0001752724-21-014152.txt : 20210127
0001752724-21-014152.hdr.sgml : 20210127
20210127163820
ACCESSION NUMBER: 0001752724-21-014152
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 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: 21560337
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
primary_doc.xml
NPORT-P
false
0001267902
XXXXXXXX
Western Asset Inflation-Linked Opportunities & Income Fund
811-21477
0001267902
549300Z3DNF4FJBJ4A87
620 Eighth Avenue
49th Floor
New York
10018
1-888-777-0102
Western Asset Inflation-Linked Opportunities & Income Fund
549300Z3DNF4FJBJ4A87
2020-11-30
2020-11-30
N
844400281.64
9181676.00
835218605.64
0.00000000
26410018.13000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
247209.54000000
USD
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
1790000.00000000
PA
USD
2005650.91000000
0.240134845710
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
100000.00000000
PA
USD
112989.00000000
0.013528075073
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
6453300.00000000
PA
USD
7925951.38000000
0.948967291494
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
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MORGAN STANLEY & COMPANY LLC
000000000
-65100000.00000000
PA
USD
-65100000.00000000
-7.79436659581
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
2604218.68000000
USD
2604218.68000000
USD
30000000.00000000
USD
43083067.61000000
USD
UST
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
3440000.00000000
PA
USD
4554872.25000000
0.545350908042
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
2690000.00000000
PA
USD
2575675.00000000
0.308383336123
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
CDS CDX.NA.HY.35
000000000
1.00000000
NC
USD
6472561.48000000
0.774954178019
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
2694220.67000000
USD
0.00000000
USD
64930000.00000000
USD
3778340.81000000
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
CANADIAN GOVERNMENT REAL RETURN BOND
135087G99
6088363.00000000
PA
5915655.45000000
0.708276301563
Long
DBT
NUSS
CA
N
2
2050-12-01
Fixed
0.50000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
IDR/USD FORWARD
000000000
1.00000000
NC
USD
169241.96000000
0.020263193235
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-3563852.19000000
USD
52969535174.00000000
IDR
2021-01-19
169241.96000000
N
N
N
BONCER
549300KPBYGYF7HCHO27
Argentina Treasury Bond BONCER
000000000
16187301.00941350
PA
108047.58000000
0.012936443138
Long
DBT
NUSS
AR
N
2
2021-08-05
Fixed
1.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
6590000.00000000
PA
USD
8542962.65000000
1.022841516258
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
EURO FX CURRENCY
000000000
60.00000000
NC
USD
104302.50000000
0.012488047954
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2020-12-14
8858572.50000000
USD
104302.50000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBQ1
4570000.00000000
PA
USD
4106389.50000000
0.491654456961
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.84446300
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAS8
3957600.00000000
PA
USD
3388307.95000000
0.405679175142
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
3.14088000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
2880000.00000000
PA
USD
3202032.50000000
0.383376576907
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
2870000.00000000
PA
USD
3190005.00000000
0.381936534753
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-133200000.00000000
PA
USD
-133200000.00000000
-15.9479205923
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
5328447.43800000
USD
5328447.43800000
USD
90000000.00000000
USD
105520165.70000000
USD
UST
N
N
N
MRCD Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust
55348UAG3
2530000.00000000
PA
USD
2651163.22000000
0.317421475299
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
29899480.00000000
PA
USD
30321415.78000000
3.630356840143
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.12500000
N
N
N
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
WTI CRUDE
000000000
301.00000000
NC
USD
929024.14000000
0.111231255353
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Long
WTI CRUDE OIL
WTI CRUDE OIL
2021-06-22
12832695.86000000
USD
929024.14000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FD5
16092500.00000000
PA
USD
21929441.25000000
2.625593000672
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond Future
000000000
-111.00000000
NC
USD
18756.72000000
0.002245725834
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
-23998225.47000000
USD
18756.72000000
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BJ6
3470000.00000000
PA
USD
4826329.97000000
0.577852305660
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-17200000.00000000
PA
USD
-17200000.00000000
-2.05934109751
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
10000000.00000000
USD
15657797.30000000
USD
UST
688057.77730000
USD
688057.77730000
USD
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
2250000.00000000
PA
USD
2099531.25000000
0.251375057478
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
231074340.00000000
PA
11562149.22000000
1.384326108389
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
2.00000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AY1
910000.00000000
PA
USD
936481.00000000
0.112124058740
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.25000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
24099787.80000000
PA
34903780.66000000
4.178999416955
Long
DBT
NUSS
IT
N
2
2026-09-15
Fixed
3.10000000
N
N
N
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAK8
1170000.00000000
PA
USD
1729908.11000000
0.207120399176
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-33900000.00000000
PA
USD
-33900000.00000000
-4.05881762823
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
1356113.87500000
USD
1356113.87500000
USD
30000000.00000000
USD
30859678.83000000
USD
UST
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
2660000.00000000
PA
USD
2753597.42000000
0.329685833314
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
3.60013000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
56150204.00000000
PA
USD
61794458.44000000
7.398596968831
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
1970000.00000000
PA
USD
2169787.55000000
0.259786783405
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
912810QP6
18576880.20000000
PA
USD
28995920.93000000
3.471656490192
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.12500000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
217320000.00000000
PA
11882450.38000000
1.422675488759
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
79228100.00000000
PA
USD
81209681.14000000
9.723164760891
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
100538280.00000000
PA
USD
143610225.36000000
17.19432785503
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-4422.33000000
-0.00052948173
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-595016.73000000
USD
12000000.00000000
MXN
2021-01-19
-4422.33000000
N
N
N
Security National Mortgage Loa
N/A
Security National Mortgage Loan Trust 2006-3
81441WAB2
43068.19000000
PA
USD
43193.59000000
0.005171531106
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
5.83000000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
GOLD 100 OZ
000000000
164.00000000
NC
USD
-1878210.00000000
-0.22487645597
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
GOLD
GOLD
2021-02-24
31084970.00000000
USD
-1878210.00000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-5643750.00000000
PA
USD
-5643750.00000000
-0.67572129762
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
225768.95820000
USD
225768.95820000
USD
5000000.00000000
USD
5204466.02600000
USD
UST
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
4480000.00000000
PA
USD
6414778.27000000
0.768035844350
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
31573360.00000000
PA
USD
32527912.66000000
3.894538799824
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.12500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/INR FORWARD
000000000
1.00000000
NC
USD
-34015.57000000
-0.00407265472
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-8667003.16000000
USD
642419942.00000000
INR
2021-01-19
-34015.57000000
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
BRENT CRUDE
000000000
374.00000000
NC
USD
1550239.80000000
0.185608868089
N/A
DCO
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
BRENT CRUDE
BRENT CRUDE
2021-04-30
16454120.20000000
USD
1550239.80000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
750000.00000000
PA
USD
818059.34000000
0.097945535992
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19
46630VAL6
515435.21000000
PA
USD
260810.22000000
0.031226581668
Long
ABS-MBS
CORP
US
N
2
2049-02-12
Variable
6.09201200
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBJ7
5170000.00000000
PA
USD
5210233.97000000
0.623816798957
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
12042200.00000000
PA
USD
18578968.92000000
2.224443851530
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.12500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
580000.00000000
PA
USD
677340.63000000
0.081097406765
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
2010.00000000
NC
USD
591751.50000000
0.070849894387
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
277133727.30000000
USD
591751.50000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
MEXICAN PESO
000000000
388.00000000
NC
USD
788617.19000000
0.094420452881
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2020-12-14
8820202.82000000
USD
788617.19000000
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
110000.00000000
PA
USD
120095.91000000
0.014378979250
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
92925CDB5
1568789.64000000
PA
USD
1473583.88000000
0.176430921204
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
1.74344000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
26720430.00000000
PA
USD
27912770.40000000
3.341971815703
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.62500000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-5
52520TAT5
2710187.53000000
PA
USD
768211.60000000
0.091977309271
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
6.99987000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/BRL FORWARD
000000000
1.00000000
NC
USD
182808.29000000
0.021887478172
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-3000932.58000000
USD
17070931.00000000
BRL
2021-01-19
182808.29000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/CAD FORWARD
000000000
1.00000000
NC
USD
-106837.74000000
-0.01279159004
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-6648383.06000000
CAD
5014147.15000000
USD
2021-01-19
-106837.74000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
BRITISH POUND CURRENCY
000000000
-67.00000000
NC
USD
-150498.75000000
-0.01801908494
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
BRITISH POUND CURRENCY
BRITISH POUND CURRENCY
2020-12-14
-5437301.25000000
USD
-150498.75000000
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AD0
26000.00000000
PA
USD
26540.28000000
0.003177644729
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/COP FORWARD
000000000
1.00000000
NC
USD
1123693.44000000
0.134538841976
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-13904502.98000000
USD
54160819992.00000000
COP
2021-01-19
1123693.44000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
29948880.00000000
PA
USD
37957783.13000000
4.544652486628
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942AU6
253011312.00000000
PA
6555266.11000000
0.784856331711
Long
DBT
NUSS
UY
N
2
2027-04-05
Fixed
4.25000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
1700000.00000000
PA
USD
1240150.00000000
0.148482085004
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
ILFC E-CAPITAL TRUST II
N/A
ILFC E-Capital Trust II
44965UAA2
2084000.00000000
PA
USD
1303969.22000000
0.156123104920
Long
SN
CORP
US
N
2
2065-12-21
Variable
3.23000000
N
N
N
N
N
N
BARRICK GOLD CORP
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901AH1
330000.00000000
PA
USD
458667.56000000
0.054915869558
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
330000.00000000
PA
USD
327993.60000000
0.039270389546
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XQW7
2950000.00000000
PA
USD
2944186.44000000
0.352504891548
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
4.30013000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-11AR
61754VAE1
83584.96000000
PA
USD
62307.20000000
0.007459987071
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
2.83117400
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
210000.00000000
PA
USD
235857.60000000
0.028239026095
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.62500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
3690000.00000000
PA
USD
3718297.87000000
0.445188582353
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBA8
3770000.00000000
PA
USD
4461436.85000000
0.534163968555
Long
DBT
NUSS
QA
N
2
2029-03-14
Fixed
4.00000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
2446000.00000000
PA
513814.65000000
0.061518582863
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-167.00000000
NC
USD
-360093.75000000
-0.04311371269
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
175.00000000
USD
2021-01-22
XXXX
-42038.91000000
N
N
N
BONOS TESORERIA PESOS
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica en pesos
000000000
4785000000.00000000
PA
7429027.15000000
0.889470983983
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-TRUE
63874DAA0
5700000.00000000
PA
USD
5610418.80000000
0.671730581923
Long
ABS-MBS
CORP
US
N
2
2024-04-18
Floating
3.51050000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AN5
3210000.00000000
PA
USD
4445784.07000000
0.532289874767
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.95000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-334.00000000
NC
USD
-287031.26000000
-0.03436600406
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
137.50000000
USD
2020-12-24
XXXX
-141484.07000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
1630000.00000000
PA
USD
1822620.36000000
0.218220756541
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
40171.04000000
PA
USD
37604.21000000
0.004502319482
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.71180500
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
55884672.00000000
PA
USD
80245175.51000000
9.607685337482
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-11400000.00000000
PA
USD
-11400000.00000000
-1.36491212276
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
10000000.00000000
USD
10006067.21000000
USD
UST
456038.29420000
USD
456038.29420000
USD
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
3720000.00000000
PA
USD
4232861.52000000
0.506796842337
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
9128286N5
17544000.00000000
PA
USD
18609991.33000000
2.228158137801
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
250000000.00000000
PA
3570235.48000000
0.427461200683
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAC7
280000.00000000
PA
USD
294707.00000000
0.035285013768
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG
000000000
-20137500.00000000
PA
USD
-20137500.00000000
-2.41104542739
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.60000000
2026-01-15
15000000.00000000
USD
17298387.82000000
USD
UST
1378000.00000000
USD
1378000.00000000
USD
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-155458.74000000
-0.01861294024
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-11790000.00000000
EUR
13930030.02000000
USD
2021-01-19
-155458.74000000
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBH2
50000.00000000
PA
USD
52922.83000000
0.006336404582
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
2.93700000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
570000.00000000
PA
USD
630206.25000000
0.075454048286
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-698.00000000
NC
USD
-109283.52000000
-0.01308442116
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
-121975278.98000000
USD
-109283.52000000
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAL5
4220000.00000000
PA
USD
3783280.64000000
0.452968913102
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
10 YEAR US TREASURY NOTE
000000000
-500.00000000
NC
USD
-257812.50000000
-0.03086766725
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
138.00000000
USD
2020-12-24
XXXX
-98521.25000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDJ7
30000.00000000
PA
USD
33026.77000000
0.003954266556
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.10000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
2350000.00000000
PA
USD
2965610.04000000
0.355069920614
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
3720000.00000000
PA
USD
4298032.20000000
0.514599671388
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
3690000.00000000
PA
USD
4313111.85000000
0.516405144817
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
100812000000.00000000
PA
7604166.34000000
0.910440247457
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
31000.00000000
PA
USD
34308.40000000
0.004107715006
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
2630000.00000000
PA
USD
2531375.00000000
0.303079335506
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
171354.82000000
0.020516164132
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-5487129.84000000
USD
4241448.29000000
GBP
2021-01-19
171354.82000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828QV5
4619320.00000000
PA
USD
4669895.41000000
0.559122531330
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
912828X39
74917500.00000000
PA
USD
76121006.19000000
9.113902118077
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.12500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06740L8C2
5060000.00000000
PA
USD
5598535.14000000
0.670307761608
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.62500000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
1630000.00000000
PA
USD
1843128.45000000
0.220676172388
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABA6
673000.00000000
PA
USD
659119.38000000
0.078915792290
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAA2
1310000.00000000
PA
USD
1297247.15000000
0.155318277303
Long
ABS-MBS
CORP
KY
N
2
2037-02-16
Floating
1.04350000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
186910.19000000
0.022378595105
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-08-31
16707.62000000
USD
0.00000000
USD
56637000.00000000
USD
170202.57000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Bonos del Tesoro
000000000
26750000.00000000
PA
82568.66000000
0.009885874122
Long
DBT
NUSS
AR
N
2
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
27898274.25000000
PA
6348236.06000000
0.760068803200
Long
DBT
NUSS
BR
N
2
2030-08-15
Fixed
6.00000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAK3
13523866.53000000
PA
USD
11976952.58000000
1.433990155286
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Floating
0.38549700
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
-37.00000000
NC
USD
-6134.23000000
-0.00073444604
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
-4657022.02000000
USD
-6134.23000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BX0
230000.00000000
PA
USD
262132.30000000
0.031384873161
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
4.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
606654.72000000
0.072634244005
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-04-07
91118.23000000
USD
0.00000000
USD
-14120000.00000000
USD
515536.49000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.34.V1
000000000
1.00000000
NC
USD
3198138.05000000
0.382910297783
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
-644025.29000000
USD
174645000.00000000
USD
3842163.34000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
49033330.50000000
PA
11857040.98000000
1.419633243312
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MYR FORWARD
000000000
1.00000000
NC
USD
210320.84000000
0.025181531946
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-10004138.97000000
USD
41682245.00000000
MYR
2021-01-19
210320.84000000
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-116836.83000000
-0.01398877242
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-8040000.00000000
EUR
9488534.64000000
USD
2021-01-19
-116836.83000000
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Commercial Mortgage Trust Series 2006-C5
22545LAH2
1270817.69000000
PA
USD
559159.78000000
0.066947715990
Long
ABS-MBS
CORP
US
N
2
2039-12-15
Fixed
5.37300000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
COPPER
000000000
287.00000000
NC
USD
1821732.50000000
0.218114453832
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
COPPER
COPPER
2021-03-29
22845917.50000000
USD
1821732.50000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
4090000.00000000
PA
833249.68000000
0.099764262239
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
250000.00000000
PA
USD
344454.68000000
0.041241260392
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
ANTOFAGASTA PLC
213800MY6QVH4FVLD628
Antofagasta PLC
03718NAA4
1110000.00000000
PA
USD
1106115.00000000
0.132434190585
Long
DBT
CORP
GB
N
2
2030-10-14
Fixed
2.37500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
2374455.36000000
PA
USD
2370396.47000000
0.283805515585
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
2.25013000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
100000.00000000
PA
USD
110108.55000000
0.013183201290
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAR1
2330000.00000000
PA
USD
2824658.77000000
0.338193947180
Long
DBT
CORP
CA
N
2
2042-10-25
Variable
5.55000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-167.00000000
NC
USD
-318343.75000000
-0.03811502136
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
174.00000000
USD
2020-12-24
XXXX
-115101.41000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
CLP/USD FORWARD
000000000
1.00000000
NC
USD
-260686.90000000
-0.03121181667
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-6204483648.00000000
CLP
7890633.02000000
USD
2021-01-19
-260686.90000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-74000000.00000000
PA
USD
-74000000.00000000
-8.85995588463
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
50000000.00000000
USD
71418206.20000000
USD
UST
2960248.57700000
USD
2960248.57700000
USD
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
2620000.00000000
PA
USD
2885144.00000000
0.345435791362
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
500000.00000000
PA
USD
560974.05000000
0.067164936965
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-199658.53000000
-0.02390494280
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-14947846.19000000
EUR
17658502.58000000
USD
2021-01-19
-199658.53000000
N
N
N
YAMANA GOLD INC
54930002VY22NXG01418
Yamana Gold Inc
98462YAD2
1360000.00000000
PA
USD
1485809.52000000
0.177894686488
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
2010000.00000000
PA
USD
2446284.93000000
0.292891575149
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-501.00000000
NC
USD
-1291640.63000000
-0.15464701352
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
173.00000000
USD
2020-12-24
XXXX
-478335.48000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
JPY/USD FORWARD
000000000
1.00000000
NC
USD
87211.50000000
0.010441757332
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-8519008.91000000
USD
897550000.00000000
JPY
2021-01-19
87211.50000000
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
1620000.00000000
PA
USD
2371123.81000000
0.283892599373
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBC4
400000.00000000
PA
USD
458152.45000000
0.054854195884
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-501.00000000
NC
USD
-681046.89000000
-0.08154115406
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Written
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-03-22
0.00000000
USD
100000.00000000
175.00000000
USD
2020-12-24
XXXX
-55663.61000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-11020.54000000
-0.00131947970
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-696486.28000000
AUD
500498.52000000
USD
2021-01-19
-11020.54000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAW9
11560000.00000000
PA
USD
57539.32000000
0.006889132930
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
0.60000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BU9
430000.00000000
PA
USD
562997.76000000
0.067407234010
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
USD/BRL FORWARD
000000000
1.00000000
NC
USD
337870.17000000
0.040452902715
N/A
DFE
CORP
US
N
2
CITIBANK, NATIONAL ASSOCIATION
E57ODZWZ7FF32TWEFA76
-5874468.72000000
USD
33310000.00000000
BRL
2021-01-19
337870.17000000
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
WTI CRUDE
000000000
-301.00000000
NC
USD
-1382342.50000000
-0.16550666983
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Short
WTI CRUDE
WTI CRUDE
2020-12-21
-12264997.50000000
USD
-1382342.50000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BY8
290000.00000000
PA
USD
342605.92000000
0.041019909959
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-8600000.00000000
PA
USD
-8600000.00000000
-1.02967054875
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
344028.88860000
USD
344028.88860000
USD
5000000.00000000
USD
7803166.94600000
USD
UST
N
N
N
AMBAC ASSURANCE CORP
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
48492.51000000
PA
USD
66071.04000000
0.007910628373
Long
DBT
CORP
US
N
2
N/A
Fixed
5.10000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
30000.00000000
PA
USD
39512.88000000
0.004730842887
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2007-SD2
07386UAM4
39525.18000000
PA
USD
38310.73000000
0.004586910509
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.55013000
N
N
N
N
N
N
RUSSIA I/L BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Inflation Linked Bond
000000000
510717060.00000000
PA
6710761.62000000
0.803473674399
Long
DBT
NUSS
RU
N
2
2028-02-02
Fixed
2.50000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
70000.00000000
PA
USD
85503.00000000
0.010237200108
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
AMBAC LSNI LLC
N/A
Ambac LSNI LLC
02315QAA6
178307.96497400
PA
USD
177862.20000000
0.021295287101
Long
DBT
CORP
KY
N
2
2023-02-12
Floating
6.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
25373439.00000000
PA
USD
32990550.21000000
3.949929992845
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
14700623.00000000
PA
USD
18891117.62000000
2.261817144928
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/MXN FORWARD
000000000
1.00000000
NC
USD
-3120791.43000000
-0.37364965398
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-593114444.00000000
MXN
26070047.82000000
USD
2021-01-19
-3120791.43000000
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
51280000.00000000
PA
2861495.17000000
0.342604337436
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
147359770.60000000
PA
USD
172983878.18000000
20.71120985714
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810ST6
2290000.00000000
PA
USD
2295009.38000000
0.274779484616
Long
DBT
UST
US
N
2
2040-11-15
Fixed
1.37500000
N
N
N
N
N
N
KAZTRANSGAS JSC
635400YGLXBBSVHONW39
KazTransGas JSC
48668NAA9
4000000.00000000
PA
USD
4530520.00000000
0.542435234249
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
Dreyfus Government Cash Management
5493000Q69I5Q3QZIA91
Dreyfus Government Cash Management
262006208
29124059.50000000
NS
USD
29124059.50000000
3.486998410156
Long
STIV
RF
US
N
1
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
1900000.00000000
PA
356988.85000000
0.042741965706
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
660000.00000000
PA
USD
754627.02000000
0.090350839277
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CA2
400000.00000000
PA
USD
456805.70000000
0.054692950673
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAP2
8489165.78000000
PA
USD
6952024.04000000
0.832359814910
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Variable
0.39958900
N
N
N
N
N
N
Origen Manufactured Housing
5493005G5GFEQWMCSY59
Origen Manufactured Housing Contract Trust 2007-B
68620KAA0
3906297.92000000
PA
USD
3838636.93000000
0.459596673742
Long
ABS-O
CORP
US
N
2
2037-10-15
Floating
1.34088000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAQ2
3952500.00000000
PA
USD
3578467.81000000
0.428446850421
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
2.64088000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AH8
500000.00000000
PA
USD
557885.35000000
0.066795129590
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & COMPANY LLC
000000000
-23075000.00000000
PA
USD
-23075000.00000000
-2.76274975727
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.24000000
2020-12-11
923077.51220000
USD
923077.51220000
USD
20000000.00000000
USD
22246005.04000000
USD
UST
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAJ9
2550000.00000000
PA
USD
3170580.75000000
0.379610886130
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CB0
880000.00000000
PA
USD
1121624.68000000
0.134291151134
Long
DBT
NUSS
ID
N
2
2047-07-18
Fixed
4.75000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
RUB/USD FORWARD
000000000
1.00000000
NC
USD
1446791.86000000
0.173223135862
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-33945179.15000000
USD
2715784058.00000000
RUB
2021-01-19
1446791.86000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-60703.71000000
-0.00726800260
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Y
2024-11-30
12593.20000000
USD
0.00000000
USD
22250000.00000000
USD
-73296.91000000
N
N
N
2021-01-26
Western Asset Inflation-Linked Opportunities & Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer