Western Asset / Claymore U.S. Treasury Inflation Protected Securities Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-21403

Western Asset/Claymore U.S. Treasury Inflation

Protected Securities Fund

(Exact Name of Registrant as Specified In Its Charter)

 

Address of Principal Executive Offices:    385 East Colorado Boulevard
   Pasadena, CA 91101
Name and address of agent for service:    Gregory B. McShea
   385 East Colorado Boulevard
   Pasadena, CA 91101

Registrant’s telephone number, including area code: (410) 539-0000

Date of fiscal year end: December 31, 2006

Date of reporting period: March 31, 2006

Item 1 – Schedule of Investments

Portfolio of Investments

March 31, 2006 (Unaudited)

(Amounts in Thousands)

Western Asset/Claymore U.S. Treasury Inflation Protected Securities Fund

 

     RATE     MATURITY
DATE		    PAR    VALUE  

Long-Term Securities — 158.2%

           

U.S. Government and Agency Obligations — 131.5%

           

Treasury Inflation-Protected SecuritiesA — 131.5%

           

United States Treasury Inflation-Protected Security

    3.875 %   1/15/09    52,706    55,180  

United States Treasury Inflation-Protected Security

    4.250 %   1/15/10    8,838    9,495  

United States Treasury Inflation-Protected Security

    0.875 %   4/15/10    15,310    14,502  

United States Treasury Inflation-Protected Security

    3.500 %   1/15/11    32,236    34,076 B

United States Treasury Inflation-Protected Security

    3.000 %   7/15/12    77,211    80,459 B

United States Treasury Inflation-Protected Security

    2.000 %   1/15/14    19,313    18,849  

United States Treasury Inflation-Protected Security

    2.000 %   1/15/16    265,697    257,736  

United States Treasury Inflation-Protected Security

    2.000 %   1/15/26    28,567    27,072  
              

Total U.S. Government and Agency Obligations

(Identified Cost — $509,642)

            497,369  

U.S. Government Agency Mortgage-Backed Securities — 3.9%

           

Fixed Rate Securities — 3.9%

           

Freddie Mac

    6.000 %   1/1/36    14,827    14,837  
              

Total U.S. Government Agency Mortgage-Backed Securities

(Identified Cost — $15,052)

            14,837  

Corporate Bonds and Notes — 18.9%

           

Automotive — 3.5%

           

Ford Motor Company

    7.450 %   7/16/31    7,435    5,521  

Ford Motor Company

    8.900 %   1/15/32    2,175    1,707  

General Motors Corporation

    8.375 %   7/15/33    8,355    6,120  
              
           13,348  
              

Banking and Finance — 0.3%

           

Fuji Co., Ltd.

    9.870 %   12/31/49    1,025    1,113 C, D
              

Cable — 0.5%

           

Comcast Corporation

    5.900 %   3/15/16    1,900    1,863  
              

Computer Services and Systems — 1.2%

           

Electronic Data Systems Corporation

    7.450 %   10/15/29    4,225    4,483  
              

Electric — 2.0%

           

Dominion Resources, Inc.

    6.250 %   6/30/12    1,665    1,695  

FirstEnergy Corp.

    7.375 %   11/15/31    5,375    5,970  
              
           7,665  
              

Energy — 1.0%

           

Pacific Gas and Electric Company

    6.050 %   3/1/34    4,000    3,914  
              

Food, Beverage and Tobacco — 1.4%

           

Altria Group, Inc.

    7.750 %   1/15/27    3,455    3,954  

Tyson Foods, Inc.

    7.000 %   1/15/28    1,280    1,157  
              
           5,111  
              

Media — 1.5%

          

News America Incorporated

    7.625 %   11/30/28    1,790       1,922  

Time Warner Inc.

    7.700 %   5/1/32    3,500       3,849  
               
            5,771  
               

Medical Care Facilities — 1.0%

          

HCA, Inc.

    5.750 %   3/15/14    4,000       3,743  
               

Oil and Gas — 2.5%

          

Amerada Hess Corporation

    7.300 %   8/15/31    3,000       3,340  

Amerada Hess Corporation

    7.125 %   3/15/33    895       977  

Devon Energy Corporation

    7.950 %   4/15/32    3,300       4,041  

Kinder Morgan Energy Partners, L.P.

    7.300 %   8/15/33    900       979  
               
            9,337  
               

Paper and Forest Products — 0.5%

          

Weyerhaeuser Company

    7.375 %   3/15/32    1,700       1,815  
               

Photo Equipment and Supplies — 0.3%

          

Eastman Kodak Company

    7.250 %   11/15/13    1,200       1,166  
               

Special Purpose — 2.7%

          

DaimlerChrysler NA Holding Corporation

    8.500 %   1/18/31    3,840       4,492  

Sprint Capital Corporation

    8.750 %   3/15/32    4,610       5,764  
               
            10,256  
               

Telecommunications (Cellular/Wireless) — 0.5%

          

New Cingular Wireless Services Inc.

    8.750 %   3/1/31    1,410       1,786  
               

Total Corporate Bonds and Notes

(Identified Cost — $74,717)

             71,371  

Yankee BondsE — 3.9%

          

Foreign Governments — 2.9%

          

Russian Federation

    5.000 %   3/31/30    5,200       5,706 D

United Mexican States

    11.500 %   5/15/26    1,410       2,189  

United Mexican States

    8.300 %   8/15/31    470       568  

United Mexican States

    7.500 %   4/8/33    2,290       2,553  
               
            11,016  
               

Special Purpose — 1.0%

          

Deutsche Telekom International Finance BV

    8.25 %   6/15/30    2,175       2,602  

UFJ Finance Aruba AEC

    6.75 %   7/15/13    1,025       1,086  
               
            3,688  
               

Total Yankee Bonds (Identified Cost — $13,974)

             14,704  

Total Long-Term Securities (Identified Cost — $613,385)

             598,281  

Short-Term Securities — 0.1%

          

Options Purchased — 0.1%

          

Eurodollar Futures Call, October 2006, Strike Price $94.75

         320 F     104  

U.S. Treasury Note Futures Call, May 2006, Strike Price $110.00

         1,750 F     28  
               

Total Short-Term Securities (Identified Cost — $286)

             132  

Total Investments (Identified Cost — $613,671) — 158.3%

           $ 598,413  

Other Assets Less Liabilities — (4.1)%

             (15,294 )

Liquidation Value of Preferred Shares — (54.2)%

             (205,000 )
               

Net Assets — 100.0%

           $ 378,119  
               

     Expiration    Actual
Contracts		    Appreciation/
(Depreciation)

Futures Contracts Written

         

U.S. Treasury Note Futures

    June 2006    356    $ 207

Options Written

         

U.S. Treasury Note Futures Call, Strike Price $107

    May 2006    1,450    $ 442

U.S. Treasury Note Futures Call, Strike Price $108

    May 2006    300      78
            
         $ 520
            

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 All or a portion of this security is collateral to cover futures and option contracts.
C 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 represent 0.3% of net assets.
D 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.
E Yankee Bond – A dollar-denominated bond issued in the U.S. by foreign entities.
F Par represents actual number of contracts.

Security Valuation

The Fund’s securities are valued on the basis of readily available market quotations or, lacking such quotations, at fair value as determined under policies approved by and under the general oversight of the Board of Trustees. In determining fair value, all relevant qualitative and quantitative factors available are considered. These factors are subject to change over time and are reviewed periodically. The fund may use fair value pricing instead of market quotations to value one or more securities if the Fund believes that, because of special circumstances, doing so would more accurately reflect the prices the Fund expects to realize on the current sale of those securities. Further, because of the inherent uncertainty of valuation, those estimated values may differ significantly from quoted or published values or from the values that would have been used had a ready market for the investments existed, and the differences could be material.

With respect to the Fund, where a security is traded on more than one market, which may include foreign markets, the securities are generally valued on the market considered by the Fund’s adviser to be the primary market. The Fund will value its foreign securities in U.S. dollars on the basis of the then-prevailing exchange rates.

Options, Futures and Swap Agreements

The current market value of an exchange traded option is the last sale price or, in the absence of a sale, the price obtained by reference to broker-dealer quotations. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Futures contracts are marked-to-market on a daily basis. As the contract’s value fluctuates, payments known as variation margin are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. The daily changes in contract value are recorded as unrealized gains or losses, and the Fund recognizes a gain or loss when the contract is closed. Swap agreements are generally priced daily based upon quotations from brokers and the change, if any, is recorded as unrealized appreciation or depreciation.

Other information regarding the Funds is available in the Funds’ most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).

Item 2 – Controls and Procedures

 

  (a) Western Asset/Claymore U.S. Treasury Inflation Protected Securities Fund (the “Registrant”) principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods in the Securities and Exchange Commission’s rules and forms and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

 

  (b)

There were no changes in the Registrant’s internal control over financial reporting during the Registrant’s last fiscal quarter that have materially affected,

 

or are reasonably likely to materially affect, the internal control over financial reporting.

Item 3 – Exhibits

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 – filed as an exhibit 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 U.S. Treasury Inflation Protected Securities Fund

 

By:  

/s/ Randolph L. Kohn

Randolph L. Kohn

President

Western Asset/Claymore U.S. Treasury Inflation Protected Securities Fund

Date:

  

May 23, 2006

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/ Randolph L. Kohn

Randolph L. Kohn

President

Western Asset/Claymore U.S. Treasury Inflation Protected Securities Fund

Date:

  

May 23, 2006

 

By:  

/s/ Marie K. Karpinski

Marie K. Karpinski

Treasurer and Principal Financial and Accounting Officer
Western Asset/Claymore U.S. Treasury Inflation Protected Securities Fund

Date:

  

May 23, 2006