0001752724-22-164763.txt : 20220725
0001752724-22-164763.hdr.sgml : 20220725
20220725155545
ACCESSION NUMBER: 0001752724-22-164763
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220531
FILED AS OF DATE: 20220725
DATE AS OF CHANGE: 20220725
PERIOD START: 20221130
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: 221103288
BUSINESS ADDRESS:
STREET 1: 620 EIGHTH AVENUE
STREET 2: 47TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 8887770102
MAIL ADDRESS:
STREET 1: 620 EIGHTH AVENUE
STREET 2: 47TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
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
47th Floor
New York
10018
1-888-777-0102
Western Asset Inflation-Linked Income Fund
549300BKG7Y2MQAORR48
2022-11-30
2022-05-31
N
286638131.60
4241691.38
282396440.22
0.00000000
26147565.08000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
7132868.41000000
BRL
IDR
MXN
USD
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
200000.00000000
PA
USD
196608.06000000
0.069621295455
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDC2
6312780.00000000
PA
USD
6433461.54000000
2.278166656416
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XAP9
315676.11000000
PA
USD
323914.18000000
0.114701934538
Long
ABS-MBS
CORP
US
N
2
2024-11-25
Floating
5.90571000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-33785625.00000000
PA
USD
-33785625.00000000
-11.9638990398
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
15000000.00000000
USD
18726309.77000000
USD
UST
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2020-2
89176UAV6
250000.00000000
PA
USD
215521.73000000
0.076318855093
Long
ABS-MBS
CORP
US
N
2
2060-04-25
Variable
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-7443750.00000000
PA
USD
-7443750.00000000
-2.63592203719
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
5000000.00000000
USD
5424926.70200000
USD
UST
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
1370000.00000000
PA
USD
1417881.50000000
0.502089013195
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
2920000.00000000
PA
603213.27000000
0.213605125308
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAA2
660000.00000000
PA
USD
654241.93000000
0.231674991898
Long
ABS-MBS
CORP
KY
N
2
2038-02-15
Floating
1.42988000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
COMEX Copper
000000000
74.00000000
NC
USD
-769785.00000000
-0.27259019249
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
COPPER
COPPER
2022-07-27
8717385.00000000
USD
-769785.00000000
N
N
N
KAZTRANSGAS JSC
635400YGLXBBSVHONW39
KazTransGas JSC
48668NAA9
1600000.00000000
PA
USD
1449760.00000000
0.513377576172
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
370000.00000000
PA
USD
302502.65000000
0.107119852418
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
14415984.70500000
PA
3096255.48000000
1.096421568766
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-HE7
61744CGD2
606298.64000000
PA
USD
585127.18000000
0.207200621772
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
1.90571000
N
N
N
N
N
N
Greystone Commercial Real Esta
N/A
Greystone CRE Notes 2021-FL3 Ltd
39809PAA3
1020000.00000000
PA
USD
970702.38000000
0.343737470360
Long
ABS-CBDO
CORP
KY
N
2
2039-07-15
Floating
1.89471000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
970000.00000000
PA
USD
772265.50000000
0.273468567591
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
290000.00000000
PA
USD
272197.23000000
0.096388336123
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
MRCD Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust
55348UAG3
850000.00000000
PA
USD
813998.08000000
0.288246579654
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME Mexican Peso Currency
000000000
65.00000000
NC
USD
146737.50000000
0.051961526103
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2022-06-13
1500362.50000000
USD
146737.50000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2004-11
36242DFP3
37064.64000000
PA
USD
36850.92000000
0.013049357127
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Variable
2.81845900
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAL9
420000.00000000
PA
USD
331162.15000000
0.117268528506
Long
DBT
CORP
KY
N
2
2030-06-18
Variable
4.37500000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
1470000.00000000
PA
USD
1513041.60000000
0.535786357229
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QP6
1969290.00000000
PA
USD
2457475.91000000
0.870221985831
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.12500000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
1480000.00000000
PA
USD
1491529.35000000
0.528168608937
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
1330000.00000000
PA
USD
1406481.65000000
0.498052188230
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-88633.11000000
-0.03138605781
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-2518988.13000000
USD
1928057.72000000
GBP
2022-07-19
-88633.11000000
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2004-SL4 Trust
76112BGP9
35709.19000000
PA
USD
18308.33000000
0.006483201412
Long
ABS-MBS
CORP
US
N
2
2032-07-25
Fixed
7.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
12455700.00000000
PA
USD
12760845.72000000
4.518770034798
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.12500000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAJ9
960000.00000000
PA
USD
909504.00000000
0.322066382738
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
ANTOFAGASTA PLC
213800MY6QVH4FVLD628
Antofagasta PLC
03718NAA4
550000.00000000
PA
USD
454401.75000000
0.160909163602
Long
DBT
CORP
GB
N
2
2030-10-14
Fixed
2.37500000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-PALM
85237AAC7
830000.00000000
PA
USD
784224.42000000
0.277703366015
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
1.68500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2014-11R
12649FCL0
1785117.83000000
PA
USD
1463028.84000000
0.518076233135
Long
ABS-MBS
CORP
US
N
2
2036-10-27
Floating
0.94786000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/COP FORWARD
000000000
1.00000000
NC
USD
-12131.51000000
-0.00429591463
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-5208197.88000000
USD
19717872601.00000000
COP
2022-07-19
-12131.51000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
1117460.00000000
PA
USD
1113142.17000000
0.394177125296
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
49188000000.00000000
PA
3463769.74000000
1.226562819737
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
10000.00000000
PA
USD
9919.46000000
0.003512600935
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
1430000.00000000
PA
USD
436507.50000000
0.154572592933
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828B25
8625190.00000000
PA
USD
8937175.11000000
3.164761957706
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378XYD7
6183314.67000000
PA
USD
161648.54000000
0.057241705976
Long
ABS-MBS
USGA
US
N
2
2056-10-16
Variable
0.64139000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
23819.05000000
0.008434614112
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1184850.00000000
USD
1125000.00000000
EUR
2022-06-15
23819.05000000
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BJ6
2560000.00000000
PA
USD
2567245.57000000
0.909092752019
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Countrywide Home Equity Loan T
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2005-C
126685AD8
242365.79000000
PA
USD
232472.71000000
0.082321402429
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
1.05471000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-16162500.00000000
PA
USD
-16162500.00000000
-5.72333701777
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
10000000.00000000
USD
11161331.49000000
USD
UST
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDX6
7260120.00000000
PA
USD
7218618.69000000
2.556200313423
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.12500000
N
N
N
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAR1
1170000.00000000
PA
USD
1153126.14000000
0.408335933378
Long
DBT
CORP
CA
N
2
2042-10-25
Variable
5.55000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBD6
440000.00000000
PA
USD
413666.66000000
0.146484374830
Long
ABS-MBS
CORP
US
N
2
2050-01-25
Floating
3.30571000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
39349800.00000000
PA
USD
49279762.56000000
17.45056082208
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
1170000.00000000
PA
USD
1097776.02000000
0.388735785459
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-48582.07000000
-0.01720349943
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-77190000.00000000
MXN
3835470.78000000
USD
2022-07-19
-48582.07000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
1160000.00000000
PA
USD
680693.80000000
0.241041919462
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-497.51000000
-0.00017617431
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-1074870.00000000
USD
1000000.00000000
EUR
2022-06-15
-497.51000000
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAJ4
850000.00000000
PA
USD
803142.05000000
0.284402327938
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.77040000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
2440000.00000000
PA
USD
2561411.91000000
0.907026982353
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/AUD FORWARD
000000000
1.00000000
NC
USD
-4338.28000000
-0.00153623749
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-108661.31000000
USD
145262.34000000
AUD
2022-07-19
-4338.28000000
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
3000.00000000
PA
USD
3031.61000000
0.001073529821
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1258037.98000000
0.445486486663
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
1212156.21000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376G5V8
1359834.38000000
PA
USD
13.60000000
0.000004815924
Long
ABS-MBS
USGA
US
N
2
2046-09-16
Variable
0.01000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME British Pound Currency
000000000
-33.00000000
NC
USD
115664.65000000
0.040958253549
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
BRITISH POUND CURRENCY
BRITISH POUND CURRENCY
2022-06-13
-2715445.90000000
USD
115664.65000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810TE8
722953.00000000
PA
USD
616000.78000000
0.218133337488
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.12500000
N
N
N
N
N
N
PRKCM Trust
N/A
PRKCM 2021-AFC1 Trust
69357TAA8
833439.61000000
PA
USD
744715.21000000
0.263712676200
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
1.51000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
177.00000000
NC
USD
-900859.20000000
-0.31900515434
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
43796809.20000000
USD
-900859.20000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
972903.60000000
PA
USD
842852.74000000
0.298464364261
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
3500000.00000000
PA
USD
3502522.28000000
1.240285563540
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME Euro Foreign Exchange Currency
000000000
12.00000000
NC
USD
-30312.00000000
-0.01073384635
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2022-06-13
1641612.00000000
USD
-30312.00000000
N
N
N
CANADA-GOV'T WI RRB
4BFD7AQU0A75QLAHK410
Canadian When Issued Government Real Return Bond
135087G99
1672692.80000000
PA
1132382.01000000
0.400990185682
Long
DBT
NUSS
CA
N
2
2050-12-01
Fixed
0.50000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investo
N/A
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1
59020UAB1
3642.77000000
PA
USD
3583.87000000
0.001269091776
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.31834900
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RAJ2
6554004.82000000
PA
USD
187860.06000000
0.066523522695
Long
ABS-MBS
USGA
US
N
2
2057-09-16
Variable
0.55294000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
-75.00000000
NC
USD
230885.80000000
0.081759458377
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
2022-09-21
-11912135.80000000
USD
230885.80000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBN5
430000.00000000
PA
USD
334672.10000000
0.118511444315
Long
DBT
CORP
US
N
2
2051-04-22
Fixed
3.10900000
N
N
N
N
N
N
Bear Stearns Adjustable Rate M
N/A
Bear Stearns ARM Trust 2004-9
07384M3F7
7150.97000000
PA
USD
6794.00000000
0.002405837692
Long
ABS-MBS
CORP
US
N
2
2034-11-25
Variable
2.75000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
330000.00000000
PA
USD
286458.93000000
0.101438576837
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PV4
13723600.00000000
PA
USD
15069240.84000000
5.336200707154
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
4655630.00000000
PA
USD
5810298.08000000
2.057496927182
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.12500000
N
N
N
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
8897323.45000000
NS
USD
8897323.45000000
3.150650002198
Long
STIV
RF
US
N
1
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
540.00000000
NC
USD
56826.27000000
0.020122870513
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
2022-09-30
60937863.93000000
USD
56826.27000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-2261113.44000000
-0.80068765677
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-03-22
0.00000000
USD
0.00000000
USD
21580000.00000000
USD
-2261113.44000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRL/USD FORWARD
000000000
1.00000000
NC
USD
-23890.87000000
-0.00846004644
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-2085760.58000000
USD
9936772.00000000
BRL
2022-07-19
-23890.87000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
110000.00000000
PA
USD
114708.00000000
0.040619492197
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-12400000.00000000
PA
USD
-12400000.00000000
-4.39099019461
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
10000000.00000000
USD
10208676.58000000
USD
UST
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
12341892.00000000
PA
USD
12201960.12000000
4.320861874354
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
21750000.00000000
PA
1018203.97000000
0.360558358740
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JA4J4
464813.11000000
PA
USD
423579.52000000
0.149994638625
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Variable
2.79000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-38362500.00000000
PA
USD
-38362500.00000000
-13.5846259145
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
30000000.00000000
USD
31159922.84000000
USD
UST
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-26461.69000000
-0.00937040494
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-37206168.54000000
MXN
1845681.40000000
USD
2022-07-19
-26461.69000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCA7
3288900.00000000
PA
USD
3346401.78000000
1.185001403485
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.12500000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XUW2
440000.00000000
PA
USD
439113.58000000
0.155495437427
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
5.00571000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BM6Q4
56375806.60000000
PA
USD
34530.18000000
0.012227554983
Long
ABS-MBS
USGSE
US
N
2
2022-08-25
Variable
0.48273700
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
13511519.00000000
PA
USD
15640147.62000000
5.538365713043
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NK51
130779.87000000
PA
USD
1142.23000000
0.000404477478
Long
ABS-MBS
USGA
US
N
2
2048-02-16
Variable
0.14421000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BF61
937911.22000000
PA
USD
3608.05000000
0.001277654207
Long
ABS-MBS
USGA
US
N
2
2053-02-16
Variable
0.13192000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAR6
400000.00000000
PA
USD
279066.12000000
0.098820693271
Long
DBT
CORP
KY
N
2
2031-08-08
Variable
3.25000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
370000.00000000
PA
USD
372875.06000000
0.132039575183
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
103953000.00000000
PA
111821.95000000
0.039597506934
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDJ7
90000.00000000
PA
USD
78960.94000000
0.027961025265
Long
DBT
UST
US
N
2
2031-11-15
Fixed
1.37500000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
120000.00000000
PA
USD
132552.23000000
0.046938350177
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CB0
400000.00000000
PA
USD
388445.62000000
0.137553299077
Long
DBT
NUSS
ID
N
2
2047-07-18
Fixed
4.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/INR FORWARD
000000000
1.00000000
NC
USD
-44300.78000000
-0.01568744278
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-2861044.65000000
USD
219765423.00000000
INR
2022-07-19
-44300.78000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CLP/USD FORWARD
000000000
1.00000000
NC
USD
137027.81000000
0.048523207266
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3021201024.00000000
CLP
3769950.99000000
USD
2022-07-19
137027.81000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378B2Q1
2180824.60000000
PA
USD
40094.24000000
0.014197856024
Long
ABS-MBS
USGA
US
N
2
2054-01-16
Variable
0.60512000
N
N
N
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
76596378.65000000
PA
3881972.54000000
1.374653496685
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
2.00000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
965000.00000000
PA
186906.50000000
0.066185855549
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAE5
600000.00000000
PA
USD
529938.00000000
0.187657464657
Long
DBT
CORP
KY
N
2
2028-08-08
Variable
5.40000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
24672200.00000000
PA
USD
27222759.73000000
9.639908955223
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1950972.19000000
0.690862883568
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-03-22
0.00000000
USD
0.00000000
USD
-21580000.00000000
USD
1950972.19000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
-219.00000000
NC
USD
60184.23000000
0.021311964822
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
2022-09-21
-30596996.73000000
USD
60184.23000000
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378BSB6
330105.39000000
PA
USD
139.07000000
0.000049246371
Long
ABS-MBS
USGA
US
N
2
2049-03-16
Variable
0.02895000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HXEV8
200000.00000000
PA
USD
178706.54000000
0.063282150391
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
2.68000000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA Inc
166756AP1
200000.00000000
PA
USD
204507.49000000
0.072418579299
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
BARRICK GOLD CORP
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901AH1
170000.00000000
PA
USD
175420.41000000
0.062118491955
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2021-CRE5 Trust
04002PAA2
760000.00000000
PA
USD
749479.70000000
0.265399839819
Long
ABS-MBS
CORP
KY
N
2
2026-07-17
Floating
1.95471000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2022-LP2
05610HAN3
632325.05000000
PA
USD
600186.43000000
0.212533284602
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
4.90180000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NF99
603364.40000000
PA
USD
18333.83000000
0.006492231270
Long
ABS-MBS
USGA
US
N
2
2055-09-16
Variable
0.65083000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAB5
72833.39000000
PA
USD
72263.22000000
0.025589281488
Long
ABS-MBS
CORP
US
N
2
2040-01-25
Floating
3.05571000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
86904.21000000
0.030773833385
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-282422892.00000000
JPY
2285344.65000000
USD
2022-07-19
86904.21000000
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
342169.56000000
PA
USD
340277.84000000
0.120496504748
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
2.85571000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MYR/USD FORWARD
000000000
1.00000000
NC
USD
-80447.81000000
-0.02848754394
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-2671216.76000000
USD
11350000.00000000
MYR
2022-07-19
-80447.81000000
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
800000.00000000
PA
USD
783316.45000000
0.277381842841
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
1390000.00000000
PA
USD
1167322.00000000
0.413362859351
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HXMR8
100000.00000000
PA
USD
88307.07000000
0.031270603103
Long
ABS-MBS
USGSE
US
N
2
2035-02-01
Fixed
2.68000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-17643750.00000000
PA
USD
-17643750.00000000
-6.24786558437
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
15000000.00000000
USD
15315467.55000000
USD
UST
N
N
N
RUSSIA I/L BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Inflation Linked Bond
000000000
276622787.00000000
PA
297562.36000000
0.105370435890
Long
DBT
NUSS
RU
N
2
2028-02-02
Fixed
2.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828VM9
9883360.00000000
PA
USD
10206499.22000000
3.614244999706
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.37500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
300000.00000000
PA
USD
293267.03000000
0.103849407510
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
13793395.00000000
PA
USD
14279025.13000000
5.056375752780
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK32
06542BBN6
2624415.07000000
PA
USD
130673.30000000
0.046272998306
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
0.78163300
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABA6
673000.00000000
PA
USD
675365.60000000
0.239155139304
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ARKV7
285504.18000000
PA
USD
10629.43000000
0.003764009911
Long
ABS-MBS
USGSE
US
N
2
2027-05-15
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME Japanese Yen Currency
000000000
35.00000000
NC
USD
-389243.75000000
-0.13783592657
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
JAPANESE YEN CURRENCY
JAPANESE YEN CURRENCY
2022-06-13
3791462.50000000
USD
-389243.75000000
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
810000.00000000
PA
USD
867950.92000000
0.307351933800
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
40000.00000000
PA
USD
39545.39000000
0.014003501591
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.38.V1
000000000
1.00000000
NC
USD
244909.39000000
0.086725381456
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.38.V1
Y
Default Event
2027-06-20
469555.29000000
USD
0.00000000
USD
9464000.00000000
USD
-224645.90000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2019-NQM1
12655VAA2
260398.43000000
PA
USD
256773.61000000
0.090926645463
Long
ABS-MBS
CORP
US
N
2
2059-10-25
Variable
2.65600000
N
N
N
N
N
N
Nomura Resecuritization Trust
N/A
Nomura Resecuritization Trust 2015-4R
65540WBJ7
2180098.91000000
PA
USD
1942542.03000000
0.687877661802
Long
ABS-MBS
CORP
US
N
2
2036-10-26
Floating
0.94786000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379KVU9
5360426.25000000
PA
USD
87164.82000000
0.030866118543
Long
ABS-MBS
USGA
US
N
2
2052-03-16
Variable
0.32039000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Freddie Mac REMICS
3137ARUW4
806898.78000000
PA
USD
33950.43000000
0.012022258486
Long
ABS-MBS
USGSE
US
N
2
2027-06-15
Fixed
3.00000000
N
N
N
N
N
N
Chase Mortgage Finance Corpora
N/A
Chase Mortgage Finance Trust Series 2007-A1
161630AJ7
1934.59000000
PA
USD
1886.30000000
0.000667961677
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Variable
2.77553600
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
38465264.20000000
PA
USD
39948619.03000000
14.14628987492
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
LIGHT SWEET CRUDE OIL
000000000
30.00000000
NC
USD
132934.92000000
0.047073865342
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Long
LIGHT SWEET CRUDE OIL
LIGHT SWEET CRUDE OIL
2022-10-20
2974765.08000000
USD
132934.92000000
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
440000.00000000
PA
USD
351568.80000000
0.124494770446
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/USD FORWARD
000000000
1.00000000
NC
USD
58930.41000000
0.020867971973
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-3118609.15000000
EUR
3415750.23000000
USD
2022-07-19
58930.41000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
800000.00000000
PA
USD
778814.46000000
0.275787633651
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IDR/USD FORWARD
000000000
1.00000000
NC
USD
-1136.70000000
-0.00040251923
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-79260.18000000
USD
1139999213.00000000
IDR
2022-07-19
-1136.70000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B31 Mortgage Trust
08163MAE7
170000.00000000
PA
USD
151238.97000000
0.053555551154
Long
ABS-MBS
CORP
US
N
2
2054-12-15
Fixed
2.66900000
N
N
N
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
NYMEX Light Sweet Crude Oil
000000000
-27.00000000
NC
USD
-291516.49000000
-0.10322952009
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Short
NATURAL GAS
NATURAL GAS
2022-06-21
-2804573.51000000
USD
-291516.49000000
N
N
N
COMMODITY EXCHANGE, INC.
N/A
GOLD
000000000
15.00000000
NC
USD
6900.00000000
0.002443373576
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Call
Purchased
COMMODITY EXCHANGE, INC.
N/A
COMMODITY EXCHANGE, INC.
N/A
GOLD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCO
CORP
US
Long
GOLD
GOLD
2022-08-29
0.00000000
USD
100.00000000
1950.00000000
USD
2022-06-27
XXXX
-53667.50000000
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAK8
530000.00000000
PA
USD
583170.63000000
0.206507783719
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
35006160.00000000
PA
USD
35323153.03000000
12.50835633851
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAL5
2520000.00000000
PA
USD
2385196.88000000
0.844627105831
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
3.12471000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NDN0
0.01000000
PA
USD
0.00000000
0.000000
Long
ABS-MBS
USGA
US
N
2
2044-09-16
Fixed
0.00100000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
800000.00000000
PA
USD
619404.00000000
0.219338458911
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust 2015-2
89171YAG6
950000.00000000
PA
USD
877434.73000000
0.310710265793
Long
ABS-O
CORP
US
N
2
2060-11-25
Variable
3.30333100
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJW5
590000.00000000
PA
USD
621673.56000000
0.220142137597
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
5.85571000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XJX3
872779.94000000
PA
USD
885635.55000000
0.313614275488
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
4.00571000
N
N
N
N
N
N
YAMANA GOLD INC
54930002VY22NXG01418
Yamana Gold Inc
98462YAD2
670000.00000000
PA
USD
671938.10000000
0.237941420039
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2006-3
80556AAD9
1110000.00000000
PA
USD
946545.06000000
0.335183070743
Long
ABS-O
CORP
US
N
2
2046-10-25
Floating
1.24571000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/CAD FORWARD
000000000
1.00000000
NC
USD
35857.29000000
0.012697500709
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-4047196.32000000
CAD
3234729.35000000
USD
2022-07-19
35857.29000000
N
N
N
BONOS TESORERIA PESOS
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica en pesos
000000000
2330000000.00000000
PA
2508058.04000000
0.888133730738
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAC7
200000.00000000
PA
USD
172580.00000000
0.061112668369
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
ILFC E-CAPITAL TRUST II
N/A
ILFC E-Capital Trust II
44965UAA2
1010000.00000000
PA
USD
790598.19000000
0.279960395174
Long
SN
CORP
US
N
2
2065-12-21
Variable
4.30000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B29 Mortgage Trust
08163JAG9
4240226.04000000
PA
USD
274224.32000000
0.097106153245
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Variable
1.04651800
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
120000.00000000
PA
USD
102174.00000000
0.036181050979
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
912810FS2
36213750.00000000
PA
USD
39438794.12000000
13.96575469905
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAP0
200000.00000000
PA
USD
148617.16000000
0.052627136476
Long
DBT
CORP
KY
N
2
2029-03-08
Variable
3.10000000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
GOLD
000000000
89.00000000
NC
USD
-94562.50000000
-0.03348572663
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
GOLD
GOLD
2022-08-29
16545322.50000000
USD
-94562.50000000
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
40000.00000000
PA
USD
41315.00000000
0.014630141926
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond
135087ZH0
1919209.40000000
PA
1624101.65000000
0.575114066145
Long
DBT
NUSS
CA
N
2
2044-12-01
Fixed
1.50000000
N
N
N
N
N
N
Countrywide Home Equity Loan T
N/A
CWHEQ Revolving Home Equity Loan Trust Series 2006-I
12668FAB0
370272.34000000
PA
USD
349082.21000000
0.123614238808
Long
ABS-MBS
CORP
US
N
2
2037-01-15
Floating
1.01471000
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
2058488.89000000
0.728935849331
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.68819000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.38
000000000
1.00000000
NC
USD
785320.24000000
0.278091409150
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.38.V1
Y
Default Event
2027-06-20
912313.71000000
USD
0.00000000
USD
68366000.00000000
USD
-126993.47000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
5702600.00000000
PA
USD
6388624.60000000
2.262289352876
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.37500000
N
N
N
N
N
N
First Franklin Mtg Loan Asset
N/A
First Franklin Mortgage Loan Trust 2006-FF15
32028GAE5
453978.15000000
PA
USD
447703.13000000
0.158537101123
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.16571000
N
N
N
N
N
N
Hawaii Hotel Trust 2019-MAUI
N/A
Hawaii Hotel Trust 2019-MAUI
41975AAL6
170000.00000000
PA
USD
160504.23000000
0.056836491945
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
3.62471000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-40281250.00000000
PA
USD
-40281250.00000000
-14.2640785303
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
25000000.00000000
USD
27212767.94000000
USD
UST
N
N
N
Avenue of Americas
N/A
AOA 2021-1177 Mortgage Trust
00192NAA5
720000.00000000
PA
USD
692718.48000000
0.245300004299
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
1.74940000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2007-12T1
02150LAC1
1196733.52000000
PA
USD
690018.36000000
0.244343859101
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2014-1
64828AAA1
378776.76000000
PA
USD
372029.69000000
0.131740219427
Long
ABS-MBS
CORP
US
N
2
2054-01-25
Variable
3.75000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
883.00000000
NC
USD
-491310.03000000
-0.17397883260
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
2022-09-21
105968423.82000000
USD
-491310.03000000
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE Brent Crude Oil
000000000
67.00000000
NC
USD
512675.90000000
0.181544745960
N/A
DCO
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
BRENT CRUDE OIL
BRENT CRUDE OIL
2022-10-31
6567214.10000000
USD
512675.90000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN/USD FORWARD
000000000
1.00000000
NC
USD
13908.95000000
0.004925327666
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-796566.80000000
USD
16000000.00000000
MXN
2022-06-15
13908.95000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAG4
802777.36000000
PA
USD
766069.32000000
0.271274425202
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
2.27170000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CM5
810000.00000000
PA
USD
777652.65000000
0.275376222658
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
1340000.00000000
PA
USD
1397692.43000000
0.494939818969
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
38196180.00000000
PA
USD
39270429.61000000
13.90613478675
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.62500000
N
N
N
N
N
N
2022-07-22
Western Asset Inflation-Linked Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer