14

 

400,000

GBP

542,202

(c)(d)

Commonwealth Bank of Australia, Subordinated Notes

 

5.500%

 

8/6/19

 

1,200,000

EUR

1,696,791

 

Credit Agricole SA, Junior Subordinated Notes

 

7.875%

 

10/26/19

 

400,000

EUR

455,201

(c)(d)

Credit Agricole SA, Subordinated Notes

 

8.375%

 

10/13/19

 

2,530,000

 

2,087,250

(a)(c)(d)

Fortis Bank SA/NV, Junior Subordinated Notes

 

4.625%

 

10/27/14

 

1,900,000

EUR

1,814,265

(a)(c)(d)

Fortis Bank SA/NV, Senior Subordinated Notes

 

5.757%

 

10/4/17

 

1,200,000

EUR

1,553,696

 

HSBC Capital Funding LP, Junior Subordinated Bonds

 

5.369%

 

3/24/14

 

1,900,000

EUR

2,286,471

(c)(d)

ING Bank NV, Subordinated Notes

 

6.875%

 

5/29/23

 

2,850,000

GBP

4,305,337

(c)

Intesa Sanpaolo SpA, Subordinated Notes

 

6.625%

 

5/8/18

 

1,200,000

EUR

1,456,369

 

Intesa Sanpaolo SpA, Subordinated Notes

 

8.375%

 

10/14/19

 

450,000

EUR

474,135

(c)(d)

Lloyds TSB Bank PLC, Notes

 

5.800%

 

1/13/20

 

520,000

 

530,616

(a)

Matalan Finance Ltd., Senior Notes

 

9.625%

 

3/31/17

 

66,000

GBP

59,282

(a)

National Australia Bank Ltd., Subordinated Notes

 

6.750%

 

6/26/23

 

2,750,000

EUR

3,911,591

(c)

National Capital Trust I

 

5.620%

 

12/17/18

 

266,000

GBP

358,384

(a)(c)(d)

Rabobank Nederland NV, Junior Subordinated Notes

 

11.000%

 

6/30/19

 

1,997,000

 

2,483,082

(a)(c)(d)

Resona Preferred Global Securities Cayman Ltd., Junior Subordinated Bonds

 

7.191%

 

7/30/15

 

90,000

 

92,651

(a)(b)(c)(d)

Royal Bank of Scotland Group PLC, Subordinated Notes

 

5.000%

 

10/1/14

 

4,000,000

 

3,831,964

(b)

Royal Bank of Scotland PLC, Senior Notes

 

5.375%

 

9/30/19

 

1,300,000

EUR

1,700,988

 

Santander Finance Preferred SA Unipersonal, Subordinated Bonds

 

11.300%

 

7/27/14

 

350,000

GBP

526,711

(c)(d)

Skandinaviska Enskilda Banken AB, Subordinated Notes

 

9.250%

 

3/31/15

 

450,000

EUR

628,297

(c)(d)

Societe Generale, Subordinated Notes

 

9.375%

 

9/4/19

 

1,550,000

EUR

1,807,901

(c)(d)

Standard Chartered Bank, Subordinated Notes

 

5.875%

 

9/26/17

 

1,250,000

EUR

1,732,853

(a)

Standard Chartered Bank, Subordinated Notes

 

7.750%

 

4/3/18

 

1,000,000

GBP

1,761,504

 

USB Capital XIII Trust, Junior Subordinated Notes

 

6.625%

 

12/15/39

 

1,500,000

 

1,538,520

(b)

Wachovia Capital Trust III, Junior Subordinated Bonds

 

5.570%

 

3/19/12

 

760,000

 

674,523

(c)(d)

Total Commercial Banks

 

 

 

 

 

 

 

47,009,157

 

Consumer Finance — 2.2%

 

 

 

 

 

 

 

 

 

American Express Co., Subordinated Debentures

 

6.800%

 

9/1/66

 

1,820,000

 

1,845,025

(b)(c)

Fiat Finance & Trade Ltd. SA, Senior Notes

 

6.125%

 

7/8/14

 

146,000

EUR

188,111

 

SLM Corp., Medium-Term Notes

 

8.000%

 

3/25/20

 

1,880,000

 

2,006,900

(b)

SLM Corp., Medium-Term Notes, Senior Notes

 

5.050%

 

11/14/14

 

2,400,000

 

2,418,417

(b)

Total Consumer Finance

 

 

 

 

 

 

 

6,458,453

 

Diversified Financial Services — 6.0%

 

 

 

 

 

 

 

 

 

AES El Salvador Trust, Senior Notes

 

6.750%

 

2/1/16

 

1,000,000

 

990,000

(a)

Bank of America Corp., Senior Notes

 

6.500%

 

8/1/16

 

110,000

 

117,406

 

 

See Notes to Schedule of Investments.

 

3


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

January 31, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Diversified Financial Services — continued

 

 

 

 

 

 

 

 

 

Citigroup Inc., Senior Notes

 

7.375%

 

9/4/19

 

1,300,000

EUR

$

1,978,996

 

Countrywide Capital III, Junior Subordinated Notes

 

8.050%

 

6/15/27

 

3,000,000

 

2,880,000

 

General Electric Capital Corp., Subordinated Bonds

 

5.500%

 

9/15/67

 

940,000

EUR

1,082,019

(a)(c)

General Electric Capital Corp., Subordinated Debentures

 

6.375%

 

11/15/67

 

1,200,000

 

1,197,000

(b)(c)

International Lease Finance Corp., Senior Notes

 

8.750%

 

3/15/17

 

3,000,000

 

3,292,500

(b)

International Lease Finance Corp., Senior Notes

 

6.250%

 

5/15/19

 

1,130,000

 

1,108,907

(b)

ISS Financing PLC, Senior Secured Bonds

 

11.000%

 

6/15/14

 

560,000

EUR

781,073

(a)

JPMorgan Chase Capital XVIII, Bonds

 

6.950%

 

8/17/36

 

1,440,000

 

1,470,303

(b)

JPMorgan Chase Capital XXVII, Junior Subordinated Notes

 

7.000%

 

11/1/39

 

1,000,000

 

1,022,600

(b)

MUFG Capital Finance 4 Ltd., Junior Subordinated Bonds

 

5.271%

 

1/25/17

 

550,000

EUR

720,327

(c)(d)

Telenet Finance III Luxembourg S.C.A., Senior Secured Notes

 

6.625%

 

2/15/21

 

800,000

EUR

1,030,743

(a)

Total Diversified Financial Services

 

 

 

 

 

 

 

17,671,874

 

Insurance — 3.7%

 

 

 

 

 

 

 

 

 

American International Group Inc., Senior Notes

 

8.250%

 

8/15/18

 

1,200,000

 

1,385,365

(b)

Aviva PLC, Subordinated Notes

 

5.250%

 

10/2/23

 

1,300,000

EUR

1,649,451

(c)

AXA SA, Junior Subordinated Notes

 

5.777%

 

7/6/16

 

500,000

EUR

515,044

(c)(d)

AXA SA, Junior Subordinated Notes

 

6.463%

 

12/14/18

 

2,000,000

 

1,490,000

(a)(c)(d)

ELM BV

 

5.252%

 

5/25/16

 

550,000

EUR

618,707

(c)(d)

Farmers Insurance Exchange, Subordinated Notes

 

8.625%

 

5/1/24

 

1,295,000

 

1,641,409

(a)

Generali Finance BV, Junior Subordinated Bonds

 

5.317%

 

6/16/16

 

500,000

EUR

489,912

(c)(d)

MetLife Capital Trust IV, Junior Subordinated Notes

 

7.875%

 

12/15/37

 

300,000

 

321,750

(a)

Muenchener Rueckversicherungs-Gesellschaft AG (MunichRe), Subordinated Bonds

 

5.767%

 

6/12/17

 

500,000

EUR

562,724

(c)(d)

QBE Insurance Group Ltd., Senior Notes

 

6.125%

 

9/28/15

 

550,000

GBP

913,710

(a)

Travelers Cos. Inc., Senior Notes

 

5.350%

 

11/1/40

 

1,150,000

 

1,340,693

(b)

Total Insurance

 

 

 

 

 

 

 

10,928,765

 

Real Estate Management & Development — 0.2%

 

 

 

 

 

 

 

Countrywide Holdings, Senior Secured Notes

 

10.000%

 

5/8/18

 

325,240

GBP

509,951

(a)

TOTAL FINANCIALS

 

 

 

 

 

 

 

93,504,793

 

HEALTH CARE — 2.8%

 

 

 

 

 

 

 

 

 

Health Care Equipment & Supplies — 0.1%

 

 

 

 

 

 

 

 

 

Ontex IV, Senior Notes

 

9.000%

 

4/15/19

 

430,000

EUR

419,034

(a)

Health Care Providers & Services — 2.2%

 

 

 

 

 

 

 

 

 

Crown Newco 3 PLC, Senior Subordinated Notes

 

8.875%

 

2/15/19

 

250,000

GBP

344,706

(a)

Humana Inc., Senior Notes

 

7.200%

 

6/15/18

 

2,700,000

 

3,250,878

(b)

Tenet Healthcare Corp., Senior Secured Notes

 

10.000%

 

5/1/18

 

1,000,000

 

1,157,500

 

UnitedHealth Group Inc., Senior Notes

 

6.000%

 

2/15/18

 

1,350,000

 

1,644,661

(b)

Total Health Care Providers & Services

 

 

 

 

 

 

 

6,397,745

 

Pharmaceuticals — 0.5%

 

 

 

 

 

 

 

 

 

ConvaTec Healthcare E SA, Senior Notes

 

10.875%

 

12/15/18

 

1,070,000

EUR

1,329,632

(a)

TOTAL HEALTH CARE

 

 

 

 

 

 

 

8,146,411

 

INDUSTRIALS — 7.4%

 

 

 

 

 

 

 

 

 

Air Freight & Logistics — 0.3%

 

 

 

 

 

 

 

 

 

TGI International Ltd., Senior Notes

 

9.500%

 

10/3/17

 

850,000

 

927,563

(a)

Airlines — 3.8%

 

 

 

 

 

 

 

 

 

BAA SH PLC, Senior Secured Notes

 

7.125%

 

3/1/17

 

950,000

GBP

1,451,951

 

Continental Airlines Inc., Pass-Through Certificates

 

9.250%

 

5/10/17

 

3,352,902

 

3,554,076

 

Continental Airlines Inc., Senior Secured Notes

 

6.750%

 

9/15/15

 

4,430,000

 

4,452,150

(a)

DAE Aviation Holdings Inc., Senior Notes

 

11.250%

 

8/1/15

 

1,500,000

 

1,575,000

(a)

United Airlines, Pass-Through Trust, Senior Secured Notes

 

10.400%

 

11/1/16

 

84,464

 

95,233

(b)

Total Airlines

 

 

 

 

 

 

 

11,128,410

 

 

See Notes to Schedule of Investments.

 

4

 


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

January 31, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Commercial Services & Supplies — 1.1%

 

 

 

 

 

 

 

 

 

ACCO Brands Corp., Senior Secured Notes

 

10.625%

 

3/15/15

 

1,250,000

 

$

1,390,750

 

Republic Services Inc., Senior Notes

 

5.250%

 

11/15/21

 

1,450,000

 

1,667,812

(b)

Total Commercial Services & Supplies

 

 

 

 

 

 

 

3,058,562

 

Construction & Engineering — 0.5%

 

 

 

 

 

 

 

 

 

Odebrecht Finance Ltd., Senior Notes

 

7.000%

 

4/21/20

 

1,450,000

 

1,576,875

(a)

Marine — 0.1%

 

 

 

 

 

 

 

 

 

Horizon Lines LLC, Senior Secured Notes

 

11.000%

 

10/15/16

 

180,000

 

176,400

(a)(e)

Horizon Lines LLC, Senior Secured Notes

 

13.000%

 

10/15/16

 

240,000

 

223,800

(a)(e)(f)

Total Marine

 

 

 

 

 

 

 

400,200

 

Road & Rail — 1.2%

 

 

 

 

 

 

 

 

 

FirstGroup PLC, Senior Bonds

 

8.125%

 

9/19/18

 

1,150,000

GBP

2,168,721

 

RailAmerica Inc., Senior Secured Notes

 

9.250%

 

7/1/17

 

1,166,000

 

1,303,005

 

Total Road & Rail

 

 

 

 

 

 

 

3,471,726

 

Transportation — 0.4%

 

 

 

 

 

 

 

 

 

CMA CGM, Senior Notes

 

8.500%

 

4/15/17

 

1,000,000

 

455,000

(a)

CMA CGM, Senior Notes

 

8.875%

 

4/15/19

 

1,100,000

EUR

669,067

(a)

Total Transportation

 

 

 

 

 

 

 

1,124,067

 

TOTAL INDUSTRIALS

 

 

 

 

 

 

 

21,687,403

 

INFORMATION TECHNOLOGY — 0.7%

 

 

 

 

 

 

 

 

 

Communications Equipment — 0.7%

 

 

 

 

 

 

 

 

 

Brocade Communications Systems Inc., Senior Secured Notes

 

6.625%

 

1/15/18

 

2,000,000

 

2,110,000

(b)

MATERIALS — 9.0%

 

 

 

 

 

 

 

 

 

Chemicals — 1.4%

 

 

 

 

 

 

 

 

 

Kerling PLC, Senior Secured Notes

 

10.625%

 

1/28/17

 

606,000

EUR

772,861

(a)

Lyondell Chemical Co., Senior Secured Notes

 

8.000%

 

11/1/17

 

204,930

EUR

290,844

 

Solutia Inc., Senior Notes

 

8.750%

 

11/1/17

 

1,500,000

 

1,706,250

(b)

Styrolution GmbH, Senior Secured Notes

 

7.625%

 

5/15/16

 

1,100,000

EUR

1,187,055

(a)

Total Chemicals

 

 

 

 

 

 

 

3,957,010

 

Construction Materials — 0.3%

 

 

 

 

 

 

 

 

 

HeidelbergCement AG, Senior Notes

 

8.500%

 

10/31/19

 

610,000

EUR

863,738

 

Containers & Packaging — 0.4%

 

 

 

 

 

 

 

 

 

Reynolds Group Issuer Inc., Senior Notes

 

9.500%

 

6/15/17

 

200,000

EUR

219,752

(a)

Suzano Trading Ltd., Senior Notes

 

5.875%

 

1/23/21

 

970,000

 

937,505

(a)

Total Containers & Packaging

 

 

 

 

 

 

 

1,157,257

 

Metals & Mining — 5.8%

 

 

 

 

 

 

 

 

 

CSN Resources SA, Senior Bonds

 

6.500%

 

7/21/20

 

1,100,000

 

1,169,300

(a)

Evraz Group SA, Notes

 

8.875%

 

4/24/13

 

460,000

 

485,875

(a)

Evraz Group SA, Notes

 

9.500%

 

4/24/18

 

450,000

 

485,438

(a)

Evraz Group SA, Notes

 

6.750%

 

4/27/18

 

930,000

 

885,825

(a)

Freeport-McMoRan Copper & Gold Inc., Senior Notes

 

8.375%

 

4/1/17

 

1,710,000

 

1,805,935

(b)

Gerdau Holdings Inc., Senior Notes

 

7.000%

 

1/20/20

 

1,380,000

 

1,511,100

(a)

Metals USA Inc., Senior Secured Notes

 

11.125%

 

12/1/15

 

1,000,000

 

1,047,500

 

New World Resources NV, Senior Bonds

 

7.375%

 

5/15/15

 

530,000

EUR

686,334

(a)

Southern Copper Corp., Senior Notes

 

6.750%

 

4/16/40

 

1,680,000

 

1,793,420

(b)

Vale Overseas Ltd., Notes

 

6.250%

 

1/23/17

 

670,000

 

769,537

(b)

Vale Overseas Ltd., Notes

 

8.250%

 

1/17/34

 

2,146,000

 

2,854,450

(b)

Vale Overseas Ltd., Notes

 

6.875%

 

11/21/36

 

340,000

 

401,437

(b)

Vedanta Resources PLC, Senior Notes

 

8.750%

 

1/15/14

 

1,570,000

 

1,601,400

(a)

Vedanta Resources PLC, Senior Notes

 

9.500%

 

7/18/18

 

260,000

 

234,000

(a)

Xstrata Finance Canada Ltd., Senior Notes

 

5.250%

 

6/13/17

 

950,000

EUR

1,372,889

 

Total Metals & Mining

 

 

 

 

 

 

 

17,104,440

 

Paper & Forest Products — 1.1%

 

 

 

 

 

 

 

 

 

Celulosa Arauco y Constitucion SA, Senior Notes

 

7.250%

 

7/29/19

 

1,220,000

 

1,454,107

(b)

 

See Notes to Schedule of Investments.

 

5


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

January 31, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Paper & Forest Products — continued

 

 

 

 

 

 

 

 

 

NewPage Corp., Senior Secured Notes

 

11.375%

 

12/31/14

 

1,500,000

 

$

982,500

(g)

PE Paper Escrow GmbH, Senior Secured Notes

 

11.750%

 

8/1/14

 

640,000

EUR

916,681

(a)

Total Paper & Forest Products

 

 

 

 

 

 

 

3,353,288

 

TOTAL MATERIALS

 

 

 

 

 

 

 

26,435,733

 

TELECOMMUNICATION SERVICES — 10.6%

 

 

 

 

 

 

 

 

 

Diversified Telecommunication Services— 8.0%

 

 

 

 

 

 

 

 

Axtel SAB de CV, Senior Notes

 

7.625%

 

2/1/17

 

260,000

 

204,100

(a)

Axtel SAB de CV, Senior Notes

 

9.000%

 

9/22/19

 

373,000

 

303,995

(a)

British Telecommunications PLC, Senior Bonds

 

8.500%

 

12/7/16

 

1,200,000

GBP

2,331,506

 

CC Holdings GS V LLC, Senior Secured Notes

 

7.750%

 

5/1/17

 

2,000,000

 

2,182,500

(a)(b)

Intelsat Luxembourg SA, Senior Notes

 

11.250%

 

2/4/17

 

1,800,000

 

1,822,500

 

Qtel International Finance Ltd., Senior Notes

 

4.750%

 

2/16/21

 

650,000

 

663,000

(a)

Qwest Corp., Senior Notes

 

6.750%

 

12/1/21

 

2,500,000

 

2,779,660

(b)

Sunrise Communications Holdings SA, Senior Secured Notes

 

8.500%

 

12/31/18

 

266,000

EUR

360,119

(a)

Sunrise Communications International SA, Senior Secured Notes

 

7.000%

 

12/31/17

 

224,000

EUR

309,118

(a)

Telecom Italia Capital SA, Senior Notes

 

7.721%

 

6/4/38

 

500,000

 

471,250

 

Telecom Italia SpA, Senior Notes

 

5.375%

 

1/29/19

 

1,400,000

EUR

1,699,929

 

Telefonica Emisiones SAU, Senior Notes

 

5.134%

 

4/27/20

 

2,000,000

 

1,954,592

 

Telefonica Emisiones SAU, Senior Notes

 

7.045%

 

6/20/36

 

2,000,000

 

2,073,536

(b)

UBS Luxembourg SA for OJSC Vimpel Communications, Loan Participation Notes

 

8.250%

 

5/23/16

 

1,150,000

 

1,214,745

(a)

Unitymedia GmbH, Senior Subordinated Notes

 

9.625%

 

12/1/19

 

640,000

EUR

893,660

(a)

Vimpel Communications, Notes

 

6.493%

 

2/2/16

 

200,000

 

200,500

(a)

Wind Acquisition Finance SA, Senior Secured Notes

 

7.250%

 

2/15/18

 

2,010,000

 

1,954,725

(a)

Wind Acquisition Holdings Finance SpA, Senior Notes

 

12.250%

 

7/15/17

 

1,920,964

EUR

1,947,355

(a)(f)

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

23,366,790

 

Wireless Telecommunication Services — 2.6%

 

 

 

 

 

 

 

 

 

America Movil SAB de CV, Senior Notes

 

5.625%

 

11/15/17

 

2,050,000

 

2,406,062

(b)

America Movil SAB de CV, Senior Notes

 

6.125%

 

3/30/40

 

650,000

 

797,918

(b)

MetroPCS Wireless Inc., Senior Notes

 

6.625%

 

11/15/20

 

1,500,000

 

1,492,500

 

Phones4u Finance PLC, Senior Secured Notes

 

9.500%

 

4/1/18

 

500,000

GBP

685,473

(a)

Sprint Capital Corp., Senior Notes

 

6.875%

 

11/15/28

 

750,000

 

559,688

(b)

Sprint Capital Corp., Senior Notes

 

8.750%

 

3/15/32

 

2,000,000

 

1,690,000

(b)

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

7,631,641

 

TOTAL TELECOMMUNICATION SERVICES

 

 

 

 

 

 

 

30,998,431

 

UTILITIES — 6.4%

 

 

 

 

 

 

 

 

 

Electric Utilities — 2.4%

 

 

 

 

 

 

 

 

 

AES Ironwood LLC, Secured Notes

 

8.857%

 

11/30/25

 

125,834

 

127,722

 

Centrais Eletricas Brasileiras SA, Senior Notes

 

6.875%

 

7/30/19

 

1,680,000

 

1,929,480

(a)

ENW Capital Finance PLC, Notes

 

6.750%

 

6/20/15

 

600,000

GBP

1,050,225

 

Scottish & Southern Energy PLC, Senior Notes

 

5.750%

 

2/5/14

 

1,200,000

GBP

2,038,132

 

Texas Competitive Electric Holdings Co. LLC/TCEH Finance Inc., Senior Secured Notes

 

11.500%

 

10/1/20

 

2,500,000

 

1,900,000

(a)

Total Electric Utilities

 

 

 

 

 

 

 

7,045,559

 

Gas Utilities — 0.4%

 

 

 

 

 

 

 

 

 

Wales & West Utilities Finance PLC, Senior Secured Bonds

 

5.125%

 

12/2/16

 

650,000

GBP

1,134,018

 

Independent Power Producers & Energy Traders — 1.7%

 

 

 

 

 

 

 

Calpine Corp., Senior Secured Notes

 

7.500%

 

2/15/21

 

1,000,000

 

1,070,000

(a)

Colbun SA, Senior Notes

 

6.000%

 

1/21/20

 

1,370,000

 

1,484,225

(a)

Energy Future Intermediate Holding Co. LLC/EFIH Finance Inc., Senior Secured Notes

 

10.000%

 

12/1/20

 

512,000

 

554,240

(b)

Mirant Mid Atlantic LLC, Pass-Through Certificates

 

10.060%

 

12/30/28

 

1,948,589

 

1,987,560

 

Total Independent Power Producers & Energy Traders

 

 

 

 

 

5,096,025

 

 

See Notes to Schedule of Investments.

 

6


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

January 31, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Multi-Utilities — 1.9%

 

 

 

 

 

 

 

 

 

Centrica PLC, Senior Notes

 

6.375%

 

3/10/22

 

1,200,000

GBP

$

2,277,609

 

Empresas Publicas de Medellin ESP, Senior Notes

 

7.625%

 

7/29/19

 

1,210,000

 

1,442,925

(a)

Veolia Environnement, Senior Notes

 

6.750%

 

4/24/19

 

1,200,000

EUR

1,882,402

 

Total Multi-Utilities

 

 

 

 

 

 

 

5,602,936

 

TOTAL UTILITIES

 

 

 

 

 

 

 

18,878,538

 

TOTAL CORPORATE BONDS & NOTES (Cost — $302,910,002)

 

 

302,351,441

 

ASSET-BACKED SECURITIES — 3.3%

 

 

 

 

 

 

 

 

 

Argent Securities Inc., 2004-W10 A2

 

0.666%

 

10/25/34

 

816,891

 

720,631

(c)

Asset Backed Funding Certificates, 2003-WMC1 M1

 

1.251%

 

6/25/33

 

2,207,168

 

1,795,063

(c)

Countrywide Home Equity Loan Trust, 2006-HW 2A1B

 

0.440%

 

11/15/36

 

851,146

 

626,042

(c)

Home Equity Asset Trust, 2004-8 M1

 

1.146%

 

3/25/35

 

641,516

 

542,838

(c)

National Collegiate Student Loan Trust, IO, 2004-2 AIO

 

9.750%

 

10/27/14

 

2,377,500

 

184,256

(h)

National Collegiate Student Loan Trust, IO, 2007-2 AIO

 

6.700%

 

7/25/12

 

6,050,000

 

211,750

(h)

Park Place Securities Inc., 2004-WCW1 M2

 

0.956%

 

9/25/34

 

1,900,000

 

1,713,266

(c)

Residential Asset Mortgage Products Inc., 2003-RZ5 A7

 

4.970%

 

9/25/33

 

2,103,946

 

2,108,203

 

Residential Asset Securities Corp., 2003-KS10 AI6

 

4.540%

 

12/25/33

 

411,263

 

415,046

(c)

Soundview Home Equity Loan Trust, 2005-3 M2

 

1.056%

 

6/25/35

 

330,396

 

313,653

(c)

Structured Asset Securities Corp., 2002-HF1 A

 

0.856%

 

1/25/33

 

1,430,007

 

1,209,033

(c)

TOTAL ASSET-BACKED SECURITIES (Cost — $9,678,585)

 

 

 

9,839,781

 

COLLATERALIZED MORTGAGE OBLIGATIONS — 2.5%

 

 

 

 

 

 

 

ARM Trust, 2004-5 4A1

 

5.180%

 

4/25/35

 

953,208

 

906,272

(c)

Bayview Commercial Asset Trust, IO, 2005-2A

 

2.870%

 

8/25/35

 

23,852,126

 

262,837

(a)

Bear Stearns ARM Trust, 2005-12 24A1

 

5.494%

 

2/25/36

 

97,481

 

63,789

(c)

Credit Suisse Mortgage Capital Certificates, 2009-3R 25A1

 

2.809%

 

7/27/36

 

530,573

 

528,562

(a)(c)

GSMPS Mortgage Loan Trust, 2006-RP1 1A2

 

7.500%

 

1/25/36

 

346,677

 

347,655

(a)

Harborview Mortgage Loan Trust, 2004-10 4A

 

2.631%

 

1/19/35

 

435,694

 

404,588

(c)

JPMorgan Mortgage Trust, 2005-A5 1A2

 

5.102%

 

8/25/35

 

1,900,000

 

1,610,794

(c)

Residential Asset Mortgage Products Inc., 2003-SL1 M1

 

7.329%

 

4/25/31

 

2,081,420

 

1,617,647

(c)

Sequoia Mortgage Trust, 2003-3 A1

 

0.611%

 

7/20/33

 

825,704

 

750,241

(c)

Washington Mutual Inc. Mortgage Pass-Through Certificates, 2007-0A5 1A

 

0.947%

 

6/25/47

 

1,043,997

 

652,236

(c)

Washington Mutual Inc. Mortgage Pass-Through Certificates, 2007-HY4 4A1

 

2.339%

 

9/25/36

 

115,559

 

83,732

(c)

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $7,089,917)

 

7,228,353

 

CONVERTIBLE BONDS & NOTES — 0.1%

 

 

 

 

 

 

 

 

 

INDUSTRIALS — 0.1%

 

 

 

 

 

 

 

 

 

Marine — 0.1%

 

 

 

 

 

 

 

 

 

Horizon Lines Inc., Secured Senior Notes (Cost - $424,363)

 

6.000%

 

4/15/17

 

387,514

 

265,784

(e)(h)

TOTAL CONVERTIBLE BONDS & NOTES (Cost — $424,363)

 

 

 

265,784

 

SOVEREIGN BONDS — 7.8%

 

 

 

 

 

 

 

 

 

Brazil — 1.6%

 

 

 

 

 

 

 

 

 

Brazil Nota do Tesouro Nacional, Notes

 

10.000%

 

1/1/14

 

556,000

BRL

317,918

 

Brazil Nota do Tesouro Nacional, Notes

 

10.000%

 

1/1/17

 

7,779,000

BRL

4,298,561

 

Total Brazil

 

 

 

 

 

 

 

4,616,479

 

 

See Notes to Schedule of Investments.

 

7


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

January 31, 2012

 

SECURITY

 

RATE

 

MATURITY DATE

 

FACE AMOUNT †

 

VALUE

 

Chile — 0.5%

 

 

 

 

 

 

 

 

 

Banco del Estado de Chile, Senior Notes

 

4.125%

 

10/7/20

 

1,540,000

 

$

1,601,600

(a)

India — 0.6%

 

 

 

 

 

 

 

 

 

ICICI Bank Ltd., Junior Subordinated Bonds

 

6.375%

 

4/30/22

 

1,900,000

 

1,738,500

(a)(c)

Malaysia — 0.3%

 

 

 

 

 

 

 

 

 

Government of Malaysia, Senior Bonds

 

3.835%

 

8/12/15

 

2,270,000

MYR

765,085

 

Peru — 0.1%

 

 

 

 

 

 

 

 

 

Republic of Peru, Bonds

 

7.840%

 

8/12/20

 

1,100,000

PEN

469,044

 

Russia — 1.1%

 

 

 

 

 

 

 

 

 

RSHB Capital, Loan Participation Notes, Senior Secured Bonds

 

6.299%

 

5/15/17

 

3,070,000

 

3,216,593

(a)(b)

United Arab Emirates — 0.7%

 

 

 

 

 

 

 

 

 

MDC-GMTN B.V., Senior Notes

 

5.750%

 

5/6/14

 

430,000

 

463,969

(a)

MDC-GMTN B.V., Senior Notes

 

7.625%

 

5/6/19

 

1,250,000

 

1,505,399

(a)

Total United Arab Emirates

 

 

 

 

 

 

 

1,969,368

 

United Kingdom — 0.6%

 

 

 

 

 

 

 

 

 

United Kingdom Treasury Gilt, Bonds

 

4.500%

 

3/7/19

 

1,019,000

GBP

1,930,619

 

Venezuela — 2.3%

 

 

 

 

 

 

 

 

 

Bolivarian Republic of Venezuela

 

5.750%

 

2/26/16

 

5,293,000

 

4,379,957

(a)

Bolivarian Republic of Venezuela, Senior Bonds

 

9.250%

 

9/15/27

 

3,000,000

 

2,332,500

 

Total Venezuela

 

 

 

 

 

 

 

6,712,457

 

TOTAL SOVEREIGN BONDS (Cost — $21,540,147)

 

 

 

23,019,745

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SHARES

 

 

 

COMMON STOCKS — 0.0%

 

 

 

 

 

 

 

 

 

INDUSTRIALS — 0.0%

 

 

 

 

 

 

 

 

 

Marine — 0.0%

 

 

 

 

 

 

 

 

 

Horizon Lines Inc., Class A Shares(Cost - $83,790)

 

 

 

 

 

7,978

 

20,344

*

CONVERTIBLE PREFERRED STOCKS — 0.6%

 

 

 

 

 

 

 

 

 

FINANCIALS — 0.6%

 

 

 

 

 

 

 

 

 

Diversified Financial Services — 0.6%

 

 

 

 

 

 

 

 

 

Citigroup Inc. (Cost - $2,073,750)

 

7.500%

 

 

 

17,500

 

1,621,550

 

PREFERRED STOCKS — 0.0%

 

 

 

 

 

 

 

 

 

FINANCIALS — 0.0%

 

 

 

 

 

 

 

 

 

Diversified Financial Services — 0.0%

 

 

 

 

 

 

 

 

 

Citigroup Capital XIII (Cost - $80,711)

 

7.875%

 

 

 

3,050

 

82,167

(c)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $343,881,265)

 

344,429,165

 

 

 

 

 

 

 

 

 

 

 

FACE
AMOUNT †

 

 

 

SHORT-TERM INVESTMENTS  — 5.2%

 

 

 

 

 

 

 

 

 

Repurchase Agreements  — 5.2%

 

 

 

 

 

 

 

 

 

Deutsche Bank Securities Inc. repurchase agreement dated 1/31/12; Proceeds at maturity - $15,200,089; (Fully collateralized by U.S. government agency obligations, 0.600% due 11/14/13; Market value - $15,812,978) (Cost - $15,200,000)

 

0.210%

 

2/1/12

 

15,200,000

 

15,200,000

 

TOTAL INVESTMENTS — 122.5% (Cost — $359,081,265#)

 

 

 

 

 

359,629,165

 

Liabilities in Excess of Other Assets — (22.5)%

 

 

 

 

 

 

 

(66,040,554

)

TOTAL NET ASSETS — 100.0%

 

 

 

 

 

 

 

$

293,588,611

 

 

See Notes to Schedule of Investments.

 

8


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

January 31, 2012

 

†

Face amount denominated in U.S. dollars, unless otherwise noted.

*

Non-income producing security.

(a)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors, unless otherwise noted.

(b)

All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements.

(c)

Variable rate security. Interest rate disclosed is as of the most recent information available.

(d)

Security has no maturity date. The date shown represents the next call date.

(e)

Illiquid security.

(f)

Payment-in-kind security for which part of the income earned may be paid as additional principal.

(g)

The coupon payment on these securities is currently in default as of January 31, 2012.

(h)

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

#

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

 

EUR

- Euro

 

GBP

- British Pound

 

IO

- Interest Only

 

MYR

- Malaysian Ringgit

 

OJSC

- Open Joint Stock Company

 

PEN

- Peruvian Nuevo Sol

 

Summary of Investments by Country †

 

 

 

United States

 

39.8

%

United Kingdom

 

12.0

 

Brazil

 

5.1

 

Russia

 

4.0

 

Netherlands

 

3.5

 

France

 

2.8

 

Australia

 

2.5

 

Mexico

 

2.4

 

Luxembourg

 

2.0

 

Venezuela

 

1.9

 

Switzerland

 

1.7

 

Italy

 

1.7

 

Spain

 

1.6

 

Chile

 

1.3

 

Qatar

 

1.3

 

Germany

 

1.1

 

United Arab Emirates

 

1.1

 

Belgium

 

1.1

 

Malaysia

 

1.0

 

India

 

1.0

 

Cayman Islands

 

1.0

 

Canada

 

0.9

 

Colombia

 

0.9

 

Trinidad and Tobago

 

0.9

 

Jersey

 

0.6

 

Kazakhstan

 

0.5

 

 

See Notes to Schedule of Investments.

 

9


 

WESTERN ASSET GLOBAL CORPORATE DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)

January 31, 2012

 

South Africa

 

0.5

 

Ireland

 

0.5

 

Bermuda

 

0.3

 

Panama

 

0.3

 

Austria

 

0.2

 

Sweden

 

0.2

 

Peru

 

0.1

 

Short-Term Investments

 

4.2

 

 

 

100.0

%

 

†As a percentage of total investments. Please note that Fund holdings are as of January 31, 2012 and are subject to change.

 

See Notes to Schedule of Investments.

 

10

 


 

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.  The valuations for fixed income 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 fair valuation techniques and methodologies. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. 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. 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. 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). 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 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.

 

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

 

—

 

$

302,351,441

 

—

 

$

302,351,441

 

Asset-backed securities

 

—

 

9,443,775

 

$

396,006

 

9,839,781

 

Collateralized mortgage obligations

 

—

 

7,228,353

 

—

 

7,228,353

 

Convertible bonds & notes

 

—

 

—

 

265,784

 

265,784

 

Sovereign bonds

 

—

 

23,019,745

 

—

 

23,019,745

 

Common stocks

 

$

20,344

 

—

 

—

 

20,344

 

Convertible preferred stocks

 

1,621,550

 

—

 

—

 

1,621,550

 

Preferred stocks

 

82,167

 

—

 

—

 

82,167

 

Total long-term investments

 

$

1,724,061

 

$

342,043,314

 

$

661,790

 

$

344,429,165

 

Short-term investments†

 

—

 

15,200,000

 

—

 

15,200,000

 

Total investments

 

$

1,724,061

 

$

357,243,314

 

$

661,790

 

$

359,629,165

 

Other financial instruments:

 

 

 

 

 

 

 

 

 

Forward foreign currency contracts

 

—

 

$

4,486,429

 

—

 

4,486,429

 

Total

 

$

1,724,061

 

$

361,729,743

 

$

661,790

 

$

364,115,594

 

 

11


 

Notes to schedule of investments (unaudited) (continued)

 

LIABILITIES

 

 

 

QUOTED
PRICES

 

OTHER
SIGNIFICANT
OBSERVABLE
INPUTS

 

SIGNIFICANT
UNOBSERVABLE
INPUTS

 

 

 

DESCRIPTION

 

(LEVEL 1)

 

(LEVEL 2)

 

(LEVEL 3)

 

TOTAL

 

Other financial instruments:

 

 

 

 

 

 

 

 

 

Futures contracts

 

$

25,906

 

—

 

—

 

$

25,906

 

Forward foreign currency contracts

 

—

 

$

91,404

 

—

 

91,404

 

Total

 

$

25,906

 

$

91,404

 

—

 

$

117,310

 

 

†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
BONDS &
NOTES

 

ASSET-
BACKED
SECURITIES

 

CONVERTIBLE
BONDS &
NOTES

 

TOTAL

 

Balance as of October 31, 2011

 

$

229,800

 

—

 

—

 

$

229,800

 

Accrued premiums/discounts

 

—

 

—

 

—

 

—

 

Realized gain (loss)

 

—

 

—

 

—

 

—

 

Change in unrealized appreciation (depreciation)(1)

 

(6,000

)

—

 

—

 

(6,000

)

Purchases

 

—

 

—

 

—

 

—

 

Sales

 

—

 

—

 

—

 

—

 

Transfers into Level 3(2)

 

—

 

$

396,006

 

$

265,784

 

661,790

 

Transfers out of Level 3(3)

 

(223,800

)

—

 

—

 

(223,800

)

Balance as of January 31, 2012

 

—

 

$

396,006

 

$

265,784

 

$

661,790

 

Net change in unrealized appreciation (depreciation) for investments in securities still held at January 31, 2012(1)

 

—

 

—

 

—

 

—

 

 

The Fund’s policy is to recognize transfers between levels as of the end of the reporting period.

(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.

(2) Transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs.

 

12


 

Notes to schedule of investments (unaudited) (continued)

 

(3) Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs.

 

(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 generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes.  A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

 

Upon entering into a futures contract, the Fund is required to deposit cash or 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.

 

13


 

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) Foreign investment risk.  The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

 

(j) 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.

 

(k) 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.

 

14


 

Notes to schedule of investments (unaudited) (continued)

 

As of January 31, 2012, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $91,404. 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.

 

(l) Security transactions.  Security transactions are accounted for on a trade date basis.

 

2.  Investments

 

At January 31, 2012, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

 

$

16,469,262

 

Gross unrealized depreciation

 

(15,921,362

)

Net unrealized appreciation

 

$

547,900

 

 

At January 31, 2012, the Fund had the following open futures contracts:

 

 

 

 

NUMBER OF
CONTRACTS

 

EXPIRATION
DATE

 

BASIS
VALUE

 

MARKET
VALUE

 

UNREALIZED
LOSS

 

Contracts to Sell:

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury 10-Year Notes

 

8

 

3/12

 

$

1,040,536

 

$

1,058,000

 

$

(17,464

)

U.S. Treasury 30-Year Bonds

 

11

 

3/12

 

1,591,371

 

1,599,813

 

(8,442

)

Net unrealized loss on open futures contracts

 

 

 

 

 

 

 

$

(25,906

)

 

Transactions in reverse repurchase agreements for the Fund during the period ended January 31, 2012 were as follows:

 

Average

 

Weighted

 

Maximum

 

Daily

 

Average

 

Amount

 

Balance*

 

Interest Rate*

 

Outstanding

 

$80,030,489

 

1.010%

 

$80,030,489

 

 

* Averages based on the number of days that Fund had reverse repurchase agreements outstanding.

 

Interest rates on reverse repurchase agreements ranged from 0.600% to 1.040% during the period ended January 31, 2012. Interest expense incurred on reverse repurchase agreements totaled $203,205.

 

On January 31, 2012, the total market value of underlying collateral (refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements) for open reverse repurchase agreements was $103,023,331.

 

At January 31, 2012, the Fund had the following open reverse repurchase agreements:

 

Counterparty

 

      Rate

 

Effective Date

 

Maturity Date 

 

Face Amount of Reverse
Repurchase Agreements

 

 

 

 

 

 

 

 

 

 

 

Deutsche Bank

 

0.60%

 

5/24/11

 

TBD*

 

$

2,375,760

 

Credit Suisse

 

0.75%

 

6/27/11

 

TBD*

 

2,151,580

 

Credit Suisse

 

0.75%

 

9/29/11

 

TBD*

 

3,716,325

 

Credit Suisse

 

0.75%

 

10/11/11

 

TBD*

 

1,786,824

 

Barclays Capital Inc.

 

1.04%†

 

10/12/11

 

4/12/12

 

70,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

80,030,489

 

 

* TBD — To Be Determined; These reverse repurchase agreements have no maturity dates because they are renewed daily and can be terminated by either the Fund or the counterparty in accordance with the terms of the agreements.

† Interest rate on the reverse repurchase agreement resets daily. Interest rate disclosed is as of January 31, 2012.

 

At January 31, 2012, the Fund had the following open forward foreign currency contracts:

 

15


 

Notes to schedule of investments (unaudited) (continued)

 

FOREIGN CURRENCY

 

COUNTERPARTY

 

LOCAL
CURRENCY

 

MARKET
VALUE

 

SETTLEMENT
DATE

 

UNREALIZED
GAIN (LOSS)

 

Contracts to Buy:

 

 

 

 

 

 

 

 

 

 

 

British Pound

 

Morgan Stanley

 

150,000

 

$

236,341

 

2/16/12

 

$

2,613

 

British Pound

 

Morgan Stanley

 

1,600,000

 

2,520,974

 

2/16/12

 

15,614

 

British Pound

 

Morgan Stanley

 

170,000

 

267,853

 

2/16/12

 

7,073

 

British Pound

 

Morgan Stanley

 

400,000

 

630,243

 

2/16/12

 

3,318

 

British Pound

 

UBS AG

 

200,000

 

315,122

 

2/16/12

 

2,469

 

Euro

 

Citibank N.A.

 

250,000

 

327,022

 

2/16/12

 

(18,672

)

Euro

 

Morgan Stanley

 

600,000

 

784,852

 

2/16/12

 

(35,613

)

Euro

 

Morgan Stanley

 

250,000

 

327,022

 

2/16/12

 

(2,939

)

Euro

 

Morgan Stanley

 

100,000

 

130,809

 

2/16/12

 

2,143

 

Euro

 

Morgan Stanley

 

400,000

 

523,235

 

2/16/12

 

12,913

 

Euro

 

Morgan Stanley

 

600,000

 

784,852

 

2/16/12

 

14,756

 

Euro

 

Morgan Stanley

 

200,000

 

261,617

 

2/16/12

 

(1,308

)

Euro

 

UBS AG

 

300,000

 

392,426

 

2/16/12

 

(8,344

)

 

 

 

 

 

 

 

 

 

 

$

(5,977

)

Contracts to Sell:

 

 

 

 

 

 

 

 

 

 

 

British Pound

 

Citibank N.A.

 

400,000

 

630,243

 

2/16/12

 

9,993

 

British Pound

 

Morgan Stanley

 

18,381,741

 

28,962,431

 

2/16/12

 

422,068

 

British Pound

 

UBS AG

 

200,000

 

315,122

 

2/16/12

 

4,669

 

Canadian Dollar

 

Morgan Stanley

 

2,000,000

 

1,993,904

 

2/16/12

 

(24,528

)

Euro

 

Morgan Stanley

 

53,883,123

 

70,483,809

 

2/16/12

 

3,888,640

 

Euro

 

UBS AG

 

1,371,247

 

1,793,710

 

2/16/12

 

100,160

 

 

 

 

 

 

 

 

 

 

 

$

4,401,002

 

Net unrealized gain on open forward foreign currency contracts

 

 

 

 

 

$

4,395,025

 

 

3. 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, 2012.

 

 

 

Futures Contracts

 

Forward Foreign Currency
Contracts

 

 

 

Primary Underlying Risk
Disclosure

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

Total

 

Interest Rate Contracts

 

—

 

$

(25,906

)

—

 

—

 

$

(25,906

)

Foreign Exchange Contracts

 

—

 

—

 

$

4,486,429

 

$

(91,404

)

4,395,025

 

Total

 

—

 

$

(25,906

)

$

4,486,429

 

$

(91,404

)

$

4,369,119

 

 

During the period ended January 31, 2012, the volume of derivative activity for the Fund was as follows:

 

 

 

Average Market Value

 

Futures contracts (to sell)

 

2,612,867

 

Forward foreign currency contracts (to buy)

 

3,962,129

 

Forward foreign currency contracts (to sell)

 

106,004,043

 

 

4. Recent accounting pronouncement

 

In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (“ASU No. 2011-04”).  ASU No. 2011-04 establishes common requirements for measuring fair value and for disclosing information about fair value measurements. ASU No. 2011-04 is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact the adoption of ASU No. 2011-04 will have on the Fund’s financial statements and related disclosures.

 

16

 


 

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 second fiscal quarter of the period covered by this report 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 27, 2012

 

 

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 27, 2012

 

 

 

 

 

 

 

By

/s/ Richard F. Sennett

 

 

Richard F. Sennett

 

 

Principal Financial Officer

 

 

 

 

 

 

 

Date:

March 27, 2012