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: 811-21477
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
(Name of Fund)
385 East Colorado Boulevard, Pasadena, CA 91101
(Address of Principal Executive Offices)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-888-777-0102
Date of fiscal year end: December 31
Date of reporting period: September 30, 2015
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
WESTERN ASSET / CLAYMORE
INFLATION – LINKED OPPORTUNITIES & INCOME FUND
FORM N-Q
SEPTEMBER 30, 2015
WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND
| Schedule of investments (unaudited) | September 30, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| U.S. TREASURY INFLATION PROTECTED SECURITIES - 109.9% | ||||||||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.000 | % | 1/15/26 | 38,080,641 | $ | 42,721,720 | ||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
1.750 | % | 1/15/28 | 26,292,274 | 29,062,218 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
3.625 | % | 4/15/28 | 14,106,162 | 18,693,966 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.500 | % | 1/15/29 | 2,356,528 | 2,827,005 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
3.875 | % | 4/15/29 | 18,872,360 | 26,018,304 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
2.125 | % | 2/15/41 | 6,974,656 | 8,268,601 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
0.750 | % | 2/15/42 | 264,043 | 231,085 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
0.625 | % | 2/15/43 | 6,311,222 | 5,316,220 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
1.375 | % | 2/15/44 | 10,224,640 | 10,374,145 | |||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
0.750 | % | 2/15/45 | 3,506,606 | 3,040,932 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
2.000 | % | 1/15/16 | 133,516,717 | 133,144,739 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/16 | 27,635,472 | 27,364,147 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
2.375 | % | 1/15/17 | 25,692,048 | 26,378,180 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/17 | 12,608,760 | 12,562,789 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
2.625 | % | 7/15/17 | 552,715 | 578,969 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/18 | 42,329,220 | 42,280,160 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
2.125 | % | 1/15/19 | 11,704,832 | 12,468,690 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/19 | 23,425,500 | 23,345,596 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
1.375 | % | 1/15/20 | 30,901,360 | 32,424,704 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 4/15/20 | 46,898,982 | 46,596,718 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
1.250 | % | 7/15/20 | 48,481,216 | 50,896,453 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
1.125 | % | 1/15/21 | 59,632,420 | 61,968,043 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.625 | % | 7/15/21 | 14,136,048 | 14,334,278 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 1/15/22 | 4,829,289 | 4,705,978 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 7/15/22 | 60,326,733 | 58,827,191 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 1/15/23 | 67,763,772 | 65,330,307 | (a) | ||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.375 | % | 7/15/23 | 29,124,484 | 28,619,728 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.625 | % | 1/15/24 | 29,923,329 | 29,778,770 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.125 | % | 7/15/24 | 13,468,206 | 12,850,217 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
0.250 | % | 1/15/25 | 8,121,256 | 7,784,037 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $841,654,664) |
|
838,793,890 | ||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 5.2% | ||||||||||||||||
| Bear Stearns Asset-Backed Securities Trust, 2001-3 A1 |
1.094 | % | 10/27/32 | 8,331 | 7,975 | (b) | ||||||||||
| Bear Stearns Asset-Backed Securities Trust, 2007-SD2 2A1 |
0.594 | % | 9/25/46 | 106,400 | 91,018 | (b) | ||||||||||
| Credit-Based Asset Servicing and Securitization LLC, 2007-RP1 A |
0.504 | % | 5/25/46 | 5,581,621 | 4,707,545 | (b)(c) | ||||||||||
| CSAB Mortgage-Backed Trust, 2007-1 3A30, IO |
6.456 | % | 5/25/37 | 13,603,139 | 4,159,146 | (b) | ||||||||||
| Hertz Vehicle Financing LLC, 2015-1A B |
3.520 | % | 3/25/21 | 4,050,000 | 4,019,625 | |||||||||||
| Hertz Vehicle Financing LLC, 2015-1A C |
4.350 | % | 3/25/21 | 2,450,000 | 2,431,625 | |||||||||||
| Renaissance Home Equity Loan Trust, 2007-1 AF3 |
5.612 | % | 4/25/37 | 8,841,005 | 4,832,414 | |||||||||||
| Residential Asset Mortgage Products Inc., 2005-EFC3 M6 |
0.894 | % | 8/25/35 | 6,000,000 | 4,842,852 | (b) | ||||||||||
| Residential Asset Mortgage Products Inc., 2005-RS3 M5 |
0.874 | % | 3/25/35 | 7,451,000 | 6,176,745 | (b) | ||||||||||
| Security National Mortgage Loan Trust, 2006-3A A2 |
5.830 | % | 1/25/37 | 300,000 | 261,835 | (b)(c) | ||||||||||
| Structured Asset Securities Corp., 2005-SC1 1A2 |
7.646 | % | 5/25/31 | 9,071,245 | 7,888,708 | (b)(c) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost - $39,073,307) |
39,419,488 | |||||||||||||||
|
|
|
|||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS - 8.0% | ||||||||||||||||
| Banc of America Funding Corp., 2015-R2 4A2 |
0.411 | % | 9/29/36 | 13,577,467 | 6,695,049 | (b)(c) | ||||||||||
| Banc of America Funding Corp., 2015-R2 5A2 |
0.419 | % | 9/29/36 | 8,649,146 | 3,768,433 | (b)(c) | ||||||||||
| Citigroup Mortgage Loan Trust Inc., 2007-6 2A5, IO |
6.456 | % | 5/25/37 | 9,266,466 | 3,801,179 | (b) | ||||||||||
| Countrywide Alternative Loan Trust, 2004-33 1A1 |
2.757 | % | 12/25/34 | 5,653 | 5,607 | (b) | ||||||||||
See Notes to Schedule of Investments.
1
WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS - (continued) | ||||||||||||||||
| Countrywide Alternative Loan Trust, 2004-33 2A1 |
2.775 | % | 12/25/34 | 6,047 | $ | 5,953 | (b) | |||||||||
| Countrywide Alternative Loan Trust, 2005-22T1 A2, IO |
4.876 | % | 6/25/35 | 4,846,558 | 735,664 | (b) | ||||||||||
| Countrywide Alternative Loan Trust, 2007-19 1A16, IO |
6.306 | % | 8/25/37 | 16,181,662 | 4,224,902 | (b) | ||||||||||
| Credit Suisse Mortgage Trust, 2009-16R 5A3 |
2.977 | % | 6/26/36 | 5,138,403 | 2,242,435 | (b)(c) | ||||||||||
| Credit Suisse Mortgage Trust, 2015-Town MZ |
9.180 | % | 3/15/17 | 7,740,000 | 7,681,950 | (b)(c) | ||||||||||
| Downey Savings & Loan Association Mortgage Loan Trust, 2004-AR1 A2B |
1.056 | % | 9/19/44 | 29,373 | 26,523 | (b) | ||||||||||
| First Horizon Alternative Mortgage Securities, 2006-FA8 1A8 |
0.564 | % | 2/25/37 | 165,471 | 90,131 | (b) | ||||||||||
| GSR Mortgage Loan Trust, 2007-2F 4A1 |
0.494 | % | 3/25/37 | 16,304,950 | 8,526,136 | (b) | ||||||||||
| JPMorgan Reremic, 2015-1 1A3 |
0.359 | % | 12/27/46 | 11,120,000 | 6,965,777 | (b)(c) | ||||||||||
| Lehman Mortgage Trust, 2006-5 2A2, IO |
6.956 | % | 9/25/36 | 8,581,415 | 2,997,857 | (b) | ||||||||||
| Lehman Mortgage Trust, 2006-8 4A2, IO |
7.556 | % | 12/25/36 | 1,903,404 | 621,180 | (b) | ||||||||||
| Lehman Mortgage Trust, 2006-9 3A2, IO |
7.036 | % | 1/25/37 | 5,390,052 | 1,835,906 | (b) | ||||||||||
| Lehman Mortgage Trust, 2007-2 2A12, IO |
6.496 | % | 2/25/37 | 10,287,201 | 3,382,730 | (b) | ||||||||||
| Lehman Mortgage Trust, 2007-4 2A2, IO |
6.476 | % | 5/25/37 | 8,655,181 | 2,589,033 | (b) | ||||||||||
| Morgan Stanley Mortgage Loan Trust, 2007-11AR 2A3 |
2.751 | % | 6/25/37 | 153,408 | 102,863 | (b) | ||||||||||
| Nomura Asset Acceptance Corp., 2004-AR4 1A1 |
2.658 | % | 12/25/34 | 16,955 | 17,003 | (b) | ||||||||||
| Residential Accredit Loans Inc., 2006-QS7 A5, IO |
5.406 | % | 6/25/36 | 3,199,860 | 561,863 | (b) | ||||||||||
| Structured Agency Credit Risk Debt Notes, 2014-HQ3 M3 |
4.944 | % | 10/25/24 | 1,600,000 | 1,617,616 | (b) | ||||||||||
| Structured Agency Credit Risk Debt Notes, 2015-HQ2 M3 |
3.444 | % | 5/25/25 | 2,820,000 | 2,643,361 | (b) | ||||||||||
| Washington Mutual Inc., Mortgage Pass-Through Certificates, 2004-AR08 A1 |
0.614 | % | 6/25/44 | 20,018 | 18,576 | (b) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $60,302,267) |
|
61,157,727 | ||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS & NOTES - 10.2% | ||||||||||||||||
| CONSUMER DISCRETIONARY - 0.6% | ||||||||||||||||
| Hotels, Restaurants & Leisure - 0.4% |
||||||||||||||||
| Greektown Holdings LLC/Greektown Mothership Corp., Senior Secured Notes |
8.875 | % | 3/15/19 | 2,735,000 | 2,803,375 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Media - 0.2% |
||||||||||||||||
| Univision Communications Inc., Senior Secured Notes |
5.125 | % | 2/15/25 | 1,860,000 | 1,743,750 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Textiles, Apparel & Luxury Goods - 0.0% |
||||||||||||||||
| Empire Today LLC/Empire Today Finance Corp., Senior Secured Notes |
11.375 | % | 2/1/17 | 310,000 | 285,200 | (c) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
4,832,325 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 0.6% | ||||||||||||||||
| Food Products - 0.4% |
||||||||||||||||
| JBS Investment GmbH, Senior Notes |
7.250 | % | 4/3/24 | 1,000,000 | 962,500 | (c) | ||||||||||
| Marfrig Holding Europe BV, Senior Notes |
8.375 | % | 5/9/18 | 2,400,000 | 2,238,000 | (d) | ||||||||||
|
|
|
|||||||||||||||
| Total Food Products |
3,200,500 | |||||||||||||||
|
|
|
|||||||||||||||
| Tobacco - 0.2% |
||||||||||||||||
| Alliance One International Inc., Secured Notes |
9.875 | % | 7/15/21 | 1,800,000 | 1,539,000 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
4,739,500 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 1.1% | ||||||||||||||||
| Energy Equipment & Services - 0.1% |
||||||||||||||||
| FTS International Inc., Senior Secured Bonds |
6.250 | % | 5/1/22 | 1,000,000 | 310,000 | |||||||||||
|
|
|
|||||||||||||||
| Oil, Gas & Consumable Fuels - 1.0% |
||||||||||||||||
| Chesapeake Energy Corp., Senior Notes |
6.125 | % | 2/15/21 | 1,000,000 | 696,875 | |||||||||||
See Notes to Schedule of Investments.
2
WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - (continued) | ||||||||||||||||
| Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., Senior Notes |
6.375 | % | 3/15/24 | 230,000 | $ | 126,500 | ||||||||||
| Comstock Resources Inc., Senior Secured Notes |
10.000 | % | 3/15/20 | 1,000,000 | 695,000 | (c) | ||||||||||
| Globe Luxembourg SCA, Senior Secured Notes |
9.625 | % | 5/1/18 | 2,000,000 | 1,670,000 | (c) | ||||||||||
| Murray Energy Corp., Senior Secured Notes |
11.250 | % | 4/15/21 | 2,850,000 | 1,496,250 | (c) | ||||||||||
| Pacific Exploration and Production Corp., Senior Notes |
5.125 | % | 3/28/23 | 1,000,000 | 345,000 | (d) | ||||||||||
| Petrobras Global Finance BV, Senior Notes |
6.750 | % | 1/27/41 | 500,000 | 326,250 | |||||||||||
| Quicksilver Resources Inc., Senior Notes |
11.000 | % | 7/1/21 | 1,450,000 | 72,500 | *(e) | ||||||||||
| Rice Energy Inc., Senior Notes |
6.250 | % | 5/1/22 | 500,000 | 445,940 | |||||||||||
| Samson Investment Co., Senior Notes |
9.750 | % | 2/15/20 | 2,510,000 | 37,650 | *(e) | ||||||||||
| Sanchez Energy Corp., Senior Notes |
6.125 | % | 1/15/23 | 1,000,000 | 670,000 | |||||||||||
| WPX Energy Inc., Senior Notes |
7.500 | % | 8/1/20 | 610,000 | 558,150 | |||||||||||
| WPX Energy Inc., Senior Notes |
8.250 | % | 8/1/23 | 700,000 | 635,250 | |||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
7,775,365 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
8,085,365 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 0.8% | ||||||||||||||||
| Banks - 0.4% |
||||||||||||||||
| Citigroup Inc., Junior Subordinated Bonds |
5.350 | % | 5/15/23 | 3,250,000 | 3,030,625 | (b)(f) | ||||||||||
|
|
|
|||||||||||||||
| Real Estate Investment Trusts (REITs) - 0.2% |
||||||||||||||||
| Communications Sales & Leasing Inc., Senior Notes |
8.250 | % | 10/15/23 | 1,610,000 | 1,376,550 | |||||||||||
|
|
|
|||||||||||||||
| Thrifts & Mortgage Finance - 0.2% |
||||||||||||||||
| Quicken Loans Inc., Senior Notes |
5.750 | % | 5/1/25 | 1,670,000 | 1,567,712 | (c) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
5,974,887 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 1.2% | ||||||||||||||||
| Health Care Equipment & Supplies - 0.4% |
||||||||||||||||
| DJO Finco Inc./DJO Finance LLC/DJO Finance Corp., Secured Notes |
8.125 | % | 6/15/21 | 3,300,000 | 3,217,500 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 0.6% |
||||||||||||||||
| BioScrip Inc., Senior Notes |
8.875 | % | 2/15/21 | 840,000 | 646,800 | |||||||||||
| ExamWorks Group Inc., Senior Notes |
5.625 | % | 4/15/23 | 2,180,000 | 2,209,975 | |||||||||||
| Universal Hospital Services Inc., Secured Notes |
7.625 | % | 8/15/20 | 1,930,000 | 1,809,375 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
4,666,150 | |||||||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals - 0.2% |
||||||||||||||||
| Concordia Healthcare Corp., Senior Notes |
7.000 | % | 4/15/23 | 1,850,000 | 1,618,750 | (c) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
9,502,400 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 2.0% | ||||||||||||||||
| Aerospace & Defense - 0.6% |
||||||||||||||||
| Heligear Acquisition Co., Senior Secured Bonds |
10.250 | % | 10/15/19 | 4,720,000 | 4,672,800 | (c)(g) | ||||||||||
|
|
|
|||||||||||||||
| Air Freight & Logistics - 0.0% |
||||||||||||||||
| XPO Logistics Inc., Senior Notes |
7.875 | % | 9/1/19 | 260,000 | 253,500 | (c) | ||||||||||
| XPO Logistics Inc., Senior Notes |
6.500 | % | 6/15/22 | 70,000 | 59,194 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Air Freight & Logistics |
312,694 | |||||||||||||||
|
|
|
|||||||||||||||
| Airlines - 0.1% |
||||||||||||||||
| United Airlines Inc., Pass-Through Certificates, Secured Notes |
4.625 | % | 9/3/22 | 400,000 | 398,000 | |||||||||||
|
|
|
|||||||||||||||
| Construction & Engineering - 0.8% |
||||||||||||||||
| Ausdrill Finance Pty Ltd., Senior Notes |
6.875 | % | 11/1/19 | 600,000 | 420,000 | (c) | ||||||||||
| Brundage-Bone Concrete Pumping Inc., Senior Secured Notes |
10.375 | % | 9/1/21 | 1,500,000 | 1,507,500 | (c) | ||||||||||
| Empresas ICA SAB de CV, Senior Notes |
8.875 | % | 5/29/24 | 4,100,000 | 1,793,750 | (d) | ||||||||||
| Empresas ICA SAB de CV, Senior Notes |
8.875 | % | 5/29/24 | 440,000 | 192,500 | (c) | ||||||||||
| HC2 Holdings Inc., Senior Secured Notes |
11.000 | % | 12/1/19 | 610,000 | 582,550 | (c) | ||||||||||
See Notes to Schedule of Investments.
3
WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Construction & Engineering - (continued) | ||||||||||||||||
| Michael Baker International LLC/CDL Acquisition Co. Inc., Senior Secured Notes |
8.250 | % | 10/15/18 | 1,850,000 | $ | 1,757,500 | (c) | |||||||||
| Modular Space Corp., Secured Notes |
10.250 | % | 1/31/19 | 671,000 | 466,345 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Construction & Engineering |
6,720,145 | |||||||||||||||
|
|
|
|||||||||||||||
| Electrical Equipment - 0.4% |
||||||||||||||||
| Interface Master Holdings Inc., Senior Notes |
12.500 | % | 8/1/18 | 3,000,000 | 2,955,000 | (c)(h) | ||||||||||
|
|
|
|||||||||||||||
| Machinery - 0.1% |
||||||||||||||||
| DH Services Luxembourg Sarl, Senior Notes |
7.750 | % | 12/15/20 | 480,000 | 484,800 | (c) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
15,543,439 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 0.8% | ||||||||||||||||
| Electronic Equipment, Instruments & Components - 0.7% |
||||||||||||||||
| Interface Security Systems Holdings Inc./Interface Security Systems LLC, Senior Secured Notes |
9.250 | % | 1/15/18 | 3,670,000 | 3,715,875 | |||||||||||
| NXP BV/NXP Funding LLC, Senior Notes |
4.625 | % | 6/15/22 | 1,680,000 | 1,667,400 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Electronic Equipment, Instruments & Components |
5,383,275 | |||||||||||||||
|
|
|
|||||||||||||||
| Internet Software & Services - 0.1% |
||||||||||||||||
| Ancestry.com Holdings LLC, Senior Notes |
9.625 | % | 10/15/18 | 820,000 | 811,800 | (c)(h) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
6,195,075 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 1.5% | ||||||||||||||||
| Chemicals - 0.6% |
||||||||||||||||
| Jac Holding Corp., Senior Secured Notes |
11.500 | % | 10/1/19 | 3,890,000 | 3,821,925 | (c) | ||||||||||
| Techniplas LLC, Senior Secured Notes |
10.000 | % | 5/1/20 | 460,000 | 423,200 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Chemicals |
4,245,125 | |||||||||||||||
|
|
|
|||||||||||||||
| Construction Materials - 0.1% |
||||||||||||||||
| Hardwoods Acquisition Inc., Senior Secured Notes |
7.500 | % | 8/1/21 | 400,000 | 374,000 | (c) | ||||||||||
| NWH Escrow Corp., Senior Secured Notes |
7.500 | % | 8/1/21 | 370,000 | 336,700 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Construction Materials |
710,700 | |||||||||||||||
|
|
|
|||||||||||||||
| Containers & Packaging - 0.2% |
||||||||||||||||
| Coveris Holdings SA, Senior Notes |
7.875 | % | 11/1/19 | 850,000 | 805,375 | (c) | ||||||||||
| PaperWorks Industries Inc., Senior Secured Notes |
9.500 | % | 8/15/19 | 970,000 | 936,050 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Containers & Packaging |
1,741,425 | |||||||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 0.5% |
||||||||||||||||
| Barminco Finance Pty Ltd., Senior Notes |
9.000 | % | 6/1/18 | 1,066,000 | 775,515 | (c) | ||||||||||
| Coeur Mining Inc., Senior Notes |
7.875 | % | 2/1/21 | 830,000 | 498,000 | |||||||||||
| Evraz Group SA, Senior Notes |
9.500 | % | 4/24/18 | 650,000 | 679,595 | (d) | ||||||||||
| Evraz Group SA, Senior Notes |
6.750 | % | 4/27/18 | 500,000 | 491,250 | (d) | ||||||||||
| Freeport-McMoRan Inc., Senior Notes |
4.000 | % | 11/14/21 | 710,000 | 553,800 | |||||||||||
| Vedanta Resources PLC, Senior Notes |
7.125 | % | 5/31/23 | 1,200,000 | 741,110 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
3,739,270 | |||||||||||||||
|
|
|
|||||||||||||||
| Paper & Forest Products - 0.1% |
||||||||||||||||
| Appvion Inc., Secured Notes |
9.000 | % | 6/1/20 | 1,430,000 | 715,000 | (c) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
11,151,520 | |||||||||||||||
|
|
|
|||||||||||||||
| TELECOMMUNICATION SERVICES - 1.6% | ||||||||||||||||
| Diversified Telecommunication Services - 0.5% |
||||||||||||||||
| Axtel SAB de CV, Senior Secured Notes |
9.000 | % | 1/31/20 | 4,200,000 | 3,801,000 | (d) | ||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 1.1% |
||||||||||||||||
| VimpelCom Holdings BV, Senior Notes |
7.504 | % | 3/1/22 | 4,730,000 | 4,741,825 | (c) | ||||||||||
| VimpelCom Holdings BV, Senior Notes |
5.950 | % | 2/13/23 | 4,000,000 | 3,641,616 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
8,383,441 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL TELECOMMUNICATION SERVICES |
12,184,441 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $92,094,503) |
78,208,952 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
4
WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 5.6% | ||||||||||||||||
| Australia - 1.0% | ||||||||||||||||
| Australia Government Bond, Senior Bonds |
2.500 | % | 9/20/30 | 7,550,000 | AUD | $ | 7,431,008 | (d) | ||||||||
|
|
|
|||||||||||||||
| Israel - 1.7% |
||||||||||||||||
| Government of Israel, Bonds |
3.000 | % | 10/31/19 | 21,438,188 | ILS | 6,153,941 | ||||||||||
| Government of Israel, Bonds |
4.000 | % | 7/31/24 | 20,005,514 | ILS | 6,586,921 | ||||||||||
|
|
|
|||||||||||||||
| Total Israel |
12,740,862 | |||||||||||||||
|
|
|
|||||||||||||||
| New Zealand - 1.9% |
||||||||||||||||
| Government of New Zealand, Senior Bonds |
3.000 | % | 9/20/30 | 20,220,000 | NZD | 14,483,246 | (d) | |||||||||
|
|
|
|||||||||||||||
| Russia - 1.0% |
||||||||||||||||
| Russian Federation, Bonds |
2.500 | % | 8/16/23 | 544,514,638 | RUB | 7,844,053 | ||||||||||
|
|
|
|||||||||||||||
| TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $43,908,905) |
42,499,169 | |||||||||||||||
|
|
|
|||||||||||||||
| SENIOR LOANS - 0.2% | ||||||||||||||||
| CONSUMER DISCRETIONARY - 0.2% | ||||||||||||||||
| Textiles, Apparel & Luxury Goods - 0.2% |
||||||||||||||||
| TOMS Shoes LLC, Term Loan B (Cost - $1,197,411) |
6.500 | % | 10/28/20 | 1,313,400 | 1,155,792 | (i)(j) | ||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 1.0% | ||||||||||||||||
| Portugal - 1.0% | ||||||||||||||||
| Republic of Portugal, Notes (Cost - $7,552,898) |
5.125 | % | 10/15/24 | 7,400,000 | 7,841,188 | (c) | ||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| PREFERRED STOCKS - 0.2% | ||||||||||||||||
| INDUSTRIALS - 0.2% | ||||||||||||||||
| Trading Companies & Distributors - 0.2% |
||||||||||||||||
| General Finance Corp. (Cost - $1,360,000) |
8.125 | % | 54,400 | 1,386,656 | ||||||||||||
|
|
|
|||||||||||||||
| EXPIRATION DATE |
CONTRACTS | |||||||||||||||
| PURCHASED OPTIONS - 0.2% | ||||||||||||||||
| U.S. Treasury 5-Year Notes Futures, Call @ $120.50 |
10/23/15 | 706 | 270,266 | |||||||||||||
| U.S. Treasury 5-Year Notes Futures, Call @ $122.00 |
10/23/15 | 1,830 | 57,188 | |||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $128.50 |
10/23/15 | 523 | 408,594 | |||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $129.50 |
10/23/15 | 526 | 180,812 | |||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call @ $158.00 |
10/23/15 | 261 | 403,734 | |||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call @ $165.00 |
10/23/15 | 785 | 134,922 | |||||||||||||
|
|
|
|||||||||||||||
| TOTAL PURCHASED OPTIONS (Cost - $1,210,895) |
1,455,516 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,088,354,850) |
1,071,918,378 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
5
WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| SHORT-TERM INVESTMENTS - 0.5% | ||||||||||||||||
| Repurchase Agreements - 0.5% |
||||||||||||||||
| Bank of America repurchase agreement dated 9/30/15; Proceeds at maturity - $4,000,012; (Fully collateralized by U.S. government obligations, 1.625%
due 6/30/20; Market value - $4,080,000) |
0.110 | % | 10/1/15 | 4,000,000 | $ | 4,000,000 | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 141.0% |
1,075,918,378 | |||||||||||||||
| Liabilities in Excess of Other Assets - (41.0)% |
(312,835,481 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 763,082,897 | ||||||||||||||
|
|
|
|||||||||||||||
| † | Face amount denominated in U.S. dollars, unless otherwise noted. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. |
| (b) | Variable rate security. Interest rate disclosed is as of the most recent information available. |
| (c) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. |
| (d) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. |
| (e) | The coupon payment on these securities is currently in default as of September 30, 2015. |
| (f) | Security has no maturity date. The date shown represents the next call date. |
| (g) | Illiquid security. |
| (h) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. |
| (i) | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (j) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| # | Aggregate cost for federal income tax purposes is substantially the same. |
Abbreviations used in this schedule:
| AUD | — Australian Dollar | |
| ILS | — Israeli Shekel | |
| IO | — Interest Only | |
| NZD | — New Zealand Dollar | |
| RUB | — Russian Ruble |
| SCHEDULE OF WRITTEN OPTIONS | ||||||||||||||||
| SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS |
VALUE | ||||||||||||
| U.S. Treasury 5-Year Notes Futures, Call |
10/23/15 | $ | 121.00 | 706 | $ | 126,860 | ||||||||||
| U.S. Treasury 5-Year Notes Futures, Put |
10/23/15 | 119.50 | 706 | 49,641 | ||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call |
10/23/15 | 131.50 | 1,049 | 65,562 | ||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
10/23/15 | 168.00 | 785 | 49,062 | ||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
10/23/15 | 161.00 | 261 | 163,125 | ||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Put |
10/23/15 | 155.00 | 66 | 57,750 | ||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Put |
10/23/15 | 153.00 | 350 | 142,188 | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL WRITTEN OPTIONS |
|
$ | 654,188 | |||||||||||||
|
|
|
|||||||||||||||
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
6
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset/Claymore Inflation-Linked Opportunities & 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 February 25, 2004.
The Fund’s primary investment objective is to provide current income for its shareholders. Capital appreciation, when consistent with current income, is a secondary investment objective.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (formerly, Legg Mason North American Fund Valuation Committee) (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
7
Notes to Schedule of Investments (unaudited) (continued)
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
| ASSETS |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-term investments†: |
||||||||||||||||
| U.S. Treasury inflation protected securities |
— | $ | 838,793,890 | — | $ | 838,793,890 | ||||||||||
| Asset-backed securities |
— | 39,419,488 | — | 39,419,488 | ||||||||||||
| Collateralized mortgage obligations |
— | 53,475,777 | $ | 7,681,950 | 61,157,727 | |||||||||||
| Corporate bonds & notes |
— | 78,208,952 | — | 78,208,952 | ||||||||||||
| Non-U.S. Treasury inflation protected securities |
— | 42,499,169 | — | 42,499,169 | ||||||||||||
| Senior loans |
— | — | 1,155,792 | 1,155,792 | ||||||||||||
| Sovereign bonds |
— | 7,841,188 | — | 7,841,188 | ||||||||||||
| Preferred stocks |
$ | 1,386,656 | — | — | 1,386,656 | |||||||||||
| Purchased options |
1,455,516 | — | — | 1,455,516 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total long-term investments |
$ | 2,842,172 | $ | 1,060,238,464 | $ | 8,837,742 | $ | 1,071,918,378 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-term investments† |
— | 4,000,000 | — | 4,000,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total investments |
$ | 2,842,172 | $ | 1,064,238,464 | $ | 8,837,742 | $ | 1,075,918,378 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other financial instruments: |
||||||||||||||||
| Futures contracts |
$ | 3,320,751 | — | — | $ | 3,320,751 | ||||||||||
| Forward foreign currency contracts |
— | $ | 8,632,828 | — | 8,632,828 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total other financial instruments |
$ | 3,320,751 | $ | 8,632,828 | — | $ | 11,953,579 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 6,162,923 | $ | 1,072,871,292 | $ | 8,837,742 | $ | 1,087,871,957 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other financial instruments: |
||||||||||||||||
| Written options |
$ | 654,188 | — | — | $ | 654,188 | ||||||||||
| Futures contracts |
4,268,983 | — | — | 4,268,983 | ||||||||||||
| Forward foreign currency contracts |
— | $ | 4,404,496 | — | 4,404,496 | |||||||||||
| OTC total return swaps ‡ |
— | 1,745,383 | — | 1,745,383 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 4,923,171 | $ | 6,149,879 | — | $ | 11,073,050 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
| ‡ | Values include any premiums paid or received with respect to swap contracts. |
8
Notes to Schedule of Investments (unaudited) (continued)
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
| SENIOR LOANS | ||||||||||||
| INVESTMENTS IN SECURITIES |
COLLATERALIZED MORTGAGE OBLIGATIONS |
CONSUMER DISCRETIONARY |
TOTAL | |||||||||
| Balance as of December 31, 2014 |
— | — | — | |||||||||
| Accrued premiums/discounts |
$ | 15,179 | — | $ | 15,179 | |||||||
| Realized gain (loss) |
— | — | — | |||||||||
| Change in unrealized appreciation (depreciation)1 |
(15,179 | ) | — | (15,179 | ) | |||||||
| Purchases |
7,681,950 | — | 7,681,950 | |||||||||
| Sales |
— | — | — | |||||||||
| Transfers into Level 32 |
— | $ | 1,155,792 | 1,155,792 | ||||||||
| Transfers out of Level 3 |
— | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Balance as of September 30, 2015 |
$ | 7,681,950 | $ | 1,155,792 | $ | 8,837,742 | ||||||
|
|
|
|
|
|
|
|||||||
| Net change in unrealized appreciation (depreciation) for investments in securities still held at September 30, 20151 |
$ | (15,179 | ) | — | $ | (15,179 | ) | |||||
|
|
|
|
|
|
|
|||||||
The Fund’s policy is to recognize transfers between levels as of the end of the reporting period.
| 1 | Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized. |
| 2 | Transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs. |
2. Investments
At September 30, 2015, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
| Gross unrealized appreciation |
$ | 12,940,608 | ||
| Gross unrealized depreciation |
(29,377,080 | ) | ||
|
|
|
|||
| Net unrealized depreciation |
$ | (16,436,472 | ) | |
|
|
|
At September 30, 2015, the Fund had the following open reverse repurchase agreements:
| Counterparty |
Rate | Effective |
Maturity |
Face Amount of Reverse Repurchase Agreements |
Asset Class of Collateral* |
Collateral Value |
||||||||||||
| Deutsche Bank |
0.50 | % | 9/15/2015 | 10/14/15 | $ | 151,242,500 | U.S. Treasury inflation protected securities |
$ |
155,120,513 |
| ||||||||
| Deutsche Bank |
0.40 | % | 8/26/2015 | 11/18/15 | 58,500,000 | U.S. Treasury inflation protected securities | 60,000,000 | |||||||||||
| Morgan Stanley |
0.28 | % | 7/16/2015 | 10/15/15 | 119,361,500 | U.S. Treasury inflation protected securities | 122,776,449 | |||||||||||
|
|
|
|
|
|||||||||||||||
| $ | 329,104,000 | $ | 337,896,962 | |||||||||||||||
|
|
|
|
|
|||||||||||||||
| * | Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements. |
9
Notes to Schedule of Investments (unaudited) (continued)
At September 30, 2015, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Basis Value |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| 90-Day Eurodollar |
2,843 | 12/17 | $ | 697,785,802 | $ | 700,479,663 | $ | 2,693,861 | ||||||||||||
| U.S. Treasury 10-Year Notes |
654 | 12/15 | 83,565,391 | 84,192,281 | 626,890 | |||||||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
1 | 12/15 | 163,300 | 160,406 | (2,894 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| 3,317,857 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| 90-Day Eurodollar |
1,047 | 12/15 | 260,493,860 | 260,663,738 | (169,878 | ) | ||||||||||||||
| 90-Day Eurodollar |
1,177 | 3/16 | 292,429,800 | 292,719,900 | (290,100 | ) | ||||||||||||||
| 90-Day Eurodollar |
658 | 12/16 | 162,614,387 | 162,945,475 | (331,088 | ) | ||||||||||||||
| 90-Day Eurodollar |
2,713 | 12/18 | 662,970,683 | 665,668,463 | (2,697,780 | ) | ||||||||||||||
| Euro-Bund |
243 | 12/15 | 41,798,185 | 42,409,975 | (611,790 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes |
231 | 12/15 | 27,823,890 | 27,839,109 | (15,219 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds |
245 | 12/15 | 38,398,985 | 38,549,219 | (150,234 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (4,266,089 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation on open futures contracts | $ | (948,232 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
At September 30, 2015, the Fund had the following open forward foreign currency contracts:
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| CAD | 11,710,000 | USD | 8,979,070 | Bank of America N.A. | 10/16/15 | $ | (204,958 | ) | ||||||||||||||
| USD | 9,177,763 | CAD | 11,710,000 | Bank of America N.A. | 10/16/15 | 403,651 | ||||||||||||||||
| BRL | 135,135,669 | USD | 36,932,405 | Citibank N.A. | 10/16/15 | (3,014,069 | ) | |||||||||||||||
| BRL | 2,895,637 | USD | 803,005 | Citibank N.A. | 10/16/15 | (76,216 | ) | |||||||||||||||
| CAD | 24,800,000 | USD | 18,740,318 | Citibank N.A. | 10/16/15 | (158,083 | ) | |||||||||||||||
| CAD | 237,340 | USD | 180,293 | Citibank N.A. | 10/16/15 | (2,459 | ) | |||||||||||||||
| USD | 41,688,706 | BRL | 138,031,306 | Citibank N.A. | 10/16/15 | 7,043,581 | ||||||||||||||||
| USD | 19,611,743 | CAD | 26,030,000 | Citibank N.A. | 10/16/15 | 107,889 | ||||||||||||||||
| USD | 31,593,834 | GBP | 20,360,000 | Citibank N.A. | 10/16/15 | 796,427 | ||||||||||||||||
| USD | 15,259,956 | NZD | 23,700,000 | Bank of America N.A. | 11/13/15 | 155,072 | ||||||||||||||||
| GBP | 20,000,000 | USD | 30,900,140 | Citibank N.A. | 11/13/15 | (651,384 | ) | |||||||||||||||
| USD | 7,644,775 | AUD | 10,740,000 | Citibank N.A. | 11/13/15 | 123,376 | ||||||||||||||||
| EUR | 6,937,546 | USD | 7,828,743 | Credit Suisse First Boston Inc. | 11/13/15 | (71,726 | ) | |||||||||||||||
| EUR | 733,001 | USD | 819,694 | Credit Suisse First Boston Inc. | 11/13/15 | (110 | ) | |||||||||||||||
| USD | 8,951,577 | EUR | 8,206,584 | Credit Suisse First Boston Inc. | 11/13/15 | (224,378 | ) | |||||||||||||||
| USD | 635,104 | EUR | 567,001 | Credit Suisse First Boston Inc. | 11/13/15 | 1,128 | ||||||||||||||||
| USD | 641,808 | EUR | 575,001 | Credit Suisse First Boston Inc. | 11/13/15 | (1,113 | ) | |||||||||||||||
| USD | 209,546 | EUR | 186,001 | Credit Suisse First Boston Inc. | 11/13/15 | 1,574 | ||||||||||||||||
| USD | 73,926 | EUR | 66,001 | Credit Suisse First Boston Inc. | 11/13/15 | 130 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total | $ | 4,228,332 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Abbreviations used in this table:
| AUD | — Australian Dollar | |
| BRL | — Brazilian Real | |
| CAD | — Canadian Dollar | |
| EUR | — Euro | |
| GBP | — British Pound | |
| NZD | — New Zealand Dollar | |
| USD | — United States Dollar |
10
Notes to Schedule of Investments (unaudited) (continued)
At September 30, 2015, the Fund had the following open swap contracts:
| OTC TOTAL RETURN SWAPS |
||||||||||||||||||||
| SWAP COUNTERPARTY |
NOTIONAL AMOUNT |
TERMINATION DATE |
PERIODIC PAYMENTS MADE BY THE FUND† |
PERIODIC PAYMENTS RECEIVED BY THE FUND‡ |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED DEPRECIATION |
||||||||||||||
| Barclays Capital Inc. |
$ | 67,940,000 | 1/27/20 | 1.925%* | CPURNSA* | — | $ | (876,299 | ) | |||||||||||
| Barclays Capital Inc. |
67,940,000 | 1/28/20 | 1.955%* | CPURNSA* | — | (869,084 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Total |
$ | 135,880,000 | — | $ | (1,745,383 | ) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| † | Percentage shown is an annual percentage rate. |
| ‡ | Periodic payments made/received by the Fund are based on the total return of the referenced entity. |
| * | One time payment at termination date. |
11
| ITEM 2. | CONTROLS AND PROCEDURES |
| (a) | The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are effective, and that the disclosure controls and procedures are reasonably designed to ensure (1) that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods and (2) that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure. |
| (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 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 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 Opportunities & Income Fund
| By: | /s/ JANE TRUST | |
| Jane Trust | ||
| Trustee and President | ||
| Date: |
November 20, 2015 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| By: | /s/ JANE TRUST | |
| Jane Trust | ||
| Trustee and President | ||
| Date: |
November 20, 2015 | |
| By: | /s/ RICHARD F. SENNETT | |
| Richard F. Sennett | ||
| Principal Financial Officer | ||
| Date: |
November 20, 2015 | |