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
Name of Fund: Western Asset/Claymore U.S. Treasury Inflation
Protected Securities Fund
Fund Address: 100 Light Street
Baltimore, MD 21202
Name and address of agent for service: Richard M. Wachterman, Esq.
Legg Mason Wood Walker, Incorporated
100 Light Street
Baltimore, MD 21202
Registrant's telephone number, including area code: (410) 539-0000
Date of fiscal year end: 12/31/2004
Date of reporting period: 9/30/2004
Item 1 - Schedule of Investments
Portfolio of Investments
Western Asset/ Claymore U.S. Treasury Inflation Protected Securities Fund
September 30, 2004 (Unaudited)
(Amounts in Thousands)
Maturity
Rate Date Par Value
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Long-Term Securities -- 148.4%
Corporate Bonds and Notes -- 20.7%
Aerospace/Defense -- 0.3%
The Boeing Company 6.125% 2/15/33 $ 1,150 $ 1,207
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Automotive -- 2.3%
Ford Motor Company 7.450% 7/16/31 2,435 2,388
Ford Motor Company 8.900% 1/15/32 2,175 2,440
General Motors Corporation 8.375% 7/15/33 4,355 4,624
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9,452
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Banking and Finance -- 0.3%
Fuji Co., Ltd. 9.870% 12/31/49 1,025 1,203 /A/
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Cable -- 0.5%
Comcast Corporation 6.500% 1/15/15 1,900 2,052
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Chemicals -- 0.7%
The Dow Chemical Company 7.375% 11/1/29 2,435 2,827
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Computer Services and Systems -- 1.0%
Electronic Data Systems Corporation 7.450% 10/15/29 4,225 4,229
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Electric -- 1.9%
Dominion Resources, Inc. 6.250% 6/30/12 1,665 1,808
FirstEnergy Corp. 7.375% 11/15/31 5,375 6,037
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7,845
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Energy -- 1.4%
CenterPoint Energy, Inc. 6.850% 6/1/15 510 551
Duke Energy Corporation 6.450% 10/15/32 1,150 1,212
Pacific Gas and Electric Company 6.050% 3/1/34 4,000 4,071
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5,834
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Environmental Services -- 1.4%
Waste Management, Inc. 7.750% 5/15/32 4,995 6,058
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Food, Beverage and Tobacco -- 1.8%
Altria Group, Inc. 7.750% 1/15/27 3,455 3,650
Kraft Foods Inc. 6.500% 11/1/31 2,175 2,344
Tyson Foods, Inc. 7.000% 1/15/28 1,280 1,357
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7,351
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Media -- 1.5%
AOL Time Warner Inc. 7.700% 5/1/32 3,500 4,070
News America Incorporated 7.625% 11/30/28 1,790 2,092
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6,162
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Medical Care Facilities -- 0.9%
HCA Inc. 5.750% 3/15/14 4,000 3,965
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Oil and Gas -- 2.5%
Amerada Hess Corporation 7.300% 8/15/31 3,000 3,270
Amerada Hess Corporation 7.125% 3/15/33 895 961
Conoco Inc. 6.950% 4/15/29 900 1,038
Devon Energy Corporation 7.950% 4/15/32 3,300 4,094
Kinder Morgan Energy Partners, L.P. 7.300% 8/15/33 900 1,014
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10,377
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Paper and Forest Products -- 0.5%
Weyerhaeuser Company 7.375% 3/15/32 1,700 1,951
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Photo Equipment and Supplies -- 0.3%
Eastman Kodak Company 7.250% 11/15/13 1,200 1,323
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Special Purpose -- 3.0%
DaimlerChrysler NA Holding Corporation 8.500% 1/18/31 3,840 4,694
Sprint Capital Corporation 8.750% 3/15/32 4,610 5,851
Verizon Global Funding Corp. 7.750% 6/15/32 1,665 1,999
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12,544
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Telecommunications (Cellular/Wireless) -- 0.4%
AT&T Wireless Services Inc. 8.750% 3/1/31 1,410 1,851
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Total Corporate Bonds and Notes (Identified Cost -- $83,702) 86,231
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U.S. Government and Agency Obligations -- 122.2%
Fixed Rate Securities -- 8.4%
United States Treasury Bonds 2.375% 1/15/25 33,662 35,068
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Indexed Securities/B/ -- 113.8%
United States Treasury Inflation-Protected Security 3.000% 7/15/12 50,618 56,050
United States Treasury Inflation-Protected Security 1.875% 7/15/13 57,066 58,035 /C/
United States Treasury Inflation-Protected Security 2.000% 1/15/14 300,249 307,438
United States Treasury Inflation-Protected Security 2.000% 7/15/14 50,242 51,357
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472,880
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Total U.S. Government and Agency Obligations (Identified Cost -- $498,598) 507,948
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Yankee Bonds/D/-- 5.5%
Foreign Governments -- 2.6%
Russian Federation 5.000% 3/31/30 6,200 5,964
United Mexican States 11.500% 5/15/26 3,300 4,967
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10,931
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Manufacturing (Diversified) -- 1.9%
Tyco International Group SA 6.375% 10/15/11 3,455 3,821
Tyco International Group SA 6.875% 1/15/29 3,715 4,163
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7,984
--------------
Special Purpose -- 1.0%
Deutsche Telekom International Finance BV 8.750% 6/15/30 2,175 2,811
UFJ Finance Aruba AEC 6.750% 7/15/13 1,025 1,137
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3,948
--------------
Total Yankee Bonds (Identified Cost -- $22,079) 22,863
Total Long-Term Securities (Identified Cost -- $604,379) 617,042
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Short-Term Securities -- 1.5%
Options Purchased -- 0.3%
U.S. Treasury Notes Futures Call, December 2004, Strike Price $123.00 11/26/04 415 /E/ 6
U.S. Treasury Notes Futures Put, December 2004, Strike Price $111.00 11/26/04 2,200 /E/ 1,169
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1,175
--------------
Repurchase Agreements -- 1.2%
Deutsche Bank AG
1.85%, dated 9/30/04, to be repurchased at $4,895
on 10/1/04 (Collateral: $4,903 Fannie Mae notes,
4.61%, due 10/10/13, value $5,101) 4,895 4,895
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Total Short-Term Securities (Identified Cost -- $8,489) 6,070
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Total Investments -- 149.9% (Identified Cost -- $612,868) 623,112
Other Assets Less Liabilities -- (0.6)% (2,401)
Liquidation Value of Preferred Shares - (49.3)% (205,000)
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Net Assets -- 100.0% $ 415,711
Actual Appreciation/
Expiration Contracts (Depreciation)
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Futures Contracts Written
U.S. Treasury Bond Futures December 2004 15 $ (17)
U.S. Treasury Note Futures December 2004 317 (105)
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$(122)
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Options Written
U.S Treasury Bond Futures Call, Strike Price $107 December 2004 315 $(395)
U.S Treasury Bond Futures Call, Strike Price $114 December 2004 300 17
U.S Treasury Note Futures Call, Strike Price $109 December 2004 1,033 (263)
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$(641)
----------------
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/A/ 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. There securities represent 0.3% of net
assets.
/B/ Treasury Inflation-Protected Security - Treasury security whose principal
value is adjusted daily in accordance with changes in the Consumer Price
Index for All Urban Consumers. Interest is calculated on the basis of the
current adjusted principal value.
/C/ Collateral to cover option and futures contracts.
/D/ Yankee Bond - A dollar-denominated bond issued in the U.S. by foreign
entities. /E/ Par shown represents actual number of contracts.
Security Valuation
Securities owned by the Fund for which market quotations are readily available
are valued at current market value. Current market value means the last sale
price of the day or, in the absence of any such sales, the bid price obtained
from quotation reporting systems, pricing services or other approved methods.
Other assets and securities for which no quotations are readily available are
valued at fair value as determined in good faith by the Board of Trustees or
persons acting under their supervision. The factors considered in making such
valuations are subject to change over time and are reviewed periodically. The
values assigned to fair valued investments are based on available information
and do not necessarily represent amounts that might ultimately be realized,
since such amounts depend on future developments inherent in long-term
investments. Further, because of the inherent uncertainty of valuation, such
estimated values may differ significantly from the values that would have been
used had a ready market for the investments existed, and the differences could
be material. Securities with remaining maturities of 60 days or less are
generally valued at a readily available market price, or, if a market price is
not readily available, fair valued at amortized cost.
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 by or received by the
Fund each day, depending on the daily fluctuations 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 priced daily based upon quotations from 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) The Registrant's 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
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 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Western Asset/Claymore 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 22, 2004
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 22, 2004
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 22, 2004