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
|
811-21403
|
|
|
Western
Asset / Claymore Inflation-Linked Securities & Income Fund
|
(Exact name of registrant as specified in charter)
|
|
385 East Colorado Boulevard Pasadena, CA
|
|
91101
|
(Address of principal executive offices)
|
|
(Zip code)
|
|
Charles A.Ruys de Perez
385 East Colorado Boulevard
Pasadena, CA 91101
|
(Name and address of agent for service)
|
|
Registrants
telephone number, including area code:
|
626-844-9400
|
|
|
Date of
fiscal year end:
|
December 31,
|
|
|
|
|
Date of
reporting period:
|
March 31,
2009
|
|
|
|
|
|
|
|
|
Item 1 Schedule of Investments
Western Asset/Claymore
Inflation-Linked Securities & Income Fund
March
31, 2009 (Unaudited)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
LONG-TERM SECURITIES 146.7%
|
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS 130.1%
|
|
|
|
|
|
Treasury
Inflation-Protected Securities
(
A)
130.1%
|
|
|
|
|
|
|
|
United States Treasury Inflation-Protected
Security
|
|
0.875
|
%
|
4/15/10
|
|
$
|
83,188,467
|
|
$
|
82,772,524
|
(B)
|
United States Treasury Inflation-Protected
Security
|
|
2.375
|
%
|
4/15/11
|
|
79,409,869
|
|
81,469,602
|
(B)
|
United States Treasury Inflation-Protected
Security
|
|
3.375
|
%
|
1/15/12
|
|
3,400,368
|
|
3,616,081
|
|
United States Treasury Inflation-Protected
Security
|
|
3.000
|
%
|
7/15/12
|
|
27,827,592
|
|
29,610,283
|
(C)
|
United States Treasury Inflation-Protected
Security
|
|
1.875
|
%
|
7/15/13
|
|
40,230,750
|
|
41,236,519
|
|
United States Treasury Inflation-Protected
Security
|
|
2.000
|
%
|
1/15/14
|
|
3,267,693
|
|
3,366,743
|
|
United States Treasury Inflation-Protected
Security
|
|
1.625
|
%
|
1/15/15
|
|
21,891,276
|
|
22,110,189
|
|
United States Treasury Inflation-Protected
Security
|
|
2.000
|
%
|
1/15/16
|
|
22,230,494
|
|
22,932,133
|
(B)
|
United States Treasury Inflation-Protected
Security
|
|
2.375
|
%
|
1/15/17
|
|
10,311,473
|
|
10,949,495
|
|
United States Treasury Inflation-Protected
Security
|
|
1.625
|
%
|
1/15/18
|
|
21,716,366
|
|
21,947,102
|
(B)
|
United States Treasury Inflation-Protected
Security
|
|
1.375
|
%
|
7/15/18
|
|
14,342,497
|
|
14,225,964
|
|
United States Treasury Inflation-Protected
Security
|
|
2.375
|
%
|
1/15/25
|
|
7,839,860
|
|
8,146,101
|
|
United States Treasury Inflation-Protected
Security
|
|
2.000
|
%
|
1/15/26
|
|
72,605,432
|
|
71,788,620
|
(B)
|
United States Treasury Inflation-Protected
Security
|
|
1.750
|
%
|
1/15/28
|
|
24,689,140
|
|
23,639,852
|
(C)
|
United States Treasury Inflation-Protected
Security
|
|
3.875
|
%
|
4/15/29
|
|
10,209,390
|
|
13,112,685
|
(C)
|
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $434,193,820)
|
|
450,923,893
|
|
U.S. GOVERNMENT AGENCY MORTGAGE-
BACKED SECURITIES 4.7%
|
|
|
|
FIXED RATE SECURITIES
4.7%
|
|
|
|
|
|
|
|
|
|
Fannie Mae (Cost $15,244,142)
|
|
6.000
|
%
|
1/1/37 to 6/1/37
|
|
15,525,819
|
|
16,236,097
|
(D)
|
CORPORATE BONDS AND NOTES 5.7%
|
|
|
|
|
|
|
|
|
|
Automobiles 0.9%
|
|
|
|
|
|
|
|
|
|
Ford Motor Co.
|
|
7.450
|
%
|
7/16/31
|
|
7,435,000
|
|
2,360,613
|
|
General Motors Corp.
|
|
8.375
|
%
|
7/15/33
|
|
6,000,000
|
|
720,000
|
|
|
|
|
|
|
|
|
|
3,080,613
|
|
Consumer Finance 0.5%
|
|
|
|
|
|
|
|
|
|
SLM Corp.
|
|
1.371
|
%
|
2/1/10
|
|
2,000,000
|
|
1,719,720
|
(E)
|
Diversified Financial Services 0.6%
|
|
|
|
|
|
|
|
|
|
Bank of America Corp.
|
|
8.000
|
%
|
12/29/49
|
|
1,740,000
|
|
696,853
|
(F)
|
JPMorgan Chase and Co.
|
|
7.900
|
%
|
12/31/49
|
|
1,940,000
|
|
1,246,721
|
(F)
|
|
|
|
|
|
|
|
|
1,943,574
|
|
Diversified Telecommunication Services
0.3%
|
|
|
|
|
|
|
|
|
|
AT&T Inc.
|
|
5.600
|
%
|
5/15/18
|
|
1,000,000
|
|
973,106
|
|
Health Care Providers and Services 0.8%
|
|
|
|
|
|
|
|
|
|
HCA Inc.
|
|
5.750
|
%
|
3/15/14
|
|
4,000,000
|
|
2,620,000
|
|
Media 1.4%
|
|
|
|
|
|
|
|
|
|
Comcast Corp.
|
|
5.900
|
%
|
3/15/16
|
|
1,900,000
|
|
1,835,331
|
|
News America Inc.
|
|
7.625
|
%
|
11/30/28
|
|
1,790,000
|
|
1,540,331
|
|
Time Warner Inc.
|
|
7.700
|
%
|
5/1/32
|
|
1,750,000
|
|
1,573,663
|
|
|
|
|
|
|
|
|
|
4,949,325
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
Western Asset/Claymore
Inflation-Linked Securities & Income Fund
March 31, 2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Oil, Gas and Consumable Fuels 1.2%
|
|
|
|
|
|
|
|
|
|
Hess
Corp.
|
|
7.875
|
%
|
10/1/29
|
|
$
|
2,880,000
|
|
$
|
2,606,460
|
|
Hess
Corp.
|
|
7.300
|
%
|
8/15/31
|
|
120,000
|
|
104,389
|
|
Hess
Corp.
|
|
7.125
|
%
|
3/15/33
|
|
895,000
|
|
768,266
|
|
Kinder
Morgan Energy Partners LP
|
|
7.300
|
%
|
8/15/33
|
|
900,000
|
|
813,288
|
|
|
|
|
|
|
|
|
|
4,292,403
|
|
TOTAL CORPORATE BONDS AND NOTES
(Cost
$33,096,696)
|
|
|
19,578,741
|
|
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES 0.6%
|
|
|
|
|
|
|
|
|
|
Fixed Rate Securities 0.1%
|
|
|
|
|
|
|
|
|
|
Structured
Asset Securities Corp. 2002-AL1 A3
|
|
3.450
|
%
|
2/25/32
|
|
386,936
|
|
299,788
|
|
|
|
|
|
|
|
|
|
|
|
Indexed Securities
(
E)
0.5%
|
|
|
|
|
|
|
|
|
|
Ameriquest
Mortgage Securities Inc. 2005-R11 A2D
|
|
0.804
|
%
|
1/25/36
|
|
50,000
|
|
31,484
|
|
Amresco
Residential Securities Mortgage Loan Trust 1997-3 M1A
|
|
1.029
|
%
|
9/25/27
|
|
3,510
|
|
2,947
|
|
Asset
Backed Funding Certificates 2004-OPT2 M1
|
|
1.024
|
%
|
8/25/33
|
|
40,000
|
|
14,498
|
|
Countrywide
Asset-Backed Certificates 2002-4 A1
|
|
1.214
|
%
|
2/25/33
|
|
3,575
|
|
1,531
|
|
Countrywide
Home Equity Loan Trust 2007-GW A
|
|
1.011
|
%
|
8/15/37
|
|
1,286,086
|
|
655,325
|
(G)
|
EMC
Mortgage Loan Trust 2004-C A1
|
|
1.024
|
%
|
3/25/31
|
|
52,104
|
|
42,121
|
(H)
|
Novastar
Home Equity Loan 2003-2 A1
|
|
0.999
|
%
|
9/25/33
|
|
1,585,625
|
|
932,152
|
|
Specialty
Underwriting & Residential Finance Trust 2001-BC4 M1
|
|
1.074
|
%
|
11/25/34
|
|
60,000
|
|
29,677
|
|
|
|
|
|
|
|
|
|
1,709,735
|
|
Variable Rate Securities
(
I)
N.M.
|
|
|
|
|
|
|
|
|
|
SLC
Student Loan Trust 2008-1 A4A
|
|
3.596
|
%
|
12/15/32
|
|
100,000
|
|
89,442
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost
$1,519,340)
|
|
|
|
|
2,098,965
|
|
|
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES 3.2%
|
|
|
|
|
|
|
|
|
|
Fixed Rate Securities 0.3%
|
|
|
|
|
|
|
|
|
|
Countrywide
Alternative Loan Trust 2004-J1
|
|
6.000
|
%
|
2/25/34
|
|
21,664
|
|
20,025
|
|
Countrywide
Alternative Loan Trust 2004-2 CB
|
|
4.250
|
%
|
3/25/34
|
|
96,449
|
|
85,137
|
|
Residential
Asset Mortgage Products Inc. 2004-SL2
|
|
8.500
|
%
|
10/25/31
|
|
22,922
|
|
22,341
|
|
Residential
Asset Mortgage Products Inc. 2004-SL4
|
|
7.500
|
%
|
7/25/32
|
|
193,600
|
|
176,963
|
|
Washington
Mutual MSC Mortgage Pass-Through Certificates 2002-MS12 B2
|
|
6.500
|
%
|
5/25/32
|
|
810,071
|
|
550,047
|
|
Washington
Mutual MSC Mortgage Pass-Through Certificates Series 2004-RA1
|
|
7.000
|
%
|
3/25/34
|
|
91,002
|
|
71,323
|
|
|
|
|
|
|
|
|
|
925,836
|
|
Indexed Securities
(
E)
1.3%
|
|
|
|
|
|
|
|
|
|
Banc
of America Mortgage Securities 2003-D
|
|
4.569
|
%
|
5/25/33
|
|
125,163
|
|
101,806
|
|
Banc
of America Mortgage Securities 2005-F
|
|
5.011
|
%
|
7/25/35
|
|
194,780
|
|
148,847
|
|
Bear
Stearns Adjustable Rate Mortgage Trust 2004-9 24A1
|
|
5.467
|
%
|
11/25/34
|
|
298,604
|
|
239,268
|
|
Countrywide
Home Loan Mortgage Pass-Through Trust 2003-56 6A1
|
|
5.314
|
%
|
12/25/33
|
|
811,514
|
|
574,106
|
|
Countrywide
Home Loans 2005-09 1A1
|
|
0.774
|
%
|
5/25/35
|
|
214,198
|
|
88,618
|
|
Countrywide
Home Loans 2005-R2 1AF1
|
|
0.729
|
%
|
6/25/35
|
|
883,796
|
|
519,566
|
(H)
|
Countrywide
Home Loans 2005-R3
|
|
0.784
|
%
|
9/25/35
|
|
1,719,298
|
|
1,290,392
|
(H)
|
IndyMac
Inda Mortgage Loan Trust 2007-AR7 1A1
|
|
6.175
|
%
|
11/25/37
|
|
301,021
|
|
165,481
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2
Western Asset/Claymore
Inflation-Linked Securities & Income Fund
March 31, 2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Indexed Securities
(
E)
1.3% (continued)
|
|
|
|
|
|
|
|
|
|
JPMorgan
Mortgage Trust 2004-A1 1A1
|
|
4.346
|
%
|
10/25/33
|
|
$
|
194,623
|
|
$
|
158,138
|
|
JPMorgan
Mortgage Trust 2004-A1 1A1
|
|
4.798
|
%
|
2/25/34
|
|
64,545
|
|
54,229
|
|
MASTR
Adjustable Rate Mortgages Trust 2004-13
|
|
3.788
|
%
|
11/21/34
|
|
350,000
|
|
188,665
|
|
MLCC
Mortgage Investors Inc. 2003-H
|
|
5.213
|
%
|
1/25/29
|
|
15,516
|
|
12,530
|
|
Sequoia
Mortgage Trust 2003-8 A1
|
|
0.079
|
%
|
1/20/34
|
|
43,950
|
|
27,157
|
|
Structured
Adjustable Rate Mortgage Loan Trust 2005-3XS A3
|
|
0.759
|
%
|
1/25/35
|
|
1,142,241
|
|
799,569
|
|
WaMu
Mortgage Pass-Through Certificates 2003-AR8 A
|
|
4.279
|
%
|
8/25/33
|
|
47,557
|
|
39,491
|
|
WaMu
Mortgage Pass-Through Certificates 2003-AR10
|
|
4.670
|
%
|
10/25/33
|
|
177,531
|
|
139,769
|
|
|
|
|
|
|
|
|
|
4,547,632
|
|
Variable Rate Securities
(
I)
1.6%
|
|
|
|
|
|
|
|
|
|
Chase
Mortgage Finance Corp. 2007-A1 2A3
|
|
4.135
|
%
|
2/25/37
|
|
83,404
|
|
63,131
|
|
CS
First Boston Mortgage Securities Corp. 2004-AR6 2A1
|
|
4.238
|
%
|
10/25/34
|
|
71,013
|
|
54,143
|
|
GSR
Mortgage Loan Trust 2004-11 1A1
|
|
4.913
|
%
|
9/25/34
|
|
390,781
|
|
275,934
|
|
JPMorgan
Mortgage Trust 2006-A2 5A1
|
|
5.137
|
%
|
11/25/33
|
|
31,618
|
|
22,725
|
|
Merrill
Lynch Mortgage Investors Inc. 2005-A2
|
|
4.485
|
%
|
2/25/35
|
|
2,151,053
|
|
1,469,226
|
|
Merrill
Lynch Mortgage Investors Trust 2004-A1 2A1
|
|
4.876
|
%
|
2/25/34
|
|
54,808
|
|
42,311
|
|
Morgan
Stanley Capital I 2004-RR2 X
|
|
1.633
|
%
|
10/28/33
|
|
1,077,087
|
|
17,244
|
(H),(J)
|
Thornburg
Mortgage Securities Trust 2007-4 2A1
|
|
6.208
|
%
|
9/25/37
|
|
437,517
|
|
303,553
|
|
WaMu
Mortgage Pass-Through Certificates 2005-AR3 A2
|
|
4.638
|
%
|
3/25/35
|
|
4,926,883
|
|
3,129,549
|
|
WaMu
Mortgage Pass-Through Certificates 2007-HY1 1A1
|
|
5.698
|
%
|
2/25/37
|
|
501,258
|
|
262,589
|
|
|
|
|
|
|
|
|
|
5,640,405
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost
$10,423,009)
|
|
11,113,873
|
|
YANKEE BONDS
(
K)
2.3%
|
|
|
|
|
|
|
|
|
|
Commercial Banks
N.M.
|
|
|
|
|
|
|
|
|
|
Glitnir
Banki Hf
|
|
6.693
|
%
|
6/15/16
|
|
1,240,000
|
|
124
|
(F),(H),(J),(L)
|
Kaupthing
Bank Hf
|
|
7.125
|
%
|
5/19/16
|
|
2,060,000
|
|
206
|
(H),(J),(L)
|
|
|
|
|
|
|
|
|
330
|
|
Diversified Financial Services 0.3%
|
|
|
|
|
|
|
|
|
|
UFJ
Finance Aruba AEC
|
|
6.750
|
%
|
7/15/13
|
|
1,025,000
|
|
1,054,591
|
|
Diversified Telecommunication Services 0.6%
|
|
|
|
|
|
|
|
|
|
Deutsche Telekom International Finance BV
|
|
8.750
|
%
|
6/15/30
|
|
2,175,000
|
|
2,323,568
|
(M)
|
Foreign Government 1.3%
|
|
|
|
|
|
|
|
|
|
Russian
Federation
|
|
7.500
|
%
|
3/31/30
|
|
4,684,400
|
|
4,417,061
|
(H)
|
Oil, Gas and Consumable Fuels 0.1%
|
|
|
|
|
|
|
|
|
|
Gazprom
|
|
6.510
|
%
|
3/7/22
|
|
490,000
|
|
316,050
|
(H)
|
TOTAL YANKEE BONDS
(Cost $12,102,946)
|
|
|
|
|
|
|
8,111,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3
Western Asset/Claymore
Inflation-Linked Securities & Income Fund
March 31, 2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Preferred Stocks 0.1%
|
|
|
|
|
|
|
|
|
|
Fannie
Mae
|
|
8.250
|
%
|
|
|
318,300
|
shs
|
$
|
225,993
|
(D),(F),(N)
|
Freddie
Mac
|
|
8.375
|
%
|
|
|
357,225
|
|
164,324
|
(D),(F),(N)
|
TOTAL PREFERRED STOCKS
(Cost
$17,031,648)
|
|
|
|
|
|
390,317
|
|
TOTAL LONG-TERM SECURITIES
(Cost $523,611,601)
|
|
|
|
|
|
508,453,486
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 1.4%
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement 1.4%
|
|
|
|
|
|
|
|
|
|
Merrill
Lynch Government Securities Inc.
0.09%, dated 3/31/09, to be repurchased at $4,856,012 on 4/1/09 (Collateral:
$4,463,000 Fannie Mae notes, 5.450%, due 10/18/21 value $4,953,122) (Cost
$4,856,000)
|
|
|
|
|
|
$
|
4,856,000
|
|
4,856,000
|
|
TOTAL INVESTMENTS 148.1%
(Cost
$528,467,601)
(
O)
|
|
|
|
513,309,486
|
|
Reverse Repurchase Agreements (47.5)%
|
|
|
|
|
|
|
|
(164,635,000
|
)
|
Other Assets Less Liabilities (0.6)%
|
|
|
|
|
|
|
|
(2,168,551
|
)
|
|
|
|
|
|
|
|
|
|
|
Net Assets
100.0%
|
|
|
|
|
|
|
|
$
|
346,505,935
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration
|
|
Actual
Contracts
|
|
Appreciation/
(Depreciation)
|
|
Futures Contracts Purchased
|
|
|
|
|
|
|
|
|
|
U.S.
Treasury Note Futures
|
|
|
|
June 2009
|
|
24
|
|
$
|
33,630
|
|
|
|
|
|
|
|
|
|
|
|
|
N.M.
|
Not Meaningful.
|
(A)
|
Treasury Inflation-Protected Security
Treasury security whose principal value is adjusted daily in accordance with
changes to the Consumer Price Index for All Urban Consumers. Interest is
calculated on the basis of the current adjusted principal value.
|
(B)
|
Position, or a portion thereof, with an
aggregate market value of $164,635,000 has been segregated to collateralize
reverse repurchase agreements.
|
(C)
|
All or a portion of this security is
collateral to cover futures and options contracts written.
|
(D)
|
On September 7, 2008, the Federal Housing
Finance Agency placed Fannie Mae and Freddie Mac into conservatorship.
|
(E)
|
Indexed Security - The rates of interest
earned on these securities are tied to the London Interbank Offered Rate
(LIBOR), the Euro Interbank Offered Rate (EURIBOR) Index, the Consumer
Price Index (CPI), the one-year Treasury Bill Rate or the ten-year Japanese
Government Bond Rate. The coupon rates are the rates as of March 31,
2009.
|
(F)
|
Stepped Coupon Security - A security with a
predetermined schedule of interest or dividend rate changes at which time it
begins to accrue interest or pay dividends according to the predetermined
schedule.
|
(G)
|
Security is valued in good faith at fair value
by or under the direction of the Board of Directors.
|
(H)
|
Rule 144a Security - A security purchased
pursuant to Rule 144a under the Securities Act of 1933 which may not be
resold subject to that rule except to qualified institutional buyers.
These securities, which the Funds investment adviser has determined to be
liquid, unless otherwise noted, represent 1.91% of net assets.
|
(I)
|
The coupon rates shown on variable rate
securities are the rates at March 31, 2009. These rates vary with the
weighted average coupon of the underlying loans.
|
(J)
|
Illiquid security valued at fair value under
the procedures approved by the Board of Directors.
|
(K)
|
Yankee Bond - A dollar-denominated bond issued
in the U.S. by foreign entities.
|
(L)
|
Bond is currently in default.
|
(M)
|
Credit Linked Security - The rates of interest
earned on these securities are tied to the credit rating assigned by
Standard & Poors Rating Service and/or Moodys Investors Services.
|
(N)
|
Non-income producing.
|
(O)
|
Aggregate cost for federal income tax purposes
is substantially the same as book cost. At March 31, 2009, the aggregate
gross unrealized appreciation and depreciation of investments for federal
income tax purposes were substantially as follows:
|
Gross unrealized appreciation
|
|
$
|
19,802,773
|
|
Gross unrealized depreciation
|
|
(34,960,888
|
)
|
Net unrealized depreciation
|
|
$
|
(15,158,115
|
)
|
4
Investment Valuation
The
Funds securities are valued under policies approved by and under the general
oversight of the Board of Trustees. Effective January 1, 2008, the Fund
adopted Statement of Financial Accounting Standards No. 157 (FAS 157). FAS
157 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 Funds 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 Funds own assumptions in determining the fair value of
investments)
Debt
securities are valued at the last quoted bid prices provided by an independent
pricing service that are based on transactions in debt obligations, quotations
from bond dealers, market transactions in comparable securities and various
other relationships between securities. Equity securities for which market
quotations are available are valued at the last sale price or official closing
price on the primary market or exchange on which they trade. Publicly traded
foreign government debt securities are typically traded internationally in the
over-the-counter market and are valued at the bid price as of the close of
business of that market. When prices are not readily available, or are
determined not to reflect fair value, 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 may value these securities at fair value as
determined in accordance with the procedures approved by the Funds Board of
Trustees.
The
inputs or methodology used for valuing securities are not necessarily an indication
of the risk associated with investing in those securities.
The
following is a summary of the inputs used in valuing the Funds assets carried
at fair value:
|
|
March 31, 2009
|
|
Quoted Prices
(Level 1)
|
|
Other Significant
Observable Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
$
|
513,309,486
|
|
$
|
390,316
|
|
$
|
512,919,170
|
|
|
|
Other Financial Instruments*
|
|
|
|
|
|
|
|
|
|
Derivatives
|
|
(2,625,714
|
)
|
33,630
|
|
(2,659,344
|
)
|
|
|
Reverse Repurchase Agreements
|
|
(164,635,000
|
)
|
|
|
(164,635,000
|
)
|
|
|
Total
|
|
$
|
346,048,772
|
|
$
|
423,946
|
|
$
|
345,624,826
|
|
|
|
* Other financial instruments include reverse repurchase agreements and
derivatives e.g., futures and swap
contracts.
Foreign
Currency Translation
Assets
and liabilities initially expressed in non-U.S. currencies are translated into
U.S. dollars using currency exchange rates determined prior to the close of
trading on the New York Stock Exchange, usually at 2:00 p.m. Eastern time.
Purchases and sales of securities and income and expenses are translated into
U.S. dollars at the prevailing market rates on the dates of such transactions.
The effects of changes in non-U.S. currency exchange rates on investment
securities and other assets and liabilities are included with the net realized
and unrealized gain or loss on investment securities.
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, a fund takes
possession of an underlying debt obligation subject to an obligation of the
seller to repurchase, and of the fund to resell, the obligation at an
agreed-upon price and time, thereby determining the yield during a funds
holding period. When entering into repurchase agreements, it is the Funds
policy that its custodian acting on the funds behalf, or a third party
custodian 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 exceeds one business day, the value of the collateral is marked to
market to ensure the adequacy
5
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.
Futures Contracts
The Portfolio may use
futures contracts to gain exposure to, or hedge against, changes in the value
of equities, interest rates or foreign currencies. A futures contract
represents a commitment for the future purchase or sale of an asset at a specified
price on a specified date.
Upon entering into a futures
contract, the Portfolio is required to deposit with a broker cash or cash
equivalents in an amount equal to a certain percentage of the contract amount.
This is known as the initial margin. Subsequent payments (variation margin)
are made or received by
the
Portfolio each day, depending on the daily fluctuation in the value of the
contract. For non-U.S. and foreign denominated futures held in the Portfolio,
payment is not sent daily, but is recorded as a net payable or receivable by
the Portfolio to or from the futures broker, which holds cash collateral from
the Portfolio. The daily changes in contract value are recorded as unrealized
gains or losses and the Portfolio recognizes a realized gain or loss when the
contract is closed. Futures contracts are valued daily at the settlement price
established by the board of trade or exchange on which they are traded. With
futures, there is minimal counterparty risk to the Portfolio since futures are
exchange traded and the exchanges clearinghouse, as counterparty to all
exchange traded futures, guarantees the futures against default.
The Portfolio may enter into
futures contracts for various reasons, including in connection with their
interest rate management strategy. Futures contracts involve, to varying
degrees, risk of loss in excess of the amounts reflected in the financial
statements. The change in the value of futures contracts primarily corresponds
with the value of their underlying instruments, which may not correlate with
the change in interest rates, if applicable. In addition, there is the risk
that the Portfolio may not be able to enter into a closing transaction because
of an illiquid secondary market.
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,
thereby determining the yield to the buyer during the buyers holding period. A
reverse repurchase agreement involves the risk, among others, that the market
value of the collateral retained by the fund may decline below the price of the
securities the fund has sold but is obligated to repurchase under the
agreement. In the event the buyer of securities under a reverse repurchase
agreement files for bankruptcy or becomes insolvent, the funds use of the
proceeds of the agreement may be restricted pending a determination by the
party, or its trustee or receiver, whether to enforce the Funds 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.
For
the three months ended March 31, 2009, the average amount of reverse
repurchase agreements outstanding was $100,191,869 and the daily weighted
average interest rate was 0.55%.
As
of March 31, 2009, the Fund entered into a reverse repurchase agreement (Reverse
Repurchase Agreement) with Deutsche Bank for $164,635,000. The Reverse
Repurchase Agreement which matured on April 7, 2009 was recorded at cost
and was collateralized by various U.S. Treasury Inflation Protected Securities
with a par value of $168,000,000 and a market value as of March 31, 2009,
of $164,635,000. The implied interest rate on the Reverse Repurchase Agreement
was 0.65% at March 31, 2009.
Swap Agreements
The
Funds may invest in swaps for the purpose of managing their exposure to
interest rate, credit or market risk, or for other purposes. The use of swaps
involves risks that are different from those associated with ordinary portfolio
transactions.
Credit Default Swaps
The
Fund may enter into credit default swap (CDS) contracts for investment
purposes, to manage its credit risk or to add leverage. CDS agreements involve one party making a
stream of payments to another party in exchange for the right to receive a
specified return in the event of a default by a third party, typically
corporate or sovereign issuers, on a specified obligation, or in the event of a
write-down, principal shortfall, interest shortfall or default of all or part
of the referenced entities comprising a credit index. The Fund may use a CDS to
provide protection against defaults of the issuers (i.e., to reduce risk where
a Fund has exposure to a sovereign issuer) or to take an active long or short
position with respect to the likelihood of a particular issuers default. As a
seller of protection, the Fund generally receives an upfront payment or a
stream of payments throughout the term of the swap provided that there is no
credit event. If the Fund is a seller of protection and a credit event occurs,
as defined under the terms of that particular swap agreement, the maximum
potential amount of future payments (undiscounted) that the Fund could be
required to make under a credit default swap agreement would be an amount equal
to the notional amount of the agreement. These amounts of potential payments
will be partially offset by any recovery of values from the respective
referenced obligations. As a seller of protection, the Fund effectively adds
leverage to its portfolio because, in addition to its total net assets, the
Fund would be subject to investment exposure on the notional amount of the
swap. As a buyer of protection, the Fund generally receives an amount up to the
notional value of the swap if a credit event occurs.
Implied
spreads are the theoretical prices a lender receives for credit default
protection. When spreads rise, market perceived credit risk rises and when
spreads fall, market perceived credit risk falls. The implied credit spread of
a particular referenced entity reflects the cost of buying/selling protection
and may include upfront payments required to enter into the agreement. Wider
credit spreads and decreasing market values, when compared to the notional
amount of the swap, represent a deterioration of the referenced entitys credit
soundness and a greater likelihood or risk of default or other credit event
occurring as defined under the terms of the agreement. Credit spreads utilized
in determining the period end market value of credit default swap agreements on
corporate or sovereign issues are disclosed in the Notes to the Schedule of
Investments and serve as an indicator of the current status of the
payment/performance risk and represent the likelihood or risk of default for
credit derivatives. For credit default swap agreements on asset-backed
securities and credit indices, the quoted market prices and resulting values,
particularly in relation to the notional amount of the contract as well as the
annual payment rate, serve as an indication of the current status of the
payment/performance risk.
6
The
Funds maximum risk of loss from counterparty risk, either as the protection
seller or as the protection buyer, is the fair value of the contract (this risk
is mitigated by the posting of collateral by the counterparty to the Fund to
cover the Funds exposure to the counterparty). Credit default swaps are
considered to have credit risk-related contingent features since they require
payment by the protection seller to the protection buyer upon the occurrence of
a defined credit event. As disclosed in the Fair Values of Derivatives
Balance Sheet table that follows each Funds summary of open swap contracts,
the aggregate fair value of credit default swaps in a net liability position as
of March, 31, 2009 was $3,436,738. If a defined credit event had occurred as of
March, 31, 2009, the swaps credit-risk-related contingent features would have
been triggered and the Fund would have been required to pay $30,441,600 less
the value of the contracts related reference obligations
.
Entering
into a CDS agreement involves, to varying degrees, elements of credit, market
and documentation risk in excess of the related amounts recognized in the
Statement of Assets and Liabilities. Such risks involve the possibility that
there will be no liquid market for these agreements, that the counterparty to
the agreement may default on its obligation to perform or disagree as to the
meaning of the contractual terms in the agreement, and that there will be
unfavorable changes in net interest rates.
Interest Rate Swaps
The Fund is subject to
interest rate risk exposure in the normal course of pursuing its investment
objectives. Because the Fund holds fixed rate bonds, the value of these bonds
may decrease if interest rates rise. To help hedge against this risk and to
maintain its ability to generate income at prevailing market rates, the Fund
may enter into interest rate swap contracts. Interest rate swaps are
agreements between two parties to exchange cash flows based on a notional
principal amount. The Fund may elect to pay a fixed rate and receive a floating
rate, or, receive a fixed rate and pay a floating rate on a notional principal
amount. The net interest received or paid on interest rate swap agreements is
accrued daily as interest income or expense. Interest rate swaps are marked to market daily based
upon quotations from the market makers. When a swap contract is terminated
early, the Fund records a realized gain or loss equal to the difference between
the current realized value and the expected cash flows. The risks of interest
rate swaps include changes in market conditions that will affect the value of
the contract or the cash flows and the possible inability of the counterparty
to fulfill its obligations under the agreement. The Funds maximum risk of loss from counterparty credit risk is the
discounted net value of the cash flows to be received from the counterparty
over the contracts remaining life, to the extent that that amount is positive.
This risk is mitigated by the posting of collateral by the counterparty to the
Fund to cover the Funds exposure to the counterparty.
As of March 31, 2009, the three month London Interbank offered rate was
1.19%.
The
following is a summary of open swap contracts outstanding as of March 31,
2009
Agreement With:
|
|
Termination Date
|
|
The Fund Agrees
to Pay
|
|
The Fund Will
Receive
|
|
Contract
Notional
Amount
|
|
Upfront
Premiums
Paid/(Received)
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
Interest Rate Swaps:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Captial Inc.
|
|
March 18,
2039
|
|
4.25%
Semi-Annually
|
|
3-month
LIBOR
|
|
$7,940,000
|
|
$(2,300,902)
|
|
$777,394
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized
appreciation on interest rate swaps
|
|
|
|
|
|
|
$777,394
|
|
CREDIT DEFAULT SWAP ON CORPORATE ISSUESSELL PROTECTION
(1)
Swap Counterparty
(Reference Entity)
|
|
Termination
Date
|
|
Implied
Credit
Spread At March 31, 2009
(2)
|
|
Periodic
Payments
Received by
the Fund
|
|
Contract
Notional Amount
(3)
|
|
Market
Value
|
|
Upfront
Premiums
Paid/(Received)
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
JP Morgan
Chase & Co.
(SLM Corporation, 5.125%, due 8/27/12)
|
|
December 20, 2012
|
|
27.75%
|
|
2.50% Quarterly
|
|
$3,800,000
|
|
$(1,538,661)
|
|
|
|
$(1,538,661)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized
depreciation on sales of credit default swaps on corporate issues
|
|
|
|
|
|
$(1,538,661)
|
|
CREDIT DEFAULT SWAP ON CREDIT INDICESSELL PROTECTION
(1)
Agreement
With:
|
|
Termination
Date
|
|
The Fund
Will
Receive
|
|
Contract
Notional
Amount
(3)
|
|
Market
Value
(4)
|
|
Upfront
Premiums
Paid/(Received)
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
Barclays Capital Inc. (CDX HVOL 7)
|
|
June 20,
2012
|
|
0.75%
Quarterly
|
|
$8,000,000
|
|
$(767,113)
|
|
$(41,240)
|
|
$(725,873)
|
|
Barclays Capital Inc. (CDX IG 8)
|
|
June 20,
2012
|
|
0.35%
Quarterly
|
|
18,641,600
|
|
(1,300,513)
|
|
(128,309)
|
|
(1,172,204)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on sales of credit default swaps on
credit indices
|
|
|
|
$(1,898,077)
|
|
(1)
If the Fund is a seller of protection
and a credit event occurs, as defined under the terms of that particular swap
agreement, the Fund will either (i) pay to the buyer of protection an
amount equal to the notional amount of the swap and take delivery of the
referenced obligation or underlying securities comprising the referenced index
or (ii) pay a net settlement amount in the form of cash or securities
equal to the notional amount of the swap less the recovery value of the
referenced obligation or underlying securities comprising the referenced index.
(2)
Implied credit spreads, utilized in
determining the market value of credit default swap agreements on corporate
issues or sovereign issues of an emerging country as of period end serve as an
indicator of the current status of the payment/performance risk and represent
the likelihood or risk of default for the credit derivative. The implied credit
spread of a particular referenced entity reflects the cost of buying/selling
protection and may include upfront payments required to be made to enter into
the agreement. Wider credit spreads represent a deterioration of the referenced
entitys credit soundness and a greater likelihood or risk of default or other
credit event occurring as defined under the terms of the agreement. A credit
spread identified as Defaulted indicates a credit event has occurred for the
referenced entity or obligation.
(3)
The maximum potential amount the Fund
could be required to make as a seller of credit protection or receive as a
buyer of credit protection if a credit event occurs as defined under the terms
of that particular swap agreement.
(4)
The quoted market prices and resulting
values for credit default swap agreements on asset-backed securities and credit
indices serve as an indicator of the current status of the payment/performance
risk and represent the likelihood of an expected liability (or profit) for the
credit derivative should the notional amount of the swap agreement been
closed/sold as of the period end. Decreasing market values when compared to the
notional amount of the swap, represent a deterioration of the referenced
entitys credit soundness and a greater likelihood or risk of default or other
credit event occurring as defined under the terms of the agreement.
Percentage shown is an annual percentage
rate.
7
Derivative Instruments and Hedging Activities
Financial
Accounting Standards Board Statement of Financial Accounting Standards No. 161,
Disclosures about Derivative Instruments and Hedging Activities, requires
enhanced disclosure about an entitys derivative and hedging activities.
The
following is a summary of the Funds derivative instruments categorized by risk
exposure at March 31, 2009.
|
|
|
Futures Contracts
|
|
|
Swap Contracts
|
|
|
|
|
Primary Underlying Risk
|
|
|
Unrealized
|
|
|
Unrealized
|
|
|
Unrealized
|
|
|
Unrealized
|
|
|
|
|
Disclosure
|
|
|
Appreciation
|
|
|
Depreciation
|
|
|
Appreciation
|
|
|
Depreciation
|
|
|
Total
|
|
Interest Rate Contracts
|
|
|
$33,630
|
|
|
|
|
|
$777,394
|
|
|
|
|
|
$811,024
|
|
Foreign Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts
|
|
|
|
|
|
|
|
|
|
|
|
$(3,436,738)
|
|
|
(3,436,738)
|
|
Equity Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Total
|
|
|
$33,630
|
|
|
|
|
|
$777,394
|
|
|
$(3,436,738)
|
|
|
$(2,625,714)
|
|
Recent Accounting Pronouncement
In April 2009, the Financial Accounting Standards Board (FASB)
issued FASB Staff Position No. 157-4, Determining Fair Value When the
Volume and Level of Activity for the Asset or Liability Have Significantly
Decreased and Identifying Transactions That Are Not Orderly (FSP 157-4). FSP
157-4 provides additional guidance for estimating fair value in accordance with
FAS 157, when the volume and level of activity for the asset or liability have
significantly decreased as well as guidance on identifying circumstances that
indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years
and interim periods ending after June 15, 2009. Management is currently
evaluating the impact the adoption of FSP 157-4 will have on the Funds
financial statement disclosures.
Other
information regarding the Fund is available in the Funds most recent Report to
Shareholders. This information is
available on the Securities and Exchange Commissions website (www.sec.gov).
8
Item 2 Controls and Procedures
(a)
The Registrants principal
executive and principal financial officers have concluded, based on their
evaluation of the Registrants 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 Registrants
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 Registrants 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
Registrants internal control over financial reporting (as defined in Rule 30a-3(d) under
the Investment Company Act of 1940) during the Registrants 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/ R. Jay Gerken
|
|
R.
Jay Gerken
|
|
President,
Western Asset / Claymore Inflation-Linked Securities &
Income Fund
|
|
Date:
May 28, 2009
|
|
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
|
|
President,
Western Asset / Claymore Inflation-Linked Securities &
Income Fund
|
|
Date:
May 28, 2009
|
|
By:
|
/s/
Frances M.
Guggino
|
|
Frances
M. Guggino
|
|
Principal
Financial and Accounting Officer,
Western Asset / Claymore
Inflation-Linked Securities & Income Fund
|
|
Date:
May 28, 2009
|
|
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