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 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 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

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

Date of fiscal year end: November 30

Date of reporting period: August 31, 2017

 

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

 

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

FORM N-Q

AUGUST 31, 2017

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited)    August 31, 2017

 

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT† 		     VALUE  
U.S. TREASURY INFLATION PROTECTED SECURITIES - 110.9%  

U.S. Treasury Bonds, Inflation Indexed

      2.375 %      1/15/25        10,395,840      $ 11,976,179  

U.S. Treasury Bonds, Inflation Indexed

      2.000 %      1/15/26        48,760,476        55,374,427  

U.S. Treasury Bonds, Inflation Indexed

      1.750 %      1/15/28        31,440,326        35,607,584 (a) 

U.S. Treasury Bonds, Inflation Indexed

      3.625 %      4/15/28        151,445        200,684  

U.S. Treasury Bonds, Inflation Indexed

      2.500 %      1/15/29        5,202,458        6,361,605  

U.S. Treasury Bonds, Inflation Indexed

      3.875 %      4/15/29        6,526,244        8,990,880  

U.S. Treasury Bonds, Inflation Indexed

      2.125 %      2/15/40        3,399,870        4,324,654  

U.S. Treasury Bonds, Inflation Indexed

      2.125 %      2/15/41        3,456,258        4,419,880  

U.S. Treasury Bonds, Inflation Indexed

      0.750 %      2/15/42        3,262,930        3,190,304  

U.S. Treasury Bonds, Inflation Indexed

      0.625 %      2/15/43        1,598,100        1,512,689  

U.S. Treasury Bonds, Inflation Indexed

      1.375 %      2/15/44        4,634,954        5,181,096  

U.S. Treasury Bonds, Inflation Indexed

      0.750 %      2/15/45        9,309,790        9,003,734  

U.S. Treasury Bonds, Inflation Indexed

      1.000 %      2/15/46        10,399,827        10,702,345  

U.S. Treasury Bonds, Inflation Indexed

      0.875 %      2/15/47        507,365        507,702  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/18        48,680,321        48,566,860 (a) 

U.S. Treasury Notes, Inflation Indexed

      2.125 %      1/15/19        422,129        435,079  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/19        30,315,440        30,378,091 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/20        37,843,556        38,036,308 (a) 

U.S. Treasury Notes, Inflation Indexed

      1.125 %      1/15/21        35,126,558        36,598,343 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.625 %      7/15/21        14,247,948        14,676,031  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      7/15/22        24,392,164        24,585,364 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.125 %      1/15/23        25,681,040        25,719,962 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.375 %      7/15/23        2,705,054        2,753,306  

U.S. Treasury Notes, Inflation Indexed

      0.625 %      1/15/24        14,508,098        14,900,245  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      7/15/24        5,467,427        5,446,228  

U.S. Treasury Notes, Inflation Indexed

      0.625 %      1/15/26        21,328,907        21,815,407 (a) 
          

 

 

  

TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost - $417,042,235)

 

      421,264,987  
          

 

 

  
ASSET-BACKED SECURITIES - 4.0%     

Ameriquest Mortgage Securities Inc., 2005-R10 M5 (1 mo. USD LIBOR + 0.630%)

      1.864 %      1/25/36        9,650,000        8,460,120 (b) 

Conseco Financial Corp., 1997-8 A

      6.780 %      10/15/27        589,129        606,501  

Countrywide Home Equity Loan Trust, 2005-C 2A (1 mo. USD LIBOR + 0.180%)

      1.407 %      7/15/35        944,754        894,845 (b) 

Countrywide Home Equity Loan Trust, 2006-I 2A (1 mo. USD LIBOR + 0.140%)

      1.367 %      1/15/37        1,329,036        1,254,673 (b) 

Residential Asset Mortgage Products Inc., 2004-RS8 MI1

      6.097 %      8/25/34        3,951,879        3,947,149  
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost - $12,463,715)

              15,163,288  
          

 

 

  
COLLATERALIZED MORTGAGE OBLIGATIONS(f) - 6.6%     

Bear Stearns Adjustable Rate Mortgage Trust, 2004-9 24A1 (12 mo. USD LIBOR + 2.500%)

      3.687 %      11/25/34        29,978        29,145 (b) 

Bellemeade Re Ltd., 2016-1A M2B (1 mo. USD LIBOR + 6.500%)

      7.734 %      4/25/26        4,140,000        4,142,985 (b)(c)(d) 

Chase Mortgage Finance Corp., 2007-A1 2A3 (12 mo. USD LIBOR + 2.040%)

      3.692 %      2/25/37        10,160        10,273 (b) 

Credit Suisse Mortgage Trust, 2014-11R 09A2 (1 mo. USD LIBOR + 0.140%)

      1.372 %      10/27/36        2,430,000        1,559,312 (b)(c) 

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

      3.000 %      5/15/27        1,370,155        123,741  

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

      3.000 %      6/15/27        3,860,736        327,172  

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 M2 (1 mo. USD LIBOR + 3.450%)

      4.684 %      10/25/29        1,300,000        1,359,990 (b) 

 

See Notes to Consolidated Schedule of Investments.

 

1

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2017

 

 

SECURITY

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

Federal Home Loan Mortgage Corp. (FHLMC), Multi-Family Structured Pass-Through Certificates, K721 X1, IO

      0.456 %      8/25/22        152,758,339      $ 2,166,403 (b) 

Federal National Mortgage Association (FNMA), 2014-M8 SA, IO (-1 mo. USD LIBOR + 4.914%)

      1.637 %      5/25/18        4,462,725        27,065 (b) 

Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1M1 (1 mo. USD LIBOR + 1.450%)

      2.684 %      1/25/29        990,921        1,000,655 (b)(c) 

Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1B1 (1 mo. USD LIBOR + 4.850%)

      6.084 %      10/25/29        1,340,000        1,377,112 (b)(c) 

Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1M2 (1 mo. USD LIBOR + 3.000%)

      4.234 %      10/25/29        1,310,000        1,332,772 (b)(c) 

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

      0.567 %      9/16/46        5,245,744        101,989 (b) 

Government National Mortgage Association (GNMA), 2012-044 IO, IO

      0.565 %      3/16/49        1,477,469        36,338 (b) 

Government National Mortgage Association (GNMA), 2012-112 IO, IO

      0.311 %      2/16/53        2,119,709        53,186 (b) 

Government National Mortgage Association (GNMA), 2012-152 IO, IO

      0.778 %      1/16/54        6,520,238        351,767 (b) 

Government National Mortgage Association (GNMA), 2013-145 IO, IO

      1.073 %      9/16/44        3,006,892        164,227 (b) 

Government National Mortgage Association (GNMA), 2014-047 IA, IO

      0.388 %      2/16/48        690,849        27,249 (b) 

Government National Mortgage Association (GNMA), 2014-050 IO, IO

      0.891 %      9/16/55        2,731,740        150,477 (b) 

Government National Mortgage Association (GNMA), 2014-169 IO, IO

      0.868 %      10/16/56        15,515,053        875,587 (b) 

Government National Mortgage Association (GNMA), 2015-101 IO, IO

      0.879 %      3/16/52        25,307,241        1,564,327 (b) 

Government National Mortgage Association (GNMA), 2015-183 IO

      0.971 %      9/16/57        28,156,995        2,100,140 (b) 

GSR Mortgage Loan Trust, 2004-11 1A1 (12 mo. USD LIBOR + 2.000%)

      3.728 %      9/25/34        102,767        104,635 (b) 

JPMorgan Mortgage Trust, 2006-A2 5A1 (12 mo. USD LIBOR + 2.010%)

      3.224 %      11/25/33        3,599        3,689 (b) 

Merrill Lynch Mortgage Investors Trust, 2004-A1 2A1 (6 mo. USD LIBOR + 1.750%)

      3.309 %      2/25/34        12,609        12,645 (b) 

Morgan Stanley Bank of America Merrill Lynch Trust, 2015-C20 D

      3.071 %      2/15/48        2,970,000        2,284,329 (c) 

New Residential Mortgage Loan Trust, 2014-1A A

      3.750 %      1/25/54        1,242,244        1,286,274 (b)(c) 

Nomura Resecuritization Trust, 2015-4R 2A2 (1 mo. USD LIBOR + 0.306%)

      1.372 %      10/26/36        2,662,895        2,130,529 (b)(c) 

Residential Asset Mortgage Products Inc., 2004-SL4 A5

      7.500 %      7/25/32        63,910        54,582  

Washington Mutual Inc., Mortgage Pass-Through Certificates, 2003-AR8 A (1 year U.S. Treasury Constant Maturity Rate + 2.320%)

      3.211 %      8/25/33        446,089        450,687 (b) 

Washington Mutual Inc., MSC Pass-Through Certificates, 2004-RA1 2A

      7.000 %      3/25/34        10,258        11,137  
          

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost - $29,156,658)

 

 

      25,220,419  
          

 

 

  
CORPORATE BONDS & NOTES - 5.8%  
CONSUMER STAPLES - 0.5%  

Food Products - 0.2%

 

MARB Bondco PLC, Senior Notes

      7.000 %      3/15/24        900,000        888,660 (c) 
          

 

 

  

Tobacco - 0.3%

 

Alliance One International Inc., Secured Notes

      9.875 %      7/15/21        1,480,000        1,283,900  
          

 

 

  

TOTAL CONSUMER STAPLES

 

      2,172,560  
          

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

2

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2017

 

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		     VALUE  
ENERGY - 2.8%          

Energy Equipment & Services - 0.1%

          

Halliburton Co., Senior Bonds

      3.800 %      11/15/25        200,000     $ 206,613  
         

 

 

  

Oil, Gas & Consumable Fuels - 2.7%

          

Anadarko Petroleum Corp., Senior Notes

      5.550 %      3/15/26        200,000       223,245  

Apache Corp., Senior Notes

      2.625 %      1/15/23        200,000       197,245  

BP Capital Markets PLC, Senior Bonds

      3.119 %      5/4/26        200,000       201,985  

Exxon Mobil Corp., Senior Notes

      3.043 %      3/1/26        200,000       205,609  

Noble Energy Inc., Senior Notes

      3.900 %      11/15/24        200,000       205,111  

Oasis Petroleum Inc., Senior Notes

      6.500 %      11/1/21        2,400,000       2,337,000  

Oasis Petroleum Inc., Senior Notes

      6.875 %      1/15/23        450,000       430,650  

Occidental Petroleum Corp., Senior Notes

      3.000 %      2/15/27        810,000       803,396  

Sanchez Energy Corp., Senior Notes

      7.750 %      6/15/21        1,060,000       916,900  

Sanchez Energy Corp., Senior Notes

      6.125 %      1/15/23        570,000       434,625  

Transcontinental Gas Pipe Line Co., LLC, Senior Notes

      7.850 %      2/1/26        200,000       260,535  

Whiting Petroleum Corp., Senior Notes

      6.250 %      4/1/23        2,000,000       1,855,000  

Williams Cos. Inc., Senior Notes

      5.750 %      6/24/44        1,340,000       1,390,250  

YPF Sociedad Anonima, Senior Notes

      8.500 %      7/28/25        800,000       924,800 (e) 
         

 

 

  

Total Oil, Gas & Consumable Fuels

             10,386,351  
         

 

 

  

TOTAL ENERGY

             10,592,964  
         

 

 

  
FINANCIALS - 1.0%          

Banks - 0.7%

          

Barclays Bank PLC, Subordinated Notes

      7.625 %      11/21/22        2,440,000       2,802,950  
         

 

 

  

Diversified Financial Services - 0.3%

          

ILFC E-Capital Trust II, Bonds (Max (3 mo. USD LIBOR, 10 year U.S. Treasury Constant Maturity Rate, 30 year U.S. Treasury Constant Maturity Rate) + 1.800%)

      4.590 %      12/21/65        1,010,000       958,238 (b)(c) 
         

 

 

  

TOTAL FINANCIALS

             3,761,188  
         

 

 

  
HEALTH CARE - 0.9%          

Health Care Equipment & Supplies - 0.4%

          

DJO Finco Inc./DJO Finance LLC/DJO Finance Corp., Secured Notes

      8.125 %      6/15/21        1,520,000       1,444,456 (c) 
         

 

 

  

Pharmaceuticals - 0.5%

          

Valeant Pharmaceuticals International Inc., Senior Notes

      6.125 %      4/15/25        2,380,000       2,008,125 (c) 
         

 

 

  

TOTAL HEALTH CARE

             3,452,581  
         

 

 

  
MATERIALS - 0.6%          

Metals & Mining - 0.6%

          

Barrick Gold Corp., Senior Notes

      5.250 %      4/1/42        200,000       230,356  

Glencore Funding LLC, Senior Notes

      4.000 %      3/27/27        200,000       202,522 (c) 

Southern Copper Corp., Senior Notes

      5.250 %      11/8/42        1,670,000       1,781,194  
         

 

 

  

TOTAL MATERIALS

             2,214,072  
         

 

 

  

TOTAL CORPORATE BONDS & NOTES
(Cost - $20,856,808)

             22,193,365  
         

 

 

  
NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 3.3%  

Brazil - 0.9%

          

Federative Republic of Brazil, Notes

      6.000 %      8/15/50        3,300,000 BRL      3,506,852  
         

 

 

  

Italy - 2.4%

          

Italy Buoni Poliennali Del Tesoro, Senior Bonds

      3.100 %      9/15/26        6,468,840 EUR      9,198,463 (e) 
         

 

 

  

TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost - $11,026,196)

 

     12,705,315  
         

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

3

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2017

 

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
SOVEREIGN BONDS - 0.6%           

Ecuador - 0.6%

           

Republic of Ecuador, Senior Bonds

      10.500 %      3/24/20        1,520,000      $ 1,624,500 (c) 

Republic of Ecuador, Senior Bonds

      7.950 %      6/20/24        520,000        508,950 (e) 
          

 

 

  

TOTAL SOVEREIGN BONDS
(Cost - $1,905,616)

              2,133,450  
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $492,451,228)

 

      498,680,824  
          

 

 

  
SHORT-TERM INVESTMENTS - 1.6%           

Repurchase Agreements - 1.3%

           

Bank of America repurchase agreement dated 8/31/17; Proceeds at maturity - $4,900,144; (Fully collateralized by U.S. government obligations, 2.500% due 5/15/46; Market Value - $4,998,000) (Cost - $4,900,000)

      1.060 %      9/1/17        4,900,000        4,900,000  
          

 

 

  
                  SHARES         

Money Market Funds - 0.3%

           

State Street Institutional U.S. Government Money Market Fund, Premier Class
(Cost - $1,020,754)

      0.934 %         1,020,754        1,020,754  
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost - $5,920,754)

              5,920,754  
          

 

 

  

TOTAL INVESTMENTS - 132.8%
(Cost - $498,371,982)

              504,601,578  

Liabilities in Excess of Other Assets - (32.8)%

              (124,569,331 ) 
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 380,032,247  
          

 

 

  

 

† 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. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

 

(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.

 

(d) Security is valued using significant unobservable inputs (See Note 1).

 

(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.

 

(f) Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.

Abbreviations used in this schedule:

 

BRL    — Brazilian Real
EUR    — Euro
IO    — Interest Only

At August 31, 2017, the Fund had the following open reverse repurchase agreements:

 

Counterparty

    Rate     Effective
Date		      Maturity
Date		      Face Amount
of Reverse
Repurchase
Agreements		     

Asset Class of Collateral*

    Collateral
Value		  

Deutsche Bank

      1.29 %      8/16/2017        11/16/2017      $ 145,288,200      U.S. Treasury inflation protected securities    $ 149,013,538  

 

* Refer to the Consolidated Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements.

 

See Notes to Consolidated Schedule of Investments.

 

4

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2017

 

At August 31, 2017, the Fund had the following open futures contracts:

 

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

90-Day Eurodollar

      62        12/18      $ 15,333,577      $ 15,248,900     $ (84,677 ) 

Brent Crude

      383        9/17        19,759,020        20,245,380       486,360  

Canadian Dollar

      78        9/17        5,877,944        6,242,730       364,786  

Corn

      77        12/17        1,499,828        1,377,338       (122,490 ) 

Euro

      107        9/17        15,163,517        15,932,300       768,783  

Euro BTP

      133        9/17        21,184,581        21,745,034       560,453  

Gold 100 Ounce

      83        12/17        10,508,903        10,974,260       465,357  

LME Copper

      62        12/17        4,068,954        4,802,675       733,721  

Mexican Peso

      82        9/17        2,209,757        2,293,950       84,193  

Natural Gas

      70        9/17        2,357,460        2,128,000       (229,460 ) 

Silver

      10        12/17        864,933        878,750       13,817  

Soybean

      37        11/17        1,757,334        1,748,712       (8,622 ) 

U.S. Treasury 10-Year Notes

      653        12/17        82,576,321        82,920,797       344,476  

Wheat

      35        12/17        813,573        760,375       (53,198 ) 
             

 

 

  
                3,323,499  
             

 

 

  
Contracts to Sell:              

90-Day Eurodollar

      32        9/18        7,854,496        7,876,000       (21,504 ) 

British Pound

      33        9/17        2,667,324        2,668,875       (1,551 ) 

Euro-Bund

      70        9/17        13,709,355        13,756,372       (47,017 ) 

Euro-Bund

      38        12/17        7,334,792        7,337,914       (3,122 ) 

Japanese Yen

      430        9/17        49,315,121        48,904,438       410,683  

U.S. Treasury 5-Year Notes

      684        12/17        80,886,254        81,054,000       (167,746 ) 

U.S. Treasury Long-Term Bonds

      109        12/17        16,928,574        17,014,219       (85,645 ) 

U.S. Treasury Ultra 10-Year Notes

      54        12/17        7,341,214        7,372,687       (31,473 ) 

U.S. Treasury Ultra Long-Term Bonds

      24        12/17        4,032,531        4,057,500       (24,969 ) 
             

 

 

  
                27,656  
             

 

 

  
Net unrealized appreciation on open futures contracts     $ 3,351,155  
             

 

 

  

At August 31, 2017, the Fund had the following open forward foreign currency contracts:

 

Currency
Purchased		      Currency
Sold		     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation)		  
INR      245,800,000        USD        3,746,837      Barclays Bank PLC      10/18/17      $ 78,753  
CAD      10,080,000        USD        7,840,057      Barclays Bank PLC      10/19/17        236,032  
COP      21,817,210,000        USD        6,984,860      Barclays Bank PLC      10/19/17        369,169  
EUR      270,000        USD        319,458      Barclays Bank PLC      10/19/17        2,720  
GBP      2,415,890        USD        3,134,255      Barclays Bank PLC      10/19/17        (5,593 ) 
MXN      100,860,000        USD        5,658,980      Barclays Bank PLC      10/19/17        (57,465 ) 
MYR      16,400,000        USD        3,800,695      Barclays Bank PLC      10/19/17        32,933  
RUB      213,930,000        USD        3,512,462      Barclays Bank PLC      10/19/17        145,875  
RUB      229,320,000        USD        3,749,969      Barclays Bank PLC      10/19/17        171,547  
USD      7,116,222        CAD        9,000,000      Barclays Bank PLC      10/19/17        (94,571 ) 
USD      22,146,770        EUR        19,222,491      Barclays Bank PLC      10/19/17        (790,501 ) 
JPY      1,442,880,310        USD        12,879,387      Citibank N.A.      10/19/17        272,326  
JPY      770,000,000        USD        7,034,983      Citibank N.A.      10/19/17        (16,509 ) 
USD      141,215        EUR        120,000      Citibank N.A.      10/19/17        (1,976 ) 
USD      106,470        EUR        90,000      Citibank N.A.      10/19/17        (923 ) 
USD      95,296        EUR        80,000      Citibank N.A.      10/19/17        (164 ) 
USD      9,846,959        TWD        301,120,000      Citibank N.A.      10/19/17        (149,037 ) 
RUB      246,421,000        USD        4,022,149      Goldman Sachs Group Inc.      10/19/17        191,805  
                 

 

 

  

Total

      $ 384,421  
                 

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

5

WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2017

 

Abbreviations used in this table:

 

CAD    — Canadian Dollar
COP    — Colombian Peso
EUR    — Euro
GBP    — British Pound
INR    — Indian Rupee
JPY    — Japanese Yen
MXN    — Mexican Peso
MYR    — Malaysian Ringgit
RUB    — Russian Ruble
TWD    — Taiwan Dollar
USD    — United States Dollar

At August 31, 2017, the Fund had the following open swap contracts:

 

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1

  

REFERENCE ENTITY

    NOTIONAL
AMOUNT2		      TERMINATION
DATE		      PERIODIC
PAYMENTS
RECEIVED BY
THE FUND†		   MARKET
VALUE3		      UPFRONT
PREMIUMS PAID
(RECEIVED)		      UNREALIZED
APPRECIATION		  

Markit CDX.NA.IG.28 Index

    $ 32,170,000        6/20/22      1.000% quarterly   $ 618,575      $ 588,932      $ 29,643  

 

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.

 

3 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 had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s 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.

This Consolidated Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments 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 Consolidated Schedule of Investments.

 

6

Notes to Consolidated 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 Fund may gain exposure to the commodities markets by investing a portion of its assets in a wholly-owned subsidiary, Western Asset/Claymore Inflation-Linked Securities & Income Fund CFC (the “Subsidiary”), organized under the laws of the Cayman Islands. Among other investments, the Subsidiary may invest in commodity-linked instruments. The Fund may invest up to 25% of its total assets in the Subsidiary. This schedule of investments is the consolidated schedule of investments of the Fund and the Subsidiary.

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. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. 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 (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.

 

7

Notes to Consolidated Schedule of Investments (unaudited) (continued)

 

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.

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

      —        $ 421,264,987        —        $ 421,264,987  

Asset-Backed Securities

      —          15,163,288        —          15,163,288  

Collateralized Mortgage Obligations

      —          21,077,434      $ 4,142,985        25,220,419  

Corporate Bonds & Notes

      —          22,193,365        —          22,193,365  

Non-U.S. Treasury Inflation Protected Securities

      —          12,705,315        —          12,705,315  

Sovereign Bonds

      —          2,133,450        —          2,133,450  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —          494,537,839        4,142,985        498,680,824  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†:

            

Repurchase Agreements

      —          4,900,000        —          4,900,000  

Money Market Funds

    $ 1,020,754        —          —          1,020,754  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short-Term Investments

      1,020,754        4,900,000        —          5,920,754  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 1,020,754      $ 499,437,839      $ 4,142,985      $ 504,601,578  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:

 

Futures Contracts

    $ 4,232,629        —          —        $ 4,232,629  

Forward Foreign Currency Contracts

      —        $ 1,501,160        —          1,501,160  

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection

      —          29,643        —          29,643  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Other Financial Instruments

    $ 4,232,629      $ 1,530,803        —        $ 5,763,432  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 5,253,383      $ 500,968,642      $ 4,142,985      $ 510,365,010  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES

  

DESCRIPTION

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

Other Financial Instruments:

 

Futures Contracts

    $ 881,474        —          —        $ 881,474  

Forward Foreign Currency Contracts

      —        $ 1,116,739        —          1,116,739  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 881,474      $ 1,116,739        —        $ 1,998,213  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

† See Consolidated Schedule of Investments for additional detailed categorizations.

 

8

 

ITEM 2. CONTROLS AND PROCEDURES.

 

  (a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

 

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

 

ITEM 3. EXHIBITS.

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Western Asset/Claymore Inflation-Linked Securities & Income Fund

 

By

  

/s/    JANE TRUST        

  Jane Trust
  Chief Executive Officer
Date:   October 25, 2017

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/    JANE TRUST        
  Jane Trust
  Chief Executive Officer

Date:

  

October 25, 2017

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

Date:

  

October 25, 2017