0001752724-21-014155.txt : 20210127
0001752724-21-014155.hdr.sgml : 20210127
20210127163822
ACCESSION NUMBER: 0001752724-21-014155
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20201130
FILED AS OF DATE: 20210127
PERIOD START: 20201130
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: WESTERN ASSET INFLATION-LINKED INCOME FUND
CENTRAL INDEX KEY: 0001254370
IRS NUMBER: 260066992
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21403
FILM NUMBER: 21560342
BUSINESS ADDRESS:
STREET 1: 385 EAST COLORADO BLVD
CITY: PASADENA
STATE: CA
ZIP: 91101
BUSINESS PHONE: 6268449400
MAIL ADDRESS:
STREET 1: 385 EAST COLORADO BLVD
CITY: PASADENA
STATE: CA
ZIP: 91101
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND
DATE OF NAME CHANGE: 20090701
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND
DATE OF NAME CHANGE: 20070810
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET CLAYMORE US TREASURY INFLATION PRO SECU FUND
DATE OF NAME CHANGE: 20030903
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001254370
XXXXXXXX
Western Asset Inflation-Linked Income Fund
811-21403
0001254370
549300BKG7Y2MQAORR48
620 Eighth Avenue
49th Floor
New York
10018
1-888-777-0102
Western Asset Inflation-Linked Income Fund
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2020-11-30
2020-11-30
N
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0.00000000
13012273.78000000
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1819215.25000000
USD
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N/A
Fannie Mae Connecticut Avenue Securities
30711XJW5
1340000.00000000
PA
USD
1376935.09000000
0.331951716164
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ABS-MBS
CORP
US
N
2
2029-10-25
Floating
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N
N
N
N
N
N
Countrywide Home Equity Loan T
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CWHEQ Revolving Home Equity Loan Trust Series 2005-C
126685AD8
381665.34000000
PA
USD
370591.36000000
0.089342220153
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
0.32088000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
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MORGAN STANLEY & COMPANY LLC
000000000
-26500000.00000000
PA
USD
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-6.38862393895
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RA
CORP
US
N
2
Reverse repurchase
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2020-12-11
25000000.00000000
USD
25359169.00000000
USD
UST
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USD
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USD
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TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
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USD
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2.015559263998
Long
DBT
UST
US
N
2
2040-02-15
Fixed
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N
N
N
N
N
N
Natixis Commercial Mortgage Se
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Natixis Commercial Mortgage Securities Trust 2019-TRUE
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2050000.00000000
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ABS-MBS
CORP
US
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2
2024-04-18
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N
N
N
N
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Government National Mortgage A
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Government National Mortgage Association
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USD
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0.000808816666
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ABS-MBS
USGA
US
N
2
2049-03-16
Variable
0.10638000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
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General Dynamics Corp
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USD
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CORP
US
N
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2050-04-01
Fixed
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REPUBLIC OF INDONESIA
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Indonesia Government International Bond
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USD
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0.122909747532
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DBT
NUSS
ID
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2
2047-07-18
Fixed
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N
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N
N
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Government National Mortgage A
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Government National Mortgage Association
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USD
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0.000978761295
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ABS-MBS
USGA
US
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2048-02-16
Variable
0.12826000
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N
N
N
N
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BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
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BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
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N
N
Fannie Mae - CAS
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Fannie Mae Connecticut Avenue Securities
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620639.42000000
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USD
636290.95000000
0.153397116804
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
5.05013000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
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1.00000000
NC
USD
305475.57000000
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DIR
CORP
GB
N
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UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-04-07
45881.77000000
USD
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USD
259593.80000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
2440000.00000000
PA
USD
3493763.17000000
0.842276944335
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
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JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAS8
1963500.00000000
PA
USD
1681054.84000000
0.405268950698
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
3.14088000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
5160000.00000000
PA
USD
5473526.86000000
1.319558668992
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DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HXEV8
200000.00000000
PA
USD
223506.58000000
0.053882999528
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
2.68000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
290000.00000000
PA
USD
352946.58000000
0.085088413968
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828X39
47091000.00000000
PA
USD
47847489.60000000
11.53507990480
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.12500000
N
N
N
N
N
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CITIBANK, NATIONAL ASSOCIATION
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BRL/USD FORWARD
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NC
USD
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DFE
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CITIBANK, NATIONAL ASSOCIATION
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BRL
2021-01-19
164725.66000000
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N
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NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
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PA
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Long
DBT
NUSS
BR
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2
2050-08-15
Fixed
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N
N
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BONOS TESORERIA PESOS
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Bonos de la Tesoreria de la Republica en pesos
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DBT
NUSS
CL
N
2
2035-03-01
Fixed
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N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
26233632.00000000
PA
USD
37669048.22000000
9.081259743994
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QP6
9650944.80000000
PA
USD
15063779.78000000
3.631578268438
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-29000000.00000000
PA
USD
-29000000.00000000
-6.99132431055
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
20000000.00000000
USD
24122030.04000000
USD
UST
964872.38980000
USD
964872.38980000
USD
N
N
N
ANTOFAGASTA PLC
213800MY6QVH4FVLD628
Antofagasta PLC
03718NAA4
550000.00000000
PA
USD
548075.00000000
0.132130002465
Long
DBT
CORP
GB
N
2
2030-10-14
Fixed
2.37500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-166.00000000
NC
USD
-142656.25000000
-0.03439158995
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
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NC
USD
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0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
137.50000000
USD
2020-12-24
XXXX
-70318.43000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ST6
1140000.00000000
PA
USD
1142493.75000000
0.275432563069
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
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Brazil Notas do Tesouro Nacional Serie F
000000000
965000.00000000
PA
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0.048869600421
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBA8
1850000.00000000
PA
USD
2189299.25000000
0.527796588606
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
40000.00000000
PA
USD
45195.60000000
0.010895761965
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
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N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XYD7
11468332.09000000
PA
USD
413806.09000000
0.099760433685
Long
ABS-MBS
USGA
US
N
2
2056-10-16
Variable
0.76413000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2014-11R
12649FCL0
2356277.19000000
PA
USD
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0.487213076828
Long
ABS-MBS
CORP
US
N
2
2036-10-27
Floating
0.28813000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
BRITISH POUND CURRENCY
000000000
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NC
USD
-74126.25000000
-0.01787036736
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
BRITISH POUND CURRENCY
BRITISH POUND CURRENCY
2020-12-14
-2678073.75000000
USD
-74126.25000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KVU9
8728639.43000000
PA
USD
228594.34000000
0.055109557465
Long
ABS-MBS
USGA
US
N
2
2052-03-16
Variable
0.47651000
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R10
03072ST21
4660000.00000000
PA
USD
4346937.94000000
1.047960444702
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.78013000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
95087.01000000
0.022923590504
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-08-31
8697.85000000
USD
0.00000000
USD
28813000.00000000
USD
86389.16000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
37463573.00000000
PA
USD
38400577.80000000
9.257617003875
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAQ2
1963500.00000000
PA
USD
1777690.46000000
0.428565880332
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
2.64088000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BD6
115000.00000000
PA
USD
114712.50000000
0.027654906550
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.62500000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-88343.81000000
-0.02129793884
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DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-6700000.00000000
EUR
7916132.41000000
USD
2021-01-19
-88343.81000000
N
N
N
TSY INFL IX N/B
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United States Treasury Inflation Indexed Bonds
912828N71
33617826.00000000
PA
USD
36997111.38000000
8.919269110730
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BF61
1353008.03000000
PA
USD
11907.69000000
0.002870707675
Long
ABS-MBS
USGA
US
N
2
2053-02-16
Variable
0.18208000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
10000.00000000
PA
USD
13170.96000000
0.003175256994
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
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MORGAN STANLEY & COMPANY LLC
000000000
-29600000.00000000
PA
USD
-29600000.00000000
-7.13597239973
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
20000000.00000000
USD
28628476.65000000
USD
UST
984835.26680000
USD
984835.26680000
USD
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AY1
440000.00000000
PA
USD
452804.00000000
0.109162055624
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.25000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
1390000.00000000
PA
USD
1544985.00000000
0.372465213446
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
Structured Asset Securities Co
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2005-WF4
863576DN1
2600000.00000000
PA
USD
2673711.30000000
0.644578717623
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.77513000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AD0
8000.00000000
PA
USD
8166.24000000
0.001968718353
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
85.53000000
0.000020619585
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-8355.38000000
USD
880310.00000000
JPY
2021-01-19
85.53000000
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
610000.00000000
PA
USD
605704.50000000
0.146023330891
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
2.00013000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
IDR/USD FORWARD
000000000
1.00000000
NC
USD
83238.74000000
0.020067207811
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-1752819.16000000
USD
26052151242.00000000
IDR
2021-01-19
83238.74000000
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1
59020UAB1
5162.96000000
PA
USD
5214.55000000
0.001257124489
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
3.02437900
N
N
N
N
N
N
BONCER
549300KPBYGYF7HCHO27
Argentina Treasury Bond BONCER
000000000
8059611.81616817
PA
53796.59000000
0.012969289913
Long
DBT
NUSS
AR
N
2
2021-08-05
Fixed
1.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
MEXICAN PESO
000000000
146.00000000
NC
USD
296818.55000000
0.071557060153
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2020-12-14
3318871.46000000
USD
296818.55000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
5162640.00000000
PA
USD
6340761.11000000
1.528631630887
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.37500000
N
N
N
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
WTI CRUDE
000000000
150.00000000
NC
USD
463068.32000000
0.111636579415
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Long
WTI CRUDE OIL
WTI CRUDE OIL
2021-06-22
6394931.68000000
USD
463068.32000000
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAK8
530000.00000000
PA
USD
783633.59000000
0.188918502356
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CAD FORWARD
000000000
1.00000000
NC
USD
-53788.55000000
-0.01296735162
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-3347196.32000000
CAD
2524423.57000000
USD
2021-01-19
-53788.55000000
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS1
52473VAA8
898534.85000000
PA
USD
922101.35000000
0.222300330518
Long
ABS-MBS
CORP
US
N
2
2059-01-25
Variable
4.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378B2Q1
3737108.90000000
PA
USD
157398.06000000
0.037945547700
Long
ABS-MBS
USGA
US
N
2
2054-01-16
Variable
0.72649000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-249.00000000
NC
USD
-641953.14000000
-0.15476215841
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
173.00000000
USD
2020-12-24
XXXX
-237758.90000000
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AN5
1590000.00000000
PA
USD
2202117.34000000
0.530886775649
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.95000000
N
N
N
N
N
N
BCAP LLC Trust
N/A
BCAP LLC 2011-RR5-I Trust
05533YBH2
223677.87000000
PA
USD
223659.55000000
0.053919877558
Long
ABS-MBS
CORP
US
N
2
2036-05-28
Floating
0.44925000
N
N
N
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT REAL RETURN BOND
135087G99
3065248.50000000
PA
2978297.12000000
0.718008312382
Long
DBT
NUSS
CA
N
2
2050-12-01
Fixed
0.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-83.00000000
NC
USD
-158218.75000000
-0.03814339976
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
174.00000000
USD
2020-12-24
XXXX
-57206.09000000
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
120000.00000000
PA
USD
165338.25000000
0.039859769885
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
2920000.00000000
PA
594887.30000000
0.143415518707
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2004-SL4 Trust
76112BGP9
42451.48000000
PA
USD
27435.33000000
0.006614113434
Long
ABS-MBS
CORP
US
N
2
2032-07-25
Fixed
7.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
BRL/USD FORWARD
000000000
1.00000000
NC
USD
89062.82000000
0.021471277883
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-1462031.57000000
USD
8316828.00000000
BRL
2021-01-19
89062.82000000
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAA2
660000.00000000
PA
USD
653574.90000000
0.157563934039
Long
ABS-MBS
CORP
KY
N
2
2037-02-16
Floating
1.04350000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
330000.00000000
PA
USD
377313.51000000
0.090962797074
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBQ1
2270000.00000000
PA
USD
2039716.45000000
0.491735144948
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.84446300
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
800000.00000000
PA
USD
894537.60000000
0.215655257571
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
WTI CRUDE
000000000
-150.00000000
NC
USD
-688875.00000000
-0.16607408739
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Short
WTI CRUDE
WTI CRUDE
2020-12-21
-6112125.00000000
USD
-688875.00000000
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF15
32028GAE5
990858.92000000
PA
USD
965883.23000000
0.232855272657
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.31013000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.35
000000000
1.00000000
NC
USD
125125.66000000
0.030165312711
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.35.V1
Y
Default Event
2025-12-20
105678.18000000
USD
0.00000000
USD
4660000.00000000
USD
19447.48000000
N
N
N
COMMODITY EXCHANGE, INC.
N/A
COPPER
000000000
140.00000000
NC
USD
888650.00000000
0.214235874088
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
COPPER
COPPER
2021-03-29
11144350.00000000
USD
888650.00000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GBP/USD FORWARD
000000000
1.00000000
NC
USD
77893.68000000
0.018778619952
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2494313.81000000
USD
1928057.72000000
GBP
2021-01-19
77893.68000000
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
970000.00000000
PA
USD
1068372.55000000
0.257563413156
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BX0
110000.00000000
PA
USD
125367.62000000
0.030223644464
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
4.25000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
800000.00000000
PA
USD
904602.92000000
0.218081806413
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
430000.00000000
PA
USD
481839.86000000
0.116162025069
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.10900000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
1280000.00000000
PA
USD
1409536.00000000
0.339811148393
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
12232107.00000000
PA
USD
15904187.85000000
3.834183970872
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-249.00000000
NC
USD
-338484.39000000
-0.08160186705
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
175.00000000
USD
2020-12-24
XXXX
-27665.15000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJX3
1195602.12000000
PA
USD
1214463.70000000
0.292783089313
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
3.15013000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
120000000.00000000
PA
1713713.03000000
0.413142191998
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
40000.00000000
PA
USD
48858.86000000
0.011778901231
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan
N/A
GMACM Mortgage Loan Trust 2005-AF2
36185MDB5
911863.64000000
PA
USD
868083.79000000
0.209277769124
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BM6Q4
145061113.86000000
PA
USD
709508.41000000
0.171048392943
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Variable
0.43358000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBC4
370000.00000000
PA
USD
423791.02000000
0.102167602093
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NEF6
50594.17000000
PA
USD
5035.90000000
0.001214055520
Long
ABS-MBS
USGA
US
N
2
2044-09-16
Variable
1.18035000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
21750000.00000000
PA
1213680.19000000
0.292594200606
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
50000.00000000
PA
USD
55054.28000000
0.013272494005
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
Countrywide Home Equity Loan T
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2006-I
12668FAB0
622005.85000000
PA
USD
596729.40000000
0.143859612449
Long
ABS-MBS
CORP
US
N
2
2037-01-15
Floating
0.28088000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
810000.00000000
PA
USD
1185561.90000000
0.285815439073
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
200000.00000000
PA
USD
224389.62000000
0.054095882942
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.34.V1
000000000
1.00000000
NC
USD
1694320.05000000
0.408466929497
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.34
Y
Default Event
2025-06-20
0.00000000
USD
-282585.04000000
USD
92524000.00000000
USD
1976905.09000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
JAPANESE YEN CURRENCY
000000000
35.00000000
NC
USD
63568.75000000
0.015325163698
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
JAPANESE YEN 2PM OP
2020-12-14
4130525.00000000
USD
63568.75000000
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
280000.00000000
PA
USD
309575.00000000
0.074632387015
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137ARKV7
575978.09000000
PA
USD
29062.53000000
0.007006399052
Long
ABS-MBS
USGSE
US
N
2
2027-05-15
Fixed
3.00000000
N
N
N
N
N
N
RUSSIA I/L BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Inflation Linked Bond
000000000
245145075.00000000
PA
3221177.22000000
0.776561882992
Long
DBT
NUSS
RU
N
2
2028-02-02
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
000000000
-11450000.00000000
PA
USD
-11450000.00000000
-2.76036770192
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
380958.23670000
USD
380958.23670000
USD
10000000.00000000
USD
10368156.01000000
USD
UST
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
1330000.00000000
PA
USD
1273475.00000000
0.307009542288
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
5858143.00000000
PA
USD
7528039.35000000
1.814860845463
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
BRENT CRUDE
000000000
188.00000000
NC
USD
779347.60000000
0.187885235250
N/A
DCO
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
BRENT CRUDE
BRENT CRUDE
2021-04-30
8270972.40000000
USD
779347.60000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-83.00000000
NC
USD
-178968.75000000
-0.04314581285
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
175.00000000
USD
2021-01-22
XXXX
-20893.59000000
N
N
N
Ameriquest Mortgage Securities
N/A
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R7
03072SJ97
664833.37000000
PA
USD
664848.40000000
0.160281751094
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
0.65013000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NF99
1185442.86000000
PA
USD
45271.35000000
0.010914023787
Long
ABS-MBS
USGA
US
N
2
2055-09-16
Variable
0.67102000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
800000.00000000
PA
USD
583600.00000000
0.140694374746
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-8600000.00000000
PA
USD
-8600000.00000000
-2.07328927830
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
286134.57080000
USD
286134.57080000
USD
5000000.00000000
USD
7833165.48600000
USD
UST
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
300000.00000000
PA
USD
350348.60000000
0.084462092563
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
KAZTRANSGAS JSC
635400YGLXBBSVHONW39
KazTransGas JSC
48668NAA9
2000000.00000000
PA
USD
2265260.00000000
0.546109217507
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-11400000.00000000
PA
USD
-11400000.00000000
-2.74831369449
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
379294.66360000
USD
379294.66360000
USD
10000000.00000000
USD
10140181.16000000
USD
UST
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
57254850.80000000
PA
USD
67210786.88000000
16.20318649122
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-66410.98000000
-0.01601036892
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-4570000.00000000
EUR
5393358.62000000
USD
2021-01-19
-66410.98000000
N
N
N
Dreyfus Government Cash Management
5493000Q69I5Q3QZIA91
Dreyfus Government Cash Management
262006208
11632485.73000000
NS
USD
11632485.73000000
2.804361388837
Long
STIV
RF
US
N
1
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MYR FORWARD
000000000
1.00000000
NC
USD
75514.44000000
0.018205032419
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-3591926.56000000
USD
14965762.00000000
MYR
2021-01-19
75514.44000000
N
N
N
YAMANA GOLD INC
54930002VY22NXG01418
Yamana Gold Inc
98462YAD2
670000.00000000
PA
USD
731979.69000000
0.176465772466
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-12T1
02150LAC1
1385591.30000000
PA
USD
1016272.19000000
0.245003050623
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BU9
200000.00000000
PA
USD
261859.42000000
0.063129107896
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2004-11
36242DFP3
46317.73000000
PA
USD
47216.00000000
0.011382840298
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
3.40120000
N
N
N
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
1670000.00000000
PA
USD
2211231.59000000
0.533084040394
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-9712.59000000
-0.00234151264
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-11-30
2014.92000000
USD
0.00000000
USD
3560000.00000000
USD
-11727.51000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
110000.00000000
PA
USD
109331.20000000
0.026357581946
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
GOLD 100 OZ
000000000
82.00000000
NC
USD
-939105.00000000
-0.22639957298
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
GOLD
GOLD
2021-02-24
15542485.00000000
USD
-939105.00000000
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
1830000.00000000
PA
USD
2082294.78000000
0.501999935074
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
BARRICK GOLD CORP
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901AH1
170000.00000000
PA
USD
236283.29000000
0.056963210674
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PV4
24848200.00000000
PA
USD
30152537.55000000
7.269178234418
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-113373.38000000
-0.02733207130
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-8488609.15000000
EUR
10027950.52000000
USD
2021-01-19
-113373.38000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BY8
130000.00000000
PA
USD
153581.96000000
0.037025561745
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.35000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G5V8
2368486.53000000
PA
USD
4491.83000000
0.001082891044
Long
ABS-MBS
USGA
US
N
2
2046-09-16
None
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/RUB FORWARD
000000000
1.00000000
NC
USD
523589.87000000
0.126227123685
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-12284664.20000000
USD
982834559.00000000
RUB
2021-01-19
523589.87000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
20733840.00000000
PA
USD
26278465.25000000
6.335216308493
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
11002530.00000000
PA
USD
11493493.70000000
2.770853169585
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.62500000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2004-9
07384M3F7
16874.49000000
PA
USD
16367.20000000
0.003945807008
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
3.34115300
N
N
N
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust 2015-4R
65540WBJ7
2822196.54000000
PA
USD
2457826.98000000
0.592533293669
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Floating
0.28925000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
3500000.00000000
PA
USD
4537233.58000000
1.093836945879
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
MRCD Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust
55348UAG3
850000.00000000
PA
USD
890707.01000000
0.214731778365
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-5862.46000000
-0.00141332272
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-370501.23000000
AUD
266244.04000000
USD
2021-01-19
-5862.46000000
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
1310000.00000000
PA
USD
1260875.00000000
0.303971932416
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-794749.89000000
-0.19159842161
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-151044264.00000000
MXN
6639074.85000000
USD
2021-01-19
-794749.89000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
10876993.30000000
PA
15753175.57000000
3.797777907963
Long
DBT
NUSS
IT
N
2
2026-09-15
Fixed
3.10000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
INR/USD FORWARD
000000000
1.00000000
NC
USD
-16471.12000000
-0.00397086005
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-4196762.53000000
USD
311074531.00000000
INR
2021-01-19
-16471.12000000
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAL5
2520000.00000000
PA
USD
2259210.24000000
0.544650740467
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
2.39088000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-264.00000000
NC
USD
-41377.78000000
-0.00997536135
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
-46133872.22000000
USD
-41377.78000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
1013.00000000
NC
USD
298236.95000000
0.071899008235
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
139669877.49000000
USD
298236.95000000
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AH8
200000.00000000
PA
USD
223154.14000000
0.053798033240
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HXMR8
100000.00000000
PA
USD
111792.46000000
0.026950942873
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
2.68000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RAJ2
16937751.18000000
PA
USD
845307.27000000
0.203786802297
Long
ABS-MBS
USGA
US
N
2
2057-09-16
Variable
0.83128000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
1830000.00000000
PA
USD
2114354.55000000
0.509728909191
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-21700000.00000000
PA
USD
-21700000.00000000
-5.23143922548
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
10000000.00000000
USD
14417562.00000000
USD
UST
721990.71930000
USD
721990.71930000
USD
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
370000.00000000
PA
USD
403575.94000000
0.097294147602
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
110000.00000000
PA
USD
123544.46000000
0.029784116780
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.62500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-11300000.00000000
PA
USD
-11300000.00000000
-2.72420567962
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
10000000.00000000
USD
10368156.00000000
USD
UST
375967.51740000
USD
375967.51740000
USD
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JA4J4
468226.19000000
PA
USD
529875.88000000
0.127742555911
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
2.79000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
1300000.00000000
PA
USD
1345743.10000000
0.324431946578
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
3.60013000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CLP/USD FORWARD
000000000
1.00000000
NC
USD
-126938.45000000
-0.03060234039
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-3021201024.00000000
CLP
3842251.81000000
USD
2021-01-19
-126938.45000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
15786680.00000000
PA
USD
16263956.33000000
3.920917009506
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.12500000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630AJ7
3129.77000000
PA
USD
3106.98000000
0.000749031200
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
3.15982900
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
27024530.00000000
PA
USD
27405895.03000000
6.607017247437
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.12500000
N
N
N
N
N
N
ILFC E-CAPITAL TRUST II
N/A
ILFC E-Capital Trust II
44965UAA2
1010000.00000000
PA
USD
631962.05000000
0.152353504948
Long
SN
CORP
US
N
2
2065-12-21
Variable
3.23000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
40373640.00000000
PA
USD
57670247.98000000
13.90315195510
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
13648173.92400000
PA
3105634.03000000
0.748706713572
Long
DBT
NUSS
BR
N
2
2030-08-15
Fixed
6.00000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
1170000.00000000
PA
USD
1300825.70000000
0.313603253110
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
EURO FX CURRENCY
000000000
53.00000000
NC
USD
92133.88000000
0.022211649485
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2020-12-14
7825072.38000000
USD
92133.88000000
N
N
N
Washington Mutual MSC Mortgage
N/A
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2004-RA1 Trust
939336P80
5598.84000000
PA
USD
5963.88000000
0.001437773076
Long
ABS-MBS
CORP
US
N
2
2034-03-25
Fixed
7.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
1340000.00000000
PA
USD
1691028.70000000
0.407673450350
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-44400000.00000000
PA
USD
-44400000.00000000
-10.7039585996
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
30000000.00000000
USD
34949609.00000000
USD
UST
1477252.90000000
USD
1477252.90000000
USD
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
49188000000.00000000
PA
3710210.43000000
0.894458081949
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond Future
000000000
-89.00000000
NC
USD
-42951.97000000
-0.01035486731
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
-19183829.28000000
USD
-42951.97000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137ARUW4
1562905.53000000
PA
USD
84179.34000000
0.020293967799
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
3.00000000
N
N
N
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
68992195.80000000
PA
3452127.41000000
0.832239389126
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
2.00000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
13000.00000000
PA
USD
14387.40000000
0.003468516530
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABA6
673000.00000000
PA
USD
659119.38000000
0.158900598101
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAC7
200000.00000000
PA
USD
210505.00000000
0.050748576689
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
1820000.00000000
PA
USD
2127334.30000000
0.512858069250
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2019-NQM1
12655VAA2
1009257.88000000
PA
USD
1036971.29000000
0.249993192728
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
2.65600000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CDX.NA.HY.35
000000000
1.00000000
NC
USD
1333788.27000000
0.321549874385
N/A
DCR
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
IHS MARKIT LTD
CDX.NA.HY.35.V1
Y
Default Event
2025-12-20
541853.46000000
USD
0.00000000
USD
13380000.00000000
USD
791934.81000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-250.00000000
NC
USD
-128906.26000000
-0.03107674032
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
138.00000000
USD
2020-12-24
XXXX
-49260.63000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
COP/USD FORWARD
000000000
1.00000000
NC
USD
689717.37000000
0.166277166079
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-8534513.91000000
USD
33243638583.00000000
COP
2021-01-19
689717.37000000
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAR1
1170000.00000000
PA
USD
1418390.88000000
0.341945884179
Long
DBT
CORP
CA
N
2
2042-10-25
Variable
5.55000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CM5
810000.00000000
PA
USD
710268.75000000
0.171231695824
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2014-1
64828AAA1
558010.99000000
PA
USD
595468.37000000
0.143555603149
Long
ABS-MBS
CORP
US
N
2
2054-01-25
Variable
3.75000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAJ9
1260000.00000000
PA
USD
1566639.90000000
0.377685779956
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
2021-01-26
Western Asset Inflation-Linked Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer