0001752724-20-012010.txt : 20200127
0001752724-20-012010.hdr.sgml : 20200127
20200127115247
ACCESSION NUMBER: 0001752724-20-012010
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191129
FILED AS OF DATE: 20200127
PERIOD START: 20191130
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND
CENTRAL INDEX KEY: 0001267902
IRS NUMBER: 421607118
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21477
FILM NUMBER: 20547894
BUSINESS ADDRESS:
STREET 1: 385 EAST COLORADO BLVD.
CITY: PASADENA
STATE: CA
ZIP: 91101
BUSINESS PHONE: (626) 844-9400
MAIL ADDRESS:
STREET 1: 385 EAST COLORADO BLVD.
CITY: PASADENA
STATE: CA
ZIP: 91101
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET/CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND
DATE OF NAME CHANGE: 20090701
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET CLAYMORE INFLATION-LINKED OPPORTUNITIES & INCOME FUND
DATE OF NAME CHANGE: 20070810
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET CLAYMORE US TREASURY INFLATION PRO SEC FUND 2
DATE OF NAME CHANGE: 20031022
NPORT-P
1
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New York
10018
1-888-777-0102
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2019-11-29
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20.65701840311
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2027-04-05
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CORP
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2020-11-20
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CHICAGO BOARD OF TRADE
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XXXX
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RA
CORP
US
N
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CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
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USD
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CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
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90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2019-12-16
46195067
USD
398870.5
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US TREASURY N/B
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2026-11-30
Fixed
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CHICAGO MERCANTILE EXCHANGE
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2020-03-24
Fixed
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GAZPROM (GAZ CAPITAL SA)
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Gazprom PJSC Via Gaz Capital SA
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USD
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DBT
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LU
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2
2026-02-11
Fixed
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N
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United States Treasury Inflation Indexed Bonds
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0.941029029050
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UST
US
N
2
2027-01-15
Fixed
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N
N
N
N
N
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Continental Resources Inc/OK
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USD
2290228.81000000
0.293802227473
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
BARCLAYS CAPITAL INC.
AC28XWWI3WIBK2824319
IRS USD
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USD
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DIR
CORP
US
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2
BARCLAYS CAPITAL INC.
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2020-05-03
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USD
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USD
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126596.83
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N
N
JP Morgan Chase Commercial Mor
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JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
43260.17000000
PA
USD
41307.71000000
0.005299163628
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.65012500
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
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PA
USD
2211794.69000000
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Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
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N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
BRITISH POUND
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NC
USD
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DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
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BRITISH POUND CURRENCY
2019-12-16
-5182282.5
USD
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N
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BARCLAYS BANK PLC
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MXN/USD FORWARD
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CORP
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MXN
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2020-01-17
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N
N
N
OASIS PETROLEUM INC
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Oasis Petroleum Inc
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PA
USD
450800.00000000
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Long
DBT
CORP
US
N
2
2023-01-15
Fixed
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N
N
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2020-03-31
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N
N
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549300EX04Q2QBFQTQ27
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N/A
DIR
CORP
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N
1
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Purchased
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2020-03-20
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159
USD
2019-12-27
XXXX
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N
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CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
MEXICAN PESO
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N/A
DFE
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N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
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MEXICAN PESO
MEXICAN PESO
2019-12-16
2172389.65
USD
21470.35
N
N
N
Natixis Commercial Mortgage Se
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Natixis Commercial Mortgage Securities Trust 2019-TRUE
63874DAA0
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PA
USD
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0.733026797494
Long
ABS-MBS
CORP
US
N
2
2024-04-18
Floating
3.77300000
N
N
N
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
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USD
3885298.40000000
0.498425886241
Long
DBT
CORP
PE
N
2
2042-11-08
Fixed
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N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
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YPF SA
000000000
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USD
1403205.50000000
0.180010355167
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
Security National Mortgage Loa
N/A
Security National Mortgage Loan Trust 2006-3
81441WAB2
73611.80000000
PA
USD
73800.91000000
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ABS-MBS
CORP
US
N
2
2037-01-25
Variable
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N
N
N
N
N
N
REPUBLIC OF ECUADOR
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Ecuador Government International Bond
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DBT
NUSS
EC
N
2
2024-06-20
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N
N
N
N
N
COMMODITY EXCHANGE, INC.
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GOLD 100 OZ
000000000
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-309225.00000000
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DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
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GOLD
GOLD
2020-04-28
17159565
USD
-309225
N
N
N
NOTA DO TESOURO NACIONAL
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157658.84000000
0.020225279749
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DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
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N/A
DIR
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1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
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US TREASURY LONG BOND
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USD
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CORP
US
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US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
0.00000000
USD
100000.00000000
161
USD
2019-12-27
XXXX
1861.93
N
N
N
ILFC E-CAPITAL TRUST II
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ILFC E-Capital Trust II
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USD
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0.209448326606
Long
SN
CORP
US
N
2
2065-12-21
Variable
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N
N
N
N
N
N
RANGE RESOURCES CORP
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Range Resources Corp
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PA
USD
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0.100590397951
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PV4
31865600.00000000
PA
USD
35745279.50000000
4.585586685887
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
912810QP6
13366044.00000000
PA
USD
17876350.46000000
2.293269371740
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.12500000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
250000000.00000000
PA
4082608.02000000
0.523737770191
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BU9
430000.00000000
PA
USD
510482.15000000
0.065487252671
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
WHITING PETROLEUM CORP
52990028CHK9KUB1B293
Whiting Petroleum Corp
966387AP7
1100000.00000000
PA
USD
767250.00000000
0.098426741487
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
6.25000000
N
N
N
N
N
N
WHITING PETROLEUM CORP
52990028CHK9KUB1B293
Whiting Petroleum Corp
966387AH5
1860000.00000000
PA
USD
1706085.00000000
0.218865281526
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DBT
CORP
US
N
2
2021-03-15
Fixed
5.75000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAZ7
720000.00000000
PA
USD
816920.09000000
0.104798673853
Long
DBT
CORP
LU
N
2
2025-06-01
Fixed
6.12500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
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PA
2825199.15000000
0.362430950000
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
1630000.00000000
PA
USD
1697492.25000000
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Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
OASIS PETROLEUM INC
529900FA4V2YNIKZ0M71
Oasis Petroleum Inc
674215AG3
400000.00000000
PA
USD
374750.00000000
0.048074840498
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.87500000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
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MORGAN STANLEY & COMPANY LLC
000000000
-10387500.00000000
PA
USD
-10387500.00000000
-1.33256145611
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2019-12-13
10000000.00000000
USD
9580584.52900000
USD
UST
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-11AR
61754VAE1
89156.41000000
PA
USD
67534.97000000
0.008663730249
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
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N
N
N
N
N
N
Freddie Mac - SCRT
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Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBJ7
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PA
USD
5157795.70000000
0.661668327154
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
Origen Manufactured Housing
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Origen Manufactured Housing Contract Trust 2007-B
68620KAA0
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USD
4887225.33000000
0.626958180706
Long
ABS-O
CORP
US
N
2
2037-10-15
Floating
2.96538000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
47093868.50000000
PA
16008349.22000000
2.053632649488
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
1630000.00000000
PA
USD
1691483.60000000
0.216992139495
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
1790000.00000000
PA
USD
1860572.04000000
0.238683666601
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
3123630.00000000
PA
USD
3524431.06000000
0.452131984142
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAC7
280000.00000000
PA
USD
280184.80000000
0.035943534543
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-669.00000000
NC
USD
-73171.88000000
-0.00938686180
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
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
2020-03-20
0.00000000
USD
100000.00000000
131
USD
2019-12-27
XXXX
364717.64
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AN5
3210000.00000000
PA
USD
3426689.99000000
0.439593261393
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.95000000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
1470000.00000000
PA
USD
1587339.08000000
0.203631949534
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CB0
880000.00000000
PA
USD
1010887.93000000
0.129681857229
Long
DBT
NUSS
ID
N
2
2047-07-18
Fixed
4.75000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
100812000000.00000000
PA
7177914.46000000
0.920819460377
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
8315510.00000000
PA
USD
11017774.68000000
1.413416305241
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.12500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
USD/RUB FORWARD
000000000
1.00000000
NC
USD
82751.53000000
0.010615788140
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-32366861.99000000
USD
2101159580.00000000
RUB
2020-01-17
82751.53
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
55390530.80000000
PA
USD
56820961.35000000
7.289282598725
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-38738.75000000
-0.00496960434
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-17090000.00000000
EUR
18858985.90000000
USD
2020-01-17
-38738.75
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAP2
8427564.77000000
PA
USD
6755673.29000000
0.866652210478
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Variable
3.50089400
N
N
N
N
N
N
AMBAC LSNI LLC
N/A
Ambac LSNI LLC
02315QAA6
206852.90807400
PA
USD
208919.99000000
0.026801321404
Long
DBT
CORP
KY
N
2
2023-02-12
Floating
7.10438000
N
N
N
N
N
N
EUREX CLEARING AG
529900LN3S50JPU47S06
EURO-BUND
000000000
-231.00000000
NC
1300097.21000000
0.166783098074
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AG
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2019-12-06
-44891089.14
USD
1300097.21
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Commercial Mortgage Trust Series 2006-C5
22545LAH2
1288901.90000000
PA
USD
858808.22000000
0.110172296718
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Fixed
5.37300000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Q60
43333600.00000000
PA
USD
43041103.83000000
5.521532225500
Long
DBT
UST
US
N
2
2021-04-15
Fixed
0.12500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06740L8C2
5060000.00000000
PA
USD
5678407.90000000
0.728455114283
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.62500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
273450000.00000000
PA
14597331.41000000
1.872620091365
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-212332.64000000
-0.02723911354
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-8443794.27000000
USD
897550000.00000000
JPY
2020-01-17
-212332.64
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAK3
13420847.59000000
PA
USD
11648369.67000000
1.494312245370
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Floating
3.25113000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-10290000.00000000
PA
USD
-10290000.00000000
-1.32005365905
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2019-12-13
7000000.00000000
USD
8391024.41200000
USD
UST
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
2630000.00000000
PA
USD
2310354.74000000
0.296384084377
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-37612500.00000000
PA
USD
-37612500.00000000
-4.82512325083
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2019-12-13
34000000.00000000
USD
33695251.95000000
USD
UST
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
3690000.00000000
PA
USD
3738741.21000000
0.479624782750
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
IMMUCOR INC
549300CSHW546WORC082
Immucor Inc
452526AB2
1180000.00000000
PA
USD
1184793.16000000
0.151991306713
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
11.12500000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AD0
30000.00000000
PA
USD
31257.90000000
0.004009922766
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD/COP FORWARD
000000000
1.00000000
NC
USD
-118672.11000000
-0.01522386326
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-23544643.48000000
USD
82621685652.00000000
COP
2020-01-17
-118672.11
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-4638.04000000
-0.00059499141
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-7837846.19000000
EUR
8662270.04000000
USD
2020-01-17
-4638.04
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CA2
400000.00000000
PA
USD
424480.82000000
0.054454563618
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
267.00000000
NC
USD
-76508.08000000
-0.00981484654
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
34615462.54
USD
-76508.08
N
N
N
AMBAC ASSURANCE CORP
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
48492.51000000
PA
USD
71181.55000000
0.009131532121
Long
DBT
CORP
US
N
2
2020-06-07
Fixed
5.10000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-167.00000000
NC
USD
-307906.25000000
-0.03949978347
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
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
2020-03-20
0.00000000
USD
100000.00000000
160
USD
2020-02-21
XXXX
-96835.78
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828K33
54820500.00000000
PA
USD
54667098.54000000
7.012974096933
Long
DBT
UST
US
N
2
2020-04-15
Fixed
0.12500000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
500000.00000000
PA
USD
518581.31000000
0.066526254206
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
3690000.00000000
PA
USD
4118639.63000000
0.528360088813
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
500000.00000000
PA
USD
527459.34000000
0.067665173155
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
74188350.00000000
PA
USD
99059217.59000000
12.70782144241
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
17016300.00000000
PA
USD
16915835.59000000
2.170049627452
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.12500000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
24206945.40000000
PA
31958386.58000000
4.099784756297
Long
DBT
NUSS
IT
N
2
2026-09-15
Fixed
3.10000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
1340.00000000
NC
USD
323811.00000000
0.041540125888
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2020-06-15
329249189
USD
323811
N
N
N
NEW YORK MERCANTILE EXCHANGE
5493008GFNDTXFPHWI47
GASOLINE RBOB
000000000
-38.00000000
NC
USD
-56518.59000000
-0.00725049286
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
5493008GFNDTXFPHWI47
Short
GASOLINE RBOB
GASOLINE RBOB
2020-02-28
-2503625.01
USD
-56518.59
N
N
N
KAZTRANSGAS JSC
635400YGLXBBSVHONW39
KazTransGas JSC
48668NAA9
4000000.00000000
PA
USD
4202500.00000000
0.539118124602
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19
46630VAL6
2256716.58000000
PA
USD
1469970.79000000
0.188575346942
Long
ABS-MBS
CORP
US
N
2
2049-02-12
Variable
6.00578300
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
330000.00000000
PA
USD
374309.25000000
0.048018298841
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FD5
15874800.00000000
PA
USD
20312767.34000000
2.605825350109
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-108040000.00000000
PA
USD
-108040000.00000000
-13.8599219945
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2019-12-13
74000000.00000000
USD
82122394.14000000
USD
UST
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
2860000.00000000
PA
USD
2877374.50000000
0.369124269891
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
3.80800000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-335.00000000
NC
USD
-146562.50000000
-0.01880178468
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
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
2020-03-20
0.00000000
USD
100000.00000000
131
USD
2020-02-21
XXXX
15123.58
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AY1
910000.00000000
PA
USD
906081.23000000
0.116236719442
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.25000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBA8
3770000.00000000
PA
USD
4206566.00000000
0.539639731811
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-268.00000000
NC
USD
-489937.51000000
-0.06285168151
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
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
2020-03-20
0.00000000
USD
100000.00000000
158
USD
2019-12-27
XXXX
-261635.52
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XQW7
2950000.00000000
PA
USD
3190191.95000000
0.409254087140
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
5.85800000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
1970000.00000000
PA
USD
2235999.25000000
0.286845383051
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828QV5
21644990.00000000
PA
USD
21792211.65000000
2.795616008493
Long
DBT
UST
US
N
2
2021-07-15
Fixed
0.62500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
27171771.20000000
PA
USD
28738171.10000000
3.686679097667
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
92925CDB5
2009974.85000000
PA
USD
1945776.86000000
0.249614175290
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
3.32644500
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS CDX.NA.IG.33.V1
000000000
1.00000000
NC
USD
1103173.37000000
0.141520703949
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.33.V1
Y
Default Event
2024-12-20
811412.35
USD
0
USD
42285000
USD
291761.02
N
N
N
Argentina POM Politica Monetaria
549300KPBYGYF7HCHO27
ARGENTINA POM FRN 6/20
000000000
276920000.00000000
PA
1202637.95000000
0.154280527348
Long
DBT
NUSS
AR
N
2
2020-06-21
Floating
70.98804900
N
N
N
N
N
N
YAMANA GOLD INC
549300WHE4O6UJ2KU013
Yamana Gold Inc
98462YAD2
1360000.00000000
PA
USD
1440604.97000000
0.184808149844
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
USD/AUD FORWARD
000000000
1.00000000
NC
USD
-3634.51000000
-0.00046625347
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-696486.28000000
AUD
468107.04000000
USD
2020-01-17
-3634.51
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-42550000.00000000
PA
USD
-42550000.00000000
-5.45853092251
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2019-12-13
40000000.00000000
USD
39597815.52000000
USD
UST
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
2690000.00000000
PA
USD
3201393.29000000
0.410691052140
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
750000.00000000
PA
USD
787535.03000000
0.101029008550
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
78.00000000
NC
USD
28111.20000000
0.003606248048
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2021-03-15
19187188.8
USD
28111.2
N
N
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG
000000000
-20137500.00000000
PA
USD
-20137500.00000000
-2.58334116221
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.60000000
2026-01-15
15000000.00000000
USD
16102430.22000000
USD
UST
366000.00000000
USD
366000.00000000
USD
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
17854787.00000000
PA
USD
21515447.21000000
2.760111255168
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
3720000.00000000
PA
USD
4082700.00000000
0.523749569855
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-2694.23000000
-0.00034562955
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
-555582.60000000
USD
500000.00000000
EUR
2020-01-17
-2694.23
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2007-SD2
07386UAM4
46441.58000000
PA
USD
44674.06000000
0.005731016167
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
2.10800000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
-346.00000000
NC
USD
292682.94000000
0.037546859658
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
-65243370.44
USD
292682.94
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SK5
880000.00000000
PA
USD
913618.75000000
0.117203670934
Long
DBT
UST
US
N
2
2049-11-15
Fixed
2.37500000
N
N
N
N
N
N
BONOS TESORERIA PESOS
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica en pesos
000000000
4785000000.00000000
PA
6923733.57000000
0.888211839978
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
2660000.00000000
PA
USD
2835861.64000000
0.363798788575
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
5.15800000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
2620000.00000000
PA
USD
2960600.00000000
0.379800861320
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IDR/USD FWD
000000000
1.00000000
NC
USD
59060.34000000
0.007576561508
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-3677929.12000000
USD
52969535174.00000000
IDR
2020-01-17
59060.34
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-97200000.00000000
PA
USD
-97200000.00000000
-12.4693115315
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2019-12-13
45000000.00000000
USD
60426122.73000000
USD
UST
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 2 YEAR NOTE
000000000
618.00000000
NC
USD
-126454.40000000
-0.01622221510
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
133358564.09
USD
-126454.4
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
BRL/USD FORWARD
000000000
1.00000000
NC
USD
-181579.96000000
-0.02329400297
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
-20439590.59000000
USD
86068380.00000000
BRL
2020-01-17
-181579.96
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
3380000.00000000
PA
USD
3447487.38000000
0.442261256608
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
Dreyfus Government Cash Management
549300F7IDB6WRO7VJ11
Dreyfus Government Cash Management
262006208
18621773.17000000
NS
USD
18621773.17000000
2.388895997189
Long
STIV
RF
US
N
1
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
2350000.00000000
PA
USD
2697126.07000000
0.346001082373
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AC2
110000.00000000
PA
USD
108143.75000000
0.013873231573
Long
DBT
CORP
CA
N
2
2024-03-31
Fixed
7.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
EUR/USD FORWARD
000000000
1.00000000
NC
USD
31448.25000000
0.004034341835
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-16200000.00000000
EUR
17945031.60000000
USD
2020-01-17
31448.25
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
INR/USD FORWARD
000000000
1.00000000
NC
USD
-84640.70000000
-0.01085814049
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-14466193.33000000
USD
1036321925.00000000
INR
2020-01-17
-84640.7
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
64903307.60000000
PA
USD
64798561.45000000
8.312689809847
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-836.00000000
NC
USD
-1227875.00000000
-0.15751806478
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
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
2020-03-20
0.00000000
USD
100000.00000000
161
USD
2020-02-21
XXXX
-189524.4
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
1900000.00000000
PA
472582.57000000
0.060625301334
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD/MYR FWD
000000000
1.00000000
NC
USD
60934.74000000
0.007817019096
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-11727986.67000000
USD
49281000.00000000
MYR
2020-01-17
60934.74
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Commercial Mortgage Trust Series 2007-C5
22546BAH3
1210207.55000000
PA
USD
774532.83000000
0.099361020048
Long
ABS-MBS
CORP
US
N
2
2040-09-15
Variable
5.86900000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
TWD/USD FWD
000000000
1.00000000
NC
USD
-172305.96000000
-0.02210428697
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-499498000.00000000
TWD
16236445.20000000
USD
2020-01-17
-172305.96
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AH8
500000.00000000
PA
USD
524549.85000000
0.067291928945
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
GBP/USD FORWARD
000000000
1.00000000
NC
USD
293725.48000000
0.037680602004
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-5202708.92000000
USD
4241448.29000000
GBP
2020-01-17
293725.48
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
2870000.00000000
PA
USD
3292564.45000000
0.422386953341
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
MORGAN STANLEY & COMPANY LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-21000000.00000000
PA
USD
-21000000.00000000
-2.69398705928
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.05000000
2019-12-13
10000000.00000000
USD
12797043.42000000
USD
UST
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FR4
10897120.00000000
PA
USD
12089185.71000000
1.550862374289
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.37500000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-5
52520TAT5
2759530.57000000
PA
USD
787204.94000000
0.100986662922
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.44200000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
COPPER
000000000
338.00000000
NC
USD
-267020.00000000
-0.03425468688
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
COPPER
COPPER
2020-03-27
22756695
USD
-267020
N
N
N
COMMODITY EXCHANGE, INC.
N/A
SILVER
000000000
102.00000000
NC
USD
-459765.00000000
-0.05898099811
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
SILVER
SILVER
2020-03-27
9183825
USD
-459765
N
N
N
2020-01-23
Western Asset Inflation-Linked Opportunities & Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer