WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND (WIA)

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-21403

 

Name of Fund:    Western Asset/Claymore Inflation-Linked Securities & Income Fund

 

Address of Principal Executive Offices:   

385 East Colorado Boulevard

Pasadena, CA 91101

Name and address of agent for service:   

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 Stamford Place

Stamford, CT 06902

Registrant’s telephone number, including area code: 1-888-777-0102

Date of fiscal year end:  December 31

Date of reporting period: March 31, 2015

 

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

 

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

FORM N-Q

MARCH 31, 2015

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Schedule of investments (unaudited)    March 31, 2015

 

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
U.S. TREASURY INFLATION PROTECTED SECURITIES - 101.4%         

U.S. Treasury Bonds, Inflation Indexed

      2.000 %      1/15/26         482,849       $ 572,214   

U.S. Treasury Bonds, Inflation Indexed

      1.750 %      1/15/28         28,027,389         32,803,004 (a) 

U.S. Treasury Bonds, Inflation Indexed

      3.625 %      4/15/28         11,561,440         16,307,053   

U.S. Treasury Bonds, Inflation Indexed

      2.500 %      1/15/29         990,717         1,265,486   

U.S. Treasury Bonds, Inflation Indexed

      3.875 %      4/15/29         3,796,340         5,575,578   

U.S. Treasury Bonds, Inflation Indexed

      2.125 %      2/15/41         3,298,142         4,445,536   

U.S. Treasury Bonds, Inflation Indexed

      0.750 %      2/15/42         6,208,709         6,278,557   

U.S. Treasury Bonds, Inflation Indexed

      0.625 %      2/15/43         6,608,355         6,474,642   

U.S. Treasury Bonds, Inflation Indexed

      1.375 %      2/15/44         2,356,886         2,770,262   

U.S. Treasury Bonds, Inflation Indexed

      0.750 %      2/15/45         3,424,539         3,482,328   

U.S. Treasury Notes, Inflation Indexed

      0.500 %      4/15/15         59,473,453         59,571,049 (a) 

U.S. Treasury Notes, Inflation Indexed

      2.000 %      1/15/16         53,101,591         54,458,178 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/16         23,021,573         23,253,584 (a) 

U.S. Treasury Notes, Inflation Indexed

      2.500 %      7/15/16         659,729         692,974   

U.S. Treasury Notes, Inflation Indexed

      2.375 %      1/15/17         14,499,966         15,362,032 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/17         4,116,440         4,189,762   

U.S. Treasury Notes, Inflation Indexed

      2.625 %      7/15/17         2,131,523         2,314,201   

U.S. Treasury Notes, Inflation Indexed

      1.625 %      1/15/18         836,805         891,458   

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/18         12,831,747         13,090,384 (a) 

U.S. Treasury Notes, Inflation Indexed

      1.375 %      7/15/18         7,273,305         7,783,570   

U.S. Treasury Notes, Inflation Indexed

      2.125 %      1/15/19         402,819         443,447   

U.S. Treasury Notes, Inflation Indexed

      1.250 %      7/15/20         23,292,140         25,248,307   

U.S. Treasury Notes, Inflation Indexed

      1.125 %      1/15/21         21,370,600         22,940,014   

U.S. Treasury Notes, Inflation Indexed

      0.625 %      7/15/21         13,596,250         14,249,509   

U.S. Treasury Notes, Inflation Indexed

      0.125 %      1/15/22         25,146,976         25,353,256   

U.S. Treasury Notes, Inflation Indexed

      0.125 %      7/15/22         10,113,578         10,217,869   

U.S. Treasury Notes, Inflation Indexed

      0.125 %      1/15/23         21,468,180         21,560,429   

U.S. Treasury Notes, Inflation Indexed

      0.375 %      7/15/23         4,379,184         4,490,376   

U.S. Treasury Notes, Inflation Indexed

      0.625 %      1/15/24         6,577,622         6,851,001   

U.S. Treasury Notes, Inflation Indexed

      0.125 %      7/15/24         1,122,216         1,121,777   
          

 

 

  

TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES

(Cost - $390,258,408)

  

  

         394,057,837   
          

 

 

  
ASSET-BACKED SECURITIES - 0.0%           

Amresco Residential Securities Mortgage Loan Trust,
1997-3 M1A

      0.729 %      9/25/27         810         778 (b) 

EMC Mortgage Loan Trust, 2004-C A1

      0.724 %      3/25/31         8,254         8,123 (b)(c) 
          

 

 

  

TOTAL ASSET-BACKED SECURITIES

(Cost - $4,054)

              8,901   
          

 

 

  
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.0%           

Banc of America Mortgage Securities Inc., 2003-D

      2.622 %      5/25/33         28,867         28,813 (b) 

Bear Stearns Adjustable Rate Mortgage Trust, 2004-9 24A1

      3.377 %      11/25/34         71,063         68,919 (b) 

Chase Mortgage Finance Corp., 2007-A1 2A3

      2.466 %      2/25/37         18,617         18,617 (b) 

Countrywide Alternative Loan Trust, 2004-J1

      6.000 %      2/25/34         3,853         3,920   

Federal Home Loan Mortgage Corp. (FHLMC), 4013 AI, IO

      4.000 %      2/15/39         4,847,404         719,743   

Federal Home Loan Mortgage Corp. (FHLMC), 4057 UI, IO

      3.000 %      5/15/27         2,286,666         264,117   

Federal Home Loan Mortgage Corp. (FHLMC), 4085, IO

      3.000 %      6/15/27         6,833,500         747,603   

Government National Mortgage Association (GNMA), 2011-142 IO, IO

      0.924 %      9/16/46         12,233,910         576,951 (b) 

 

See Notes to Schedule of Investments.

 

1

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Schedule of investments (unaudited) (cont’d)    March 31, 2015

 

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)           

Government National Mortgage Association (GNMA),

2012-044 IO, IO

      0.759 %      3/16/49         2,142,344       $ 103,887 (b) 

Government National Mortgage Association (GNMA),

2012-112 IO, IO

      0.837 %      2/16/53         8,561,217         537,953 (b) 

Government National Mortgage Association (GNMA),

2012-114 IO, IO

      0.971 %      1/16/53         2,393,854         192,289 (b) 

Government National Mortgage Association (GNMA),

2012-125 IO, IO

      0.857 %      2/16/53         2,338,688         149,297 (b) 

Government National Mortgage Association (GNMA),

2012-152 IO, IO

      0.754 %      1/16/54         7,814,613         497,181 (b) 

Government National Mortgage Association (GNMA),

2012-89 IO, IO

      1.270 %      12/16/53         3,827,774         235,213 (b) 

Government National Mortgage Association (GNMA),

2013-145 IO, IO

      1.122 %      9/16/44         3,904,673         286,958 (b) 

Government National Mortgage Association (GNMA),

2014-016 IO, IO

      1.032 %      6/16/55         6,818,302         469,522 (b) 

Government National Mortgage Association (GNMA),

2014-047 IA, IO

      1.379 %      2/16/48         4,283,158         329,204 (b) 

Government National Mortgage Association (GNMA),

2014-050 IO, IO

      1.035 %      9/16/55         4,217,460         295,290 (b) 

Government National Mortgage Association (GNMA),

2014-169 IO, IO

      1.105 %      10/16/56         21,107,909         1,672,359 (b) 

GSR Mortgage Loan Trust, 2004-11 1A1

      2.543 %      9/25/34         177,136         166,409 (b) 

JPMorgan Mortgage Trust, 2003-A1 1A1

      2.050 %      10/25/33         40,131         40,016 (b) 

JPMorgan Mortgage Trust, 2004-A1 1A1

      1.990 %      2/25/34         6,380         6,339 (b) 

JPMorgan Mortgage Trust, 2006-A2 5A1

      2.430 %      11/25/33         7,452         7,515 (b) 

Merrill Lynch Mortgage Investors Inc., 2003-H A3

      1.940 %      1/25/29         4,297         4,238 (b) 

Merrill Lynch Mortgage Investors Trust, 2004-A1 2A1

      2.379 %      2/25/34         18,388         18,468 (b) 

Residential Asset Mortgage Products Inc., 2004-SL2 A4

      8.500 %      10/25/31         11,901         13,343   

Residential Asset Mortgage Products Inc., 2004-SL4 A5

      7.500 %      7/25/32         86,556         83,112   

Sequoia Mortgage Trust, 2003-8 A1

      0.816 %      1/20/34         19,037         18,144 (b) 

WaMu Mortgage Pass-Through Certificates, 2003-AR8 A

      2.381 %      8/25/33         16,719         17,172 (b) 

WaMu Mortgage Pass-Through Certificates, 2007-HY1 1A1

      2.151 %      2/25/37         197,033         164,017 (b) 

Washington Mutual Inc., MSC Pass-Through Certificates,

2004-RA1 2A

      7.000 %      3/25/34         16,909         17,798   
          

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost - $7,607,196)

  

  

         7,754,407   
          

 

 

  
CORPORATE BONDS & NOTES - 14.1%           
CONSUMER STAPLES - 0.9%           

Tobacco - 0.9%

           

Altria Group Inc., Senior Notes

      2.850 %      8/9/22         850,000         845,005   

Altria Group Inc., Senior Notes

      9.950 %      11/10/38         1,000,000         1,735,488   

Reynolds American Inc., Senior Notes

      4.750 %      11/1/42         1,000,000         1,031,474   
          

 

 

  

TOTAL CONSUMER STAPLES

              3,611,967   
          

 

 

  
ENERGY - 1.6%           

Oil, Gas & Consumable Fuels - 1.6%

           

Ecopetrol SA, Senior Notes

      5.875 %      9/18/23         1,500,000         1,610,250   

Petrobras International Finance Co., Senior Notes

      5.375 %      1/27/21         1,000,000         907,150   

Petrobras International Finance Co., Senior Notes

      6.750 %      1/27/41         1,123,000         994,259   

Petroleos Mexicanos, Senior Notes

      5.500 %      6/27/44         1,277,000         1,288,174   

PT Pertamina Persero, Senior Notes

      4.300 %      5/20/23         1,500,000         1,503,750 (c) 
          

 

 

  

TOTAL ENERGY

              6,303,583   
          

 

 

  

 

See Notes to Schedule of Investments.

 

2

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Schedule of investments (unaudited) (cont’d)    March 31, 2015

 

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
FINANCIALS - 6.9%           

Banks - 4.4%

           

Bank of America Corp., Senior Notes

      4.500 %      4/1/15         940,000       $ 940,000   

Bank of America Corp., Senior Notes

      6.500 %      8/1/16         970,000         1,035,232   

Bank of America Corp., Senior Notes

      4.100 %      7/24/23         750,000         800,286   

Bank of America Corp., Senior Notes

      5.000 %      1/21/44         810,000         929,736   

Barclays Bank PLC, Subordinated Notes

      7.625 %      11/21/22         2,160,000         2,528,550   

Citigroup Inc., Subordinated Notes

      6.675 %      9/13/43         1,500,000         2,000,184   

JPMorgan Chase & Co., Junior Subordinated Bonds

      5.150 %      5/1/23         2,250,000         2,196,562 (b)(d) 

JPMorgan Chase & Co., Subordinated Notes

      5.625 %      8/16/43         1,080,000         1,295,426   

MUFG Americas Holdings Corp., Senior Notes

      3.000 %      2/10/25         1,120,000         1,107,323   

Wachovia Capital Trust III, Junior Subordinated Bonds

      5.570 %      5/21/15         2,700,000         2,665,980 (b)(d) 

Wells Fargo & Co., Subordinated Notes

      5.375 %      11/2/43         1,300,000         1,531,370   
          

 

 

  

Total Banks

              17,030,649   
          

 

 

  

Capital Markets - 0.7%

           

Goldman Sachs Group Inc., Senior Notes

      6.250 %      9/1/17         1,000,000         1,108,934   

Goldman Sachs Group Inc., Senior Notes

      3.500 %      1/23/25         1,500,000         1,526,331   
          

 

 

  

Total Capital Markets

              2,635,265   
          

 

 

  

Consumer Finance - 0.4%

           

American Express Co., Subordinated Debentures

      6.800 %      9/1/66         730,000         766,646 (b) 

HSBC Finance Corp., Senior Notes

      6.676 %      1/15/21         700,000         831,201   
          

 

 

  

Total Consumer Finance

              1,597,847   
          

 

 

  

Diversified Financial Services - 1.4%

           

Carlyle Holdings II Finance LLC, Senior Secured Notes

      5.625 %      3/30/43         1,000,000         1,133,273 (c) 

General Electric Capital Corp., Junior Subordinated Bonds

      6.250 %      12/15/22         2,000,000         2,250,000 (b)(d) 

General Electric Capital Corp., Senior Notes

      6.875 %      1/10/39         1,500,000         2,157,792   
          

 

 

  

Total Diversified Financial Services

              5,541,065   
          

 

 

  

TOTAL FINANCIALS

              26,804,826   
          

 

 

  
HEALTH CARE - 0.7%           

Health Care Equipment & Supplies - 0.7%

           

Becton, Dickinson & Co., Senior Notes

      4.685 %      12/15/44         1,000,000         1,086,720   

Medtronic Inc., Senior Notes

      3.500 %      3/15/25         1,500,000         1,568,087 (c) 
          

 

 

  

TOTAL HEALTH CARE

              2,654,807   
          

 

 

  
INDUSTRIALS - 0.6%           

Airlines - 0.3%

           

Air Canada, Pass-Through Trust, Secured Notes

      4.125 %      5/15/25         952,306         1,002,302 (c) 
          

 

 

  

Construction & Engineering - 0.3%

           

Odebrecht Finance Ltd., Senior Notes

      5.250 %      6/27/29         1,500,000         1,211,250 (c) 
          

 

 

  

TOTAL INDUSTRIALS

              2,213,552   
          

 

 

  
MATERIALS - 0.9%           

Chemicals - 0.4%

           

Braskem Finance Ltd., Senior Bonds

      6.450 %      2/3/24         710,000         685,150   

Braskem Finance Ltd., Senior Notes

      5.750 %      4/15/21         790,000         744,575 (c) 
          

 

 

  

Total Chemicals

              1,429,725   
          

 

 

  

 

See Notes to Schedule of Investments.

 

3

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Schedule of investments (unaudited) (cont’d)    March 31, 2015

 

 

SECURITY

   RATE     MATURITY
DATE		     FACE
AMOUNT†		     VALUE  

Metals & Mining - 0.5%

        

Southern Copper Corp., Senior Notes

     5.250 %      11/8/42        1,000,000      $ 911,550   

Vale SA, Senior Notes

     5.625 %      9/11/42        1,362,000        1,178,675   
       

 

 

  

Total Metals & Mining

           2,090,225   
       

 

 

  

TOTAL MATERIALS

           3,519,950   
       

 

 

  
TELECOMMUNICATION SERVICES - 1.7%        

Diversified Telecommunication Services - 1.7%

        

AT&T Inc., Senior Notes

     5.350 %      9/1/40        1,000,000        1,091,316   

Bharti Airtel International Netherlands BV, Senior Bonds

     5.350 %      5/20/24        1,500,000        1,651,875 (c) 

Verizon Communications Inc., Senior Notes

     6.550 %      9/15/43        2,073,000        2,699,375   

Verizon Communications Inc., Senior Notes

     5.012 %      8/21/54        1,076,000        1,116,447   
       

 

 

  

TOTAL TELECOMMUNICATION SERVICES

           6,559,013   
       

 

 

  
UTILITIES - 0.8%        

Electric Utilities - 0.8%

        

FirstEnergy Corp., Notes

     7.375 %      11/15/31        1,000,000        1,269,925   

Pacific Gas & Electric Co., First Mortgage Bonds

     6.050 %      3/1/34        1,500,000        1,959,708   
       

 

 

  

TOTAL UTILITIES

           3,229,633   
       

 

 

  

TOTAL CORPORATE BONDS & NOTES

(Cost - $52,615,190)

           54,897,331   
       

 

 

  
NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 14.4%        

Australia - 1.0%

        

Australia Government Bond, Senior Bonds

     2.500 %      9/20/30        3,400,000 AUD      3,871,364 (e) 
       

 

 

  

Brazil - 3.9%

        

Federative Republic of Brazil, Notes

     6.000 %      8/15/22        43,736,454 BRL      13,516,988   

Federative Republic of Brazil, Notes

     6.000 %      8/15/50        5,655,889 BRL      1,680,733   
       

 

 

  

Total Brazil

           15,197,721   
       

 

 

  

Canada - 1.2%

        

Government of Canada, Bonds

     4.250 %      12/1/26        3,679,988 CAD      4,528,284   
       

 

 

  

Israel - 1.6%

        

Government of Israel, Bonds

     3.000 %      10/31/19        10,335,700 ILS      3,036,742   

Government of Israel, Bonds

     4.000 %      7/31/24        9,643,680 ILS      3,348,444   
       

 

 

  

Total Israel

           6,385,186   
       

 

 

  

Japan - 0.6%

        

Japanese Government CPI Linked Bond, Senior Bonds

     0.100 %      9/10/23        281,877,600 JPY      2,525,229   
       

 

 

  

Mexico - 0.4%

        

United Mexican States, Senior Bonds

     4.500 %      12/4/25        22,250,705 MXN      1,665,739   
       

 

 

  

New Zealand - 1.0%

        

New Zealand Government Bond, Senior Bonds

     2.000 %      9/20/25        4,760,000 NZD      3,760,026 (e) 
       

 

 

  

Sweden - 0.9%

        

Kingdom of Sweden, Bonds

     0.250 %      6/1/22        26,230,000 SEK      3,411,683   
       

 

 

  

United Kingdom - 3.8%

        

United Kingdom Gilt, Bonds

     0.125 %      11/22/19        9,152,807 GBP      14,573,846 (e) 
       

 

 

  

TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES

(Cost - $65,252,190)

           55,919,078   
       

 

 

  
SOVEREIGN BONDS - 5.2%        

Mexico - 4.1%

        

United Mexican States, Bonds

     8.000 %      6/11/20        22,950,000 MXN      1,682,893   

United Mexican States, Bonds

     6.500 %      6/9/22        195,250,000 MXN      13,380,235   

United Mexican States, Medium-Term Notes

     6.050 %      1/11/40        520,000        642,200   

United Mexican States, Senior Notes

     4.600 %      1/23/46        401,000        410,022   
       

 

 

  

Total Mexico

           16,115,350   
       

 

 

  

 

See Notes to Schedule of Investments.

 

4

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Schedule of investments (unaudited) (cont’d)    March 31, 2015

 

 

SECURITY

   RATE     MATURITY
DATE		     FACE
AMOUNT†		     VALUE  

South Africa - 1.1%

        

Republic of South Africa, Senior Notes

     5.875 %      9/16/25        3,700,000      $ 4,237,240   
       

 

 

  

TOTAL SOVEREIGN BONDS

(Cost - $22,235,352)

           20,352,590   
       

 

 

  

U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.1%

        

U.S. Government Obligations - 0.1%

        

U.S. Treasury Notes

(Cost - $349,403)

     2.000 %      2/15/25        350,000        352,215   
       

 

 

  
          EXPIRATION
DATE		     NOTIONAL
AMOUNT†		        
PURCHASED OPTIONS - 0.1%        

Credit default swaption with Barclays Capital Inc. to buy protection on Markit CDX.NA.IG.23 Index, Put @ $67.50

       4/15/15        80,496,000        40,159   

Credit default swaption with JPMorgan Securities Inc. to buy protection on Markit CDX.NA.IG.23 Index, Put @ $67.50

       5/20/15        76,720,000        128,916   
       

 

 

  

TOTAL PURCHASED OPTIONS

(Cost - $239,646)

           169,075   
       

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS

(Cost - $538,561,439)

           533,511,434   
       

 

 

  
          MATURITY
DATE		     FACE
AMOUNT†		        
SHORT-TERM INVESTMENTS - 2.6%        

Repurchase Agreements - 2.6%

        

Bank of America repurchase agreement dated 3/31/15; Proceeds at maturity - $10,200,026; (Fully collateralized by U.S. government obligations, 4.500% due 5/15/38; Market value - $10,404,000) (Cost - $10,200,000)

     0.090 %   

 

4/1/15

  

     10,200,000        10,200,000   
       

 

 

  

TOTAL INVESTMENTS - 139.9%
(Cost - $548,761,439#)

           543,711,434   

Liabilities in Excess of Other Assets - (39.9)%

           (155,173,380 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 388,538,054   
       

 

 

  

 

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

 

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

 

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

 

(c) 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 Trustees, unless otherwise noted.

 

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

 

(e) Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

 

# Aggregate cost for federal income tax purposes is substantially the same.

 

See Notes to Schedule of Investments.

 

5

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Schedule of investments (unaudited) (cont’d)    March 31, 2015

 

Abbreviations used in this schedule:

 

AUD    — Australian Dollar
BRL    — Brazilian Real
CAD    — Canadian Dollar
GBP    —British Pound
ILS    — Israeli Shekel
IO    — Interest Only
JPY    — Japanese Yen
MXN    — Mexican Peso
NZD    — New Zealand Dollar
SEK    — Swedish Krona

 

 

SCHEDULE OF WRITTEN OPTIONS

            

SECURITY

    EXPIRATION
DATE		      STRIKE
PRICE		      CONTRACTS/
NOTIONAL
AMOUNT† 		     VALUE  

U.S. Treasury 30-Year Bonds Futures, Put

      4/24/15       $ 162.00         150       $ 180,469   

Credit default swaption with Barclays Capital Inc. to sell protection on Markit CDX.NA.IG.23 Index, Put

      4/15/15         77.50         120,744,000         16,952   

Credit default swaption with JPMorgan Securities Inc. to sell protection on Markit CDX.NA.IG.23 Index, Put

      5/20/15         77.50         115,080,000         96,118   
           

 

 

  

TOTAL WRITTEN OPTIONS

(Premiums received - $344,226)

  

  

    $ 293,539   
           

 

 

  

 

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

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

 

See Notes to Schedule of Investments.

 

6

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset/Claymore Inflation-Linked Securities & Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified, closed-end management investment company. The Fund commenced operations on September 26, 2003.

The Fund’s primary investment objective is to provide current income for its shareholders. Capital appreciation, when consistent with current income, is a secondary investment objective.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

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

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (formerly, Legg Mason North American Fund Valuation Committee) (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

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

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

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

 

7

Notes to Schedule of Investments (unaudited) (continued)

 

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

 

  •  

Level 1 – quoted prices in active markets for identical investments

 

  •  

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

 

  •  

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

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

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

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE  INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-term investments†:

            

U.S. Treasury inflation protected securities

      —         $ 394,057,837         —         $ 394,057,837   

Asset-backed securities

      —           8,901         —           8,901   

Collateralized mortgage obligations

      —           7,754,407         —           7,754,407   

Corporate bonds & notes:

            

Industrials

      —           1,211,250       $ 1,002,302         2,213,552   

Other corporate bonds & notes

      —           52,683,779         —           52,683,779   

Non-U.S. Treasury inflation protected securities

      —           55,919,078         —           55,919,078   

Sovereign bonds

      —           20,352,590         —           20,352,590   

U.S. government & agency obligations

      —           352,215         —           352,215   

Purchased options

      —           169,075         —           169,075   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total long-term investments

      —         $ 532,509,132       $ 1,002,302       $ 533,511,434   
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-term investments†

      —           10,200,000         —           10,200,000   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total investments

      —         $ 542,709,132       $ 1,002,302       $ 543,711,434   
  

 

 

     

 

 

     

 

 

     

 

 

  

Other financial instruments:

            

Futures contracts

    $ 2,504,527         —           —         $ 2,504,527   

Forward foreign currency contracts

      —         $ 7,007,477         —           7,007,477   

Centrally cleared interest rate swaps

      —           1,283         —           1,283   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total other financial instruments

    $ 2,504,527       $ 7,008,760         —         $ 9,513,287   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 2,504,527       $ 549,717,892       $ 1,002,302       $ 553,224,721   
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Other financial instruments:

            

Written options

    $ 180,469       $ 113,070         —         $ 293,539   

Futures contracts

      2,583,068         —           —           2,583,068   

Forward foreign currency contracts

      —           1,327,990         —           1,327,990   

OTC total return swaps‡

      —           43,162         —           43,162   

Centrally cleared interest rate swaps

      —           588,032         —           588,032   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 2,763,537       $ 2,072,254         —         $ 4,835,791   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

† See Schedule of Investments for additional detailed categorizations.

 

‡ Values include any premiums paid or received with respect to swap contracts.

 

8

Notes to Schedule of Investments (unaudited) (continued)

 

2. Investments

At March 31, 2015, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

    $ 12,054,269   

Gross unrealized depreciation

      (17,104,274 ) 
  

 

 

  

Net unrealized depreciation

    $ (5,050,005 ) 
  

 

 

  

At March 31, 2015, the Fund had the following open reverse repurchase agreements:

 

Counterparty

    Rate     Effective
Date		      Maturity Date    Face Amount of
Reverse  Repurchase
Agreements		  

Deutsche Bank

      0.23 %      1/21/2015       4/8/2015    $ 97,259,250   

Morgan Stanley

      0.22 %      1/29/2015       4/8/2015      24,900,000   

Morgan Stanley

      0.23 %      2/4/2015       4/8/2015      14,770,000   

Morgan Stanley

      0.22 %      2/25/2015       4/8/2015      32,486,250   
          

 

 

  
           $ 169,415,500   
          

 

 

  

On March 31, 2015, 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 $172,926,343.

At March 31, 2015, the Fund had the following open futures contracts:

 

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

90-Day Eurodollar

      1,613         12/17       $ 393,560,480       $ 395,487,438       $ 1,926,958   

U.S. Treasury 5-Year Notes

      1         6/15         119,785         120,211         426   

U.S. Treasury 10-Year Notes

      152         6/15         19,435,619         19,593,750         158,131   

U.S. Treasury Ultra Long-Term Bonds

      95         6/15         15,719,113         16,138,125         419,012   
              

 

 

  
                 2,504,527   
              

 

 

  
Contracts to Sell:               

90-Day Eurodollar

      832         3/16         205,794,246         206,252,800         (458,554 ) 

90-Day Eurodollar

      1,613         12/18         392,207,258         394,197,038         (1,989,780 ) 

U.S. Treasury Long-Term Bonds

      43         6/15         6,911,891         7,046,625         (134,734 ) 
              

 

 

  
                 (2,583,068 ) 
              

 

 

  

Net unrealized depreciation on open futures contracts

  

    $ (78,541 ) 
              

 

 

  

 

9

Notes to Schedule of Investments (unaudited) (continued)

 

At March 31, 2015, the Fund had the following open forward foreign currency contracts:

 

Currency

Purchased

     

Currency
Sold

     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation)		  

BRL

      16,000,000       USD      4,852,897       Bank of America N.A.      4/16/15       $ 143,010   

USD

      15,030,269       BRL      40,810,186       Bank of America N.A.      4/16/15         2,287,527   

USD

      4,588,785       CAD      5,490,000       Bank of America N.A.      4/16/15         254,891   

USD

      2,630,687       JPY      306,606,515       Bank of America N.A.      4/16/15         73,749   

USD

      3,676,653       MXN      56,230,000       Bank of America N.A.      4/16/15         (7,219 ) 

USD

      3,911,781       AUD      5,050,000       Barclays Bank PLC      4/16/15         68,629   

USD

      1,488,138       MXN      21,958,667       Barclays Bank PLC      4/16/15         49,530   

AUD

      4,600,000       USD      3,707,370       Citibank, N.A.      4/16/15         (206,678 ) 

AUD

      4,910,000       USD      3,828,327       Citibank, N.A.      4/16/15         (91,718 ) 

BRL

      3,458,000       USD      1,273,665       Citibank, N.A.      4/16/15         (193,925 ) 

BRL

      11,512,000       USD      4,202,994       Citibank, N.A.      4/16/15         (608,439 ) 

BRL

      82,425       USD      24,992       Citibank, N.A.      4/16/15         744   

USD

      3,771,832       AUD      4,660,000       Citibank, N.A.      4/16/15         225,478   

USD

      3,866,394       AUD      4,850,000       Citibank, N.A.      4/16/15         175,446   

USD

      11,363,000       BRL      31,089,167       Citibank, N.A.      4/16/15         1,655,589   

USD

      3,075,533       BRL      8,510,000       Citibank, N.A.      4/16/15         418,335   

USD

      14,912,915       GBP      9,900,000       Citibank, N.A.      4/16/15         228,614   

USD

      7,687,370       MXN      112,570,000       Citibank, N.A.      4/16/15         312,419   

USD

      1,488,138       MXN      21,955,244       Citibank, N.A.      4/16/15         49,754   

USD

      2,776,966       MXN      40,956,088       Citibank, N.A.      4/16/15         93,755   

USD

      1,516,235       MXN      22,690,000       Citibank, N.A.      4/16/15         29,714   

EUR

      14,172,724       USD      15,425,252       Bank of America N.A.      5/13/15         (177,802 ) 

USD

      16,098,542       EUR      14,172,724       Bank of America N.A.      5/13/15         851,091   

CAD

      4,651,817       USD      3,713,032       Citibank, N.A.      5/13/15         (42,209 ) 

USD

      3,732,825       CAD      4,651,817       Credit Suisse First Boston Inc.      5/13/15         62,002   

USD

      1,130,937       BRL      3,600,000       Citibank, N.A.      6/15/15         27,200   
                 

 

 

  

Total

  

                $ 5,679,487   
                 

 

 

  

Abbreviations used in this table:

 

AUD    — Australian Dollar
BRL    — Brazilian Real
CAD    — Canadian Dollar
EUR    — Euro
GBP    — British Pound
JPY    — Japanese Yen
MXN    — Mexican Peso
USD    — United States Dollar

At March 31, 2015, the Fund had the following open swap contracts:

 

CENTRALLY CLEARED INTEREST RATE SWAPS

  

SWAP COUNTERPARTY

   NOTIONAL
AMOUNT		     TERMINATION
DATE		    

PAYMENTS
MADE BY
THE FUND†

  

PAYMENTS
RECEIVED BY
THE FUND†

   UPFRONT
PREMIUMS PAID
(RECEIVED)		     UNREALIZED
APPRECIATION
(DEPRECIATION)		  

UBS Warburg LLC

   $ 123,000        5/15/30      2.110% semi-annually   3-Month LIBOR   $ 756      $ 1,283   
Deutsche Bank AG     13,650,000        2/15/41      2.620% semi-annually   3-month LIBOR     —          (588,032 ) 
 

 

 

          

 

 

    

 

 

  
Total   $ 13,773,000            $ 756      $ (586,749 ) 
 

 

 

          

 

 

    

 

 

  

OTC TOTAL RETURN SWAPS

  

SWAP COUNTERPARTY

   NOTIONAL
AMOUNT		     TERMINATION
DATE		    

PERIODIC
PAYMENTS
MADE BY
THE FUND†

  

PERIODIC
PAYMENTS
RECEIVED BY
THE FUND‡

   UPFRONT
PREMIUMS PAID
(RECEIVED)		     UNREALIZED
DEPRECIATION		  

Barclays Capital Inc.

   $ 32,060,000        1/27/20      1.925%*   CPURNSA*     —        $ (22,871 ) 

Barclays Capital Inc.

     32,060,000        1/28/20      1.955%*   CPURNSA*     —          (20,291 ) 
 

 

 

          

 

 

    

 

 

  

Total

   $ 64,120,000              —        $ (43,162 ) 
 

 

 

          

 

 

    

 

 

  

 

† Percentage shown is an annual percentage rate.

 

‡ Periodic payments made/received by the Fund are based on the total return of the referenced entity.

 

* One time payment at termination date.

 

10

 

ITEM 2. CONTROLS AND PROCEDURES.

 

  (a) The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are effective, and that the disclosure controls and procedures are reasonably designed to ensure (1) that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods and (2) that information required to be disclosed by the Registrant in the reports that it files or submits on
Form N-Q is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

 

  (b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting.

 

ITEM 3. EXHIBITS.

Certifications as required by Rule 30a-2(a) under the Investment Company Act of 1940 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/Claymore Inflation-Linked Securities & Income Fund

 

By:   /s/    KENNETH D. FULLER        
  Kenneth D. Fuller
  Trustee and President

Date:

  

May 22, 2015

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/    KENNETH D. FULLER        
  Kenneth D. Fuller
  Trustee and President

Date:

  

May 22, 2015

By:   /s/    RICHARD F. SENNETT        
  Richard F. Sennett
  Principal Financial Officer

Date:

  

May 22, 2015