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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-21403

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

(Exact Name of Registrant as Specified In Its Charter)

 

Address of Principal Executive Offices:   

385 East Colorado Boulevard

Pasadena, CA 91101

Registrant’s telephone number, including area code:    (410) 539-0000
Name and address of agent for service:   

Gregory B. McShea

385 East Colorado Boulevard

Pasadena, CA 91101

Date of fiscal year end: December 31, 2006

Date of reporting period: September 30, 2006

Item 1 – Schedule of Investments

 

Portfolio of Investments

September 30, 2006 (Unaudited)

(Amounts in Thousands)

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

 

     RATE     MATURITY
DATE		    PAR/
SHARES		    VALUE  

Long-Term Securities — 150.6%

           

U.S. Government and Agency Obligations — 130.0%

           

Treasury Inflation-Protected SecuritiesA — 130.0%

           

United States Treasury Inflation-Protected Security

    3.625 %   1/15/08    $ 48,523    $ 48,912   

United States Treasury Inflation-Protected Security

    3.875 %   1/15/09      38,401      39,503   

United States Treasury Inflation-Protected Security

    4.250 %   1/15/10      6,047      6,396   

United States Treasury Inflation-Protected Security

    0.875 %   4/15/10      25,756      24,407   

United States Treasury Inflation-Protected Security

    3.500 %   1/15/11      33,086      34,655  B

United States Treasury Inflation-Protected Security

    2.375 %   4/15/11      32,805      32,840   

United States Treasury Inflation-Protected Security

    3.000 %   7/15/12      67,930      70,480  B

United States Treasury Inflation-Protected Security

    1.875 %   7/15/13      54,010      52,611   

United States Treasury Inflation-Protected Security

    1.625 %   1/15/15      52,750      50,174   

United States Treasury Inflation-Protected Security

    2.000 %   1/15/16      139,222      136,024  C
                

Total U.S. Government and Agency Obligations
(Identified Cost — $500,763)

              496,002  

Corporate Bonds and Notes — 12.0%

           

Automotive — 3.9%

           

Ford Motor Company

    7.450 %   7/16/31      7,435      5,744  

Ford Motor Company

    8.900 %   1/15/32      2,175      1,952  

General Motors Corporation

    8.375 %   7/15/33      8,355      7,227  
                
             14,923  
                

Banking and Finance — 0.3%

           

Fuji Co., Ltd.

    9.870 %   12/31/49      1,025      1,098  D,E
                

Cable — 0.5%

           

Comcast Corporation

    5.900 %   3/15/16      1,900      1,901  
                

Gas and Pipeline Utilities — 0.3%

           

Kinder Morgan Energy Partners, L.P.

    7.300 %   8/15/33      900      976  
                

Media — 1.5%

           

News America Incorporated

    7.625 %   11/30/28      1,790      1,974  

Time Warner Inc.

    7.700 %   5/1/32      3,500      3,909  
                
             5,883  
                

Medical Care Facilities — 0.8%

           

HCA, Inc.

    5.750 %   3/15/14      4,000      3,140  
                

Oil and Gas — 1.2%

           

Hess Corporation

    7.875 %   10/1/29      2,880      3,403  

Hess Corporation

    7.300 %   8/15/31      120      135  

Hess Corporation

    7.125 %   3/15/33      895      990  
                
             4,528  
                

Photo Equipment and Supplies — 0.3%

           

Eastman Kodak Company

    7.250 %   11/15/13      1,200      1,172  
                

Special Purpose — 2.7%

           

DaimlerChrysler NA Holding Corporation

    8.500 %   1/18/31      3,840      4,563  

Sprint Capital Corporation

    8.750 %   3/15/32      4,610      5,622  
                
             10,185  
                

Telecommunications (Cellular/Wireless) — 0.5%

           

AT&T Wireless Services, Inc.

    8.750 %   3/1/31    1,410      1,802  
                

Total Corporate Bonds and Notes
(Identified Cost — $48,381 )

              45,608  

U.S. Government Agency Mortgage-Backed Securities — 3.8%

           

Freddie Mac

    6.000 %   1/1/36    14,450      14,526  
                

Total U.S. Government Agency Mortgage-Backed Securities
(Identified Cost — $14,666)

              14,526  

Yankee BondsF — 4.8%

           

Banks — 0.9%

           

Glitnir Banki hf

    6.693 %   6/15/16    1,240      1,268  D,E

Kaupthing Bank hf

    7.125 %   5/19/16    2,060      2,166  D
                
             3,434  
                

Foreign Governments — 2.9%

           

Russian Federation

    5.000 %   3/31/30    5,200      5,804  E

United Mexican States

    11.500 %   5/15/26    1,410      2,233  

United Mexican States

    8.300 %   8/15/31    470      586  

United Mexican States

    7.500 %   4/8/33    2,290      2,641  
                
             11,264  
                

Special Purpose — 1.0%

           

Deutsche Telekom International Finance BV

    8.250 %   6/15/30    2,175      2,657  

UFJ Finance Aruba AEC

    6.750 %   7/15/13    1,025      1,097  
                
             3,754  
                

Total Yankee Bonds (Identified Cost — $17,247)

              18,452  

Total Long-Term Securities (Identified Cost — $581,057)

              574,588  

Short-Term Securities — 8.5%

           

Repurchase Agreements — 8.5%

           

Lehman Brothers, Inc.

           

5.25%, dated 9/29/06, to be repurchased at $32,365 on

10/2/06 (Collateral $32,040 Fannie Mae notes, 6.27%, due 7/18/16, value $32,998)

         32,351      32,351  
                

Total Short-Term Securities (Identified Cost — $32,351)

              32,351  

Total Investments (Identified Cost — $613,408) — 159.1%

            $ 606,939  

Other Assets Less Liabilities — (5.4)%

              (20,503 )

Liquidation Value of Preferred Shares — (53.7)%

              (205,000 )
                

Net Assets — 100.0%

            $ 381,436  
                

     Expiration    Actual
Contracts		    Appreciation/
(Depreciation)		  

Futures Contracts Written

         

U.S Treasury Bond Futures

    December 2006    193    $ (250 )

U.S. Treasury Note Futures

    December 2006    312      (262 )

U.S. Treasury Note Futures

    December 2006    178      (198 )
              
         $ (710 )
              

 

A Treasury Inflation-Protected Security – Treasury security whose principal value is adjusted daily in accordance with changes to the Consumer Price Index for All Urban Consumers. Interest is calculated on the basis of the current adjusted principal value.

 

B All or a portion of this security is collateral to cover futures contracts written.

 

C Position, or a portion thereof, with an aggregate market value of $22,560 has been segregated to collateralize the reverse repurchase agreement.

 

D Rule 144a Security – A security purchased pursuant to Rule 144a under the Securities Act of 1933 which may not be resold subject to that rule except to qualified institutional buyers. These securities, which the Fund’s investment adviser has determined to be liquid, represent 1.2% of net assets.

 

E Stepped Coupon Security – A security with a predetermined schedule of interest or dividend rate changes, at which time it begins to accrue interest or pay dividends.

 

F Yankee Bond – A dollar-denominated bond issued in the U.S. by foreign entities.

Security Valuation

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

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

Options, Futures and Swap Agreements

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

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

Item 2 – Controls and Procedures

 

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

 

  (b) There were no changes in the Registrant’s internal control over financial reporting during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the internal control over financial reporting.

Item 3 – Exhibits

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 – filed as an exhibit hereto.

 

SIGNATURES

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

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

 

By:   /s/ Randolph L. Kohn
Randolph L. Kohn
President

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

 

Date:   November 27, 2006

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

 

By:   /s/ Randolph L. Kohn
Randolph L. Kohn
President

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

 

Date:   November 27, 2006

 

By:   /s/ Marie K. Karpinski
Marie K. Karpinski
Treasurer and Principal Financial and Accounting Officer

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

 

Date:   November 20, 2006