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

811-21477

 

Western Asset/Claymore Inflation-Linked Opportunities & Income Fund

(Exact name of registrant as specified in charter)

 

385 East Colorado Boulevard Pasadena, CA 

 

91101

(Address of principal executive offices)

 

(Zip code)

 

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

1-888-777-0102

 

 

Date of fiscal year end:

December 31

 

 

Date of reporting period:

September 30, 2012

 

 


 

Item 1.  Schedule of Investments.

 

 


 

WESTERN ASSET/CLAYMORE

INFLATION–LINKED OPPORTUNITIES & INCOME FUND

 

FORM N-Q

SEPTEMBER 30, 2012

 


 

WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Schedule of investments (unaudited)

September 30, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

U.S. TREASURY INFLATION PROTECTED SECURITIES — 72.4%

 

 

 

 

 

U.S. Treasury Bonds, Inflation Indexed

 

2.375

%

1/15/25

 

6,867,519

 

$

9,321,585

 

U.S. Treasury Bonds, Inflation Indexed

 

2.000

%

1/15/26

 

111,512,142

 

146,516,472

 

U.S. Treasury Bonds, Inflation Indexed

 

1.750

%

1/15/28

 

43,614,762

 

56,470,911

 

U.S. Treasury Bonds, Inflation Indexed

 

2.500

%

1/15/29

 

7,704,823

 

11,020,909

 

U.S. Treasury Bonds, Inflation Indexed

 

3.875

%

4/15/29

 

6,132,324

 

10,180,136

 

U.S. Treasury Bonds, Inflation Indexed

 

2.125

%

2/15/40

 

20,469,372

 

29,875,684

(a)

U.S. Treasury Bonds, Inflation Indexed

 

2.125

%

2/15/41

 

22,002,427

 

32,321,213

 

U.S. Treasury Bonds, Inflation Indexed

 

0.750

%

2/15/42

 

4,147,137

 

4,505,798

 

U.S. Treasury Notes, Inflation Indexed

 

0.625

%

4/15/13

 

20,595,620

 

20,791,917

 

U.S. Treasury Notes, Inflation Indexed

 

1.875

%

7/15/13

 

3,991,904

 

4,109,478

 

U.S. Treasury Notes, Inflation Indexed

 

2.000

%

1/15/14

 

22,022,045

 

22,992,380

 

U.S. Treasury Notes, Inflation Indexed

 

0.500

%

4/15/15

 

40,566,299

 

42,619,968

 

U.S. Treasury Notes, Inflation Indexed

 

1.875

%

7/15/15

 

5,807,146

 

6,387,407

 

U.S. Treasury Notes, Inflation Indexed

 

2.000

%

1/15/16

 

64,806,332

 

72,643,880

 

U.S. Treasury Notes, Inflation Indexed

 

0.125

%

4/15/16

 

788,880

 

836,028

 

U.S. Treasury Notes, Inflation Indexed

 

2.375

%

1/15/17

 

24,665,382

 

28,929,805

 

U.S. Treasury Notes, Inflation Indexed

 

0.125

%

4/15/17

 

15,131,100

 

16,300,220

 

U.S. Treasury Notes, Inflation Indexed

 

2.625

%

7/15/17

 

33,694,726

 

40,715,325

 

U.S. Treasury Notes, Inflation Indexed

 

1.625

%

1/15/18

 

30,972,168

 

36,239,852

 

U.S. Treasury Notes, Inflation Indexed

 

1.375

%

7/15/18

 

18,625,625

 

21,832,734

 

U.S. Treasury Notes, Inflation Indexed

 

2.125

%

1/15/19

 

5,869,325

 

7,202,302

 

U.S. Treasury Notes, Inflation Indexed

 

1.125

%

1/15/21

 

3,215,457

 

3,806,548

 

U.S. Treasury Notes, Inflation Indexed

 

0.625

%

7/15/21

 

2,388,916

 

2,734,750

 

U.S. Treasury Notes, Inflation Indexed

 

0.125

%

1/15/22

 

9,080,241

 

9,911,646

 

U.S. Treasury Notes, Inflation Indexed

 

0.125

%

7/15/22

 

16,817,882

 

18,377,471

 

TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost — $567,924,133)

 

656,644,419

 

ASSET-BACKED SECURITIES — 0.1%

 

 

 

 

 

 

 

 

 

Bayview Financial Acquisition Trust, 2004-C A1

 

0.846

%

5/28/44

 

24,735

 

24,127

(b)

Bear Stearns Asset-Backed Securities Inc., 2007-SD2 2A1

 

0.617

%

9/25/46

 

136,635

 

99,451

(b)

Bear Stearns Asset-Backed Securities Trust, 2001-3 A1

 

1.117

%

10/27/32

 

8,331

 

7,473

(b)

MSCC HELOC Trust, 2005-1 A

 

0.407

%

7/25/17

 

35,442

 

30,658

(b)

New Century Home Equity Loan Trust, 2003-A M1

 

1.342

%

10/25/33

 

286,457

 

252,216

(b)(c)

Security National Mortgage Loan Trust, 2006-3A A2

 

5.830

%

1/25/37

 

300,000

 

207,469

(b)(c)

TOTAL ASSET-BACKED SECURITIES (Cost — $419,324)

 

 

 

621,394

 

COLLATERALIZED MORTGAGE OBLIGATIONS — 0.7%

 

 

 

 

 

 

 

 

 

Banc of America Funding Corp., 2005-F 4A1

 

3.080

%

9/20/35

 

244,042

 

181,457

(b)

Bayview Commercial Asset Trust, 2005-2A A2

 

0.567

%

8/25/35

 

34,274

 

24,418

(b)(c)

Bear Stearns Adjustable Rate Mortgage Trust, 2004-1 23A1

 

5.362

%

4/25/34

 

187,000

 

185,236

(b)

Bear Stearns Alt-A Trust, 2007-1 1A1

 

0.377

%

1/25/47

 

263,830

 

121,487

(b)

Countrywide Alternative Loan Trust, 2004-33 1A1

 

2.858

%

12/25/34

 

9,927

 

8,977

(b)

Countrywide Alternative Loan Trust, 2004-33 2A1

 

2.967

%

12/25/34

 

9,562

 

8,662

(b)

Downey Savings & Loan Association Mortgage Loan Trust, 2004-AR1 A2B

 

0.639

%

9/19/44

 

44,104

 

28,243

(b)

Federal Home Loan Mortgage Corp. (FHLMC), 4013 AI, IO

 

4.000

%

2/15/39

 

13,482,131

 

2,268,173

 

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

 

3.000

%

5/15/27

 

7,528,370

 

699,487

 

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

 

3.000

%

6/15/27

 

6,037,161

 

862,311

 

 

See Notes to Schedule of Investments.

 

1


 

WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Schedule of investments (unaudited) (continued)

September 30, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

COLLATERALIZED MORTGAGE OBLIGATIONS — (continued)

 

 

 

 

 

 

 

First Horizon Alternative Mortgage Securities, 2006-FA8 1A8

 

0.587

%

2/25/37

 

259,869

 

$

149,727

(b)

Green Tree Home Improvement Loan Trust, 1995-C B2

 

7.600

%

7/15/20

 

22

 

23

 

Harborview Mortgage Loan Trust, 2006-02

 

3.010

%

2/25/36

 

315,710

 

207,337

(b)

MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1

 

0.427

%

4/25/46

 

559,803

 

370,394

(b)

Morgan Stanley Mortgage Loan Trust, 2007-11AR 2A3

 

2.802

%

6/25/37

 

224,118

 

117,838

(b)

Nomura Asset Acceptance Corp., 2004-AR4 1A1

 

2.621

%

12/25/34

 

60,596

 

61,287

(b)

Thornburg Mortgage Securities Trust, 2007-4 3A1

 

6.118

%

9/25/37

 

182,849

 

187,431

(b)

WaMu Mortgage Pass-Through Certificates, 2004-AR08 A1

 

0.670

%

6/25/44

 

31,795

 

26,222

(b)

WaMu Mortgage Pass-Through Certificates, 2007-HY1 4A1

 

2.706

%

2/25/37

 

383,467

 

298,277

(b)

WaMu Mortgage Pass-Through Certificates, 2007-HY3 1A1

 

2.593

%

3/25/37

 

269,836

 

195,678

(b)

Washington Mutual Inc., Mortgage Pass-Through Certificates, 2006-AR01 A1B

 

0.537

%

2/25/36

 

63,583

 

5,191

(b)

Washington Mutual Inc., Mortgage Pass-Through Certificates, 2006-AR06 2A

 

1.108

%

8/25/46

 

336,105

 

176,754

(b)

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $5,888,351)

 

 

 

6,184,610

 

COLLATERALIZED SENIOR LOANS — 0.3%

 

 

 

 

 

 

 

 

 

CONSUMER DISCRETIONARY — 0.1%

 

 

 

 

 

 

 

 

 

Multiline Retail — 0.1%

 

 

 

 

 

 

 

 

 

Dollar General Corp., Term Loan B1

 

2.966

%

7/7/14

 

1,067,120

 

1,070,788

(d)

HEALTH CARE — 0.1%

 

 

 

 

 

 

 

 

 

Health Care Providers & Services — 0.1%

 

 

 

 

 

 

 

 

 

Community Health Systems Inc., Term Loan

 

3.862 - 3.923

%

1/25/17

 

119,208

 

119,556

(d)

HCA Inc., Term Loan B

 

2.466

%

11/18/13

 

1,281,282

 

1,280,883

(d)

TOTAL HEALTH CARE

 

 

 

 

 

 

 

1,400,439

 

TELECOMMUNICATION SERVICES — 0.1%

 

 

 

 

 

 

 

 

 

Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

 

 

MetroPCS Wireless Inc., Term Loan B2

 

4.071

%

11/3/16

 

883,133

 

883,606

(d)

TOTAL COLLATERALIZED SENIOR LOANS (Cost — $3,218,344)

 

 

 

3,354,833

 

CORPORATE BONDS & NOTES — 6.2%

 

 

 

 

 

 

 

 

 

CONSUMER DISCRETIONARY — 0.6%

 

 

 

 

 

 

 

 

 

Automobiles — 0.3%

 

 

 

 

 

 

 

 

 

Chrysler Group LLC/CG Co.-Issuer Inc., Secured Notes

 

8.250

%

6/15/21

 

690,000

 

734,850

 

Ford Motor Credit Co., LLC, Senior Notes

 

5.875

%

8/2/21

 

1,940,000

 

2,194,838

 

Total Automobiles

 

 

 

 

 

 

 

2,929,688

 

Hotels, Restaurants & Leisure — 0.2%

 

 

 

 

 

 

 

 

 

Boyd Gaming Corp., Senior Notes

 

9.000

%

7/1/20

 

1,020,000

 

1,040,400

(c)

NCL Corp. Ltd., Senior Notes

 

9.500

%

11/15/18

 

150,000

 

166,125

 

NCL Corp. Ltd., Senior Secured Notes

 

11.750

%

11/15/16

 

170,000

 

195,925

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

1,402,450

 

Media — 0.1%

 

 

 

 

 

 

 

 

 

Charter Communications Inc., Senior Notes

 

6.500

%

4/30/21

 

1,000,000

 

1,070,000

 

TOTAL CONSUMER DISCRETIONARY

 

 

 

 

 

 

 

5,402,138

 

 

See Notes to Schedule of Investments.

 

2


 

WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Schedule of investments (unaudited) (continued)

September 30, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

CONSUMER STAPLES — 0.6%

 

 

 

 

 

 

 

 

 

Beverages — 0.2%

 

 

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide Inc., Senior Notes

 

3.625

%

4/15/15

 

1,320,000

 

$

1,417,540

 

Food Products — 0.4%

 

 

 

 

 

 

 

 

 

Kraft Foods Inc., Senior Notes

 

4.125

%

2/9/16

 

3,490,000

 

3,832,383

 

TOTAL CONSUMER STAPLES

 

 

 

 

 

 

 

5,249,923

 

ENERGY — 1.2%

 

 

 

 

 

 

 

 

 

Oil, Gas & Consumable Fuels — 1.2%

 

 

 

 

 

 

 

 

 

Chesapeake Energy Corp., Senior Notes

 

6.775

%

3/15/19

 

640,000

 

641,600

 

Chesapeake Energy Corp., Senior Notes

 

6.625

%

8/15/20

 

210,000

 

216,563

 

Chesapeake Midstream Partners LP/CHKM Finance Corp., Senior Notes

 

6.125

%

7/15/22

 

1,020,000

 

1,078,650

 

Compagnie Generale de Geophysique-Veritas, Senior Notes

 

9.500

%

5/15/16

 

1,000,000

 

1,080,000

 

Concho Resources Inc., Senior Notes

 

5.500

%

10/1/22

 

740,000

 

771,450

 

Continental Resources Inc., Senior Notes

 

7.125

%

4/1/21

 

570,000

 

641,250

 

El Paso Corp., Medium-Term Notes

 

7.750

%

1/15/32

 

2,000,000

 

2,329,238

 

MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Senior Notes

 

6.500

%

8/15/21

 

360,000

 

386,100

 

Plains Exploration & Production Co., Senior Notes

 

6.750

%

2/1/22

 

1,080,000

 

1,096,200

 

PT Pertamina Persero, Senior Notes

 

4.875

%

5/3/22

 

740,000

 

796,425

(c)

Range Resources Corp., Senior Notes

 

5.000

%

8/15/22

 

190,000

 

200,450

 

Range Resources Corp., Senior Subordinated Notes

 

5.750

%

6/1/21

 

500,000

 

537,500

 

WPX Energy Inc., Senior Notes

 

6.000

%

1/15/22

 

500,000

 

537,500

 

TOTAL ENERGY

 

 

 

 

 

 

 

10,312,926

 

FINANCIALS — 1.9%

 

 

 

 

 

 

 

 

 

Commercial Banks — 0.8%

 

 

 

 

 

 

 

 

 

Wachovia Capital Trust III, Junior Subordinated Bonds

 

5.570

%

11/16/12

 

7,473,000

 

7,388,929

(b)(e)

Consumer Finance — 0.4%

 

 

 

 

 

 

 

 

 

Ally Financial Inc., Senior Notes

 

5.500

%

2/15/17

 

1,090,000

 

1,139,358

 

American Express Credit Corp., Senior Notes

 

2.750

%

9/15/15

 

2,170,000

 

2,286,084

 

Total Consumer Finance

 

 

 

 

 

 

 

3,425,442

 

Diversified Financial Services — 0.7%

 

 

 

 

 

 

 

 

 

Bank of America Corp., Senior Notes

 

4.500

%

4/1/15

 

1,990,000

 

2,131,680

 

Citigroup Inc., Senior Notes

 

6.010

%

1/15/15

 

2,560,000

 

2,805,563

 

General Electric Capital Corp., Junior Subordinated Bonds

 

6.250

%

12/15/22

 

1,500,000

 

1,583,295

(b)(e)

Total Diversified Financial Services

 

 

 

 

 

 

 

6,520,538

 

TOTAL FINANCIALS

 

 

 

 

 

 

 

17,334,909

 

HEALTH CARE — 0.2%

 

 

 

 

 

 

 

 

 

Health Care Providers & Services — 0.2%

 

 

 

 

 

 

 

 

 

HCA Inc., Senior Secured Notes

 

7.875

%

2/15/20

 

200,000

 

224,750

 

HCA Inc., Senior Secured Notes

 

7.250

%

9/15/20

 

800,000

 

896,000

 

Tenet Healthcare Corp., Senior Secured Notes

 

6.250

%

11/1/18

 

750,000

 

826,875

 

TOTAL HEALTH CARE

 

 

 

 

 

 

 

1,947,625

 

INDUSTRIALS — 0.1%

 

 

 

 

 

 

 

 

 

Airlines — 0.1%

 

 

 

 

 

 

 

 

 

Delta Air Lines Inc., Senior Secured Notes

 

9.500

%

9/15/14

 

750,000

 

787,500

(c)

 

See Notes to Schedule of Investments.

 

3


 

WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Schedule of investments (unaudited) (continued)

September 30, 2012

 

SECURITY

 

RATE

 

MATURITY DATE

 

FACE
AMOUNT †

 

VALUE

 

MATERIALS — 0.6%

 

 

 

 

 

 

 

 

 

Chemicals — 0.2%

 

 

 

 

 

 

 

 

 

LyondellBasell Industries NV, Senior Notes

 

6.000

%

11/15/21

 

1,400,000

 

$

1,596,000

 

Containers & Packaging — 0.2%

 

 

 

 

 

 

 

 

 

Ball Corp., Senior Notes

 

7.375

%

9/1/19

 

1,070,000

 

1,193,050

 

Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Senior Secured Notes

 

7.125

%

4/15/19

 

1,070,000

 

1,128,850

 

Total Containers & Packaging

 

 

 

 

 

 

 

2,321,900

 

Metals & Mining — 0.2%

 

 

 

 

 

 

 

 

 

FMG Resources (August 2006) Pty Ltd., Senior Notes

 

7.000

%

11/1/15

 

720,000

 

716,400

(c)

FMG Resources (August 2006) Pty Ltd., Senior Notes

 

6.875

%

4/1/22

 

1,200,000

 

1,098,000

(c)

Total Metals & Mining

 

 

 

 

 

 

 

1,814,400

 

TOTAL MATERIALS

 

 

 

 

 

 

 

5,732,300

 

TELECOMMUNICATION SERVICES — 0.5%

 

 

 

 

 

 

 

 

 

Diversified Telecommunication Services — 0.4%

 

 

 

 

 

 

 

 

 

Hughes Satellite Systems Corp., Senior Secured Notes

 

6.500

%

6/15/19

 

180,000

 

192,600

 

Intelsat Jackson Holdings SA, Senior Notes

 

7.250

%

10/15/20

 

1,250,000

 

1,343,750

(c)

UPCB Finance V Ltd., Senior Secured Notes

 

7.250

%

11/15/21

 

980,000

 

1,065,750

(c)

UPCB Finance VI Ltd., Senior Secured Notes

 

6.875

%

1/15/22

 

150,000

 

159,000

(c)

Windstream Corp., Senior Notes

 

7.500

%

4/1/23

 

750,000

 

783,750

 

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

3,544,850

 

Wireless Telecommunication Services — 0.1%

 

 

 

 

 

 

 

 

 

Sprint Nextel Corp., Senior Notes

 

9.000

%

11/15/18

 

860,000

 

1,032,000

(c)

TOTAL TELECOMMUNICATION SERVICES

 

 

 

 

 

 

 

4,576,850

 

UTILITIES — 0.5%

 

 

 

 

 

 

 

 

 

Independent Power Producers & Energy Traders — 0.5%

 

 

 

 

 

 

 

Exelon Generation Co., LLC, Senior Notes

 

4.250

%

6/15/22

 

4,500,000

 

4,761,329

(c)

TOTAL CORPORATE BONDS & NOTES (Cost — $52,918,100)

 

 

 

56,105,500

 

NON-U.S. TREASURY INFLATION PROTECTED SECURITIES — 9.7%

 

 

 

 

 

Canada — 6.6%

 

 

 

 

 

 

 

 

 

Government of Canada, Bonds

 

4.250

%

12/1/21

 

7,473,579

CAD

10,832,471

 

Government of Canada, Bonds

 

4.250

%

12/1/26

 

7,539,857

CAD

12,454,147

 

Government of Canada, Bonds

 

4.000

%

12/1/31

 

8,735,538

CAD

15,447,356

 

Government of Canada, Bonds

 

2.000

%

12/1/41

 

14,202,110

CAD

20,945,331

 

Total Canada

 

 

 

 

 

 

 

59,679,305

 

United Kingdom — 3.1%

 

 

 

 

 

 

 

 

 

United Kingdom Treasury Gilt, Bonds

 

1.250

%

11/22/55

 

12,671,274

GBP

28,117,055

 

TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost — $86,690,409)

 

87,796,360

 

SOVEREIGN BONDS — 2.1%

 

 

 

 

 

 

 

 

 

Argentina — 0.1%

 

 

 

 

 

 

 

 

 

Republic of Argentina, Senior Bonds

 

7.000

%

10/3/15

 

570,000

 

521,550

 

Brazil — 0.3%

 

 

 

 

 

 

 

 

 

Federative Republic of Brazil, Senior Notes

 

4.875

%

1/22/21

 

2,690,000

 

3,214,550

 

Colombia — 0.2%

 

 

 

 

 

 

 

 

 

Republic of Colombia, Senior Bonds

 

4.375

%

7/12/21

 

1,255,000

 

1,445,133

 

 

See Notes to Schedule of Investments.

 

4


 

WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Schedule of investments (unaudited) (continued)

September 30, 2012

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Indonesia — 0.1%

 

 

 

 

 

 

 

 

 

Republic of Indonesia, Notes

 

3.750

%

4/25/22

 

830,000

 

$

877,725

(c)

Mexico — 0.2%

 

 

 

 

 

 

 

 

 

United Mexican States, Medium-Term Notes

 

6.050

%

1/11/40

 

1,606,000

 

2,139,995

 

Panama — 0.0%

 

 

 

 

 

 

 

 

 

Republic of Panama

 

6.700

%

1/26/36

 

270,000

 

379,350

 

Peru — 0.1%

 

 

 

 

 

 

 

 

 

Republic of Peru

 

8.750

%

11/21/33

 

650,000

 

1,132,625

 

Philippines — 0.2%

 

 

 

 

 

 

 

 

 

Republic of the Philippines, Senior Bonds

 

5.500

%

3/30/26

 

1,120,000

 

1,404,200

 

Russia — 0.4%

 

 

 

 

 

 

 

 

 

Russian Foreign Bond - Eurobond, Senior Bonds

 

7.500

%

3/31/30

 

2,580,025

 

3,257,282

(b)(c)

Turkey — 0.3%

 

 

 

 

 

 

 

 

 

Republic of Turkey, Senior Bonds

 

5.625

%

3/30/21

 

2,325,000

 

2,650,500

 

Venezuela — 0.2%

 

 

 

 

 

 

 

 

 

Bolivarian Republic of Venezuela, Senior Notes

 

7.750

%

10/13/19

 

2,605,000

 

2,246,812

(c)

TOTAL SOVEREIGN BONDS (Cost — $18,026,555)

 

 

 

 

 

 

 

19,269,722

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $735,085,216)

 

829,976,838

 

SHORT-TERM INVESTMENTS — 8.2%

 

 

 

 

 

 

 

 

 

U.S. Government Agencies — 1.6%

 

 

 

 

 

 

 

 

 

Federal Home Loan Bank (FHLB), Discount Notes (Cost - $14,995,881)

 

0.115

%

12/26/12

 

15,000,000

 

14,995,881

(f)

Repurchase Agreements — 6.6%

 

 

 

 

 

 

 

 

 

Bank of America repurchase agreement dated 9/28/12; Proceeds at maturity - $38,756,388; (Fully collateralized by U.S. Treasury Bonds, 11.250% due 2/15/15; Market value - $39,531,126)

 

0.120

%

10/1/12

 

38,756,000

 

38,756,000

 

Credit Suisse First Boston Inc. tri-party repurchase agreement dated 9/28/12; Proceeds at maturity - $20,750,259; (Fully collateralized by U.S. Treasury Bonds, 4.375% due 5/15/41; Market value - $21,225,845)

 

0.150

%

10/1/12

 

20,750,000

 

20,750,000

 

Total Repurchase Agreements (Cost — $59,506,000)

 

 

 

59,506,000

 

TOTAL SHORT-TERM INVESTMENTS (Cost — $74,501,881)

 

 

 

74,501,881

 

TOTAL INVESTMENTS — 99.7% (Cost — $809,587,097#)

 

 

 

904,478,719

 

Other Assets in Excess of Liabilities — 0.3%

 

 

 

2,622,401

 

TOTAL NET ASSETS — 100.0%

 

 

 

$

907,101,120

 

 

†

Face amount denominated in U.S. dollars, unless otherwise noted.

(a)

All or a portion of this security is held at the broker as collateral for open futures contracts.

(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)

Interest rates disclosed represent the effective rates on collateralized senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

(e)

Security has no maturity date. The date shown represents the next call date.

(f)

Rate shown represents yield-to-maturity.

#

Aggregate cost for federal income tax purposes is substantially the same.

 

See Notes to Schedule of Investments.

 

5


 

WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Schedule of investments (unaudited) (continued)

September 30, 2012

 

 

Abbreviations used in this schedule:

 

CAD

- Canadian Dollar

 

GBP

- British Pound

 

HELOC

- Home Equity Line of Credit

 

IO

- Interest Only

 

SCHEDULE OF WRITTEN OPTIONS

 

SECURITY

 

EXPIRATION
DATE

 

STRIKE
PRICE

 

CONTRACTS

 

VALUE

 

U.S. Treasury 30-Year Notes, Put

 

10/26/12

 

$

144.00

 

200

 

$

50,000

 

U.S. Treasury 30-Year Notes, Put

 

10/26/12

 

148.00

 

200

 

168,750

 

TOTAL WRITTEN OPTIONS (Premiums received — $282,028)

 

 

 

$

218,750

 

 

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 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

 

 

QUOTED
PRICES

 

OTHER
SIGNIFICANT
OBSERVABLE
INPUTS

 

SIGNIFICANT
UNOBSERVABLE
INPUTS

 

 

 

DESCRIPTION

 

(LEVEL 1)

 

(LEVEL 2)

 

(LEVEL 3)

 

TOTAL

 

Long-term investments†:

 

 

 

 

 

 

 

 

 

U.S. treasury inflation protected securities

 

—

 

$

656,644,419

 

—

 

$

656,644,419

 

Asset-backed securities

 

—

 

621,394

 

—

 

621,394

 

Collateralized mortgage obligations

 

—

 

6,184,610

 

—

 

6,184,610

 

Collateralized senior loans

 

—

 

3,354,833

 

—

 

3,354,833

 

Corporate bonds & notes

 

—

 

56,105,500

 

—

 

56,105,500

 

Non-U.S. treasury inflation protected securities

 

—

 

87,796,360

 

—

 

87,796,360

 

Sovereign bonds

 

—

 

19,269,722

 

—

 

19,269,722

 

Total long-term investments

 

—

 

$

829,976,838

 

—

 

$

829,976,838

 

Short-term investments†

 

—

 

74,501,881

 

—

 

74,501,881

 

Total investments

 

—

 

$

904,478,719

 

—

 

$

904,478,719

 

Other financial instruments:

 

 

 

 

 

 

 

 

 

Futures contracts

 

$

142,548

 

—

 

—

 

$

142,548

 

Forward foreign currency contracts

 

—

 

$

92,396

 

—

 

92,396

 

Credit default swaps on credit indices - sell protection‡

 

—

 

41,406

 

—

 

41,406

 

Total other financial instruments

 

$

142,548

 

$

133,802

 

—

 

$

276,350

 

Total

 

$

142,548

 

$

904,612,521

 

—

 

$

904,755,069

 

 

 

 

 

 

 

 

 

 

 

LIABILITIES

 

 

QUOTED
PRICES

 

OTHER
SIGNIFICANT
OBSERVABLE
INPUTS

 

SIGNIFICANT
UNOBSERVABLE
INPUTS

 

 

 

DESCRIPTION

 

(LEVEL 1)

 

(LEVEL 2)

 

(LEVEL 3)

 

TOTAL

 

Other financial instruments:

 

 

 

 

 

 

 

 

 

Written options

 

$

218,750

 

—

 

—

 

$

218,750

 

Forward foreign currency contracts

 

—

 

$

1,962,925

 

—

 

1,962,925

 

Total

 

$

218,750

 

$

1,962,925

 

—

 

$

2,181,675

 

†See Schedule of Investments for additional detailed categorizations.

‡Values include any premiums paid or received with respect to swap contracts.

 

(b) Repurchase agreements. The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding

 

8


 

Notes to schedule of investments (unaudited) (continued)

 

period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

 

(c) Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

 

Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the “initial margin” and subsequent payments (“variation margin”) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded.

 

Futures contracts involve, to varying degrees, risk of loss. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

 

(d) Written options. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Fund’s basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Fund from the exercise of the written put option to form the Fund’s basis in the underlying security purchased. The writer or buyer of an option traded on an exchange can liquidate the position before the exercise of the option by entering into a closing transaction. The cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Fund.

 

The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. The risk in writing an uncovered call option is that the Fund is exposed to the risk of loss if the market price of the underlying security increases. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

 

(e) Forward foreign currency contracts. The Fund enters into a forward foreign currency contract to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it is closed.

 

When entering into a forward foreign currency contract, the Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

 

(f) Swap agreements. The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes. The use of swaps involves risks that are different from those associated with other portfolio transactions.

 

Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities, may be required to be held in segregated accounts with the Fund’s custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments.

 

9


 

Notes to schedule of investments (unaudited) (continued)

 

The Fund’s maximum exposure in the event of a defined credit event on a credit default swap to sell protection is the notional amount. As of September 30, 2012, the total notional value of all credit default swaps to sell protection is $9,100,000. This amount would be offset by the value of the swap’s reference entity, upfront premiums received on the swap and any amounts received from the settlement of a credit default swap where the Fund bought protection for the same referenced security/entity.

 

For average notional amounts of swaps held during the period ended September 30, 2012, see Note 3.

 

Credit default swaps

 

The Fund enters into credit default swap (“CDS”) contracts for investment purposes, to manage its credit risk or to add leverage.  CDS agreements involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has exposure to an issuer) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the term of the swap provided that there is no credit event. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted) that the Fund could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced obligations. As a seller of protection, the Fund effectively adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the Fund generally receives an amount up to the notional value of the swap if a credit event occurs.

 

Implied spreads are the theoretical prices a lender receives for credit default protection. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced 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. Credit spreads utilized in determining the period end market value of credit default swap agreements on corporate or sovereign issues are disclosed in the Notes to the Schedule of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for credit derivatives. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, particularly in relation to the notional amount of the contract as well as the annual payment rate, serve as an indication of the current status of the payment/performance risk.

 

The Fund’s maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract (this risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty). As the protection seller, the Fund’s maximum risk is the notional amount of the contract. Credit default swaps are considered to have credit risk-related contingent features since they require payment by the protection seller to the protection buyer upon the occurrence of a defined credit event.

 

Entering into a CDS agreement involves, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates.

 

(g) Inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value or interest rate is periodically adjusted according to the rate of inflation. As the index measuring inflation changes, the principal value or interest rate of inflation-indexed bonds will be adjusted accordingly. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

 

(h) Foreign currency translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation.  Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

 

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

 

10


 

Notes to schedule of investments (unaudited) (continued)

 

(i) Loan participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund’s investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement related to the loan, or any rights of off-set against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.

 

The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any off-set between the lender and the borrower.

 

(j) Stripped securities. The Fund may invest in “Stripped Securities,” a term used collectively for components, or strips, of fixed income securities. Stripped securities can be principal only securities (“PO”), which are debt obligations that have been stripped of unmatured interest coupons, or interest only securities (“IO”), which are unmatured interest coupons that have been stripped from debt obligations. The market value of Stripped Securities will fluctuate in response to changes in economic conditions, rates of pre-payment, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation may increase with a longer period of maturity.

 

The yield to maturity on IO’s is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IO’s.

 

(k) Credit and market risk. The Fund invests in high-yield and emerging market instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Fund’s investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Fund. The Fund’s investment in non-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.

 

Investments in securities that are collateralized by residential real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of the full amount of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value and liquidity of these investments and may result in a lack of correlation between their credit ratings and values.

 

(l) Foreign investment risks.  The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

 

(m) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund’s investment manager attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.

 

The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features.  The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net

 

11


 

Notes to schedule of investments (unaudited) (continued)

 

assets or NAV over a specified period of time.  If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.

 

As of September 30, 2012, the Fund held written options and forward foreign currency contracts with credit related contingent features which had a liability position of $2,181,675. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives counterparties.

 

(n) Security transactions.  Security transactions are accounted for on a trade date basis.

 

2.  Investments

 

At September 30, 2012, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

 

$

97,023,089

 

Gross unrealized depreciation

 

(2,131,467

)

Net unrealized appreciation

 

$

94,891,622

 

 

During the period ended September 30, 2012, written option transactions for the Fund were as follows:

 

 

 

Number of Contracts

 

Premiums

 

Written options, outstanding as of December 31, 2011

 

—

 

—

 

Options written

 

8,825

 

$

5,056,023

 

Options closed

 

(5,567

)

(3,844,329

)

Options exercised

 

(364

)

(169,443

)

Options expired

 

(2,494

)

(760,223

)

Written options, outstanding as of September 30, 2012

 

400

 

$

282,028

 

 

At September 30, 2012, the Fund had the following open futures contracts:

 

 

 

NUMBER OF
CONTRACTS

 

EXPIRATION
DATE

 

BASIS
VALUE

 

MARKET
VALUE

 

UNREALIZED
GAIN

 

Contracts to Buy:

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury 2-Year Notes

 

725

 

12/12

 

$

159,808,216

 

$

159,885,156

 

$

76,940

 

Contracts to Sell:

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury 30-Year Bonds

 

200

 

12/12

 

29,940,608

 

29,875,000

 

65,608

 

Net unrealized gain on open futures contracts

 

 

 

 

 

 

 

 

 

$

142,548

 

 

At September 30, 2012, the Fund had the following open forward foreign currency contracts:

 

FOREIGN CURRENCY

 

COUNTERPARTY

 

LOCAL
CURRENCY

 

MARKET
VALUE

 

SETTLEMENT
DATE

 

UNREALIZED
GAIN (LOSS)

 

Contracts to Sell:

 

 

 

 

 

 

 

 

 

 

 

British Pound

 

Credit Suisse First Boston Inc.

 

19,005,000

 

$

30,684,605

 

11/16/12

 

$

(1,084,697

)

Canadian Dollar

 

Citibank N.A.

 

7,930,820

 

8,058,223

 

11/16/12

 

(111,987

)

Canadian Dollar

 

Credit Suisse First Boston Inc.

 

8,200,000

 

8,331,727

 

11/16/12

 

92,396

 

Canadian Dollar

 

Credit Suisse First Boston Inc.

 

40,560,500

 

41,212,077

 

11/16/12

 

(766,241

)

Net unrealized loss on open forward foreign currency contracts

 

 

 

 

 

$

(1,870,529

)

 

12


 

Notes to schedule of investments (unaudited) (continued)

 

At September 30, 2012, the Fund had the following open swap contracts:

 

CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION 1

 

SWAP COUNTERPARTY
(REFERENCE ENTITY)

 

NOTIONAL
AMOUNT2

 

TERMINATION
DATE

 

PERIODIC
PAYMENTS
RECEIVED BY
THE FUND‡

 

MARKET
VALUE3

 

UPFRONT
PREMIUMS
PAID
(RECEIVED)

 

UNREALIZED
APPRECIATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Barclays Capital Inc. (Markit CDX.NA.IG.18 Index)

 

$

9,100,000

 

6/20/17

 

1.000% quarterly

 

$

41,406

 

$

(63,700

)

$

105,106

 

 

(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 should 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.

 

3. Derivative instruments and hedging activities

 

Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entity’s derivative and hedging activities.

 

The following is a summary of the Fund’s derivative instruments categorized by risk exposure at September 30, 2012.

 

 

 

 

 

Futures Contracts

 

Forward Foreign Currency
Contracts

 

 

 

 

 

 

 

Written

 

 

 

 

 

 

 

 

 

Swap

 

 

 

Primary Underlying
Risk Disclosure

 

Options, at value

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

Contracts, at
value

 

Total

 

Interest Rate Risk

 

$

(218,750

)

$

142,548

 

—

 

—

 

—

 

—

 

$

(76,202

)

Foreign Exchange Risk

 

—

 

—

 

—

 

$

92,396

 

$

(1,962,925

)

—

 

(1,870,529

)

Credit Risk

 

—

 

—

 

—

 

—

 

—

 

$

41,406

 

41,406

 

Total

 

$

(218,750

)

$

142,548

 

—

 

$

92,396

 

$

(1,962,925

)

$

41,406

 

$

(1,905,325

)

 

During the period ended September 30, 2012, the volume of derivative activity for the Fund was as follows:

 

 

 

Average market
value

 

Purchased options †

 

$

8,732

 

Written options

 

152,550

 

Futures contracts (to buy)

 

42,794,696

 

Futures contracts (to sell)

 

31,505,999

 

Forward foreign currency contracts (to buy) †

 

14,468,411

 

Forward foreign currency contracts (to sell)

 

66,515,551

 

 

 

 

 

 

 

Average notional
balance

 

Credit default swap contracts (to sell protection)

 

$

3,640,000

 

† At September 30, 2012, there were no open positions held in this derivative.

 

13


 

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:

R. Jay Gerken

 

R. Jay Gerken

 

President

 

Date: November 26, 2012

 

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

 

By:

R. Jay Gerken

 

R. Jay Gerken

 

President

 

Date: November 26, 2012

 

 

 

 

 

By:

Richard F. Sennett

 

Richard F. Sennett

 

Principal Financial Officer

 

Date: November 26, 2012