0001752724-21-154641.txt : 20210723
0001752724-21-154641.hdr.sgml : 20210723
20210723164230
ACCESSION NUMBER: 0001752724-21-154641
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210528
FILED AS OF DATE: 20210723
PERIOD START: 20211130
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: 211111353
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
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Western Asset Inflation-Linked Opportunities & Income Fund
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620 Eighth Avenue
47th Floor
New York
10018
1-888-777-0102
Western Asset Inflation-Linked Opportunities & Income Fund
549300Z3DNF4FJBJ4A87
2021-11-30
2021-05-28
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0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
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RUB
USD
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Glencore Funding LLC
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USD
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CORP
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2024-03-12
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N
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N
N
N
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TSY INFL IX N/B
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United States Treasury Inflation Indexed Bonds
9128284H0
79977750.00000000
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USD
85141437.45000000
9.689070687978
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US
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2023-04-15
Fixed
0.62500000
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United States Treasury Inflation Indexed Bonds
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EOG Resources Inc
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2030-04-15
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BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
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Fannie Mae - CAS
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Fannie Mae Connecticut Avenue Securities
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2030-02-25
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BRENT CRUDE
2021-10-29
18774426.10000000
USD
1763873.90000000
N
N
N
TSY INFL IX N/B
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United States Treasury Inflation Indexed Bonds
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PA
USD
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Long
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UST
US
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2
2029-01-15
Fixed
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N
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N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
100000.00000000
PA
USD
110188.07000000
0.012539370148
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
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N
N
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Citibank, National Association
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Citibank, National Association
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RUB
2021-07-19
1133578.23000000
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RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
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673000.00000000
PA
USD
693190.00000000
0.078884819323
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
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N
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AMBAC LSNI LLC
N/A
Ambac LSNI LLC
02315QAA6
175899.51837400
PA
USD
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DBT
CORP
KY
N
2
2023-02-12
Floating
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N
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AMBAC ASSURANCE CORP
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
48492.51000000
PA
USD
65634.61000000
0.007469199427
Long
DBT
CORP
US
N
2
N/A
Fixed
5.10000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
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Brazil Notas do Tesouro Nacional Serie B
000000000
51318762.50000000
PA
12439361.99000000
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Long
DBT
NUSS
BR
N
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2050-08-15
Fixed
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MORGAN STANLEY & CO. LLC
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MORGAN STANLEY & CO. LLC
000000000
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Reverse repurchase
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2021-06-11
649802.68700000
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USD
35000000.00000000
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USD
UST
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N
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Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAP2
8635260.62000000
PA
USD
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Long
ABS-MBS
CORP
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2
2036-09-29
Variable
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N
N
N
N
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ILFC E-CAPITAL TRUST II
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ILFC E-Capital Trust II
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2084000.00000000
PA
USD
1808932.84000000
0.205856028292
Long
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CORP
US
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2
2065-12-21
Variable
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N
N
N
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N
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TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
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17853910.00000000
PA
USD
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2.210373492383
Long
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US
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2024-04-15
Fixed
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N
N
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Dreyfus Government Cash Management
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Dreyfus Government Cash Management
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14590424.74000000
NS
USD
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1.660386069433
Long
STIV
RF
US
N
1
N
N
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NEW YORK MERCANTILE EXCHANGE, INC.
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WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
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NC
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DCO
CORP
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NEW YORK MERCANTILE EXCHANGE, INC.
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Short
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2021-06-22
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USD
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RUSSIA I/L BOND - OFZ
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Russian Federal Inflation Linked Bond
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Long
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2028-02-02
Fixed
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N
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TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
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Long
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2042-02-15
Fixed
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JP Morgan Chase Commercial Mor
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USD
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US
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2049-02-12
Variable
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N
N
N
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N
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TSY INFL IX N/B
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United States Treasury Inflation Indexed Bonds
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PA
USD
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2.282420529957
Long
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US
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2
2041-02-15
Fixed
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BARCLAYS BANK PLC
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Barclays Bank PLC
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PA
USD
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Long
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CORP
GB
N
2
2022-11-21
Fixed
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N
N
N
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N
N
GENERAL ELECTRIC CO
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General Electric Co
369604BW2
210000.00000000
PA
USD
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0.026272254561
Long
DBT
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US
N
2
2030-05-01
Fixed
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JP Morgan Chase Commercial Mor
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JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
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2
2037-01-16
Floating
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N
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N
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Seasoned Credit Risk Transfer Trust Series 2017-2
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2056-08-25
Variable
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Russian Federal Bond - OFZ
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PA
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2028-01-19
Fixed
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Occidental Petroleum Corp
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USD
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0.323386449933
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2
2040-03-15
Fixed
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WAMU Mortgage Pass-Through Cer
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WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
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2046-02-25
Floating
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ANGLO AMERICAN CAPITAL
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Anglo American Capital PLC
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USD
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2
2027-09-11
Fixed
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CHEVRON USA INC
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Chevron USA Inc
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2047-08-15
Fixed
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BHP BILLITON FIN USA LTD
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BHP Billiton Finance USA Ltd
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1620000.00000000
PA
USD
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0.244963985165
Long
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CORP
AU
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2
2043-09-30
Fixed
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Citibank, National Association
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CAD/USD FORWARD
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IRS USD
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DIR
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UK CLEARING HOUSE LIMITED
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2026-03-22
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USD
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Natixis Commercial Mortgage Se
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Natixis Commercial Mortgage Securities Trust 2019-TRUE
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PA
USD
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Long
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CORP
US
N
2
2024-04-18
Floating
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N
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N
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UNITED MEXICAN STATES
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Mexico Government International Bond
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PA
USD
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0.479149503855
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MX
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2
2029-04-22
Fixed
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MORGAN STANLEY & CO. LLC
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MORGAN STANLEY & CO. LLC
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DFE
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1
CHICAGO MERCANTILE EXCHANGE INC.
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EURO CURRENCY 2PM
2021-06-14
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TSY INFL IX N/B
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UST
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2
2040-02-15
Fixed
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N
N
N
N
COMCAST CORP
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Comcast Corp
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PA
USD
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DBT
CORP
US
N
2
2025-04-01
Fixed
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N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
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Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
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N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
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12373130.00000000
PA
USD
14820252.76000000
1.686540430911
Long
DBT
UST
US
N
2
2045-02-15
Fixed
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N
N
N
N
N
APACHE CORP
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Apache Corp
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USD
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Long
DBT
CORP
US
N
2
2042-02-01
Fixed
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N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/EUR FORWARD
000000000
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NC
USD
-88475.16000000
-0.01006844733
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DFE
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BNP PARIBAS SECURITIES CORP.
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CHICAGO MERCANTILE EXCHANGE INC.
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90 DAY EURO DOLLAR TIME DEPOSIT
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0.00000000
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DIR
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N
1
CHICAGO MERCANTILE EXCHANGE INC.
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Long
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
207348072.30000000
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0.00000000
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N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
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PA
USD
59949159.10000000
6.822196777519
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.12500000
N
N
N
N
N
N
BARRICK NA FINANCE LLC
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Barrick North America Finance LLC
06849RAK8
1170000.00000000
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USD
1576915.01000000
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DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
1790000.00000000
PA
USD
1953645.86000000
0.222324327656
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
580000.00000000
PA
USD
644023.40000000
0.073289674619
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
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RUB/USD FORWARD
000000000
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USD
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DFE
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N
2
GOLDMAN SACHS & CO. LLC
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1240914058.00000000
RUB
2021-07-19
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N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
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CBOT US Long Bond
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DIR
CORP
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N
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BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
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United States Treasury Note/Bond
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N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
000000000
259.00000000
NC
USD
900416.80000000
0.102467168574
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Long
WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
2021-11-19
15652273.19000000
USD
900416.80000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAH3
990299.71000000
PA
USD
1000008.61000000
0.113800687433
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
3.84163000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
191412.32000000
0.021782666050
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-5828152.89000000
USD
4241448.29000000
GBP
2021-07-19
191412.32000000
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond
135087ZH0
3586601.70000000
PA
3812031.66000000
0.433808088338
Long
DBT
NUSS
CA
N
2
2044-12-01
Fixed
1.50000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CA2
400000.00000000
PA
USD
445528.51000000
0.050701014173
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828QV5
11752300.00000000
PA
USD
11889020.97000000
1.352967110249
Long
DBT
UST
US
N
2
2021-07-15
Fixed
0.62500000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
2446000.00000000
PA
498272.68000000
0.056703285297
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CCE9
6460000.00000000
PA
USD
6453943.75000000
0.734456911732
Long
DBT
UST
US
N
2
2028-05-31
Fixed
1.25000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
3690000.00000000
PA
USD
3766157.91000000
0.428587669000
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
100812000000.00000000
PA
7470046.76000000
0.850089137180
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
912828TE0
80627400.00000000
PA
USD
84024284.77000000
9.561939039629
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
2630000.00000000
PA
USD
2480379.30000000
0.282266439121
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
90539995.00000000
PA
USD
101753661.30000000
11.57953690499
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
4480000.00000000
PA
USD
5923313.98000000
0.674071399053
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.36.5Y.V1
000000000
1.00000000
NC
USD
4261947.45000000
0.485008373692
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.36.V1
Y
Default Event
2026-06-20
3435177.97000000
USD
0.00000000
USD
161024000.00000000
USD
826769.48000000
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
1970000.00000000
PA
USD
2112825.00000000
0.240438867247
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBH2
50000.00000000
PA
USD
52383.45000000
0.005961221294
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
2.93700000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
GOLD 100 TROY OUNCES
000000000
164.00000000
NC
USD
601470.00000000
0.068447110140
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
GOLD
GOLD
2021-08-27
30645450.00000000
USD
601470.00000000
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AD0
26000.00000000
PA
USD
26937.04000000
0.003065427276
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
2620000.00000000
PA
USD
2809033.00000000
0.319667134089
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
3440000.00000000
PA
USD
4174440.00000000
0.475050051468
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
Security National Mortgage Loa
N/A
Security National Mortgage Loan Trust 2006-3
81441WAB2
13990.58000000
PA
USD
13961.61000000
0.001588827135
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Variable
5.83000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBC4
400000.00000000
PA
USD
451117.40000000
0.051337028221
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAW9
11560000.00000000
PA
USD
33210.72000000
0.003779370225
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
0.60000000
N
N
N
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
238382865.00000000
PA
12022749.80000000
1.368185412003
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
2.00000000
N
N
N
N
N
N
KAZTRANSGAS JSC
635400YGLXBBSVHONW39
KazTransGas JSC
48668NAA9
4000000.00000000
PA
USD
4467660.00000000
0.508418401736
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
BONOS TESORERIA PESOS
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica en pesos
000000000
4785000000.00000000
PA
6917899.05000000
0.787254889220
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/CLP FORWARD
000000000
1.00000000
NC
USD
90459.01000000
0.010294208889
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-6204483648.00000000
CLP
8650498.64000000
USD
2021-07-19
90459.01000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
2880000.00000000
PA
USD
3066822.52000000
0.349003506092
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
110000.00000000
PA
USD
119507.38000000
0.013599904902
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
815872.54000000
0.092846056505
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-03-22
0.00000000
USD
0.00000000
USD
-56220000.00000000
USD
815872.54000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
100000.00000000
PA
USD
110098.50000000
0.012529177109
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
USD/IDR FORWARD
000000000
1.00000000
NC
USD
84091.98000000
0.009569642737
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-3608033.18000000
USD
52969535174.00000000
IDR
2021-07-19
84091.98000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
000000000
-51918750.00000000
PA
USD
-51918750.00000000
-5.90833856988
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.20000000
2021-06-11
426982.35410000
USD
426982.35410000
USD
45000000.00000000
USD
47053599.47000000
USD
UST
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
100090500.00000000
PA
USD
119234012.21000000
13.56879572760
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
2870000.00000000
PA
USD
3103187.50000000
0.353141830183
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 & CO. LLC
000000000
-36112500.00000000
PA
USD
-36112500.00000000
-4.10959194135
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.20000000
2021-06-11
296990.97650000
USD
296990.97650000
USD
30000000.00000000
USD
33578708.23000000
USD
UST
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-C59
95003CBU3
3995470.00000000
PA
USD
470926.87000000
0.053591340115
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
1.68920000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BU9
430000.00000000
PA
USD
518823.28000000
0.059041937569
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
BRITISH POUND CURRENCY
000000000
-67.00000000
NC
USD
-106739.38000000
-0.01214691023
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
BRITISH POUND CURRENCY
BRITISH POUND CURRENCY
2021-06-14
-5837835.63000000
USD
-106739.38000000
N
N
N
ANTOFAGASTA PLC
213800MY6QVH4FVLD628
Antofagasta PLC
03718NAA4
1110000.00000000
PA
USD
1066093.95000000
0.121321179803
Long
DBT
CORP
GB
N
2
2030-10-14
Fixed
2.37500000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA Inc
166756AP1
500000.00000000
PA
USD
553298.32000000
0.062965187041
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 & CO. LLC
000000000
-18437500.00000000
PA
USD
-18437500.00000000
-2.09818210920
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.20000000
2021-06-11
151630.90700000
USD
151630.90700000
USD
10000000.00000000
USD
14841788.50000000
USD
UST
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
250000.00000000
PA
USD
318910.71000000
0.036291945554
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
217320000.00000000
PA
11179712.52000000
1.272248016028
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
51280000.00000000
PA
2689741.30000000
0.306091773507
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAR1
2330000.00000000
PA
USD
2882609.71000000
0.328040142174
Long
DBT
CORP
CA
N
2
2042-10-25
Variable
5.55000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
102313740.00000000
PA
USD
144934396.65000000
16.49349196254
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAC7
280000.00000000
PA
USD
299232.92000000
0.034052618805
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
BARRICK GOLD CORP
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901AH1
330000.00000000
PA
USD
420584.18000000
0.047862356712
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/JPY FORWARD
000000000
1.00000000
NC
USD
7496.46000000
0.000853094956
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-8167564.52000000
USD
897550000.00000000
JPY
2021-07-19
7496.46000000
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
660000.00000000
PA
USD
685596.73000000
0.078020707417
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BX0
230000.00000000
PA
USD
260396.98000000
0.029633100188
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
4.25000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
1462.00000000
NC
USD
-116755.32000000
-0.01328672127
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
2021-09-21
193009380.32000000
USD
-116755.32000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
000000000
-39656250.00000000
PA
USD
-39656250.00000000
-4.51286965522
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.20000000
2021-06-11
25000000.00000000
USD
33704585.27000000
USD
UST
326134.95090000
USD
326134.95090000
USD
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
COP/USD FORWARD
000000000
1.00000000
NC
USD
-257132.27000000
-0.02926157714
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-14820714.75000000
USD
54160819992.00000000
COP
2021-07-19
-257132.27000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
45.00000000
NC
USD
30264.51000000
0.003444092389
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
2021-09-21
8305985.49000000
USD
30264.51000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
1700000.00000000
PA
USD
1266500.00000000
0.144127329698
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1305996.01000000
0.148621964088
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
1214877.78000000
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
570000.00000000
PA
USD
621328.50000000
0.070707001634
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
6590000.00000000
PA
USD
7817135.89000000
0.889587778691
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
3690000.00000000
PA
USD
4215087.00000000
0.479675668184
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
000000000
-37800000.00000000
PA
USD
-37800000.00000000
-4.30162894795
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.20000000
2021-06-11
35000000.00000000
USD
35683370.24000000
USD
UST
310869.05960000
USD
310869.05960000
USD
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
2010000.00000000
PA
USD
2227289.36000000
0.253464877948
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-420276.68000000
-0.04782736330
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-505614444.00000000
MXN
24818416.79000000
USD
2021-07-19
-420276.68000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
MEXICAN PESO CURRENCY
000000000
257.00000000
NC
USD
424110.67000000
0.048263670243
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2021-06-14
6017594.35000000
USD
424110.67000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BY8
290000.00000000
PA
USD
330962.76000000
0.037663465320
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.35000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
2350000.00000000
PA
USD
2960575.57000000
0.336912634246
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
3720000.00000000
PA
USD
4169844.72000000
0.474527109948
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
COPPER
000000000
250.00000000
NC
USD
2933750.00000000
0.333859892224
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
COPPER
COPPER
2021-07-28
26300625.00000000
USD
2933750.00000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
29198606.25000000
PA
6468060.72000000
0.736063418790
Long
DBT
NUSS
BR
N
2
2030-08-15
Fixed
6.00000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Bonos del Tesoro
000000000
26750000.00000000
PA
97457.95000000
0.011090686215
Long
DBT
NUSS
AR
N
2
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/BRL FORWARD
000000000
1.00000000
NC
USD
166811.68000000
0.018983120411
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-2401271.16000000
USD
13450000.00000000
BRL
2021-07-19
166811.68000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-50556.81000000
-0.00575335019
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1620000.00000000
EUR
1926941.40000000
USD
2021-07-19
-50556.81000000
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
2660000.00000000
PA
USD
2775952.59000000
0.315902593103
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
3.54163000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828X39
80597100.00000000
PA
USD
82984581.95000000
9.443621162704
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRL/USD FORWARD
000000000
1.00000000
NC
USD
575058.64000000
0.065441505095
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-6476368.13000000
USD
36930931.00000000
BRL
2021-07-19
575058.64000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.36.5Y.V1
000000000
1.00000000
NC
USD
6704746.08000000
0.762998143556
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.36.V1
Y
Default Event
2026-06-20
5120081.58000000
USD
0.00000000
USD
62500000.00000000
USD
1584664.50000000
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAK3
13721467.73000000
PA
USD
13177987.84000000
1.499651163184
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Floating
0.32910000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
500000.00000000
PA
USD
555127.88000000
0.063173390434
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MYR/USD FORWARD
000000000
1.00000000
NC
USD
-10687.30000000
-0.00121621161
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-10073041.32000000
USD
41682245.00000000
MYR
2021-07-19
-10687.30000000
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
30000.00000000
PA
USD
35624.99000000
0.004054113445
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian When Issued Government Real Return Bond
135087G99
3104206.80000000
PA
2773319.25000000
0.315602919781
Long
DBT
NUSS
CA
N
2
2050-12-01
Fixed
0.50000000
N
N
N
N
N
N
YAMANA GOLD INC
54930002VY22NXG01418
Yamana Gold Inc
98462YAD2
1360000.00000000
PA
USD
1504525.39000000
0.171214549485
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAL5
4220000.00000000
PA
USD
4214196.23000000
0.479574298818
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
2.35088000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBQ1
4570000.00000000
PA
USD
4426346.16000000
0.503716898823
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.68819000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-5
52520TAT5
2674065.63000000
PA
USD
812011.05000000
0.092406620072
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
7.05837000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
31000.00000000
PA
USD
34374.93000000
0.003911856983
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAJ9
2550000.00000000
PA
USD
2870586.00000000
0.326671847492
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
MRCD Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust
55348UAG3
2530000.00000000
PA
USD
2650954.75000000
0.301677875458
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
330000.00000000
PA
USD
352687.50000000
0.040135734380
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BJ6
3470000.00000000
PA
USD
4242136.49000000
0.482753892237
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
INR/USD FORWARD
000000000
1.00000000
NC
USD
157965.02000000
0.017976373089
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-8637579.05000000
USD
642419942.00000000
INR
2021-07-19
157965.02000000
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2007-SD2
07386UAM4
36899.85000000
PA
USD
36288.22000000
0.004129588825
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.89163000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CBF7
4070080.00000000
PA
USD
4470672.29000000
0.508761199457
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.12500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CB0
880000.00000000
PA
USD
1023898.24000000
0.116519320342
Long
DBT
NUSS
ID
N
2
2047-07-18
Fixed
4.75000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
1630000.00000000
PA
USD
1799502.71000000
0.204782882255
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 2020-NNN
46652BAQ2
3952500.00000000
PA
USD
3943151.94000000
0.448729537864
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
2.60088000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SV1
6206018.00000000
PA
USD
6510899.06000000
0.740938409357
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.12500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
39298.84000000
PA
USD
36262.81000000
0.004126697175
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.49803400
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FD5
16376700.00000000
PA
USD
22291448.34000000
2.536760303471
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAA2
1310000.00000000
PA
USD
1310327.50000000
0.149114886383
Long
ABS-MBS
CORP
KY
N
2
2038-02-15
Floating
1.00088000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942AU6
262342062.00000000
PA
6871270.24000000
0.781948544275
Long
DBT
NUSS
UY
N
2
2027-04-05
Fixed
4.25000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
2250000.00000000
PA
USD
2443736.25000000
0.278096470745
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
4090000.00000000
PA
820687.84000000
0.093394036237
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY & CO. LLC
000000000
-18462500.00000000
PA
USD
-18462500.00000000
-2.10102710189
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.20000000
2021-06-11
10000000.00000000
USD
14798767.95000000
USD
UST
151836.50830000
USD
151836.50830000
USD
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
56871460.80000000
PA
USD
76601330.16000000
8.717208975350
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
Origen Manufactured Housing
5493005G5GFEQWMCSY59
Origen Manufactured Housing Contract Trust 2007-B
68620KAA0
3388117.52000000
PA
USD
3394131.43000000
0.386251164350
Long
ABS-O
CORP
US
N
2
2037-10-15
Floating
1.30088000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-3930.97000000
-0.00044734323
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-696486.28000000
AUD
533115.67000000
USD
2021-07-19
-3930.97000000
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-11AR
61754VAE1
80785.91000000
PA
USD
58945.76000000
0.006708010253
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
2.67835100
N
N
N
N
N
N
2021-07-23
Western Asset Inflation-Linked Opportunities & Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer