UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number |
811-21477 |
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund |
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(Exact name of registrant as specified in charter) |
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385 East Colorado Boulevard, Pasadena, CA |
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91101 |
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(Address of principal executive offices) |
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(Zip code) |
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Robert I. Frenkel, Esq. Legg Mason & Co., LLC 100 First Stamford Place Stamford, CT 06902 |
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(Name and address of agent for service) |
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Registrants telephone number, including area code: |
(888) 777-0102 |
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Date of fiscal year end: |
December 31 |
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Date of reporting period: |
June 30, 2010 |
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ITEM 1. REPORT TO STOCKHOLDERS.
The Semi-Annual Report to Stockholders is filed herewith.
June 30, 2010 |
Semi-Annual Report
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
(WIW)
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INVESTMENT PRODUCTS: NOT FDIC INSURED · NO BANK GUARANTEE · MAY LOSE VALUE |
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund |
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Investment objectives
The Funds primary investment objective is to provide current income. Capital appreciation, when consistent with current income, is a secondary objective.
Whats inside
Letter to shareholders |
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Investment commentary |
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Fund highlights |
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Fund at a glance |
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Quarterly comparison |
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Spread duration |
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Effective duration |
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Schedule of investments |
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Statement of assets and liabilities |
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Statement of operations |
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Statements of changes in net assets |
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Statement of cash flows |
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Financial highlights |
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Notes to financial statements |
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Letter to shareholders
Dear Shareholder,
We thank you for your investment in Western Asset/Claymore Inflation-Linked Opportunities & Income Fund. As investment adviser for the Fund, we are pleased to submit the Funds semi-annual shareholder report for the six-month reporting period ended June 30, 2010.
For the six months ended June 30, 2010, the Fund returned 4.61% based on its net asset value (NAV)i and 4.27% based on its New York Stock Exchange (NYSE) market price per share. The Funds unmanaged benchmarks, the Barclays U.S. Government Inflation-Linked 1-10 Year Indexii and the Barclays U.S. Government Inflation-Linked All Maturities Indexiii, returned 3.13% and 4.42%, respectively, for the same period. The Barclays World Government Inflation-Linked All Maturities Indexiv and the Funds Custom Benchmarkv returned -2.68% and 4.52%, respectively, over the same time frame. All Fund returns citedwhether based on NAV or market priceassume the reinvestment of all distributions. Past performance does not guarantee future results. The market price of the Funds shares fluctuates from time to time, and it may be higher or lower than the Funds NAV.
The largest contributor to the Funds absolute performance for the period was our large exposure to U.S. Treasury Inflation-Protected Securities (TIPS)vi. Treasury yields generally fell over the period as various federal stimulus programs, initiated in response to the financial crisis, significantly increased the national debt. Investors, worried that this deficit spending would spur inflation, sought protection by purchasing TIPS. Exposure to both investment grade credit and high-yield securities was additive to performance given the narrowing of spreads on the back of strong corporate earnings. An exposure to non-agency securities also positively impacted performance as prices in the sector were bolstered by government programs (such as the Public-Private Investment Program), improved liquidity, strong paydowns, generally improving housing news and the growing sentiment that a bottom in the housing market had been established. Foreign exchange exposure also paid off, with gains from positions in the Australian dollar, the euro and the pound offsetting losses from the Canadian dollar and the Japanese yen.
The Funds exposure to several U.S. agency positions was a modest detractor from performance for the period.
The portfolio also employed several types of derivatives: both futures and options on futures for U.S. Treasuries to manage durationvii and yield curveviii exposure; Eurodollar futures and Eurodollar future options to manage exposure to short-term rates; Euro-Bobl futures to manage exposure to intermediate German rates; credit default swaps to manage exposure to a particular corporate issuer; and index credit default swaps to manage exposure to the high-yield sector. Over the period, the impact of the Treasury and Eurodollar derivatives, as well as the credit derivatives, was slightly positive. As discussed above, the portfolio also held foreign currency forwards, which had a positive impact on performance over the period.
As of June 30, 2010, the Funds market price of $12.31 per share represented a discount of 7.37% to its NAV of $13.29 per share. During the first six months of
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund |
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2010, the Fund provided its investors with monthly distributions of $0.040 per share. The most recent dividend represents an annualized distribution rate of 3.90% based on the Funds closing market price of $12.31 on June 30, 2010.
The Funds investment objective is to provide current income. Capital appreciation, when consistent with current income, is a secondary objective. Under the Funds investment policies, under normal market conditions, the Fund will invest:
· At least 80% of its total managed assets in inflation-linked securities
· No more than 40% of its total managed assets in below investment grade securities
· Up to 100% of its total managed assets in non-U.S. dollar investments, which gives the Fund the flexibility to invest up to 100% of its total assets in non-U.S. dollar inflation-linked securities (up to 100% of its non-U.S. dollar exposure may be unhedged)
The Fund may invest up to 20% of the portfolio in debt instruments of emerging market issuers that are not inflation-linked securities. The Fund currently expects that the average effective duration of its portfolio will range between zero and fifteen years, although this target duration may change from time to time. The Fund expects to continue its use of credit default swaps.
Shareholders have the opportunity to reinvest their dividends from the Fund through the Dividend Reinvestment Plan (DRIP), which is described in detail on page 2 of this report. If shares are trading at a discount to NAV, the DRIP takes advantage of the discount by reinvesting the monthly dividend distribution in common shares of the Fund purchased in the market at a price less than NAV. Conversely, when the market price of the Funds common shares is at a premium above NAV, the DRIP reinvests participants dividends in newly-issued common shares at NAV, subject to an IRS limitation that the purchase price cannot be more than 5% below the market price per share. The DRIP provides a cost-effective means to accumulate additional shares.
We appreciate your investment and look forward to serving your investment needs in the future. For the most up-to-date information on your investment, please visit the Funds website at www.claymore.com/wiw.
Sincerely,
Claymore Advisors, LLC
July 16, 2010
i Net asset value (NAV) is calculated by subtracting total liabilities, including liabilities representing financial leverage (if any) from the closing value of all securities held by the Fund (plus all other assets) and dividing the result (total net assets) by the total number of the common shares outstanding. The NAV fluctuates with changes in the market prices of securities in which the Fund has invested. However, the price at which an investor may buy or sell shares of the Fund is the Funds market price as determined by supply of and demand for the Funds shares.
ii The Barclays U.S. Government Inflation-Linked 1-10 Year Index measures the performance of the intermediate U.S. TIPS market.
iii The Barclays U.S. Government Inflation-Linked All Maturities Index measures the performance of the U.S. TIPS market. The Index includes TIPS with one or more years remaining maturity with total outstanding issue size of $500 million or more.
iv The Barclays World Government Inflation-Linked All Maturities Index measures the performance of the major government inflation-linked bond markets.
v The Custom Benchmark is comprised of 90% Barclays Capital U.S. Government Inflation-Linked All Maturities Index, 5% Barclays Capital U.S. Credit Index and 5% JPMorgan Emerging Markets Bond Index Plus (EMBI+). The Barclays Capital U.S. Credit Index is an index composed of corporate and non-corporate debt issues that are investment grade (rated Baa3/BBB- or higher). The EMBI+ is a total return index that tracks the traded market for U.S. dollar-denominated Brady and other similar sovereign restructured bonds traded in the emerging markets.
vi U.S. Treasury Inflation-Protected Securities (TIPS) are inflation-indexed securities issued by the U.S. Treasury in five-year, ten-year and twenty-year maturities. The principal is adjusted to the Consumer Price Index, the commonly used measure of inflation. The coupon rate is constant, but generates a different amount of interest when multiplied by the inflation-adjusted principal.
vii Duration is the measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
viii The yield curve is the graphical depiction of the relationship between the yield on bonds of the same credit quality but different maturities.
IV |
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund |
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Investment commentary
Economic review
While the overall U.S. economy continued to expand over the six months ended June 30, 2010, several economic data points weakened toward the end of the reporting period. This, in combination with sovereign debt woes in Europe, caused investor sentiment to turn negative and had significant implications for the financial markets.
Looking back, the U.S. Department of Commerce reported that U.S. gross domestic product (GDP)i contracted four consecutive quarters, beginning in the third quarter of 2008 through the second quarter of 2009. Economic conditions then began to improve in the third quarter of 2009, as GDP growth was 1.6%. A variety of factors helped the economy to regain its footing, including the governments $787 billion stimulus program. Economic growth then accelerated during the fourth quarter of 2009, as GDP growth was 5.0%. A slower drawdown in business inventories and renewed consumer spending were contributing factors spurring the economys higher growth rate. While the recovery continued during the first half of 2010, it did so at a more modest pace, as GDP growth was 3.7% during the first quarter of 2010 and an estimated 2.4% during the second quarter. The slower pace of growth in the second quarter was due, in part, to slower consumer spending, which rose an annualized 1.6% during the quarter, versus a 1.9% gain over the first three months of the year.
Even before GDP growth turned positive, there were signs that the economy was on the mend. The manufacturing sector, as measured by the Institute for Supply Managements PMIii, rose to 52.8 in August 2009, the first time it surpassed 50 since January 2008 (a reading below 50 indicates a contraction, whereas a reading above 50 indicates an expansion). While June 2010s PMI reading of 56.2 was lower than Mays reading of 59.7, manufacturing has now expanded eleven consecutive months according to PMI data. The manufacturing sectors growth remained fairly broad-based with thirteen of the eighteen industries tracked by the Institute for Supply Management expanding during June.
After experiencing sharp job losses in 2009, the U.S. Department of Labor reported that over one million new positions were added during the first five months of 2010. Included in that total, however, were 700,000 temporary government jobs tied to the 2010 Census. In June, 225,000 of these temporary positions were eliminated, offsetting private sector growth and resulting in a net loss of 125,000 jobs for the month. However, the unemployment rate fell to 9.5% in June, versus 9.7% and 9.9% in May and April, respectively.
There was mixed news in the housing market during the period. According to the National Association of Realtors, existing home sales increased 7.0% and 8.0% in March and April, respectively, after sales had fallen for the period from December 2009 through February 2010. The rebound was largely attributed to people rushing to take advantage of the governments $8,000 tax credit for first-time home buyers that expired at the end of April. However, with the end of the tax credit, existing home sales then declined 2.2% and 5.1% in May and June, respectively. In addition, the inventory of unsold homes increased 2.5% to 3.99 million in June. Looking at home prices, the S&P/Case-Shiller Home Price Indexiii indicated that month-to-month U.S. home prices rose 1.3% in May. This marked the second straight monthly increase following six consecutive months of declining prices.
Financial market overview
During the first half of the reporting period, the financial markets were largely characterized by healthy investor risk appetite and solid results by lower-quality bonds. However, the market experienced a sharp sell-off during the second half of the reporting period, during which risk aversion returned and investors flocked to the relative safety of U.S. Treasury securities.
Given certain pockets of weakness in the economy, including elevated unemployment in the U.S., the Federal Reserve Board (Fed)iv remained cautious. At its meeting in June 2010, the Fed said it will maintain the target range for the federal funds ratev at 0 to 1/4 percent
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund |
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and continues to anticipate that economic conditions, including low rates of resource utilization, subdued inflation trends, and stable inflation expectations, are likely to warrant exceptionally low levels of the federal funds rate for an extended period.
However, the Fed took several steps in reversing its accommodative monetary stance. On February 18, 2010, the Fed raised the discount rate, the interest rate it charges banks for temporary loans, from 1/2 to 3/4 percent. The Fed also concluded its $1.25 trillion mortgage securities purchase program at the end of the first quarter of 2010. However, the Fed left the door open for future stimulus measures if needed. In the minutes of its June meeting that were released on July 14th (after the reporting period ended), the Fed said, In addition to continuing to develop and test instruments to exit from the period of unusually accommodative monetary policy, the Committee would need to consider whether further policy stimulus might become appropriate if the outlook were to worsen appreciably.
Fixed-income market review
Continuing the trend that began in the second quarter of 2009, nearly every spread sector (non-Treasury) outperformed equal-durationvi Treasuries during the first half of the reporting period. Over that time, investor confidence was high given encouraging economic data, continued low interest rates, benign inflation and rebounding corporate profits. However, robust investor appetite was replaced with heightened risk aversion toward the end of April and during the month of May. This was due to the escalating sovereign debt crisis in Europe, uncertainties regarding new financial reforms in the U.S. and some worse-than-expected economic data. Most spread sectors then produced positive absolute returns in June, as investor demand for these securities began to again increase.
Both short- and long-term Treasury yields fluctuated during the period but generally moved lower. When the period began, two- and ten-year Treasury yields were 1.14% and 3.85%, respectively. Two- and ten-year Treasury yields initially rose, reaching as high as 1.18% and 4.01%, respectively, in early April. Yields then largely declined amid the investor flight to quality. On June 30, 2010, two- and ten-year Treasury yields reached their lows for the reporting period: 0.61% and 2.97%, respectively. Over the six-month reporting period, the yield curvevii flattened, with longer-term Treasury yields declining more than their shorter-term counterparts. For the six months ended June 30, 2010, the Barclays Capital U.S. Aggregate Indexviii returned 5.33%.
Inflation generally remained well-contained during the reporting period. For the six months ended June 30, 2010, the seasonally adjusted rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (CPI-U)ix, was -0.3%. The CPI-U less food and energy was a modest 0.6% over the same time frame. Elsewhere, there were mixed signals regarding potential future inflation. The price of gold, which is often a signal of rising prices, reached an all-time high of $1,266 an ounce during the second quarter of 2010. In contrast, the price of oil fell approximately 10% during the second half of the reporting period.x Despite modest inflation, inflation-protected securities generated a positive return during the six months ended June 30, 2010, with the Barclays U.S. Government Inflation-Linked All Maturities Indexxi returning 4.42%.
Performance review
For the six months ended June 30, 2010, Western Asset/Claymore Inflation-Linked Opportunities & Income Fund returned 4.61% based on its net asset value (NAV)xii and 4.27% based on its New York Stock Exchange (NYSE) market price per share. The Funds unmanaged benchmarks, the Barclays U.S. Government Inflation-Linked 1-10 Year Indexxiii and the Barclays U.S. Government Inflation-Linked All Maturities Index, returned 3.13% and 4.42%, respectively, for the same period. The Barclays World Government Inflation-Linked All Maturities Indexxiv and the Funds Custom Benchmarkxv returned -2.68% and 4.52%, respectively, over the same time frame.
During this six-month period, the Fund made distributions to shareholders totaling $0.24 per share, which may have included a return of capital. The performance table shows the Funds
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund |
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Investment commentary (contd)
six-month total return based on its NAV and market price as of June 30, 2010. Past performance is no guarantee of future results.
Performance Snapshot as of June 30, 2010
Price Per Share |
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6-Month Total Return* |
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$13.29 (NAV) |
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4.61% |
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$12.31 (Market Price) |
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4.27% |
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All figures represent past performance and are not a guarantee of future results.
*Total returns are based on changes in NAV or market price, respectively. Total returns assume the reinvestment of all distributions, including returns of capital, if any, in additional shares. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.
Western Asset Management Company
July 30, 2010
RISKS: Bonds are subject to a variety of risks, including interest rate, credit and inflation risk. As interest rates rise, bond prices fall, reducing the value of a fixed-income investments price. The Fund is subject to the additional risks associated with inflation-protected securities, including liquidity risk, prepayment risk, extension risk and deflation risk. Investments in foreign companies, including emerging markets, involve risks beyond those inherent solely in domestic investments. Leverage may cause a fund to be more volatile than if the fund had not been leveraged, which may increase the risk of investment loss. To the extent that the Fund invests in asset-backed, mortgage-backed or mortgage-related securities, its exposure to prepayment and extension risks may be greater than investments in other fixed-income securities. International investments are subject to currency fluctuations, social, economic and political risk. These risks are magnified in emerging markets.
All investments are subject to risk including the possible loss of principal. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.
The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.
i Gross domestic product (GDP) is the market value of all final goods and services produced within a country in a given period of time.
ii The Institute for Supply Managements PMI is based on a survey of purchasing executives who buy the raw materials for manufacturing at more than 350 companies. It offers an early reading on the health of the manufacturing sector.
iii The S&P/Case-Shiller Home Price Index measures the residential housing market, tracking changes in the value of the residential real estate market in twenty metropolitan regions across the United States.
iv The Federal Reserve Board (Fed) is responsible for the formulation of policies designed to promote economic growth, full employment, stable prices and a sustainable pattern of international trade and payments.
v The federal funds rate is the rate charged by one depository institution on an overnight sale of immediately available funds (balances at the Federal Reserve) to another depository institution; the rate may vary from depository institution to depository institution and from day to day.
vi Duration is the measure of the price sensitivity of a fixed-income security to an interest rate change of 100 basis points. Calculation is based on the weighted average of the present values for all cash flows.
vii The yield curve is the graphical depiction of the relationship between the yield on bonds of the same credit quality but different maturities.
viii The Barclays Capital U.S. Aggregate Index is a broad-based bond index comprised of government, corporate, mortgage- and asset-backed issues, rated investment grade or higher, and having at least one year to maturity.
ix The Consumer Price Index for All Urban Consumers (CPI-U) is a measure of the average change in prices over time of goods and services purchased by households, which covers approximately 87% of the total population and includes, in addition to wage earners and clerical worker households, groups such as professional, managerial and technical workers, the self-employed, short-term workers, the unemployed and retirees and others not in the labor force.
x Source: Wall Street Journal, July 2010.
xi The Barclays U.S. Government Inflation-Linked All Maturities Index measures the performance of the U.S. TIPS market. The Index includes TIPS with one or more years remaining maturity with total outstanding issue size of $500 million or more.
xii Net asset value (NAV) is calculated by subtracting total liabilities and outstanding preferred stock (if any) from the closing value of all securities held by the Fund (plus all other assets) and dividing the result (total net assets) by the total number of the common shares outstanding. The NAV fluctuates with changes in the market prices of securities in which the Fund has invested. However, the price at which an investor may buy or sell shares of the Fund is the Funds market price as determined by supply of and demand for the Funds shares.
xiii The Barclays U.S. Government Inflation-Linked 1-10 Year Index measures the performance of the intermediate U.S. TIPS market.
xiv The Barclays World Government Inflation-Linked All Maturities Index measures the performance of the major government inflation-linked bond markets.
xv The Custom Benchmark is comprised of 90% Barclays Capital U.S. Government Inflation-Linked All Maturities Index, 5% Barclays Capital U.S. Credit Index and 5% JPMorgan Emerging Markets Bond Index Plus (EMBI+). The Barclays Capital U.S. Credit Index is an index composed of corporate and non-corporate debt issues that are investment grade (rated Baa3/BBB- or higher). The EMBI+ is a total return index that tracks the traded market for U.S. dollar-denominated Brady and other similar sovereign restructured bonds traded in the emerging markets.
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
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Fund highlights (unaudited)
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Six Months Ended |
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Year Ended |
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Net Asset Value |
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$813,123,449 |
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$791,707,778 |
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Per Share |
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$13.29 |
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$12.94 |
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Market Value Per Share |
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$12.31 |
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$12.04 |
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Net Investment Income |
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$14,334,413 |
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$24,264,757 |
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Per Common Share |
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$0.23 |
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$0.40 |
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Dividends Paid to Common Shareholders |
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$14,684,192 |
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$30,592,067 |
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Per Common Share from Net Income |
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$0.24 |
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$0.44 |
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Per Common Share from Tax Return of Capital |
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$0.06 |
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The Fund
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund (WIW or the Fund) is a diversified, closed-end management investment company which seeks to provide current income for its shareholders. Capital appreciation, when consistent with current income, is a secondary investment objective. Substantially all of the Funds net investment income (after any interest expense in connection with forms of leverage (if applicable)) is distributed to the Funds shareholders. A Dividend Reinvestment Plan is available to those shareholders of record desiring to participate. The Funds common shares are listed on the New York Stock Exchange (NYSE) where they are traded under the symbol WIW.
Fund performance
Total return for the Fund for various periods ended June 30 are presented below, along with those of comparative indices.
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Average Annual Return |
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Six Months Ended |
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One Year |
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Three Years |
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Five Years |
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Since Fund |
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Total Return Based on: |
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Market Value |
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4.27 |
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10.70 |
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8.42 |
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5.69 |
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3.28 |
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Net Asset Value |
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4.61 |
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12.53 |
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6.58 |
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4.74 |
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4.73 |
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Barclays U.S. Government |
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3.13 |
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8.46 |
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6.99 |
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5.07 |
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4.98 |
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Barclays U.S. Government |
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4.42 |
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9.53 |
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7.61 |
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4.97 |
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5.26 |
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The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. The investment return and principal value of the Fund will fluctuate so that an investors shares, when sold, may be worth more or less than the original cost. Calculations assume reinvestment of dividends and capital gain distributions. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.
1 Total dividend distribution of $30,592,067 of which $27,078,390 was from net investment income and $3,513,677 was from tax return of capital.
2 The Funds inception date is February 25, 2004.
3 The Barclays U.S. Government Inflation-Linked 1-10 Year Index measures the performance of the intermediate U.S. TIPS market.
4 This return does not include reinvestment of dividends or capital gain distributions.
5 The Barclays U.S. Government Inflation-Linked All Maturities Index measures the performance of the U.S. TIPS market. The Index includes TIPS with one or more years remaining maturity with total outstanding issue size of $500 million or more.
6 Index return is for the period beginning February 25, 2004.
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
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Fund highlights (unaudited) (contd)
Investment policies
The Funds investment policies provide that under normal market conditions and at the time of purchase, its portfolio will be invested as follows:
· At least 80% of its total managed assets7 in inflation-linked securities
· At least 40% of its total managed assets in below investment grade securities
· Up to 100% of its total managed assets in non-U.S. dollar investments (up to 100% of its non-U.S. dollar exposure may be unhedged)
Each of the foregoing policies is a non-fundamental policy that may be changed without shareholder approval. The Fund has also adopted the following non-fundamental policy, which, to the extent required by applicable law, may only be changed after notice to shareholders: under normal market conditions, the Fund will invest at least 80% of its total managed assets in inflation protected securities and non-inflation protected securities and instruments with the potential to enhance the Funds income.
The Fund may invest up to 20% of the portfolio in debt instruments of emerging markets issuers that are not inflation-linked securities. Reverse repurchase agreements and other forms of leverage will not exceed 38% of the Funds total managed assets.
Dividend reinvestment plan
The Fund and American Stock Transfer & Trust Company LLC (Agent), as the Transfer Agent and Registrar of WIW, offer a convenient way to add shares of WIW to your account. WIW offers to all common shareholders a Dividend Reinvestment Plan (Plan). Under the Plan, cash distributions (e.g., dividends and capital gains) on the common shares are automatically invested in shares of WIW unless the shareholder elects otherwise by contacting the Agent at the address set forth below.
As a participant in the Dividend Reinvestment Plan, you will automatically receive your dividend or net capital gains distribution in newly issued shares of WIW, if the market price of the shares on the date of the distribution is at or above the net asset value (NAV) of the shares, minus estimated brokerage commissions that would be incurred upon the purchase of common shares on the open market. The number of shares to be issued to you will be determined by dividing the amount of the cash distribution to which you are entitled (net of any applicable withholding taxes) by the greater of the NAV per share on such date or 95% of the market price of a share on such date. If the market price of a share on such distribution date is below the NAV, less estimated brokerage commissions that would be incurred upon the purchase of common shares on the open market, the Agent will, as agent for the participants, buy shares of WIW through a broker on the open market. All common shares acquired on your behalf through the Plan will be automatically credited to an account maintained on the books of the Agent.
Additional information regarding the plan
WIW will pay all costs applicable to the Plan, except for brokerage commissions for open market purchases by the Agent under the Plan, which will be charged to participants. All shares acquired through the Plan receive voting rights and are eligible for any stock split, stock dividend, or other rights accruing to shareholders that the Board of Trustees may declare.
You may terminate participation in the Plan at any time by giving notice to the Agent. Such termination will be effective prior to the record date next succeeding the receipt of such instructions or by a later date of termination specified in such instructions. Upon termination, a participant will receive a certificate for the full shares credited to his or her account or may request the sale of all or part of such shares. Fractional shares credited to a terminating account will be paid for in cash at the current market price at the time of termination.
7 Total managed assets means the total assets of the Fund (including any assets attributable to leverage) minus accured liabilities (other than liabilities representing leverage).
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
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Dividends and other distributions invested in additional shares under the Plan are subject to income tax just as if they had been received in cash. After year end, dividends paid on the accumulated shares will be included in the Form 1099-DIV information return to the Internal Revenue Service and only one Form 1099-DIV will be sent to participants each year.
Inquiries regarding the Plan, as well as notices of termination, should be directed to American Stock Transfer & Trust Company LLC, 59 Maiden Lane, New York, NY 10038. Investor Relations telephone number 1-888-888-0151.
Schedule of portfolio holdings
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. You may obtain a free copy of the Funds Form N-Q by calling 1-800-345-7999, by visiting the Funds website (http://www.westernclaymore.com), or by writing to the Fund, or you may obtain a copy of this report (and other information relating to the Fund) from the SECs website (http://www.sec.gov). Additionally, the Funds Form N-Q can be viewed or copied at the SECs Public Reference Room in Washington D.C. Information about the operation of the Public Reference Room can be obtained by calling 1-800-SEC-0330.
Proxy voting
You may request a free description of the policies and procedures that the Fund uses to determine how proxies relating to the Funds portfolio securities are voted by calling 1-800-345-7999 or by writing to the Fund, or you may obtain a copy of these policies and procedures (and other information relating to the Fund) from the SECs website (http://www.sec.gov). You may request a free report regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, by calling 1-800-345-7999 or by writing to the Fund, or you may obtain a copy of this report (and other information relating to the Fund) from the SECs website (http://www.sec.gov).
4 |
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
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|
Fund at a glance (unaudited)
Standard & Poors Debt Ratings1 (at market value) June 30, 2010
Sector Schedule2 (at market value) June 30, 2010
The bar graphs above represent the Funds portfolio as of June 30, 2010 and do not include derivatives, such as Futures Contracts and Swaps. The Funds portfolio is actively managed, and its portfolio composition, credit quality breakdown, and other portfolio characteristics will vary from time to time. As a result, the composition of its portfolio holdings and sectors is subject to change at any time. U.S. Treasury Inflation Protected Securities are unrated, but are backed by the full faith and credit of the government of the United States of America and are therefore considered by the Funds investment adviser to be comparable to bonds rated AAA/Aaa.
1 Source: Standard & Poors Rating Service. The ratings shown are based on each portfolio securitys rating as determined by Standard & Poors (S&P), a Nationally Recognized Statistical Ratings Organization (NRSRO). These ratings are the opinions of S&P and are not measures of quality or guarantees of performance. Securities held by the Fund may be rated by other NRSROs, and these ratings may be higher or lower. The Fund itself has not been rated by a NRSRO and the credit quality of the investments in the Funds portfolio does not apply to the stability or safety of the Fund.
2 Expressed as a percentage of the portfolio.
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
Quarterly comparison of market price and net asset value (NAV), discount or premium to NAV and average daily volume of shares traded (unaudited)
|
|
Market Price |
|
Net Asset |
|
Premium/ |
|
Average |
|
September 30, 2009 |
|
$11.89 |
|
$12.74 |
|
(6.67)% |
|
154,942 |
|
December 31, 2009 |
|
$12.04 |
|
$12.94 |
|
(6.96)% |
|
160,865 |
|
March 31, 2010 |
|
$11.80 |
|
$12.98 |
|
(9.09)% |
|
176,482 |
|
June 30, 2010 |
|
$12.31 |
|
$13.29 |
|
(7.37)% |
|
162,581 |
|
6 |
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Spread duration (unaudited)
Economic Exposure June 30, 2010
Spread duration is defined as the change in value for a 100 basis point change in the spread relative to Treasuries. The spread over Treasuries is the annual risk-premium demanded by investors to hold non-Treasury securities. This chart highlights the market sector exposure of the Funds portfolio and the exposure relative to the selected benchmark as of the end of the reporting period.
|
|
|
|
HY |
|
High Yield |
|
IG Credit |
|
Investment Grade Credit |
|
MBS |
|
Mortgage Backed Securities |
|
90% BCIL/5% BCUSC |
|
90% Barclays Capital Inflation Linked U.S. All Maturity / 5% Barclays Capital U.S. Credit; 5% JPMorgan EMBI+ |
|
EMD |
|
Emerging Markets Debt |
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
Effective duration (unaudited)
Interest Rate Exposure June 30, 2010
Effective duration is defined as the change in value for a 100 basis point change in Treasury yields. This chart highlights the interest rate exposure of the Funds portfolio relative to the selected benchmark as of the end of the reporting period.
|
|
|
|
IG Credit |
|
Investment Grade Credit |
|
90% BCIL/5% BCUSC |
|
90% Barclays Capital Inflation Linked U.S. All Maturity / 5% Barclays Capital U.S. Credit; 5% JPMorgan EMBI+ |
|
EMD |
|
Emerging Markets Debt |
8 |
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Schedule of investments (unaudited)
June 30, 2010
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
Security |
|
Rate |
|
Maturity |
|
Face |
|
Value |
|
|
U.S. Treasury Inflation Protected Securities 101.0% |
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bonds, Inflation Indexed |
|
3.500 |
% |
1/15/11 |
|
19,163,709 |
|
$ |
19,482,612 |
|
U.S. Treasury Bonds, Inflation Indexed |
|
3.375 |
% |
1/15/12 |
|
982,160 |
|
1,035,412 |
|
|
U.S. Treasury Bonds, Inflation Indexed |
|
3.000 |
% |
7/15/12 |
|
35,366,875 |
|
37,624,272 |
(a) |
|
U.S. Treasury Bonds, Inflation Indexed |
|
1.875 |
% |
7/15/13 |
|
74,503,596 |
|
78,804,987 |
(b) |
|
U.S. Treasury Bonds, Inflation Indexed |
|
2.375 |
% |
1/15/25 |
|
11,565,000 |
|
12,829,020 |
|
|
U.S. Treasury Bonds, Inflation Indexed |
|
2.000 |
% |
1/15/26 |
|
166,112,942 |
|
175,651,479 |
|
|
U.S. Treasury Bonds, Inflation Indexed |
|
1.750 |
% |
1/15/28 |
|
51,508,215 |
|
52,248,646 |
|
|
U.S. Treasury Bonds, Inflation Indexed |
|
3.875 |
% |
4/15/29 |
|
15,249,805 |
|
20,464,522 |
|
|
U.S. Treasury Bonds, Inflation Indexed |
|
2.125 |
% |
2/15/40 |
|
4,523,526 |
|
4,956,441 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
2.375 |
% |
4/15/11 |
|
102,794,453 |
|
104,505,055 |
(c) |
|
U.S. Treasury Notes, Inflation Indexed |
|
0.625 |
% |
4/15/13 |
|
17,533,290 |
|
17,893,546 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
2.000 |
% |
1/15/14 |
|
67,673,328 |
|
72,093,208 |
(c) |
|
U.S. Treasury Notes, Inflation Indexed |
|
1.250 |
% |
4/15/14 |
|
13,308,504 |
|
13,893,866 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
2.000 |
% |
7/15/14 |
|
6,522,660 |
|
6,998,612 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
1.625 |
% |
1/15/15 |
|
24,888,406 |
|
26,272,824 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
0.500 |
% |
4/15/15 |
|
20,621,565 |
|
20,893,831 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
2.000 |
% |
1/15/16 |
|
52,445,735 |
|
56,579,927 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
2.375 |
% |
1/15/17 |
|
11,382,825 |
|
12,566,456 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
1.625 |
% |
1/15/18 |
|
29,468,942 |
|
31,062,092 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
1.375 |
% |
7/15/18 |
|
31,075,988 |
|
32,207,341 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
2.125 |
% |
1/15/19 |
|
5,584,425 |
|
6,094,004 |
|
|
U.S. Treasury Notes, Inflation Indexed |
|
1.875 |
% |
7/15/19 |
|
15,927,132 |
|
17,074,379 |
|
|
Total U.S. Treasury Inflation Protected Securities (Cost $767,302,748) |
|
|
|
|
|
821,232,532 |
|
|||
Asset-Backed Securities 0.5% |
|
|
|
|
|
|
|
|
|
|
Financials 0.5% |
|
|
|
|
|
|
|
|
|
|
Home Equity 0.5% |
|
|
|
|
|
|
|
|
|
|
Bayview Financial Acquisition Trust, 2004-C A1 |
|
0.984 |
% |
5/28/44 |
|
43,192 |
|
37,915 |
(d) |
|
Bear Stearns Asset-Backed Securities Inc., 2007-SD2 2A1 |
|
0.747 |
% |
9/25/46 |
|
183,418 |
|
101,450 |
(d) |
|
Bear Stearns Asset-Backed Securities Trust, 2001-3 A1 |
|
0.797 |
% |
10/27/32 |
|
15,982 |
|
12,288 |
(d) |
|
Countrywide Asset-Backed Certificates, 2004-2 M1 |
|
0.847 |
% |
5/25/34 |
|
550,000 |
|
377,897 |
(d) |
|
Countrywide Home Equity Loan Trust, 2007-GW A |
|
0.900 |
% |
8/15/37 |
|
1,924,465 |
|
1,477,780 |
(d) |
|
Greenpoint Mortgage Funding Trust, 2005-HE1 |
|
0.747 |
% |
9/25/34 |
|
881,952 |
|
755,401 |
(d) |
|
MSCC HELOC Trust, 2005-1 A |
|
0.537 |
% |
7/25/17 |
|
59,702 |
|
38,981 |
(d) |
|
New Century Home Equity Loan Trust, 2003-A M1 |
|
1.472 |
% |
10/25/33 |
|
427,627 |
|
225,701 |
(d)(e) |
|
RAAC Series, 2006-RP3 A |
|
0.617 |
% |
5/25/36 |
|
1,455,843 |
|
807,556 |
(d)(e) |
|
Security National Mortgage Loan Trust, 2006-3A A2 |
|
5.830 |
% |
9/25/11 |
|
300,000 |
|
161,782 |
(d)(e) |
|
Structured Asset Securities Corp., 2007-BC4 A3 |
|
0.513 |
% |
11/25/37 |
|
208,023 |
|
194,145 |
(d) |
|
Total Home Equity |
|
|
|
|
|
|
|
4,190,896 |
|
|
Manufactured Housing 0.0% |
|
|
|
|
|
|
|
|
|
|
Lehman ABS Manufactured Housing Contract, 2001-B A3 |
|
4.350 |
% |
5/15/14 |
|
168,872 |
|
170,413 |
|
|
Lehman ABS Manufactured Housing Contract, 2001-B A6 |
|
6.467 |
% |
8/15/28 |
|
168,872 |
|
178,081 |
(d) |
|
Total Manufactured Housing |
|
|
|
|
|
|
|
348,494 |
|
|
Total Asset-Backed Securities (Cost $2,487,070) |
|
|
|
|
|
|
|
4,539,390 |
|
|
See Notes to Financial Statements
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
9 |
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
Security |
|
Rate |
|
Maturity |
|
Face |
|
Value |
|
|
Collateralized Mortgage Obligations 1.7% |
|
|
|
|
|
|
|
|
|
|
Banc of America Funding Corp., 2005-F 4A1 |
|
5.015 |
% |
9/20/35 |
|
314,135 |
|
$ |
233,742 |
(d) |
Banc of America Funding Corp., 2006-D 6A1 |
|
5.684 |
% |
5/20/36 |
|
1,604,711 |
|
1,044,128 |
(d) |
|
Bayview Commercial Asset Trust, 2005-2A A2 |
|
0.697 |
% |
8/25/35 |
|
46,380 |
|
31,832 |
(d)(e) |
|
Bear Stearns Adjustable Rate Mortgage Trust, 2004-1 23A1 |
|
5.468 |
% |
4/25/34 |
|
545,897 |
|
516,444 |
(d) |
|
Bear Stearns Alt-A Trust, 2007-1 1A1 |
|
0.507 |
% |
1/25/47 |
|
365,414 |
|
166,950 |
(d) |
|
Citigroup Mortgage Loan Trust Inc., 2005-11A3 |
|
4.900 |
% |
12/25/35 |
|
737,350 |
|
617,525 |
(d) |
|
Citigroup Mortgage Loan Trust Inc., 2007-6 1A1A |
|
3.078 |
% |
5/25/37 |
|
940,781 |
|
453,750 |
(d) |
|
Countrywide Alternative Loan Trust, 2004-33 1A1 |
|
3.120 |
% |
12/25/34 |
|
13,024 |
|
10,969 |
(d) |
|
Countrywide Alternative Loan Trust, 2004-33 2A1 |
|
3.585 |
% |
12/25/34 |
|
11,278 |
|
8,619 |
(d) |
|
Countrywide Home Loan Mortgage Pass-Through Trust, 2003-56 6A1 |
|
3.476 |
% |
12/25/33 |
|
2,051,041 |
|
1,780,796 |
(d) |
|
Downey Savings & Loan Association Mortgage Loan Trust, 2004-AR1 A2B |
|
0.768 |
% |
9/19/44 |
|
62,257 |
|
27,525 |
(d) |
|
First Horizon Alternative Mortgage Securities, 2004-AA4 A1 |
|
2.249 |
% |
10/25/34 |
|
24,262 |
|
20,688 |
(d) |
|
First Horizon Alternative Mortgage Securities, 2006-FA8 1A8 |
|
0.717 |
% |
2/25/37 |
|
359,018 |
|
178,561 |
(d) |
|
Green Tree Home Improvement Loan Trust, 1995-C B2 |
|
7.600 |
% |
7/15/20 |
|
3,088 |
|
2,734 |
|
|
Greenpoint Mortgage Funding Trust, 2006-AR7 1A1B |
|
0.467 |
% |
12/25/46 |
|
16,262 |
|
1,729 |
(d) |
|
Harborview Mortgage Loan Trust, 2006-13 A |
|
0.528 |
% |
11/19/46 |
|
1,032,861 |
|
522,696 |
(d) |
|
Harborview Mortgage Loan Trust, 2006-2 |
|
3.186 |
% |
2/25/36 |
|
390,746 |
|
211,741 |
(d) |
|
Harborview Mortgage Loan Trust, 2007-7 2A1A |
|
1.347 |
% |
11/25/47 |
|
98,970 |
|
63,948 |
(d) |
|
Indymac Index Mortgage Loan Trust, 2006-AR15 A1 |
|
0.467 |
% |
7/25/36 |
|
2,762,785 |
|
1,318,763 |
(d) |
|
MASTR Adjustable Rate Mortgages Trust, 2006-2 3A1 |
|
4.657 |
% |
1/25/36 |
|
1,066,480 |
|
947,871 |
(d) |
|
MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 |
|
0.557 |
% |
4/25/46 |
|
699,088 |
|
368,536 |
(d) |
|
Morgan Stanley Mortgage Loan Trust, 2007-11AR 2A3 |
|
10.245 |
% |
6/25/37 |
|
270,448 |
|
135,493 |
(d) |
|
Nomura Asset Acceptance Corp., 2004-AR4 1A1 |
|
2.467 |
% |
12/25/34 |
|
87,930 |
|
80,340 |
(d) |
|
RBSGC Mortgage Pass-Through Certificates, 2007-B 1A4 |
|
0.797 |
% |
1/25/37 |
|
361,145 |
|
200,106 |
(d) |
|
Residential Asset Securitization Trust, 2003-A1 A2 |
|
0.847 |
% |
3/25/33 |
|
474,758 |
|
446,510 |
(d) |
|
Structured Asset Securities Corp., 2002-3 B2 |
|
6.500 |
% |
3/25/32 |
|
713,943 |
|
545,860 |
|
|
Terwin Mortgage Trust, 2006-9HGA A1 |
|
0.427 |
% |
10/25/37 |
|
223,785 |
|
221,718 |
(d)(e) |
|
Thornburg Mortgage Securities Trust, 2007-4 3A1 |
|
6.204 |
% |
9/25/37 |
|
341,536 |
|
331,382 |
(d) |
|
WaMu Mortgage Pass-Through Certificates, 2004-AR08 A1 |
|
0.795 |
% |
6/25/44 |
|
38,421 |
|
26,857 |
(d) |
|
WaMu Mortgage Pass-Through Certificates, 2007-HY1 4A1 |
|
5.338 |
% |
2/25/37 |
|
490,546 |
|
362,108 |
(d) |
|
WaMu Mortgage Pass-Through Certificates, 2007-HY3 1A1 |
|
5.487 |
% |
3/25/37 |
|
381,255 |
|
281,707 |
(d) |
|
Washington Mutual Inc. Mortgage Pass-Through Certificates, 2004-AR2 A |
|
1.819 |
% |
4/25/44 |
|
2,539,631 |
|
2,078,500 |
(d) |
|
Washington Mutual Inc. Mortgage Pass-Through Certificates, 2006-AR6 2A |
|
1.381 |
% |
8/25/46 |
|
399,322 |
|
206,772 |
(d) |
|
Washington Mutual Inc. Pass-Through Certificates, 2006-AR11 1A |
|
1.381 |
% |
9/25/46 |
|
95,520 |
|
54,251 |
(d) |
|
Washington Mutual Mortgage Pass-Through Certificates, 2006-AR1 A1B |
|
0.667 |
% |
2/25/36 |
|
129,100 |
|
21,520 |
(d) |
|
Total Collateralized Mortgage Obligations (Cost $9,318,199) |
|
|
|
|
|
13,522,671 |
|
|||
Collateralized Senior Loans 1.1% |
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary 0.1% |
|
|
|
|
|
|
|
|
|
|
Multiline Retail 0.1% |
|
|
|
|
|
|
|
|
|
|
Dollar General Corp., Term Loan B |
|
3.088 - 3.100 |
% |
7/7/14 |
|
1,067,120 |
|
1,022,029 |
(f) |
|
See Notes to Financial Statements
10 |
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Schedule of investments (unaudited) (contd)
June 30, 2010
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
Security |
|
Rate |
|
Maturity |
|
Face |
|
Value |
|
|
Health Care 0.5% |
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies 0.1% |
|
|
|
|
|
|
|
|
|
|
Biomet Inc., Term Loan B |
|
3.347 - 3.538 |
% |
3/25/15 |
|
984,810 |
|
$ |
945,294 |
(f) |
Health Care Providers & Services 0.4% |
|
|
|
|
|
|
|
|
|
|
Community Health Systems Inc., Term Loan, Tranche B |
|
2.788 |
% |
7/25/14 |
|
1,857,989 |
|
1,732,575 |
(f) |
|
Community Health, Delayed Draw Term Loan |
|
2.788 |
% |
7/25/14 |
|
95,326 |
|
88,891 |
(f) |
|
HCA Inc., Term Loan B |
|
2.783 |
% |
11/18/13 |
|
1,281,282 |
|
1,208,336 |
(f) |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
3,029,802 |
|
|
Total Health Care |
|
|
|
|
|
|
|
3,975,096 |
|
|
Materials 0.2% |
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products 0.2% |
|
|
|
|
|
|
|
|
|
|
Georgia-Pacific Corp., New Term Loan B |
|
2.533 - 2.538 |
% |
12/21/12 |
|
989,630 |
|
955,488 |
(f) |
|
Georgia-Pacific Corp., New Term Loan C |
|
3.783 - 3.787 |
% |
12/23/14 |
|
634,631 |
|
625,310 |
(f) |
|
Total Materials |
|
|
|
|
|
|
|
1,580,798 |
|
|
Telecommunication Services 0.1% |
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 0.1% |
|
|
|
|
|
|
|
|
|
|
MetroPCS Wireless Inc. |
|
2.625 |
% |
11/4/13 |
|
984,655 |
|
940,156 |
(f) |
|
Utilities 0.2% |
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders 0.2% |
|
|
|
|
|
|
|
|
|
|
Calpine Corp., Term Loan |
|
3.415 |
% |
3/29/14 |
|
1,353,083 |
|
1,235,627 |
(f) |
|
Total Collateralized Senior Loans (Cost $7,997,062) |
|
|
|
|
|
|
|
8,753,706 |
|
|
Corporate Bonds & Notes 5.7% |
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary 0.2% |
|
|
|
|
|
|
|
|
|
|
Automobiles 0.2% |
|
|
|
|
|
|
|
|
|
|
Motors Liquidation Co., Senior Debentures |
|
8.375 |
% |
7/15/33 |
|
3,920,000 |
|
1,254,400 |
(g) |
|
Consumer Staples 0.6% |
|
|
|
|
|
|
|
|
|
|
Beverages 0.2% |
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
|
3.625 |
% |
4/15/15 |
|
1,320,000 |
|
1,351,062 |
(e) |
|
Food Products 0.4% |
|
|
|
|
|
|
|
|
|
|
Kraft Foods Inc., Senior Notes |
|
4.125 |
% |
2/9/16 |
|
3,490,000 |
|
3,683,608 |
|
|
Total Consumer Staples |
|
|
|
|
|
|
|
5,034,670 |
|
|
Energy 1.1% |
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels 1.1% |
|
|
|
|
|
|
|
|
|
|
El Paso Corp., Medium-Term Notes |
|
7.750 |
% |
1/15/32 |
|
5,000,000 |
|
4,941,115 |
|
|
Pemex Project Funding Master Trust, Senior Bonds |
|
6.625 |
% |
6/15/35 |
|
2,350,000 |
|
2,417,109 |
|
|
Petrobras International Finance Co., Senior Notes |
|
5.750 |
% |
1/20/20 |
|
1,150,000 |
|
1,158,105 |
|
|
Total Energy |
|
|
|
|
|
|
|
8,516,329 |
|
|
Financials 1.9% |
|
|
|
|
|
|
|
|
|
|
Capital Markets 0.4% |
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Group Inc., Notes |
|
4.750 |
% |
7/15/13 |
|
2,810,000 |
|
2,933,845 |
|
|
Kaupthing Bank HF, Subordinated Notes |
|
7.125 |
% |
5/19/16 |
|
4,410,000 |
|
441 |
(e)(g)(h) |
|
Total Capital Markets |
|
|
|
|
|
|
|
2,934,286 |
|
|
Commercial Banks 0.1% |
|
|
|
|
|
|
|
|
|
|
Glitnir Banki HF, Subordinated Notes |
|
6.693 |
% |
6/15/16 |
|
2,540,000 |
|
3,175 |
(e)(g)(h) |
|
ICICI Bank Ltd., Subordinated Bonds |
|
6.375 |
% |
4/30/22 |
|
1,103,000 |
|
1,014,771 |
(d)(e) |
|
Total Commercial Banks |
|
|
|
|
|
|
|
1,017,946 |
|
|
See Notes to Financial Statements
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
11 |
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
Security |
|
Rate |
|
Maturity |
|
Face |
|
Value |
|
|
Consumer Finance 0.3% |
|
|
|
|
|
|
|
|
|
|
GMAC Inc., Senior Notes |
|
7.500 |
% |
12/31/13 |
|
522,000 |
|
$ |
520,695 |
|
GMAC Inc., Subordinated Notes |
|
8.000 |
% |
12/31/18 |
|
626,000 |
|
575,920 |
|
|
SLM Corp., Senior Notes |
|
8.000 |
% |
3/25/20 |
|
2,060,000 |
|
1,809,063 |
|
|
Total Consumer Finance |
|
|
|
|
|
|
|
2,905,678 |
|
|
Diversified Financial Services 0.9% |
|
|
|
|
|
|
|
|
|
|
Bank of America Corp., Senior Notes |
|
4.500 |
% |
4/1/15 |
|
1,990,000 |
|
2,011,335 |
|
|
Citigroup Inc., Senior Notes |
|
6.010 |
% |
1/15/15 |
|
3,570,000 |
|
3,744,512 |
|
|
TNK-BP Finance SA, Senior Notes |
|
7.875 |
% |
3/13/18 |
|
1,270,000 |
|
1,323,340 |
(e) |
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
7,079,187 |
|
|
Insurance 0.2% |
|
|
|
|
|
|
|
|
|
|
Berkshire Hathaway Inc., Senior Notes |
|
3.200 |
% |
2/11/15 |
|
1,750,000 |
|
1,802,170 |
|
|
Total Financials |
|
|
|
|
|
|
|
15,739,267 |
|
|
Health Care 0.6% |
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services 0.6% |
|
|
|
|
|
|
|
|
|
|
Tenet Healthcare Corp., Senior Notes |
|
7.375 |
% |
2/1/13 |
|
5,000,000 |
|
5,000,000 |
|
|
Industrials 0.0% |
|
|
|
|
|
|
|
|
|
|
Road & Rail 0.0% |
|
|
|
|
|
|
|
|
|
|
Kansas City Southern de Mexico, Senior Notes |
|
9.375 |
% |
5/1/12 |
|
116,000 |
|
118,900 |
|
|
Materials 0.7% |
|
|
|
|
|
|
|
|
|
|
Metals & Mining 0.7% |
|
|
|
|
|
|
|
|
|
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes |
|
8.375 |
% |
4/1/17 |
|
3,460,000 |
|
3,806,000 |
|
|
Vale Overseas Ltd., Notes |
|
8.250 |
% |
1/17/34 |
|
1,010,000 |
|
1,185,468 |
|
|
Vedanta Resources PLC, Senior Notes |
|
8.750 |
% |
1/15/14 |
|
770,000 |
|
808,500 |
(e) |
|
Total Materials |
|
|
|
|
|
|
|
5,799,968 |
|
|
Telecommunication Services 0.1% |
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services 0.1% |
|
|
|
|
|
|
|
|
|
|
America Movil SAB de CV, Senior Notes |
|
5.625 |
% |
11/15/17 |
|
590,000 |
|
644,938 |
|
|
America Movil SAB de CV, Senior Notes |
|
5.000 |
% |
3/30/20 |
|
440,000 |
|
454,596 |
(e) |
|
Total Telecommunication Services |
|
|
|
|
|
|
|
1,099,534 |
|
|
Utilities 0.5% |
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders 0.5% |
|
|
|
|
|
|
|
|
|
|
AES Corp., Senior Notes |
|
8.875 |
% |
2/15/11 |
|
2,640,000 |
|
2,699,400 |
|
|
Energy Future Holdings Corp., Senior Notes |
|
11.250 |
% |
11/1/17 |
|
2,341,537 |
|
1,521,999 |
(i) |
|
Total Utilities |
|
|
|
|
|
|
|
4,221,399 |
|
|
Total Corporate Bonds & Notes (Cost $54,283,400) |
|
|
|
|
|
|
|
46,784,467 |
|
|
Non-U.S. Treasury Inflation Protected Security 3.1% |
|
|
|
|
|
|
|
|
|
|
Australia 3.1% |
|
|
|
|
|
|
|
|
|
|
Australia Government, Bonds (Cost $24,498,605) |
|
4.000 |
% |
8/20/20 |
|
18,315,000 |
AUD |
24,952,316 |
|
|
Sovereign Bond 0.4% |
|
|
|
|
|
|
|
|
|
|
Russia 0.4% |
|
|
|
|
|
|
|
|
|
|
Russian Foreign Bond-Eurobond, Senior Bonds (Cost $3,787,117) |
|
7.500 |
% |
3/31/30 |
|
3,284,400 |
|
3,702,504 |
(e) |
|
See Notes to Financial Statements
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Schedule of investments (unaudited) (contd)
June 30, 2010
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
Security |
|
Rate |
|
|
|
Shares |
|
Value |
|
|
Preferred Stocks 0.1% |
|
|
|
|
|
|
|
|
|
|
Financials 0.1% |
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 0.1% |
|
|
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) |
|
8.375 |
% |
|
|
656,850 |
|
$ |
223,329 |
*(d) |
Federal National Mortgage Association (FNMA) |
|
8.250 |
% |
|
|
591,425 |
|
201,085 |
*(d) |
|
Total Preferred Stocks (Cost $31,442,262) |
|
|
|
|
|
|
|
424,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expiration |
|
Contracts |
|
|
|
|
Purchased Options 0.0% |
|
|
|
|
|
|
|
|
|
|
Eurodollar Futures, Put @ $98.50 |
|
|
|
9/13/10 |
|
219 |
|
10,950 |
|
|
U.S. Treasury 10-Year Notes Futures, Put @ $119.50 |
|
|
|
7/23/10 |
|
150 |
|
16,406 |
|
|
U.S. Treasury 10-Year Notes Futures, Put @ $120.00 |
|
|
|
7/23/10 |
|
198 |
|
34,032 |
|
|
Total Purchased Options (Cost $235,561) |
|
|
|
|
|
|
|
61,388 |
|
|
Total Investments before Short-Term Investment (Cost $901,352,024) |
|
|
|
923,973,388 |
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturity |
|
Face |
|
|
|
|
Short-Term Investment 0.9% |
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement 0.9% |
|
|
|
|
|
|
|
|
|
|
Morgan Stanley repurchase agreement dated 6/30/10; Proceeds at maturity $7,035,002; (Fully collateralized by U.S. government agency obligations, 2.610% due 4/15/14; Market value $7,210,872) (Cost $7,035,000) |
|
0.010 |
% |
7/1/10 |
|
7,035,000 |
|
7,035,000 |
|
|
Total Investments 114.5% (Cost $908,387,024#) |
|
|
|
|
|
|
|
931,008,388 |
|
|
Liabilities in Excess of Other Assets (14.5)% |
|
|
|
|
|
|
|
(117,884,939 |
) |
|
TOTAL NET ASSETS 100.0% |
|
|
|
|
|
|
|
$ |
813,123,449 |
|
|
Face amount denominated in U.S. dollars, unless otherwise noted. |
* |
Non-income producing security. |
(a) |
All or a portion of this security is held at the broker as collateral for open futures contracts. |
(b) |
All or a portion of this security is held by the custodian as collateral for open swap contracts. |
(c) |
All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. |
(d) |
Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2010. |
(e) |
Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. |
(f) |
Interest rates disclosed represent the effective rates on collateralized senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(g) |
The coupon payment on these securities is currently in default as of June 30, 2010. |
(h) |
Illiquid security. |
(i) |
Payment-in-kind security for which part of the income earned may be paid as additional principal. |
# |
Aggregate cost for federal income tax purposes is substantially the same. |
|
|
|
Abbreviations used in this schedule: |
|
|
|
AUD Australian Dollar |
|
HELOC Home Equity Line of Credit |
See Notes to Financial Statements
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
Statement of assets and liabilities (unaudited)
June 30, 2010
Assets: |
|
|
|
Investments, at value (Cost $908,387,024) |
|
$931,008,388 |
|
Foreign currency, at value (Cost $9,285,007) |
|
8,920,435 |
|
Cash |
|
920 |
|
Interest receivable |
|
7,597,291 |
|
Unrealized appreciation on forward currency contracts |
|
1,976,400 |
|
Unrealized appreciation on swaps |
|
87,112 |
|
Receivable for open swap contracts |
|
17,853 |
|
Receivable for securities sold |
|
12,863 |
|
Receivable from broker variation margin on open futures contracts |
|
11,000 |
|
Prepaid expenses |
|
35,190 |
|
Total Assets |
|
949,667,452 |
|
|
|
|
|
Liabilities: |
|
|
|
Payable for open reverse repurchase agreement |
|
134,418,634 |
|
Unrealized depreciation on swaps |
|
552,955 |
|
Investment advisory fee payable |
|
463,603 |
|
Unrealized depreciation on forward currency contracts |
|
424,685 |
|
Premiums received for open swaps |
|
292,131 |
|
Trustees fees payable |
|
30,263 |
|
Interest payable |
|
15,682 |
|
Administration fee payable |
|
10,274 |
|
Accrued expenses |
|
335,776 |
|
Total Liabilities |
|
136,544,003 |
|
Total Net Assets |
|
$813,123,449 |
|
|
|
|
|
Net Assets: |
|
|
|
Common shares, no par value, unlimited number of shares authorized, 61,184,134 shares issued and outstanding (Note 5) |
|
$852,918,854 |
|
Overdistributed net investment income |
|
(1,854,127) |
|
Accumulated net realized loss on investments, futures contracts, written options, swap contracts and foreign currency transactions |
|
(61,560,381) |
|
Net unrealized appreciation on investments, futures contracts, swap contracts and foreign currencies |
|
23,619,103 |
|
Total Net Assets |
|
$813,123,449 |
|
|
|
|
|
Shares Outstanding |
|
61,184,134 |
|
|
|
|
|
Net Asset Value |
|
$13.29 |
|
See Notes to Financial Statements
14 |
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Statement of operations (unaudited)
For the Six Months Ended June 30, 2010
Investment Income: |
|
|
|
|
Interest |
|
$ |
17,306,168 |
|
|
|
|
|
|
Expenses: |
|
|
|
|
Investment advisory (Note 2) |
|
2,523,732 |
|
|
Legal fees |
|
90,911 |
|
|
Interest expense (Note 3) |
|
69,530 |
|
|
Administrative fees (Note 2) |
|
61,987 |
|
|
Shareholder reports |
|
52,745 |
|
|
Custody fees |
|
48,852 |
|
|
Trustees fees |
|
43,263 |
|
|
Transfer agent fees |
|
37,302 |
|
|
Stock exchange listing fees |
|
25,135 |
|
|
Audit and tax |
|
18,987 |
|
|
Total Expenses |
|
2,972,444 |
|
|
Less: Compensating balance arrangements (Note 1) |
|
(689) |
|
|
Net Expenses |
|
2,971,755 |
|
|
Net Investment Income |
|
14,334,413 |
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Written Options, Swap Contracts and Foreign Currency Transactions (Notes 1, 3 and 4): |
|
|
|
|
Net Realized Gain (Loss) From: |
|
|
|
|
Investment transactions |
|
13,111,221 |
|
|
Futures contracts |
|
(589,694) |
|
|
Written options |
|
105,614 |
|
|
Swap contracts |
|
396,060 |
|
|
Foreign currency transactions |
|
(13,571) |
|
|
Net Realized Gain |
|
13,009,630 |
|
|
Change in Net Unrealized Appreciation/Depreciation From: |
|
|
|
|
Investments |
|
7,315,149 |
|
|
Futures contracts |
|
617,785 |
|
|
Swap contracts |
|
(219,117) |
|
|
Foreign currencies |
|
1,042,003 |
|
|
Change in Net Unrealized Appreciation/Depreciation |
|
8,755,820 |
|
|
Net Gain on Investments, Futures Contracts, Written Options, Swap Contracts and Foreign Currency Transactions |
|
21,765,450 |
|
|
Increase in Net Assets from Operations |
|
$ |
36,099,863 |
|
See Notes to Financial Statements
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
15 |
Statements of changes in net assets
For the Six Months Ended
June 30, 2010 (unaudited) |
|
2010 |
|
2009 |
|
|
|
|
|
|
|
Operations: |
|
|
|
|
|
Net investment income |
|
$ 14,334,413 |
|
$ 24,264,757 |
|
Net realized gain (loss) |
|
13,009,630 |
|
(21,349,223) |
|
Change in net unrealized appreciation/depreciation |
|
8,755,820 |
|
122,551,424 |
|
Increase in Net Assets From Operations |
|
36,099,863 |
|
125,466,958 |
|
|
|
|
|
|
|
Distributions to Shareholders From (Note 1): |
|
|
|
|
|
Net investment income |
|
(14,684,192) |
|
(27,078,390) |
|
Return of capital |
|
|
|
(3,513,677) |
|
Decrease in Net Assets From Distributions to Shareholders |
|
(14,684,192) |
|
(30,592,067) |
|
Increase in Net Assets |
|
21,415,671 |
|
94,874,891 |
|
|
|
|
|
|
|
Net Assets: |
|
|
|
|
|
Beginning of period |
|
791,707,778 |
|
696,832,887 |
|
End of period* |
|
$ 813,123,449 |
|
$ 791,707,778 |
|
* Includes overdistributed net investment income of: |
|
$(1,854,127) |
|
$(1,504,348) |
|
See Notes to Financial Statements
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Statement of cash flows (unaudited)
For the Six Months Ended June 30, 2010
Cash Flows Provided (Used) by Operating Activities: |
|
|
|
|
Interest and dividends received |
|
$ |
11,316,204 |
|
Operating expenses paid |
|
(2,829,874) |
|
|
Interest paid |
|
(53,848) |
|
|
Net purchases of short-term investments |
|
(7,270,561) |
|
|
Realized loss on futures contracts |
|
(589,694) |
|
|
Realized loss on options |
|
(45,093) |
|
|
Realized gain on swap contracts |
|
396,060 |
|
|
Realized loss on foreign currency transactions |
|
(13,571) |
|
|
Net change in unrealized appreciation on futures contracts |
|
617,785 |
|
|
Net change in unrealized appreciation on foreign currencies |
|
1,042,003 |
|
|
Purchases of long-term investments |
|
(289,040,402) |
|
|
Proceeds from disposition of long-term investments |
|
176,746,040 |
|
|
Change in premium for swap contracts |
|
(73,337) |
|
|
Change in receivable/payable to broker variation margin |
|
(157,981) |
|
|
Change in receivable/payable for open forward currency contracts |
|
(1,407,382) |
|
|
Cash deposits with brokers for futures contracts |
|
276,829 |
|
|
Net Cash Used By Operating Activities |
|
(111,086,822) |
|
|
|
|
|
|
|
Cash Flows Provided (Used) by Financing Activities: |
|
|
|
|
Cash distributions paid on Common Stock |
|
(14,684,192) |
|
|
Proceeds from reverse repurchase agreements |
|
134,418,634 |
|
|
Net Cash Provided by Financing Activities |
|
119,734,442 |
|
|
Net Increase in Cash |
|
8,647,620 |
|
|
Cash, Beginning of period |
|
273,735 |
|
|
Cash, End of period |
|
$ |
8,921,355 |
|
|
|
|
|
|
Reconciliation of Increase in Net Assets from Operations to Net Cash Flows Provided (Used) by Operating Activities: |
|
|
|
|
Increase in Net Assets From Operations |
|
$ |
36,099,863 |
|
Accretion of discount on investments |
|
(7,541,437) |
|
|
Amortization of premium on investments |
|
1,865,045 |
|
|
Increase in investments, at value |
|
(139,910,020) |
|
|
Increase in interest and dividends receivable |
|
(313,572) |
|
|
Decrease in premium for written swaps |
|
(73,337) |
|
|
Increase in receivable for securities sold |
|
(12,863) |
|
|
Decrease in payable for open forward currency contracts |
|
(1,407,382) |
|
|
Decrease in payable to broker variation margin |
|
(157,981) |
|
|
Decrease in cash deposits with brokers for futures contracts |
|
276,829 |
|
|
Increase in prepaid expenses |
|
(35,190) |
|
|
Increase in interest payable |
|
15,682 |
|
|
Increase in accrued expenses |
|
107,541 |
|
|
Total Adjustments |
|
(147,186,685) |
|
|
Net Cash Flows Used by Operating Activities |
|
$ |
(111,086,822) |
|
See Notes to Financial Statements
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
Financial highlights
For a share of beneficial interest outstanding throughout each year ended December 31, unless otherwise noted:
|
|
20101 |
|
2009 |
|
2008 |
|
2007 |
|
2006 |
|
2005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$12.94 |
|
$11.39 |
|
$13.53 |
|
$13.03 |
|
$13.46 |
|
$14.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) from operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
0.23 |
2 |
0.40 |
2 |
0.86 |
2 |
0.72 |
2 |
0.71 |
2 |
1.15 |
|
Net realized and unrealized gain (loss) |
|
0.36 |
|
1.65 |
|
(2.09 |
) |
0.52 |
|
(0.19) |
|
(0.53) |
|
Dividends paid to auction rate preferred stockholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
|
|
|
|
|
|
|
(0.29) |
|
(0.22) |
|
Total income (loss) from operations |
|
0.59 |
|
2.05 |
|
(1.23) |
|
1.24 |
|
0.23 |
|
0.40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less distributions paid to common shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
(0.24) |
|
(0.44) |
|
(0.91) |
|
(0.74) |
|
(0.44) |
|
(0.94) |
|
Return of capital |
|
|
|
(0.06) |
|
|
|
|
|
(0.22) |
|
|
|
Total distributions |
|
(0.24) |
|
(0.50) |
|
(0.91) |
|
(0.74) |
|
(0.66) |
|
(0.94) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period |
|
$13.29 |
|
$12.94 |
|
$11.39 |
|
$13.53 |
|
$13.03 |
|
$13.46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period |
|
$12.31 |
|
$12.04 |
|
$10.49 |
|
$11.76 |
|
$11.57 |
|
$11.87 |
|
Total return, based on NAV3 |
|
4.61 |
% |
18.40 |
% |
(9.50) |
% |
9.81 |
% |
1.76 |
% |
2.94 |
% |
Total return, based on Market Price3,4 |
|
4.27 |
% |
19.91 |
% |
(3.37) |
% |
8.21 |
% |
3.15 |
% |
(0.26) |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000s) |
|
$813,123 |
|
$791,708 |
|
$696,833 |
|
$827,799 |
|
$797,316 |
|
$823,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to average net assets5,6: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross expenses |
|
0.75 |
%7 |
0.95 |
% |
1.20 |
% |
0.92 |
% |
1.43 |
% |
1.47 |
% |
Net expenses |
|
0.75 |
7,8 |
0.95 |
|
1.20 |
8 |
0.92 |
8 |
1.43 |
8 |
1.47 |
|
Net expenses, excluding interest expense |
|
0.73 |
7,8 |
0.86 |
|
0.82 |
8 |
0.75 |
8 |
1.15 |
8 |
1.20 |
|
Net investment income |
|
3.61 |
7 |
3.27 |
|
6.57 |
|
5.46 |
|
5.39 |
|
8.46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate |
|
21 |
% |
41 |
% |
52 |
% |
82 |
% |
112 |
% |
113 |
% |
Asset coverage9 |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
10 |
301 |
% |
1 |
For the six months ended June 30, 2010 (unaudited). |
2 |
Per share amounts have been calculated using the average shares method. |
3 |
Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
4 |
The total return calculation assumes that distributions are reinvested in accordance with the Funds dividend reinvestment plan. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
5 |
Calculated on the basis of average net assets of common stock shareholders. |
6 |
Gross expenses reflects operating expenses prior to any expense waivers and/or compensating balance arrangements. Net expenses reflects expenses less any compensating balance arrangements and/or expense waivers. |
7 |
Annualized. |
8 |
The impact of compensating balance arrangements to the expense ratio was less than 0.01%. |
9 |
Asset coverage on preferred shares equals net assets of common shares plus the redemption value of the preferred shares divided by the value of outstanding preferred stock. |
10 |
The last series of preferred shares was redeemed on November 22, 2006. |
|
N/A Not applicable |
See Notes to Financial Statements
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Notes to financial statements (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 (the 1940 Act), as a diversified, closed-end management investment company. The Fund commenced operations on February 25, 2004.
The Funds primary investment objective is to provide current income for its shareholders. Capital appreciation, when consistent with current income, is a secondary investment objective.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (GAAP). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.
(a) Investment valuation. Debt securities are valued at the last quoted bid price provided by an independent pricing service that are based on transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and various other relationships between securities. Publicly traded foreign government debt securities are typically traded internationally in the over-the-counter market, and are valued at the mean between the last quoted bid and asked prices as of the close of business of that market. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When prices are not readily available, or are determined not to reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund may value these securities at fair value as determined in accordance with procedures approved by the Funds Board of Trustees. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates fair value.
The Fund has adopted Financial Accounting Standards Board Codification Topic 820 (ASC Topic 820). ASC Topic 820 establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Funds investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized below.
· Level 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 Funds own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of the 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 convert future amounts of cash flow to a single present amount.
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
The following is a summary of the inputs used in valuing the Funds assets carried at fair value:
Description |
|
Quoted Prices |
|
Other Significant |
|
Significant |
|
Total |
|
||||||
Long-term investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|||
U.S. treasury inflation protected securities |
|
|
|
|
$ |
821,232,532 |
|
|
|
|
$ |
821,232,532 |
|
|
|
Asset-backed securities |
|
|
|
|
4,539,390 |
|
|
|
|
4,539,390 |
|
|
|||
Collateralized mortgage obligations |
|
|
|
|
13,522,671 |
|
|
|
|
13,522,671 |
|
|
|||
Collateralized senior loans |
|
|
|
|
8,753,706 |
|
|
|
|
8,753,706 |
|
|
|||
Corporate bonds & notes |
|
|
|
|
46,784,467 |
|
|
|
|
46,784,467 |
|
|
|||
Non-U.S. treasury inflation protected security |
|
|
|
|
24,952,316 |
|
|
|
|
24,952,316 |
|
|
|||
Sovereign bond |
|
|
|
|
3,702,504 |
|
|
|
|
3,702,504 |
|
|
|||
Preferred stocks |
|
$ |
424,414 |
|
|
|
|
|
|
|
424,414 |
|
|
||
Purchased options |
|
61,388 |
|
|
|
|
|
|
|
61,388 |
|
|
|||
Total long-term investments |
|
$ |
485,802 |
|
|
$ |
923,487,586 |
|
|
|
|
$ |
923,973,388 |
|
|
Short-term investment |
|
|
|
|
7,035,000 |
|
|
|
|
7,035,000 |
|
|
|||
Total investments |
|
$ |
485,802 |
|
|
$ |
930,522,586 |
|
|
|
|
$ |
931,008,388 |
|
|
Other financial instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|||
Futures contracts |
|
$ |
277,208 |
|
|
|
|
|
|
|
$ |
277,208 |
|
|
|
Forward foreign currency contracts |
|
|
|
|
$ |
1,551,715 |
|
|
|
|
1,551,715 |
|
|
||
Credit default swaps on corporate issues sell protection |
|
|
|
|
(489,378 |
) |
|
|
|
(489,378 |
) |
|
|||
Credit default swaps on credit indices sell protection |
|
|
|
|
(268,596 |
) |
|
|
|
(268,596 |
) |
|
|||
Reverse repurchase agreements |
|
|
|
|
(134,418,634 |
) |
|
|
|
(134,418,634 |
) |
|
|||
Total other financial instruments |
|
$ |
277,208 |
|
|
$ |
(133,624,893 |
) |
|
|
|
$ |
(133,347,685 |
) |
|
Total |
|
$ |
763,010 |
|
|
$ |
796,897,693 |
|
|
|
|
$ |
797,660,703 |
|
|
|
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, a fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and of the fund to resell, the obligation at an agreed-upon price and time, thereby determining the yield during a funds holding period. When entering into repurchase agreements, it is the Funds policy that its custodian or a third party custodian, acting on the Funds behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked to market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.
(c) Reverse repurchase agreements. The Fund may enter into reverse repurchase agreements. Under the terms of a typical reverse repurchase agreement, a Fund sells a security subject to an obligation to repurchase the security from the buyer at an agreed-upon time and price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the funds use of the proceeds of the agreement may be restricted pending a determination by the counterparty, or its trustee or receiver, whether to enforce the Funds obligation to repurchase the securities. In entering into reverse repurchase agreements, the Fund will maintain cash, U.S. government securities or other liquid debt obligations at least equal in value to its obligations with respect to reverse repurchase agreements or will take other actions permitted by law to cover its obligations.
20 |
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Notes to financial statements (unaudited) (contd)
(d) Futures contracts. The Fund may use futures contracts to gain exposure to, or hedge against, changes in the value of interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the initial margin and subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. The daily changes in contract value are recorded as unrealized gains or losses in the Statement of Operations and the Fund recognizes a realized gain or loss when the contract is closed.
Futures contracts involve, to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(e) Written options. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked to market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Funds basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Fund from the exercise of the written put option to form the Funds basis in the underlying security purchased. The writer or buyer of an option traded on an exchange can liquidate the position before the exercise of the option by entering into a closing transaction. The cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Fund.
The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. The risk in writing a call option is that the Fund is exposed to the risk of loss if the market price of the underlying security increases. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(f) Forward foreign currency contracts. The Fund may enter into a forward foreign currency contract to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it is closed.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on the Statement of Assets and Liabilities. 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.
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
21 |
(g) Swap agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes. The use of swaps involves risks that are different from those associated with ordinary portfolio transactions.
Swap contracts are marked to market daily and changes in value are recorded as unrealized appreciation/(depreciation). Gains or losses are realized upon termination of the swap agreement. Periodic payments and premiums received or made by the Fund are recognized in the Statement of Operations as realized gains or losses, respectively. Collateral, in the form of restricted cash or securities, may be required to be held in segregated accounts with the Funds custodian in compliance with the terms of the swap contracts. Securities held as collateral for swap contracts are identified in the Schedule of Investments and restricted cash, if any, is identified on the Statement of Assets and Liabilities. Risks may exceed amounts recorded in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts terms, and the possible lack of liquidity with respect to the swap agreements.
Payments received or made at the beginning of the measurement period are reflected as a premium or deposit, respectively, on the Statement of Assets and Liabilities. These upfront payments are amortized over the life of the swap and are recognized as realized gain or loss in the Statement of Operations. A liquidation payment received or made at the termination of the swap is recognized as realized gain or loss in the Statement of Operations. Net periodic payments received or paid by the Fund are recognized as realized gain or loss at the time of receipt or payment in the Statement of Operations.
As disclosed in the Funds summary of open swap contracts, the aggregate fair value of credit default swaps in a net liability position as of June 30, 2010 was $757,974. The aggregate fair value of assets posted as collateral, net of assets received as collateral, for all swaps was $465,403. If a defined credit event had occurred as of June 30, 2010, the swaps credit-risk-related contingent features would have been triggered and the Fund would have been required to pay up to $24,108,000 less the value of the contracts related reference obligations
Credit default swaps
The Fund may enter into credit default swap (CDS) contracts for investment purposes, to manage its credit risk or to add leverage. CDS agreements involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has exposure to a sovereign issuer) or to take an active long or short position with respect to the likelihood of a particular issuers default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the term of the swap provided that there is no credit event. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted) that the Fund could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced obligations. As a seller of protection, the Fund effectively adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the Fund generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied spreads are the theoretical prices a lender receives for credit default protection. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of
22 |
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Notes to financial statements (unaudited) (contd)
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 Financial Statements and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for credit derivatives. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, particularly in relation to the notional amount of the contract as well as the annual payment rate, serve as an indication of the current status of the payment/performance risk.
The Funds maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract (this risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty). As the protection seller, the Funds maximum risk is the notional amount of the contract. Credit default swaps are considered to have credit risk-related contingent features since they require payment by the protection seller to the protection buyer upon the occurrence of a defined credit event.
Entering into a CDS agreement involves, to varying degrees, elements of credit, market and documentation risk in excess of the related amounts recognized on the Statement of Assets and Liabilities. 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.
(h) 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. Inflation adjustments to the principal amount of inflation-indexed bonds are reflected as an increase or decrease to investment income on the Statement of Operations. 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.
(i) 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.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.
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.
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
(j) Loan participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Funds investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement related to the loan, or any rights of off-set against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.
The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any off-set between the lender and the borrower.
(k) Credit and market risk. Investments in securities that are collateralized by residential real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of the full amount of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value and liquidity of these investments and may result in a lack of correlation between their credit ratings and values.
(l) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
(m) Distributions to shareholders. Distributions from net investment income for the Fund, if any, are declared and paid on a monthly basis. Distributions of net realized gains, if any, are declared at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(n) Compensating balance arrangements. The Fund has an arrangement with its custodian bank whereby a portion of the custodians fees is paid indirectly by credits earned on the Funds cash on deposit with the bank. The amount is shown as a reduction of expenses in the Statement of Operations.
(o) Federal and other taxes. It is the Funds policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the Code), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal income tax provision is required in the Funds financial statements.
Management has analyzed the Funds tax positions taken on federal income tax returns for all open tax years and has concluded that as of June 30, 2010, no provision for income tax is required in the Funds financial statements. The Funds federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by Internal Revenue Service and state departments of revenue.
(p) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share.
24 |
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
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|
Notes to financial statements (unaudited) (contd)
2. Investment management agreement and other transactions with affiliates
The Fund has entered into an Investment Advisory Agreement with Claymore Advisors, LLC (Investment Adviser), which provides for payment of a monthly fee computed at the annual rate of 0.60% of the Funds average weekly assets. The Investment Adviser has, in turn, entered into an Investment Management Agreement with Western Asset Management Company (Investment Manager), pursuant to which the Investment Manager provides investment management services to the Fund. In exchange for the services provided by the Investment Manager, the Investment Adviser pays a portion of the fees it receives from the Fund to the Investment Manager, at the annual rate of 0.27% of the Funds average weekly assets. Average weekly assets means the average weekly value of the total assets of the Fund (including any assets attributable to leverage) minus accrued liabilities (other than liabilities representing leverage). For purposes of calculating average weekly assets, neither the liquidation preference of any preferred shares outstanding nor any liabilities associated with any instrument or transactions used by the Investment Manager to leverage the Funds portfolio (whether or not such instruments or transactions are covered as described in the prospectus) is considered a liability.
Western Asset Management Company Pte. Ltd. (Western Asset Singapore), Western Asset Management Company Limited (Western Asset London) and Western Asset Management Company Ltd. (Western Asset Japan) are the Funds investment managers. Western Asset London, Western Asset Singapore and Western Asset Japan provide certain investment management services to the Fund relating to currency transactions and investment in non-U.S. denominated securities. Western Asset London, Western Asset Singapore and Western Asset Japan do not receive any compensation from the Fund.
Under an administrative agreement with the Fund, Legg Mason Partners Fund Advisor, LLC (LMPFA) (Administrator), an affiliate of the Investment Manager, provides certain administrative and accounting functions for the Fund. In consideration for these services, the Fund pays the Administrator a monthly fee at an annual rate of $125,000.
3. Investments
During the six months ended June 30, 2010, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S Government & Agency Obligations were as follows:
|
Investments |
|
U.S. Government & Agency Obligations |
|
||
Purchases |
$22,386,630 |
|
|
$266,653,772 |
|
|
Sales |
64,719,882 |
|
|
113,387,804 |
|
|
At June 30, 2010, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Gross unrealized appreciation |
|
$ |
63,948,637 |
|
Gross unrealized depreciation |
|
(41,327,273 |
) |
|
Net unrealized appreciation |
|
$ |
22,621,364 |
|
Transactions in reverse repurchase agreements for the Fund during the period ended June 30, 2010 were as follows:
Average Daily |
|
Weighted Average |
|
Maximum Amount |
|
$96,637,703 |
|
0.27% |
|
$134,418,634 |
|
* Averages based on the number of days that Fund had reverse repurchase agreements outstanding.
Interest rates on reverse repurchase agreements ranged from 0.220% to 0.300%, during the six months ended June 30, 2010. Interest expense incurred on reverse repurchase agreements totaled $69,530 for the six months ended June 30, 2010.
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
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25 |
At June 30, 2010, the Fund had the following open reverse repurchase agreements:
Security |
|
Value |
|
Reverse Repurchase Agreement with Deutsche Bank Securities Inc., dated 6/17/10 bearing 0.300% to be repurchased at $102,265,023 on 7/6/10, collateralized by: $93,055,000 U.S. Treasury Inflation Indexed Notes, 2.375% due 4/15/11; Market value (including accrued interest) $102,265,023 |
|
$102,248,834 |
|
Reverse Repurchase Agreement with Deutsche Bank Securities Inc., dated 6/17/10 bearing 0.300% to be repurchased at $32,174,894 on 7/6/10, collateralized by: $26,000,000 U.S. Treasury Inflation Indexed Notes, 2.000% due 1/15/14; Market value (including accrued interest) $32,174,894 |
|
32,169,800 |
|
Total reverse repurchase agreements (Proceeds $134,418,634) |
|
$134,418,634 |
|
During the six months ended June 30, 2010, written option transactions for the Fund were as follows:
|
|
Number of Contracts |
Premiums |
|
|
Written options, outstanding December 31, 2009 |
|
|
|
|
|
Options written |
|
114 |
|
$ 105,614 |
|
Options closed |
|
|
|
|
|
Options exercised |
|
|
|
|
|
Options expired |
|
(114 |
) |
(105,614 |
) |
Written options, outstanding June 30, 2010 |
|
|
|
|
|
At June 30, 2010, the Fund had the following open futures contracts:
|
|
Number of |
|
Expiration |
|
Basis |
|
Market |
|
Unrealized |
|
|||
Contracts to Buy: |
|
|
|
|
|
|
|
|
|
|
|
|||
U.S. Treasury 10-Year Notes |
|
77 |
|
|
9/10 |
|
$ 9,288,953 |
|
$ 9,436,109 |
|
$ |
147,156 |
|
|
U.S. Treasury 30-Year Bonds |
|
39 |
|
|
9/10 |
|
4,800,377 |
|
4,972,500 |
|
172,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
319,279 |
|
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
90-Day Eurodollar |
|
195 |
|
|
9/10 |
|
$48,388,616 |
|
$48,430,687 |
|
$ |
(42,071 |
) |
|
Net unrealized gain on open futures contracts |
|
|
|
|
|
|
|
|
|
$ |
277,208 |
|
|
At June 30, 2010, the Fund had the following open forward foreign currency contracts:
Foreign Currency |
|
Counterparty |
|
Local |
|
Market |
|
Settlement |
|
Unrealized |
|
||
Contracts to Buy: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Euro |
|
Credit Suisse First Boston Inc. |
|
5,410,000 |
|
$ 6,617,234 |
|
8/17/10 |
|
$ |
(87,920 |
) |
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Australian Dollar |
|
Credit Suisse First Boston Inc. |
|
28,280,447 |
|
$23,670,458 |
|
8/17/10 |
|
$ |
1,698,517 |
|
|
Euro |
|
Citibank N.A. |
|
5,846,317 |
|
7,150,915 |
|
8/17/10 |
|
277,883 |
|
|
|
Japanese Yen |
|
Citibank N.A. |
|
726,314,760 |
|
8,221,207 |
|
8/17/10 |
|
(336,765 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
1,639,635 |
|
|
|
Net unrealized gain on open forward foreign currency contracts |
|
|
|
|
|
$ |
1,551,715 |
|
|
26 |
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Notes to financial statements (unaudited) (contd)
At June 30, 2010, the Fund had the following open swap contracts:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES SELL PROTECTION1
Swap Counterparty |
|
Notional |
|
Termination |
|
Implied |
|
Periodic |
|
Market |
|
Upfront |
|
Unrealized |
|
JP Morgan Chase & Co. |
|
|
|
|
|
|
|
2.500% |
|
|
|
|
|
|
|
(SLM Corp., 5.125%, due 8/27/12) |
|
$8,100,000 |
|
12/20/12 |
|
5.21% |
|
Quarterly |
|
$(489,378) |
|
|
|
$(489,378) |
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES SELL PROTECTION1
Swap Counterparty |
|
Notional |
|
Termination |
|
Periodic |
|
Market |
|
Upfront |
|
Unrealized |
|
||||
Barclays Capital Inc. |
|
|
|
|
|
|
2.750% |
|
|
|
|
|
|
|
|||
(CDX HY 8) |
|
$ 7,308,000 |
|
|
6/20/12 |
|
Quarterly |
|
$(122,620 |
) |
|
$(209,732) |
|
|
$ 87,112 |
|
|
JP Morgan Chase & Co. |
|
|
|
|
|
|
2.750% |
|
|
|
|
|
|
|
|
|
|
(CDX HY 8) |
|
8,700,000 |
|
|
6/20/12 |
|
Quarterly |
|
(145,976 |
) |
|
(82,399) |
|
|
(63,577 |
) |
|
Total |
|
$16,008,000 |
|
|
|
|
|
|
$(268,596 |
) |
|
$(292,131) |
|
|
$ 23,535 |
|
|
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 make 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 Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced entity or obligation.
4 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 if the notional amount of the swap agreement had been closed/sold as of the period end. Decreasing market values when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Percentage shown is an annual percentage rate.
4. Derivative instruments and hedging activities
Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entitys derivative and hedging activities.
Below is a table, grouped by derivative type that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at June 30, 2010.
ASSET DERIVATIVES1
|
|
Interest Rate |
|
Foreign Exchange |
|
Credit |
|
Total |
|
||||||||
Purchased options2 |
|
$ |
61,388 |
|
|
|
|
|
|
|
|
$ |
61,388 |
|
|
||
Futures contracts3 |
|
319,279 |
|
|
|
|
|
|
|
|
319,279 |
|
|
||||
Swap contracts4 |
|
|
|
|
|
|
|
$ |
87,112 |
|
|
87,112 |
|
|
|||
Forward foreign currency contracts |
|
|
|
|
$ |
1,976,400 |
|
|
|
|
|
1,976,400 |
|
|
|||
Total |
|
$ |
380,667 |
|
|
$ |
1,976,400 |
|
|
$ |
87,112 |
|
|
$ |
2,444,179 |
|
|
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
27 |
LIABILITY DERIVATIVES1
|
|
Interest Rate |
|
Foreign Exchange |
|
Credit |
|
Total |
|
||||
Futures contracts3 |
|
$42,071 |
|
|
|
|
|
|
|
|
$ 42,071 |
|
|
Swap contracts4 |
|
|
|
|
|
|
|
$845,086 |
|
|
845,086 |
|
|
Forward foreign currency contracts |
|
|
|
|
$424,685 |
|
|
|
|
|
424,685 |
|
|
Total |
|
$42,071 |
|
|
$424,685 |
|
|
$845,086 |
|
|
$1,311,842 |
|
|
1 Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation(depreciation) and for liability derivatives is payables/net unrealized appreciation(depreciation).
2 Market value of purchased options is reported in Investments of value in the Statement of Assets and Liabilities.
3 Includes cumulative appreciation/depreciation of futures contracts as reported in the footnotes. Only variation margin is reported within the receivables and/or payables of the Statement of Assets and Liabilities.
4 Values include premiums paid/(received) on swap contracts which are shown separately in the Statement of Assets and Liabilities.
The following tables provide information about the effect of derivatives and hedging activities on the Funds Statement of Operations for the six months ended June 30, 2010. The first table provides additional detail about the amounts and sources of gains/(losses) realized on derivatives during the period. The second table provides additional information about the changes in unrealized appreciation/(depreciation) resulting from the Funds derivatives and hedging activities during the period.
AMOUNT OF REALIZED GAIN OR (LOSS) ON DERIVATIVES RECOGNIZED
|
|
Interest Rate |
|
Foreign |
|
Credit |
|
Total |
|
||||
Purchased options |
|
$(150,706 |
) |
|
|
|
|
|
|
|
$(150,706 |
) |
|
Written options |
|
105,614 |
|
|
|
|
|
|
|
|
105,614 |
|
|
Futures contracts |
|
(589,694 |
) |
|
|
|
|
|
|
|
(589,694 |
) |
|
Swap contracts |
|
|
|
|
|
|
|
$396,060 |
|
|
396,060 |
|
|
Forward foreign currency contracts |
|
|
|
|
$96,145 |
|
|
|
|
|
96,145 |
|
|
Total |
|
$(634,786 |
) |
|
$96,145 |
|
|
$396,060 |
|
|
$(142,581 |
) |
|
CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION ON DERIVATIVES RECOGNIZED
|
|
Interest Rate |
|
Foreign |
|
Credit |
|
Total |
|
||||
Purchased options |
|
$(174,173 |
) |
|
|
|
|
|
|
|
$ (174,173 |
) |
|
Futures contracts |
|
617,785 |
|
|
|
|
|
|
|
|
617,785 |
|
|
Swap contracts |
|
|
|
|
|
|
|
$(219,117 |
) |
|
(219,117 |
) |
|
Forward foreign currency contracts |
|
|
|
|
$1,407,382 |
|
|
|
|
|
1,407,382 |
|
|
Total |
|
$443,612 |
|
|
$1,407,382 |
|
|
$(219,117 |
) |
|
$1,631,877 |
|
|
During the six months ended June 30, 2010, the volume of derivative activity for the Fund was as follows:
|
|
Average |
|
|
Purchased options |
|
$ 14,344 |
|
|
Written options |
|
18,830 |
|
|
Forward foreign currency contracts (to buy) |
|
5,494,650 |
|
|
Forward foreign currency contracts (to sell) |
|
38,741,698 |
|
|
Futures contracts (to buy) |
|
17,359,321 |
|
|
Futures contracts (to sell) |
|
36,299,967 |
|
|
|
|
Average |
|
|
Credit default swap contracts (to sell protection) |
|
$24,108,000 |
|
|
At June 30, 2010, there were no open positions held in this derivative.
28 |
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund 2010 Semi-Annual Report |
|
|
Notes to financial statements (unaudited) (contd)
The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Funds net assets and/or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds International Swap and Derivatives Association, Inc. master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty.
As of June 30, 2010, the total value of swap positions with credit related contingent features in a net liability position was $757,974. If a contingent feature would have been triggered as of June 30, 2010, the Fund would have been required to pay this amount in cash to its counterparties. The Fund posted collateral for its swap transactions in the amount of $465,403.
5. Common shares
Of the 61,184,134 shares of common stock outstanding at June 30, 2010, the Investment Manager owned 6,981 shares.
6. Trustee compensation
Each Independent Trustee receives a fee of $15,000 for serving as a Trustee of the Fund and a fee of $1,500 and related expenses for each meeting of the Board of Trustees attended. The Chairman of the Board receives an additional $5,000 for serving in that capacity. The Audit Committee Chairman and the Governance and Nominating Committee Chairman each receive an additional $3,000 for serving in their respective capacities. Members of the Audit Committee and the Governance and Nominating Committee receive $500 for each committee meeting attended.
7. Capital loss carryforward
As of December 31, 2009, the Fund had a net capital loss carryforward of approximately $70,186,501, of which $10,084,162 expires in 2012, $10,088,445 expires in 2013, $30,022,572 expires in 2014 and $19,991,322 expires in 2017. These amounts will be available to offset any future taxable capital gains.
8. Shareholder meeting results
The Funds annual meeting of shareholders was held on May 25, 2010. Of the 61,184,134 common shares outstanding, the following shares were voted at the meeting:
Election of Trustees: |
|
For |
|
Withheld |
|
Ronald E. Toupin, Jr. |
|
47,616,198 |
|
1,661,712 |
|
R. Jay Gerken |
|
47,647,752 |
|
1,630,158 |
|
Western Asset/Claymore
Inflation-Linked Opportunities & Income Fund
Board of trustees R. Jay Gerken Michael Larson Ronald A. Nyberg Ronald E. Toupin, Jr.
Officers R. Jay Gerken President Charles A. Ruys de Perez Vice President Todd F. Kuehl Chief Compliance Officer Kaprel Ozsolak Principal Financial and Accounting Officer Erin K. Morris Treasurer Melissa J. Nguyen Secretary |
|
Investment adviser Claymore Advisors, Inc. 2455 Corporate West Drive Lisle, IL 60532
Investment managers Western Asset Management Company 385 East Colorado Boulevard Pasadena, CA 91101 Western Asset Management Company Limited 10 Exchange Square London, England EC2A2EN Western Asset Management Company Pte. Ltd. 1 George Street #23-01 Singapore 049145 Western Asset Management Company Ltd 36F Shin-Marunouchi Building 5-1 Maranouchi 1-Chronu Chiyoda Tokyo 100-6536 |
|
Custodian State Street Bank and Trust Company 1 Lincoln Street Boston, MA 02111
Counsel Ropes & Gray LLP 1211 Avenue of the Americas New York, NY 10036
Independent registered public accounting firm PricewaterhouseCoopers LLP 100 East Pratt Street Baltimore, MD 21202
Transfer agent American Stock Transfer & Trust Company LLC 59 Maiden Lane New York, NY 10038 |
Privacy policy
We are committed to keeping nonpublic personal information about you secure and confidential. This notice is intended to help you understand how we fulfill this commitment. From time to time, we may collect a variety of personal information about you, including:
· Information we receive from you on applications and forms, via the telephone, and through our websites;
· Information about your transactions with us, our affiliates, or others (such as your purchases, sales, or account balances); and
· Information we receive from consumer reporting agencies.
We do not disclose nonpublic personal information about our customers or former customers, except to our affiliates (such as broker-dealers or investment advisers with the Legg Mason family of companies) or as is otherwise permitted by applicable law or regulation. For example, we may share this information with others in order to process your transactions or service an account. We may also provide this information to companies that perform marketing services on our behalf, such as printing and mailing, or to other financial institutions with whom we have joint marketing agreements. When we enter into such agreements, we will require these companies to protect the confidentiality of this information and to use it only to perform the services for which we hired them.
With respect to our internal security procedures, we maintain physical, electronic, and procedural safeguards to protect your nonpublic personal information, and we restrict access to this information.
If you decide at some point either to close your account(s) or become an inactive customer, we will continue to adhere to our privacy policies and practices with respect to your nonpublic personal information.
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NOT PART OF THE SEMI-ANNUAL REPORT |
|
|
|
|
|
|
|
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
Western
Asset/Claymore Inflation-Linked Opportunities & Income Fund
55 Water Street
New York, NY 10041
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase at market prices, shares of its Common Stock in the open market.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. The Funds Forms N-Q are available on the SECs website at www.sec.gov. The Funds Forms N-Q may be reviewed and copied at the SECs Public Reference Room in Washington D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q from the Fund, shareholders can call 1-800-345-7999.
Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling 1-800-345-7999, (2) on the Funds website at www.westernclaymore.com and (3) on the SECs website at www.sec.gov.
This report is transmitted to the shareholders of Western Asset/Claymore Inflation-Linked Opportunities & Income Fund for their information. This is not a prospectus, circular or representation intended for use in the purchase or sale of shares of the Fund or any securities mentioned in this report.
American
Stock
Transfer & Trust Company
59 Maiden Lane
New York, NY 10038
WIW-S-(8/10)
ITEM 2. |
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CODE OF ETHICS. |
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Not applicable. |
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ITEM 3. |
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AUDIT COMMITTEE FINANCIAL EXPERT. |
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Not applicable. |
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ITEM 4. |
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PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
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Not applicable. |
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ITEM 5. |
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AUDIT COMMITTEE OF LISTED REGISTRANTS. |
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Not applicable. |
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ITEM 6. |
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SCHEDULE OF INVESTMENTS. |
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Included herein under Item 1. |
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ITEM 7. |
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DISCLOSURE OF PROXY VOITNG POLIIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
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Not applicable. |
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ITEM 8. |
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PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
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Not applicable. |
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ITEM 9. |
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PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
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Not applicable. |
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ITEM 10. |
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SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
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Not applicable. |
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ITEM 11. |
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CONTROLS AND PROCEDURES. |
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(a) |
The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
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(b) |
There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal half-year (the registrants second fiscal half-year in the case of an annual report) that have materially affected, or are likely to materially affect the registrants internal control over financial reporting. |
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ITEM 12. |
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EXHIBITS. |
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(a) (1) Not applicable. Exhibit 99.CODE ETH
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto. Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto. Exhibit 99.906CERT |
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, there unto duly authorized.
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund
By: |
/s/ R. Jay Gerken |
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R. Jay Gerken |
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Trustee and President |
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund |
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Date: |
August 30, 2010 |
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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/ R. Jay Gerken |
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(R. Jay Gerken) |
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Trustee and President |
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund |
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Date: |
August 30, 2010 |
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By: |
/s/ Kaprel Ozsolak |
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(Kaprel Ozsolak) |
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Principal Financial and Accounting Officer |
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Western Asset/Claymore Inflation-Linked Opportunities & Income Fund |
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Date: |
August 30, 2010 |
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