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 549300BKG7Y2MQAORR48 2020-11-30 2020-11-30 N 418296610.37 3496799.75 414799810.62 0.00000000 13012273.78000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1819215.25000000 USD N Fannie Mae - CAS N/A 30711XJW5 1340000.00000000 PA USD 1376935.09000000 0.331951716164 Long ABS-MBS CORP US N 2 2029-10-25 Floating 5.00013000 N N N N N N Countrywide Home Equity Loan T N/A 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 9R7GPTSO7KV3UQJZQ078 000000000 -26500000.00000000 PA USD -26500000.00000000 -6.38862393895 Short RA CORP US N 2 Reverse repurchase N 0.24000000 2020-12-11 25000000.00000000 USD 25359169.00000000 USD UST 881693.73550000 USD 881693.73550000 USD N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 912810QF8 5418990.00000000 PA USD 8360536.01000000 2.015559263998 Long DBT UST US N 2 2040-02-15 Fixed 2.12500000 N N N N N N Natixis Commercial Mortgage Se N/A 63874DAA0 2050000.00000000 PA USD 2017782.20000000 0.486447232698 Long ABS-MBS CORP US N 2 2024-04-18 Floating 3.51050000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378BSB6 717533.44000000 PA USD 3354.97000000 0.000808816666 Long ABS-MBS USGA US N 2 2049-03-16 Variable 0.10638000 N N N N N N GENERAL DYNAMICS CORP 9C1X8XOOTYY2FNYTVH06 369550BJ6 2560000.00000000 PA USD 3560635.37000000 0.858398504251 Long DBT CORP US N 2 2050-04-01 Fixed 4.25000000 N N N N N N REPUBLIC OF INDONESIA 529900FWX0GRR7WG5W79 455780CB0 400000.00000000 PA USD 509829.40000000 0.122909747532 Long DBT NUSS ID N 2 2047-07-18 Fixed 4.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 38378NK51 298930.83000000 PA USD 4059.90000000 0.000978761295 Long ABS-MBS USGA US N 2 2048-02-16 Variable 0.12826000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 000000000 -28.00000000 NC USD -4642.12000000 -0.00111912297 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 2021-03-31 -3524232.88000000 USD -4642.12000000 N N N Fannie Mae - CAS N/A 30711XAP9 620639.42000000 PA 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 000000000 1.00000000 NC USD 305475.57000000 0.073644095821 N/A DIR CORP GB N 2 UK CLEARING HOUSE LIMITED 213800O8SCO4XJGBU385 Y 2025-04-07 45881.77000000 USD 0.00000000 USD -7110000.00000000 USD 259593.80000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 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 N/A 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 9128286N5 5160000.00000000 PA USD 5473526.86000000 1.319558668992 Long DBT UST US N 2 2024-04-15 Fixed 0.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 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 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 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 N CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 000000000 1.00000000 NC USD 164725.66000000 0.039712086597 N/A DFE CORP US N 2 CITIBANK, NATIONAL ASSOCIATION E57ODZWZ7FF32TWEFA76 -2864045.99000000 USD 16240000.00000000 BRL 2021-01-19 164725.66000000 N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 24009423.90000000 PA 5805861.45000000 1.399677941347 Long DBT NUSS BR N 2 2050-08-15 Fixed 6.00000000 N N N N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 000000000 2330000000.00000000 PA 3617478.21000000 0.872102184567 Long DBT NUSS CL N 2 2035-03-01 Fixed 5.00000000 N N N N N N TSY INFL IX N/B 254900HROIFWPRGM1V77 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 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 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 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 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 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 137.50000000 USD 2020-12-24 XXXX -70318.43000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 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 254900ZFY40OYEADAP90 000000000 965000.00000000 PA 202711.01000000 0.048869600421 Long DBT NUSS BR N 2 2027-01-01 Fixed 10.00000000 N N N N N N STATE OF QATAR 52990074F6OJOAXK4P65 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 87264ABC8 40000.00000000 PA USD 45195.60000000 0.010895761965 Long DBT CORP US N 2 2027-04-15 Fixed 3.75000000 N N N N N N Government National Mortgage A 549300M8ZYFG0OCMTT87 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 12649FCL0 2356277.19000000 PA USD 2020958.92000000 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 000000000 -33.00000000 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 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 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 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 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 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 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 000000000 1.00000000 NC USD -88343.81000000 -0.02129793884 N/A 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 254900HROIFWPRGM1V77 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 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 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 9R7GPTSO7KV3UQJZQ078 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 262006208 11632485.73000000 NS USD 11632485.73000000 2.804361388837 Long STIV RF US N 1 N N N GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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 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