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)
|
|
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 Stamford Place
Stamford, CT 06902
|
(Name and address of agent for service)
|
|
Registrants
telephone number, including area code:
|
(888)
777-0102
|
|
|
Date of
fiscal year end:
|
December 31,
|
|
|
|
|
Date of
reporting period:
|
September
30, 2010
|
|
|
|
|
|
|
|
|
Item
1 Schedule of Investments.
WESTERN ASSET/CLAYMORE
INFLATION LINKED SECURITIES
& INCOME FUND
FORM N-Q
SEPTEMBER 30, 2010
WESTERN
ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND
Schedule of investments (unaudited)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
U.S.
TREASURY INFLATION PROTECTED SECURITIES 101.5%
|
|
|
|
|
|
|
|
U.S. Treasury Bonds, Inflation
Indexed
|
|
3.375%
|
|
1/15/12
|
|
3,511,451
|
|
$
|
3,677,149
|
|
U.S. Treasury
Bonds, Inflation Indexed
|
|
1.875%
|
|
7/15/13
|
|
40,595,400
|
|
43,145,278
|
|
U.S. Treasury
Bonds, Inflation Indexed
|
|
2.375%
|
|
1/15/25
|
|
8,095,990
|
|
9,309,757
|
|
U.S. Treasury
Bonds, Inflation Indexed
|
|
2.000%
|
|
1/15/26
|
|
74,977,467
|
|
82,445,897
|
(a)
|
U.S. Treasury
Bonds, Inflation Indexed
|
|
1.750%
|
|
1/15/28
|
|
24,611,136
|
|
26,085,885
|
(a)
|
U.S. Treasury
Bonds, Inflation Indexed
|
|
3.875%
|
|
4/15/29
|
|
7,360,133
|
|
10,235,184
|
|
U.S. Treasury
Bonds, Inflation Indexed
|
|
2.125%
|
|
2/15/40
|
|
6,051,900
|
|
6,762,526
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
2.375%
|
|
4/15/11
|
|
43,396,204
|
|
43,928,501
|
(b)
|
U.S. Treasury
Notes, Inflation Indexed
|
|
0.625%
|
|
4/15/13
|
|
9,963,614
|
|
10,230,609
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
2.000%
|
|
1/15/14
|
|
37,803,035
|
|
40,543,755
|
(b)(c)
|
U.S. Treasury
Notes, Inflation Indexed
|
|
1.250%
|
|
4/15/14
|
|
8,591,284
|
|
9,038,967
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
2.000%
|
|
7/15/14
|
|
4,788,200
|
|
5,178,735
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
1.625%
|
|
1/15/15
|
|
11,531,574
|
|
12,323,470
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
0.500%
|
|
4/15/15
|
|
11,669,484
|
|
11,984,922
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
1.875%
|
|
7/15/15
|
|
1,462,670
|
|
1,590,082
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
2.000%
|
|
1/15/16
|
|
16,146,627
|
|
17,695,702
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
2.375%
|
|
1/15/17
|
|
14,529,312
|
|
16,377,266
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
1.625%
|
|
1/15/18
|
|
15,349,440
|
|
16,652,945
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
1.375%
|
|
7/15/18
|
|
8,745,064
|
|
9,354,489
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
2.125%
|
|
1/15/19
|
|
2,843,176
|
|
3,200,794
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
1.875%
|
|
7/15/19
|
|
7,555,622
|
|
8,374,939
|
|
U.S. Treasury
Notes, Inflation Indexed
|
|
1.250%
|
|
7/15/20
|
|
8,796,920
|
|
9,230,582
|
|
TOTAL
U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost $365,683,486)
|
|
397,367,434
|
|
ASSET-BACKED
SECURITIES 0.6%
|
|
|
|
|
|
|
|
|
|
FINANCIALS
0.6%
|
|
|
|
|
|
|
|
|
|
Home Equity 0.6%
|
|
|
|
|
|
|
|
|
|
Ameriquest Mortgage
Securities Inc., 2005-R11 A2D
|
|
0.586%
|
|
1/25/36
|
|
50,000
|
|
40,275
|
(d)
|
Amresco Residential
Securities Mortgage Loan Trust, 1997-3 M1A
|
|
0.811%
|
|
9/25/27
|
|
2,724
|
|
2,131
|
(d)
|
Asset Backed Funding
Certificates, 2004-OPT2 M1
|
|
1.081%
|
|
8/25/33
|
|
40,000
|
|
31,867
|
(d)
|
Countrywide Asset-Backed
Certificates, 2002-4 A1
|
|
0.996%
|
|
2/25/33
|
|
2,848
|
|
2,483
|
(d)
|
Countrywide Home Equity
Loan Trust, 2007-GW A
|
|
0.807%
|
|
8/15/37
|
|
1,010,954
|
|
811,699
|
(d)
|
EMC Mortgage Loan Trust,
2004-C A1
|
|
0.806%
|
|
3/25/31
|
|
37,821
|
|
31,276
|
(d)(e)
|
Novastar Home Equity Loan,
2003-2 A1
|
|
0.866%
|
|
9/25/33
|
|
1,219,453
|
|
1,039,381
|
(d)
|
Structured Asset
Securities Corp., 2002-AL1 A3
|
|
3.450%
|
|
2/25/32
|
|
313,466
|
|
297,181
|
|
Total Home Equity
|
|
|
|
|
|
|
|
2,256,293
|
|
Student Loan 0.0%
|
|
|
|
|
|
|
|
|
|
SLC
Student Loan Trust, 2008-1 A4A
|
|
1.892%
|
|
12/15/32
|
|
100,000
|
|
103,901
|
(d)
|
TOTAL
ASSET-BACKED SECURITIES (Cost $1,237,430)
|
|
|
|
2,360,194
|
|
COLLATERALIZED
MORTGAGE OBLIGATIONS 2.7%
|
|
|
|
|
|
|
|
Banc of America Mortgage
Securities, 2003-D
|
|
2.961%
|
|
5/25/33
|
|
84,031
|
|
80,988
|
(d)
|
Banc of America Mortgage
Securities, 2005-F 2A2
|
|
2.942%
|
|
7/25/35
|
|
137,767
|
|
123,687
|
(d)
|
Bear Stearns Adjustable
Rate Mortgage Trust,
2004-9 24A1
|
|
5.393%
|
|
11/25/34
|
|
200,899
|
|
204,386
|
(d)
|
Chase Mortgage Finance
Corp., 2007-A1 2A3
|
|
2.894%
|
|
2/25/37
|
|
52,962
|
|
51,637
|
(d)
|
Countrywide Alternative
Loan Trust, 2004-2 CB
|
|
4.250%
|
|
3/25/34
|
|
27,867
|
|
27,929
|
|
Countrywide Alternative
Loan Trust, 2004-J1
|
|
6.000%
|
|
2/25/34
|
|
13,552
|
|
14,150
|
|
Countrywide Home Loan
Mortgage Pass-Through Trust, 2003-56 6A1
|
|
3.462%
|
|
12/25/33
|
|
588,785
|
|
516,952
|
(d)
|
Countrywide Home Loan
Mortgage Pass-Through Trust, 2005-9 1A1
|
|
0.556%
|
|
5/25/35
|
|
192,166
|
|
119,906
|
(d)
|
Countrywide Home Loans,
2005-R2 1AF1
|
|
0.596%
|
|
6/25/35
|
|
680,160
|
|
578,520
|
(d)(e)
|
Countrywide Home Loans,
2005-R3 AF
|
|
0.656%
|
|
9/25/35
|
|
1,267,526
|
|
1,072,688
|
(d)(e)
|
CS First Boston Mortgage
Securities Corp.,
2004-AR6 2A1
|
|
2.745%
|
|
10/25/34
|
|
49,359
|
|
46,135
|
(d)
|
GSR Mortgage Loan Trust,
2004-11 1A1
|
|
3.075%
|
|
9/25/34
|
|
318,282
|
|
268,832
|
(d)
|
Indymac Inda Mortgage Loan
Trust, 2007-AR7 1A1
|
|
5.973%
|
|
11/25/37
|
|
223,842
|
|
192,611
|
(d)
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
1
WESTERN ASSET/CLAYMORE
INFLATION-LINKED SECURITIES & INCOME FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
JPMorgan Mortgage Trust, 2003-A1
1A1
|
|
3.548%
|
|
10/25/33
|
|
94,966
|
|
$
|
93,994
|
(d)
|
JPMorgan Mortgage Trust,
2004-A1 1A1
|
|
4.789%
|
|
2/25/34
|
|
44,495
|
|
45,658
|
(d)
|
JPMorgan Mortgage Trust,
2006-A2 5A1
|
|
3.284%
|
|
11/25/33
|
|
19,652
|
|
19,101
|
(d)
|
MASTR ARM Trust, 2004-13
3A7
|
|
2.903%
|
|
11/21/34
|
|
350,000
|
|
316,907
|
(d)
|
Merrill Lynch Mortgage
Investors Inc., 2003-H A3
|
|
2.052%
|
|
1/25/29
|
|
12,208
|
|
11,812
|
(d)
|
Merrill Lynch Mortgage
Investors Inc., 2005-A2
|
|
2.799%
|
|
2/25/35
|
|
1,534,213
|
|
1,457,398
|
(d)
|
Merrill Lynch Mortgage
Investors Trust, 2004-A1 2A1
|
|
2.789%
|
|
2/25/34
|
|
38,868
|
|
37,356
|
(d)
|
Morgan Stanley Capital I,
2004-RR2 X
|
|
0.919%
|
|
10/28/33
|
|
878,513
|
|
11,438
|
(d)(e)(f)(g)
|
Residential Asset Mortgage
Products Inc., 2004-SL2 A4
|
|
8.500%
|
|
10/25/31
|
|
19,176
|
|
19,905
|
|
Residential Asset Mortgage
Products Inc., 2004-SL4 A5
|
|
7.500%
|
|
7/25/32
|
|
152,828
|
|
156,744
|
|
Sequoia Mortgage Trust,
2003-8 A1
|
|
0.577%
|
|
1/20/34
|
|
36,960
|
|
32,508
|
(d)
|
Structured Adjustable Rate
Mortgage Loan Trust,
2005-3XS A3
|
|
0.626%
|
|
1/25/35
|
|
541,349
|
|
529,370
|
(d)
|
Thornburg Mortgage
Securities Trust, 2007-4 2A1
|
|
6.192%
|
|
9/25/37
|
|
311,031
|
|
295,415
|
(d)
|
WaMu Mortgage Pass-Through
Certificates,
2003-AR8 A
|
|
2.716%
|
|
8/25/33
|
|
36,763
|
|
37,239
|
(d)
|
WaMu Mortgage Pass-Through
Certificates,
2005-AR3 A2
|
|
2.726%
|
|
3/25/35
|
|
3,508,903
|
|
3,305,120
|
(d)
|
WaMu Mortgage Pass-Through
Certificates,
2007-HY1 1A1
|
|
5.531%
|
|
2/25/37
|
|
395,169
|
|
291,398
|
(d)
|
Washington Mutual Inc.,
MSC Pass-Through Certificates, 2004-RA1 2A
|
|
7.000%
|
|
3/25/34
|
|
55,784
|
|
58,175
|
|
Washington Mutual Inc.,
Pass-Through Certificates, 2003-AR10 A7
|
|
2.823%
|
|
10/25/33
|
|
128,168
|
|
123,905
|
(d)
|
Washington Mutual MSC
Mortgage Pass-Through Certificates, 2002-MS12 B2
|
|
6.500%
|
|
5/25/32
|
|
555,038
|
|
442,502
|
|
TOTAL
COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $7,541,155)
|
|
|
|
10,584,366
|
|
CORPORATE
BONDS & NOTES 3.1%
|
|
|
|
|
|
|
|
|
|
CONSUMER
DISCRETIONARY 0.4%
|
|
|
|
|
|
|
|
|
|
Automobiles 0.4%
|
|
|
|
|
|
|
|
|
|
Motors Liquidation Co.,
Senior Debentures
|
|
8.375%
|
|
7/15/33
|
|
5,225,000
|
|
1,763,437
|
(h)
|
CONSUMER
STAPLES 0.6%
|
|
|
|
|
|
|
|
|
|
Beverages 0.2%
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev
Worldwide Inc., Senior Notes
|
|
3.625%
|
|
4/15/15
|
|
680,000
|
|
718,228
|
|
Food Products 0.4%
|
|
|
|
|
|
|
|
|
|
Kraft Foods Inc., Senior
Notes
|
|
4.125%
|
|
2/9/16
|
|
1,650,000
|
|
1,784,805
|
|
TOTAL
CONSUMER STAPLES
|
|
|
|
|
|
|
|
2,503,033
|
|
ENERGY
0.1%
|
|
|
|
|
|
|
|
|
|
Oil, Gas &
Consumable Fuels 0.1%
|
|
|
|
|
|
|
|
|
|
Gazprom,
Loan Participation Notes, Senior Notes
|
|
6.510%
|
|
3/7/22
|
|
190,000
|
|
202,122
|
(e)
|
FINANCIALS
1.7%
|
|
|
|
|
|
|
|
|
|
Capital Markets 0.4%
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Group Inc.,
Notes
|
|
4.750%
|
|
7/15/13
|
|
1,330,000
|
|
1,427,948
|
|
Kaupthing Bank HF,
Subordinated Notes
|
|
7.125%
|
|
5/19/16
|
|
2,060,000
|
|
0
|
(e)(f)(g)(h)
|
Total Capital Markets
|
|
|
|
|
|
|
|
1,427,948
|
|
Commercial Banks 0.0%
|
|
|
|
|
|
|
|
|
|
Glitnir Banki HF,
Subordinated Notes
|
|
6.693%
|
|
6/15/16
|
|
1,240,000
|
|
0
|
(e)(f)(g)(h)
|
Diversified Financial
Services 1.1%
|
|
|
|
|
|
|
|
|
|
Bank of America Corp.,
Senior Notes
|
|
4.500%
|
|
4/1/15
|
|
940,000
|
|
986,291
|
|
Citigroup Inc., Senior
Notes
|
|
6.010%
|
|
1/15/15
|
|
2,070,000
|
|
2,275,756
|
|
UFJ Finance Aruba AEC
|
|
6.750%
|
|
7/15/13
|
|
1,025,000
|
|
1,155,261
|
|
Total Diversified Financial
Services
|
|
|
|
|
|
|
|
4,417,308
|
|
Insurance 0.2%
|
|
|
|
|
|
|
|
|
|
Berkshire Hathaway Inc.,
Senior Notes
|
|
3.200%
|
|
2/11/15
|
|
830,000
|
|
880,233
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
6,725,489
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
2
WESTERN ASSET/CLAYMORE INFLATION-LINKED
SECURITIES & INCOME FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
HEALTH
CARE 0.3%
|
|
|
|
|
|
|
|
|
|
Health Care
Providers & Services 0.3%
|
|
|
|
|
|
|
|
|
|
HCA Inc., Senior Notes
|
|
5.750
%
|
|
3/15/14
|
|
1,000,000
|
|
$
|
986,250
|
|
TOTAL
CORPORATE BONDS & NOTES (Cost $16,945,143)
|
|
|
|
|
|
12,180,331
|
|
NON-U.S.
TREASURY INFLATION PROTECTED SECURITIES 3.2%
|
|
|
|
|
|
Australia 3.2%
|
|
|
|
|
|
|
|
|
|
Australia Government,
Bonds (Cost - $10,483,144)
|
|
4.000
%
|
|
8/20/20
|
|
7,930,000
|
AUD
|
12,684,913
|
|
SOVEREIGN
BONDS 0.5%
|
|
|
|
|
|
|
|
|
|
Russia 0.5%
|
|
|
|
|
|
|
|
|
|
Russian Foreign
Bond-Eurobond, Senior Bonds (Cost - $1,618,722)
|
|
7.500
%
|
|
3/31/30
|
|
1,664,700
|
|
1,987,985
|
(e)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES
|
|
|
|
PREFERRED
STOCKS 0.1%
|
|
|
|
|
|
|
|
|
|
FINANCIALS
0.1%
|
|
|
|
|
|
|
|
|
|
Thrifts &
Mortgage Finance 0.1%
|
|
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage
Corp. (FHLMC)
|
|
8.375
%
|
|
|
|
309,625
|
|
133,139
|
*(d)
|
Federal National Mortgage
Association (FNMA)
|
|
8.250
%
|
|
|
|
278,700
|
|
121,234
|
*(d)
|
TOTAL
PREFERRED STOCKS (Cost $14,820,998)
|
|
|
|
|
|
254,373
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXPIRATION
DATE
|
|
CONTRACTS
|
|
|
|
PURCHASED
OPTIONS 0.0%
|
|
|
|
|
|
|
|
|
|
U.S. Dollar/Japanese Yen,
Call @ $87.00
(Cost - $233,400)
|
|
|
|
11/24/10
|
|
19,450,000
|
|
82,157
|
(g)
|
TOTAL
INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $418,563,478)
|
|
437,501,753
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
|
|
SHORT-TERM
INVESTMENTS 0.8%
|
|
|
|
|
|
|
|
|
|
Repurchase
Agreements 0.8%
|
|
|
|
|
|
|
|
|
|
Banc of America repurchase
agreement dated 9/30/10; Proceeds at maturity$3,216,018; (Fully
collateralized by U.S. government obligations, 2.125% due 11/30/14; Market
value$3,280,321) (Cost - $3,216,000)
|
|
0.200%
|
|
10/1/10
|
|
3,216,000
|
|
3,216,000
|
|
TOTAL
INVESTMENTS 112.5% (Cost $421,779,478#)
|
|
|
|
|
|
440,717,753
|
|
Liabilities
in Excess of Other Assets (12.5)%
|
|
|
|
|
|
|
|
(49,040,184
|
)
|
TOTAL
NET ASSETS 100.0%
|
|
|
|
|
|
|
|
$
|
391,677,569
|
|
|
Face amount denominated in
U.S. dollars, unless otherwise noted.
|
*
|
Non-income producing
security.
|
(a)
|
All or a portion of this
security is held at the broker as collateral for open futures contracts.
|
(b)
|
All or a portion of this
security is held by the counterparty as collateral for open reverse
repurchase agreements.
|
(c)
|
All or a portion of this
security is held by the custodian as collateral for open swap contracts.
|
(d)
|
Variable rate security.
Interest rate disclosed is that which is in effect at September 30,
2010.
|
(e)
|
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.
|
(f)
|
Illiquid security.
|
(g)
|
Security is valued in good
faith at fair value in accordance with procedures approved by the Board of
Trustees (See Note 1).
|
(h)
|
The coupon payment on
these securities is currently in default as of September 30, 2010.
|
#
|
Aggregate cost for federal
income tax purposes is substantially the same.
|
|
|
|
Abbreviations used in this
schedule:
|
|
ARM
|
-
|
Adjustable Rate Mortgage
|
|
AUD
|
-
|
Australian Dollar
|
See
Notes to Schedule of Investments.
3
WESTERN ASSET/CLAYMORE
INFLATION-LINKED SECURITIES & INCOME FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
EXPIRATION
DATE
|
|
STRIKE
PRICE
|
|
CONTRACTS
|
|
VALUE
|
|
U.S. Treasury 10-Year
Notes, Put
|
|
10/22/10
|
|
$
|
125.50
|
|
128
|
|
$
|
60,000
|
|
TOTAL WRITTEN OPTIONS
|
|
|
|
|
|
|
|
|
|
(Premiums
received $61,584)
|
|
|
|
|
|
|
|
$
|
60,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
4
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 (the 1940 Act),
as a diversified, closed-end management investment company. The Fund commenced
operations on September 26, 2003.
The
Funds 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.
Debt securities
are valued at the last quoted bid price 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.
Publicly
traded foreign government debt securities are typically traded internationally
in the over-the-counter market, and are valued at the last quoted bid price as
of the close of business of that market. Futures contracts are valued daily at
the settlement price established by the board of trade or exchange on which
they are traded. Equity securities for which market quotations are available
are valued at the last reported sales price or official closing price on the
primary market or exchange on which they trade.
When 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 values these securities at fair value as determined in
accordance with procedures approved by the Funds Board of Trustees. Short-term
obligations with maturities of 60 days or less are valued at amortized cost,
which approximates fair value.
The
Fund has adopted Financial Accounting Standards Board Codification Topic 820 (ASC
Topic 820). ASC Topic 820 establishes a single definition of fair value,
creates a three-tier hierarchy as a framework for measuring fair value based on
inputs used to value the Funds investments, and requires additional disclosure
about fair value. The hierarchy of inputs is summarized below.
·
Level 1quoted
prices in active markets for identical investments
·
Level 2other
significant observable inputs (including quoted prices for similar investments,
interest rates, prepayment speeds, credit risk, etc.)
·
Level
3significant unobservable inputs (including the Funds 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 Funds assets and
liabilities carried at fair value:
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
|
|
|
|
$
|
397,367,434
|
|
|
|
$
|
397,367,434
|
|
Asset-backed securities
|
|
|
|
2,360,194
|
|
|
|
2,360,194
|
|
Collateralized mortgage obligations
|
|
|
|
10,572,928
|
|
$
|
11,438
|
|
10,584,366
|
|
Corporate bonds & notes
|
|
|
|
12,180,331
|
|
0
|
*
|
12,180,331
|
|
Non-U.S. treasury inflation protected securities
|
|
|
|
12,684,913
|
|
|
|
12,684,913
|
|
Sovereign bonds
|
|
|
|
1,987,985
|
|
|
|
1,987,985
|
|
Preferred stocks
|
|
$
|
254,373
|
|
|
|
|
|
254,373
|
|
Purchased options
|
|
|
|
82,157
|
|
|
|
82,157
|
|
Total long-term investments
|
|
$
|
254,373
|
|
$
|
437,235,942
|
|
$
|
11,438
|
|
$
|
437,501,753
|
|
Short-term investments
|
|
|
|
3,216,000
|
|
|
|
3,216,000
|
|
Total investments
|
|
$
|
254,373
|
|
$
|
440,451,942
|
|
$
|
11,438
|
|
$
|
440,717,753
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
Written options
|
|
$
|
(60,000
|
)
|
|
|
|
|
$
|
(60,000
|
)
|
Futures contracts
|
|
(19,386
|
)
|
|
|
|
|
(19,386
|
)
|
Forward foreign currency contracts
|
|
|
|
$
|
(861,203
|
)
|
|
|
(861,203
|
)
|
Credit default swap on corporate issues - sell protection
|
|
|
|
(113,407
|
)
|
|
|
(113,407
|
)
|
Reverse repurchase agreements
|
|
|
|
(49,788,775
|
)
|
|
|
(49,788,775
|
)
|
Total other financial instruments
|
|
$
|
(79,386
|
)
|
$
|
(50,763,385
|
)
|
|
|
$
|
(50,842,771
|
)
|
Total
|
|
$
|
174,987
|
|
$
|
389,688,557
|
|
$
|
11,438
|
|
$
|
389,874,982
|
|
See Schedule of
Investments for additional detailed categorizations.
*Value is less than $1.
5
Notes to Schedule of Investments (unaudited) (continued)
The
following is a reconciliation of investments in which significant unobservable
inputs (Level 3) were used in determining fair value:
INVESTMENTS IN SECURITIES
|
|
COLLATERALIZED
MORTGAGE
OBLIGATIONS
|
|
CORPORATE
BONDS AND
NOTES
|
|
TOTAL
|
|
Balance as of December 31, 2009
|
|
|
|
|
|
|
|
Accrued premiums/discounts
|
|
|
|
|
|
|
|
Realized gain (loss)
|
|
|
|
|
|
|
|
Change in unrealized appreciation (depreciation)
|
|
|
|
|
|
|
|
Net purchases (sales)
|
|
|
|
|
|
|
|
Transfers into Level 3
|
|
$
|
11,438
|
|
$
|
0
|
*
|
$
|
11,438
|
|
Transfers out of Level 3
|
|
|
|
|
|
|
|
Balance as of September 30, 2010
|
|
$
|
11,438
|
|
$
|
0
|
*
|
$
|
11,438
|
|
Net
change in unrealized appreciation (depreciation) for investments in
securities still held at September 30, 2010
|
|
|
|
|
|
|
|
*
Value is less than $1.
(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 Funds holding period. When entering into repurchase
agreements, it is the Funds policy that its custodian or a third party
custodian, acting on the Funds 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 funds use of the proceeds of the
agreement may be restricted pending a determination by the counterparty, or its
trustee or receiver,
6
Notes to Schedule of Investments (unaudited) (continued)
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.
(d) Futures Contracts.
The Fund may use futures
contracts to gain exposure to, or hedge against, changes in the value of interest rates or foreign
currencies.
A futures contract represents a
commitment for the future purchase or sale of an asset at a specified price on
a specified date.
Upon
entering into a futures contract, the Fund is required to deposit cash or cash
equivalents with a broker in an amount equal to a certain percentage of the
contract amount. This is known as the initial margin and subsequent
payments (variation margin) are made or received by the Fund each day,
depending on the daily fluctuation in the value of the contract. For certain
futures, including foreign denominated futures, variation margin is not settled
daily, but is recorded as a net variation margin payable or receivable. Futures
contracts are valued daily at the settlement price established by the board of
trade or exchange on which they are traded.
Futures
contracts involve, to varying degrees, risk of loss. In addition, there is the
risk that the Fund may not be able to enter into a closing transaction because
of an illiquid secondary market.
(e) Written
Options.
When the
Fund writes an option, an amount equal to the premium received by the Fund is
recorded as a liability, the value of which is marked to market daily to
reflect the current market value of the option written. If the option expires,
the premium received is recorded as a realized gain. When a written call option
is exercised, the difference between the premium received plus the option
exercise price and the Funds basis in the underlying security (in the case of
a covered written call option), or the cost to purchase the underlying security
(in the case of an uncovered written call option), including brokerage
commission, is recognized as a realized gain or loss. When a written put option
is exercised, the amount of the premium received is subtracted from the cost of
the security purchased by the Fund from the exercise of the written put option
to form the Funds basis in the underlying security purchased. The writer or
buyer of an option traded on an exchange can liquidate the position before the
exercise of the option by entering into a closing transaction. The cost of a
closing transaction is deducted from the original premium received resulting in
a realized gain or loss to the Fund.
The
risk in writing a covered call option is that the Fund may forego the
opportunity of profit if the market price of the underlying security increases
and the option is exercised. The risk in writing a put option is that the Fund
may incur a loss if the market price of the underlying security decreases and
the option is exercised. The risk in writing a call option is that the Fund is
exposed to the risk of loss if the market price of the underlying security
increases. 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.
(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.
(g) Forward Foreign Currency Contracts.
The Fund may
enter 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.
7
Notes to Schedule of Investments (unaudited) (continued)
(h) Swap Agreements.
The Fund may invest in
swaps for the purpose of managing its 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.
Swap
contracts are marked to market daily and changes in value are recorded as
unrealized appreciation (depreciation). Gains or losses are realized upon
termination of the swap agreement. Collateral, in the form of restricted cash
or securities, may be required to be held in segregated accounts with the Funds
custodian in compliance with the terms of the swap contracts. Securities posted
as collateral for swap contracts are identified in the Schedule of Investments.
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 the Fund has exposure to an 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 is 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.
The
Funds maximum risk of loss from counterparty risk, 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). As the protection seller, the Funds maximum risk is the
notional amount of the contract. 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.
Entering
into a CDS agreement involves, to varying degrees, elements of credit, market
and documentation risk. 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.
(i) Inflation-Indexed Bonds
.
Inflation-indexed bonds are fixed-income securities whose principal value or
interest rate is periodically adjusted according to the rate of inflation. As
the index measuring inflation changes, the principal value or interest rate of
inflation-indexed bonds will be adjusted accordingly. Repayment of the original
bond principal upon maturity (as adjusted for inflation) is guaranteed in the
case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a
similar guarantee, the adjusted principal value of the bond repaid at maturity
may be less than the original principal.
(j) Loan
Participations.
The Fund may invest in loans arranged through
private negotiation between one or more financial institutions. The Funds
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
8
Notes to Schedule of Investments (unaudited) (continued)
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.
(k) Credit and Market Risk.
Investments in
securities that are collateralized by residential real estate mortgages are
subject to certain credit and liquidity risks. When market conditions result in
an increase in default rates of the underlying mortgages and the foreclosure
values of underlying real estate properties are materially below the
outstanding amount of these underlying mortgages, collection of the full amount
of accrued interest and principal on these investments may be doubtful. Such
market conditions may significantly impair the value and liquidity of these
investments and may result in a lack of correlation between their credit
ratings and values.
(l) Security Transactions.
Security transactions are accounted for on a
trade date basis.
2. Investments
At
September 30, 2010, the aggregate gross unrealized appreciation and
depreciation of investments for federal income tax purposes were substantially
as follows:
Gross unrealized appreciation
|
|
$
|
40,146,715
|
|
Gross unrealized depreciation
|
|
(21,208,440
|
)
|
Net unrealized appreciation
|
|
$
|
18,938,275
|
|
Transactions
in reverse repurchase agreements for the Fund during the period ended September 30,
2010 were as follows:
Average
|
|
Weighted
|
|
Maximum
|
Daily
|
|
Average
|
|
Amount
|
Balance *
|
|
Interest Rate *
|
|
Outstanding
|
$46,055,783
|
|
0.27%
|
|
$59,514,088
|
*
Average based on the number of days that the Fund had reverse repurchase
agreements outstanding.
Interest
rates on reverse repurchase agreements ranged from 0.22% to 0.30% during the
period ended September 30, 2010. Interest expense incurred on reverse
repurchase agreements totaled $65,777 for the period ended September 30, 2010.
At
September 30, 2010, the Fund had the following open reverse repurchase
agreements:
Security
|
|
Value
|
|
Reverse
Repurchase Agreement with Deutsche Bank Securities Inc, dated 9/22/10 bearing
0.280% to be repurchased at $43,563,841 on 10/4/10, collateralized by:
$39,510,000 U.S. Treasury, Inflation Indexed Notes, 2.375% due 4/15/11; Market
value (including accrued interest) $43,563,841
|
|
$
|
43,559,775
|
|
Reverse
Repurchase Agreement with Deutsche Bank Securities Inc, dated 9/22/10 bearing
0.280% to be repurchased at $6,229,581 on 10/4/10, collateralized by:
$5,000,000 U.S. Treasury, Inflation Indexed Notes, 2.000% due 1/15/14; Market
value (including accrued interest) $6,229,581
|
|
6,229,000
|
|
Total Reverse Repurchase
Agreements
|
|
|
|
(Cost $49,788,775)
|
|
$
|
49,788,775
|
|
9
Notes to Schedule of Investments (unaudited) (continued)
During
the period ended September 30, 2010, written option transactions for the
Fund were as follows:
|
|
Number of Contracts
|
|
Premiums
|
|
Written options, outstanding December 31,
2009
|
|
|
|
|
|
Options written
|
|
213
|
|
$
|
126,042
|
|
Options closed
|
|
|
|
|
|
Options expired
|
|
(85
|
)
|
(64,458
|
)
|
Written options, outstanding September 30,
2010
|
|
128
|
|
$
|
61,584
|
|
At
September 30, 2010, the Fund had the following open futures contracts:
|
|
NUMBER OF
CONTRACTS
|
|
EXPIRATION
DATE
|
|
BASIS
VALUE
|
|
MARKET
VALUE
|
|
UNREALIZED
(LOSS)
|
|
Contracts
to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
90-Day
Eurodollar
|
|
22
|
|
3/11
|
|
$
|
5,475,728
|
|
$
|
5,477,450
|
|
$
|
(1,722
|
)
|
U.S.
Treasury 10-Year Notes
|
|
12
|
|
12/10
|
|
1,494,899
|
|
1,512,563
|
|
(17,664
|
)
|
Net unrealized loss on
open futures contracts
|
|
|
|
|
|
|
|
|
|
$
|
(19,386
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At
September 30, 2010, the Fund had the following open forward foreign
currency contracts:
FOREIGN CURRENCY
|
|
COUNTERPARTY
|
|
LOCAL
CURRENCY
|
|
MARKET
VALUE
|
|
SETTLEMENT
DATE
|
|
UNREALIZED
GAIN (LOSS)
|
|
Contracts
to Buy:
|
|
|
|
|
|
|
|
|
|
|
|
Canadian
Dollar
|
|
Citibank N.A.
|
|
3,986,323
|
|
$
|
3,869,533
|
|
11/24/10
|
|
$
|
(55,945
|
)
|
Euro
|
|
Credit Suisse First Boston
Inc.
|
|
2,550,000
|
|
3,474,784
|
|
11/24/10
|
|
123,013
|
|
Euro
|
|
Citibank N.A.
|
|
216,296
|
|
294,738
|
|
11/24/10
|
|
15,989
|
|
|
|
|
|
|
|
|
|
|
|
83,057
|
|
Contracts
to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
Australian
Dollar
|
|
Credit Suisse First Boston
Inc.
|
|
12,204,275
|
|
$
|
11,716,610
|
|
11/24/10
|
|
$
|
(674,182
|
)
|
Euro
|
|
Citibank N.A.
|
|
2,768,533
|
|
3,772,570
|
|
11/24/10
|
|
(134,842
|
)
|
Japanese
Yen
|
|
Citibank N.A.
|
|
342,755,280
|
|
4,108,012
|
|
11/24/10
|
|
(135,236
|
)
|
|
|
|
|
|
|
|
|
|
|
(944,260
|
)
|
Net unrealized loss on
open forward foreign currency contracts
|
|
|
|
|
|
$
|
(861,203
|
)
|
At
September 30, 2010, the Fund held the following credit default swap
contracts:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION
1
SWAP
COUNTERPARTY
(REFERENCE ENTITY)
|
|
NOTIONAL
AMOUNT
2
|
|
TERMINATION
DATE
|
|
IMPLIED
CREDIT
SPREAD AT
SEPTEMBER
30, 2010
3
|
|
PERIODIC
PAYMENTS
RECEIVED
BY THE
FUND
|
|
MARKET
VALUE
|
|
UPFRONT
PREMIUMS
PAID
(RECEIVED)
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Securities Inc.
(SLM Corp., 5.125%, due 8/27/12)
|
|
$
|
3,800,000
|
|
12/20/12
|
|
3.92
|
%
|
2.500% Quarterly
|
|
$
|
(113,407
|
)
|
|
|
|
$
|
(113,407
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 The maximum
potential amount the Fund could be required to pay 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.
10
Notes to Schedule of Investments (unaudited) (continued)
3 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.
Percentage shown is an annual percentage
rate.
3. Derivative Instruments and Hedging Activities
Financial
Accounting Standards Board Codification Topic 815 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 September 30, 2010.
Primary
|
|
|
|
|
|
Futures Contracts
|
|
Forward Foreign
Currency
Contracts
|
|
|
|
|
|
Underlying
Risk
Disclosure
|
|
Purchased
Options, at
value
|
|
Written
Options, at
value
|
|
Unrealized
Appreciation
|
|
Unrealized
Depreciation
|
|
Unrealized
Appreciation
|
|
Unrealized
Depreciation
|
|
Swap
Contracts,
at value
|
|
Total
|
|
Interest
Rate Contracts
|
|
|
|
$
|
(60,000
|
)
|
|
|
$
|
(19,386
|
)
|
|
|
|
|
|
|
$
|
(79,386
|
)
|
Foreign
Exchange Contracts
|
|
$
|
82,157
|
|
|
|
|
|
|
|
$
|
139,002
|
|
$
|
(1,000,205
|
)
|
|
|
$
|
(779,046
|
)
|
Credit
Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(113,407
|
)
|
(113,407
|
)
|
Total
|
|
$
|
82,157
|
|
$
|
(60,000
|
)
|
|
|
$
|
(19,386
|
)
|
$
|
139,002
|
|
$
|
(1,000,205
|
)
|
$
|
(113,407
|
)
|
$
|
(971,839
|
)
|
During
the period ended September 30, 2010, the volume of derivative activity for
the Fund was as follows:
|
|
Average Market
Value
|
|
Purchased options
|
|
$
|
31,811
|
|
Written options
|
|
12,244
|
|
Forward foreign currency contracts (to buy)
|
|
5,547,147
|
|
Forward foreign currency contracts (to sell)
|
|
16,687,247
|
|
Futures contracts (to buy)
|
|
5,917,421
|
|
Futures contracts (to sell)
|
|
17,928,571
|
|
|
|
|
|
|
|
Average Notional
Balance
|
|
Credit default swap contracts (to sell protection)
|
|
$
|
3,800,000
|
|
At September 30, 2010, there were no open positions held in this
derivative.
The
Fund has several credit related contingent features that if triggered would
allow its derivatives counterparties to close out and demand payment or
additional collateral to cover their exposure from the Fund. Credit related contingent features are
established between the Fund and its derivatives counterparties to reduce the
risk that the Fund will not fulfill its payment obligations to its
counterparties. These triggering features include, but are not limited to, a
percentage decrease in the Funds net assets and/or a percentage decrease in
the Funds Net Asset Value or NAV. The
contingent features are established within the Funds International Swap and
Derivatives Association, Inc. master agreements which govern positions in
swaps, over-the-counter options, and forward currency exchange contracts for
each individual counterparty.
11
Notes to Schedule of Investments (unaudited) (continued)
As
of September 30, 2010, the total value of swap positions with credit
related contingent features in a net liability position was $113,407. If a
contingent feature would have been triggered as of September 30, 2010, the
Fund would have been required to pay this amount in cash to its counterparties.
The Fund posted collateral for its swap transactions in the amount of $189,833.
12
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:
|
R.
Jay Gerken
|
|
R.
Jay Gerken
|
President
and Trustee
|
Date:
November 23, 2010
|
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:
|
R.
Jay Gerken
|
|
R.
Jay Gerken
|
President
and Trustee
|
Date:
November 23, 2010
|
|
|
By:
|
Kaprel
Ozsolak
|
|
Kaprel
Ozsolak
|
Principal
Financial and Accounting Officer
|
Date:
November 23, 2010
|
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