0001752724-22-164756.txt : 20220725
0001752724-22-164756.hdr.sgml : 20220725
20220725155542
ACCESSION NUMBER: 0001752724-22-164756
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220531
FILED AS OF DATE: 20220725
DATE AS OF CHANGE: 20220725
PERIOD START: 20221130
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: WESTERN ASSET INFLATION-LINKED 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: 221103281
BUSINESS ADDRESS:
STREET 1: 620 EIGHTH AVENUE
STREET 2: 47TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 8887770102
MAIL ADDRESS:
STREET 1: 620 EIGHTH AVENUE
STREET 2: 47TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
FORMER COMPANY:
FORMER CONFORMED NAME: WESTERN ASSET/CLAYMORE INFLATION-LINKED 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
47th Floor
New York
10018
1-888-777-0102
Western Asset Inflation-Linked Opportunities & Income Fund
549300Z3DNF4FJBJ4A87
2022-11-30
2022-05-31
N
770959503.15
2851617.41
768107885.74
0.00000000
61429517.56000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
28652276.74000000
BRL
MXN
USD
UYU
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
3440000.00000000
PA
USD
3560228.00000000
0.463506242559
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA Inc
166756AP1
500000.00000000
PA
USD
511268.74000000
0.066562100128
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
RUSSIA I/L BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Inflation Linked Bond
000000000
576295389.60000000
PA
619919.34000000
0.080707326602
Long
DBT
NUSS
RU
N
2
2028-02-02
Fixed
2.50000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B31 Mortgage Trust
08163MAE7
450000.00000000
PA
USD
400338.45000000
0.052120080711
Long
ABS-MBS
CORP
US
N
2
2054-12-15
Fixed
2.66900000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
3690000.00000000
PA
USD
3798043.20000000
0.494467414084
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
WI INFL IDX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds - When Issued
91282CCM1
6436140.00000000
PA
USD
6417319.18000000
0.835471071074
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
MXN/USD FORWARD
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1.00000000
NC
USD
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N/A
DFE
CORP
US
N
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Citibank, National Association
E57ODZWZ7FF32TWEFA76
-316030000.00000000
MXN
15703119.95000000
USD
2022-07-19
-198903.92000000
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BV1
2350000.00000000
PA
USD
2451177.02000000
0.319118845868
Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
GOLD
000000000
242.00000000
NC
USD
-257125.00000000
-0.03347511525
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
GOLD
GOLD
2022-08-29
44988405.00000000
USD
-257125.00000000
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
2870000.00000000
PA
USD
2410226.00000000
0.313787430743
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond
135087ZH0
3825538.20000000
PA
3237303.29000000
0.421464660121
Long
DBT
NUSS
CA
N
2
2044-12-01
Fixed
1.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBL3
580000.00000000
PA
USD
566982.93000000
0.073815533016
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 Month Eurodollar
000000000
447.00000000
NC
USD
-2269463.70000000
-0.29546158061
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
110599913.70000000
USD
-2269463.70000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
100812000000.00000000
PA
7099080.17000000
0.924229564856
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAL5
4220000.00000000
PA
USD
3994258.27000000
0.520012662824
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
3.12471000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2022-LP2
05610HAN3
1717659.09000000
PA
USD
1630357.18000000
0.212256274185
Long
ABS-MBS
CORP
US
N
2
2039-02-15
Floating
4.90180000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
7128250.00000000
PA
USD
7985780.76000000
1.039669154328
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.37500000
N
N
N
N
N
N
Avenue of Americas
N/A
AOA 2021-1177 Mortgage Trust
00192NAA5
2240000.00000000
PA
USD
2155124.16000000
0.280575710783
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
1.74940000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CA2
400000.00000000
PA
USD
398763.84000000
0.051915082165
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
912810FD5
17775700.00000000
PA
USD
21499604.81000000
2.799034511836
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
46737950.00000000
PA
USD
48383473.57000000
6.299046588147
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
13430120.00000000
PA
USD
13048186.86000000
1.698744030915
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
COMEX Copper
000000000
199.00000000
NC
USD
-2070097.50000000
-0.26950608611
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
COPPER
COPPER
2022-07-27
23442697.50000000
USD
-2070097.50000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
82179660.00000000
PA
USD
84490924.31000000
10.99987721498
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.62500000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Bonos del Tesoro
000000000
26750000.00000000
PA
82948.82000000
0.010799110585
Long
DBT
NUSS
AR
N
2
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2007-SD2
07386UAM4
28391.91000000
PA
USD
26866.87000000
0.003497799006
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
1.80571000
N
N
N
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XQW7
2950000.00000000
PA
USD
3049334.17000000
0.396992951981
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
5.15571000
N
N
N
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAR1
2330000.00000000
PA
USD
2296396.51000000
0.298967964348
Long
DBT
CORP
CA
N
2
2042-10-25
Variable
5.55000000
N
N
N
N
N
N
KAZTRANSGAS JSC
635400YGLXBBSVHONW39
KazTransGas JSC
48668NAA9
4000000.00000000
PA
USD
3624400.00000000
0.471860798110
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAH3
101796.45000000
PA
USD
101873.77000000
0.013262950672
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
4.75571000
N
N
N
N
N
N
Origen Manufactured Housing
5493005G5GFEQWMCSY59
Origen Manufactured Housing Contract Trust 2007-B
68620KAA0
2277411.16000000
PA
USD
2220947.31000000
0.289145229626
Long
ABS-O
CORP
US
N
2
2037-10-15
Floating
2.07471000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
250000.00000000
PA
USD
276150.48000000
0.035952043342
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
98274575.60000000
PA
USD
102064386.21000000
13.28776700575
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-17250000.00000000
PA
USD
-17250000.00000000
-2.24577827154
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
15000000.00000000
USD
15482711.54000000
USD
UST
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810TE8
2478696.00000000
PA
USD
2112002.67000000
0.274961722071
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.12500000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABA6
673000.00000000
PA
USD
675365.60000000
0.087925877671
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
92925CDB5
1091208.06000000
PA
USD
1023553.38000000
0.133256460323
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
1.32373000
N
N
N
N
N
N
BARRICK GOLD CORP
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901AH1
330000.00000000
PA
USD
340521.96000000
0.044332569203
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
26465.61000000
0.003445558949
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1316500.00000000
USD
1250000.00000000
EUR
2022-06-15
26465.61000000
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
1970000.00000000
PA
USD
1568415.50000000
0.204192084096
Long
DBT
CORP
US
N
2
2027-01-31
Fixed
8.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
5082653.22000000
0.661710850045
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
5082653.22000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
28027363.00000000
PA
USD
32442843.38000000
4.223735230727
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
2250000.00000000
PA
USD
2026485.00000000
0.263828172789
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
11000.00000000
PA
USD
11115.91000000
0.001447180820
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MYR/USD FORWARD
000000000
1.00000000
NC
USD
-295211.54000000
-0.03843360359
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-9802306.43000000
USD
41650000.00000000
MYR
2022-07-19
-295211.54000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
2498382.03000000
0.325264468231
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
2407263.80000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
2370000.00000000
PA
USD
1390727.85000000
0.181058920995
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-C59
95003CBU3
3968564.28000000
PA
USD
377242.59000000
0.049113229665
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
1.54518500
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
1700000.00000000
PA
USD
1316233.50000000
0.171360498236
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-78833125.00000000
PA
USD
-78833125.00000000
-10.2632880697
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
35000000.00000000
USD
44461296.89000000
USD
UST
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-41168750.00000000
PA
USD
-41168750.00000000
-5.35976140387
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
35000000.00000000
USD
36331097.45000000
USD
UST
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/EUR FORWARD
000000000
1.00000000
NC
USD
26036.29000000
0.003389665759
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-1377846.19000000
EUR
1509127.37000000
USD
2022-07-19
26036.29000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IDR/USD FORWARD
000000000
1.00000000
NC
USD
-52816.47000000
-0.00687617859
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3682787.68000000
USD
52969535174.00000000
IDR
2022-07-19
-52816.47000000
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
110000.00000000
PA
USD
111654.56000000
0.014536312160
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
2880000.00000000
PA
USD
2702217.89000000
0.351801867962
Long
DBT
CORP
US
N
2
2029-07-31
Fixed
3.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
55142367.00000000
PA
USD
60842868.00000000
7.921135706266
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
BONOS TESORERIA PESOS
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica en pesos
000000000
4785000000.00000000
PA
5150668.56000000
0.670565770202
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
-924.00000000
NC
USD
251175.87000000
0.032700597749
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
-129091425.87000000
USD
251175.87000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
CLP/USD FORWARD
000000000
1.00000000
NC
USD
281406.91000000
0.036636378199
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-6204483648.00000000
CLP
7742152.57000000
USD
2022-07-19
281406.91000000
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE Brent Crude Oil
000000000
182.00000000
NC
USD
1392481.40000000
0.181287215748
N/A
DCO
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
BRENT CRUDE OIL
BRENT CRUDE OIL
2022-10-31
17839458.60000000
USD
1392481.40000000
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
3690000.00000000
PA
USD
3669616.81000000
0.477747576626
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME British Pound Currency
000000000
-67.00000000
NC
USD
234834.29000000
0.030573086718
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
BRITISH POUND CURRENCY
BRITISH POUND CURRENCY
2022-06-13
-5513178.04000000
USD
234834.29000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
250000.00000000
PA
USD
212862.50000000
0.027712578395
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
BrightSpire Capital, Inc
N/A
BRSP 2021-FL1 Ltd
05591XAA9
2000000.00000000
PA
USD
1937690.13000000
0.252267964692
Long
ABS-CBDO
CORP
KY
N
2
2038-08-19
Floating
2.07843000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942AU6
286912776.00000000
PA
7849947.92000000
1.021985070812
Long
DBT
NUSS
UY
N
2
2027-04-05
Fixed
4.25000000
N
N
N
N
N
N
ILFC E-CAPITAL TRUST II
N/A
ILFC E-Capital Trust II
44965UAA2
2084000.00000000
PA
USD
1631293.70000000
0.212378199766
Long
SN
CORP
US
N
2
2065-12-21
Variable
4.30000000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAK3
6287876.46000000
PA
USD
5782518.57000000
0.752826351265
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Floating
1.00023300
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-7193750.00000000
PA
USD
-7193750.00000000
-0.93655463425
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
5000000.00000000
USD
4953744.22300000
USD
UST
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
108641250.00000000
PA
USD
118316382.35000000
15.40361511013
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
Greystone Commercial Real Esta
N/A
Greystone CRE Notes 2021-FL3 Ltd
39809PAA3
2610000.00000000
PA
USD
2483856.09000000
0.323373335453
Long
ABS-CBDO
CORP
KY
N
2
2039-07-15
Floating
1.89471000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
1630000.00000000
PA
USD
1586834.47000000
0.206590050624
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
335648000.00000000
PA
361055.62000000
0.047005847316
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBJ7
5170000.00000000
PA
USD
4804637.65000000
0.625515990552
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
51280000.00000000
PA
2400620.68000000
0.312536913702
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-194980.03000000
-0.02538445882
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-5541409.78000000
USD
4241448.29000000
GBP
2022-07-19
-194980.03000000
N
N
N
Hawaii Hotel Trust 2019-MAUI
N/A
Hawaii Hotel Trust 2019-MAUI
41975AAL6
1760000.00000000
PA
USD
1661690.80000000
0.216335599575
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
3.62471000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
3720000.00000000
PA
USD
3748979.17000000
0.488079765824
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP
78472UAA6
650000.00000000
PA
USD
631907.45000000
0.082268059179
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
1.60551000
N
N
N
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
NYMEX Light Sweet Crude Oil
000000000
-72.00000000
NC
USD
-777377.30000000
-0.10120678545
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Short
NATURAL GAS
NATURAL GAS
2022-06-21
-7478862.70000000
USD
-777377.30000000
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDJ7
180000.00000000
PA
USD
157921.88000000
0.020559856620
Long
DBT
UST
US
N
2
2031-11-15
Fixed
1.37500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06740L8C2
1029000.00000000
PA
USD
1047073.47000000
0.136318541892
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.62500000
N
N
N
N
N
N
ANTOFAGASTA PLC
213800MY6QVH4FVLD628
Antofagasta PLC
03718NAA4
1110000.00000000
PA
USD
917065.35000000
0.119392778934
Long
DBT
CORP
GB
N
2
2030-10-14
Fixed
2.37500000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-5
52520TAT5
2413714.91000000
PA
USD
442422.84000000
0.057599049328
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
6.14429000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CB0
880000.00000000
PA
USD
854580.36000000
0.111257855291
Long
DBT
NUSS
ID
N
2
2047-07-18
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-12637500.00000000
PA
USD
-12637500.00000000
-1.64527669024
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
10000000.00000000
USD
10341588.34000000
USD
UST
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
6590000.00000000
PA
USD
6594749.08000000
0.858570677691
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
CANADA-GOV'T WI RRB
4BFD7AQU0A75QLAHK410
Canadian When Issued Government Real Return Bond
135087G99
3311015.20000000
PA
2241495.91000000
0.291820452779
Long
DBT
NUSS
CA
N
2
2050-12-01
Fixed
0.50000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
2446000.00000000
PA
473754.72000000
0.061678148186
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/JPY FORWARD
000000000
1.00000000
NC
USD
-123989.02000000
-0.01614213605
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-3260574.07000000
USD
402941743.00000000
JPY
2022-07-19
-123989.02000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
9729036.00000000
PA
USD
8428527.45000000
1.097310365702
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
100000.00000000
PA
USD
98863.48000000
0.012871040883
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
LIGHT SWEET CRUDE OIL
000000000
81.00000000
NC
USD
358924.28000000
0.046728368066
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Long
LIGHT SWEET CRUDE OIL
LIGHT SWEET CRUDE OIL
2022-10-20
8031865.72000000
USD
358924.28000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
500000.00000000
PA
USD
491520.16000000
0.063991031614
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME Euro Foreign Exchange Currency
000000000
13.00000000
NC
USD
-32838.00000000
-0.00427518068
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2022-06-13
1778413.00000000
USD
-32838.00000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
4480000.00000000
PA
USD
4702920.23000000
0.612273395093
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
912810QV3
45550488.00000000
PA
USD
45034038.39000000
5.862983472251
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAL9
600000.00000000
PA
USD
473088.79000000
0.061591450730
Long
DBT
CORP
KY
N
2
2030-06-18
Variable
4.37500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
2690000.00000000
PA
USD
2844688.45000000
0.370350116541
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AY1
910000.00000000
PA
USD
816907.00000000
0.106353158868
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.25000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828B25
22179060.00000000
PA
USD
22981307.43000000
2.991937442207
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
3IFG42XD94UUZ7FL2766
MSC Trust 2021-ILP
62479WAA9
1903704.71000000
PA
USD
1830888.00000000
0.238363390610
Long
ABS-MBS
CORP
US
N
2
2023-11-15
Floating
1.65290000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
1449.00000000
NC
USD
152858.50000000
0.019900654951
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-09-30
163516226.87000000
USD
152858.50000000
N
N
N
MRCD Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust
55348UAG3
1520000.00000000
PA
USD
1455620.10000000
0.189507245925
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
MF1 Multifamily Housing Mortga
N/A
MF1 2022-FL9 LLC
55285AAA5
2290000.00000000
PA
USD
2286993.23000000
0.297743750905
Long
ABS-CBDO
CORP
US
N
2
2037-06-19
Floating
2.96000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
1117460.00000000
PA
USD
1113142.17000000
0.144920028900
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDX6
20224620.00000000
PA
USD
20109009.20000000
2.617992807172
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.12500000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-8 Ltd
69357XAA9
2550000.00000000
PA
USD
2468887.05000000
0.321424515466
Long
ABS-MBS
CORP
KY
N
2
2037-08-09
Floating
1.87471000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
330000.00000000
PA
USD
344124.00000000
0.044801518951
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
3479821.14000000
0.453038069860
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-11AR
61754VAE1
68417.64000000
PA
USD
44482.99000000
0.005791242457
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
2.62925800
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAR6
600000.00000000
PA
USD
418599.18000000
0.054497445967
Long
DBT
CORP
KY
N
2
2031-08-08
Variable
3.25000000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
1620000.00000000
PA
USD
1735901.83000000
0.225997136890
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
2010000.00000000
PA
USD
1886608.37000000
0.245617628073
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/AUD FORWARD
000000000
1.00000000
NC
USD
20800.66000000
0.002708038855
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-696486.28000000
AUD
520996.11000000
USD
2022-07-19
20800.66000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-43400000.00000000
PA
USD
-43400000.00000000
-5.65024794117
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
35000000.00000000
USD
35832454.77000000
USD
UST
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
30000.00000000
PA
USD
29758.38000000
0.003874244823
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME Mexican Peso Currency
000000000
172.00000000
NC
USD
388010.00000000
0.050515039254
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2022-06-13
3970470.00000000
USD
388010.00000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
44840520.00000000
PA
USD
45939044.58000000
5.980806268606
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
BRL/USD FORWARD
000000000
1.00000000
NC
USD
-56944.37000000
-0.00741359007
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-4971450.85000000
USD
23684489.00000000
BRL
2022-07-19
-56944.37000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
-182.00000000
NC
USD
560343.44000000
0.072951137516
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
-28906843.44000000
USD
560343.44000000
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
4090000.00000000
PA
844911.74000000
0.109999097221
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-5890630.11000000
-0.76690139749
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-03-22
0.00000000
USD
0.00000000
USD
56220000.00000000
USD
-5890630.11000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
87515400.00000000
PA
USD
88307882.58000000
11.49680718287
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-CIP
12434FAA5
520000.00000000
PA
USD
506821.85000000
0.065983159320
Long
ABS-MBS
CORP
US
N
2
2038-12-15
Floating
1.79600000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAP2
8936685.07000000
PA
USD
7486479.14000000
0.974665054087
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Variable
1.01345900
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-44756250.00000000
PA
USD
-44756250.00000000
-5.82681818933
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
35000000.00000000
USD
36743179.04000000
USD
UST
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAC7
280000.00000000
PA
USD
241612.00000000
0.031455477086
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
344664.72000000
PA
USD
341528.13000000
0.044463562520
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
3.10571000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAG4
2100289.61000000
PA
USD
2004251.14000000
0.260933545561
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
2.27170000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/MXN FORWARD
000000000
1.00000000
NC
USD
36945.66000000
0.004809957127
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-2115880.55000000
USD
42500000.00000000
MXN
2022-06-15
36945.66000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/CAD FORWARD
000000000
1.00000000
NC
USD
69534.98000000
0.009052762156
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-7848383.06000000
CAD
6272835.07000000
USD
2022-07-19
69534.98000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
37160.05000000
PA
USD
33463.93000000
0.004356670543
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.50413200
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
217320000.00000000
PA
9975633.32000000
1.298728148115
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BU9
430000.00000000
PA
USD
436937.65000000
0.056884932196
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
GOLD
000000000
41.00000000
NC
USD
18860.00000000
0.002455384243
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Call
Purchased
COMMODITY EXCHANGE, INC.
N/A
COMMODITY EXCHANGE, INC.
N/A
GOLD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCO
CORP
US
Long
GOLD
GOLD
2022-08-29
0.00000000
USD
100.00000000
1950.00000000
USD
2022-06-27
XXXX
-146692.50000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
101435040.00000000
PA
USD
127032276.82000000
16.53833780102
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
660000.00000000
PA
USD
572917.86000000
0.074588201818
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
COP/USD FORWARD
000000000
1.00000000
NC
USD
-33322.68000000
-0.00433828119
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-14305816.53000000
USD
54160819992.00000000
COP
2022-07-19
-33322.68000000
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.38.V1
000000000
1.00000000
NC
USD
1617375.00000000
0.210566123591
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.38.V1
Y
Default Event
2027-06-20
3100697.78000000
USD
0.00000000
USD
62500000.00000000
USD
-1483322.78000000
N
N
N
YAMANA GOLD INC
54930002VY22NXG01418
Yamana Gold Inc
98462YAD2
1360000.00000000
PA
USD
1363934.04000000
0.177570633672
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
3720000.00000000
PA
USD
1135530.00000000
0.147834701489
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.38
000000000
1.00000000
NC
USD
1731378.08000000
0.225408189675
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.38.V1
Y
Default Event
2027-06-20
2011352.85000000
USD
0.00000000
USD
150725000.00000000
USD
-279974.77000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
2706.00000000
NC
USD
-1505645.46000000
-0.19602004978
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2022-09-21
324745815.24000000
USD
-1505645.46000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAW9
3114798.30000000
PA
USD
4692.44000000
0.000610908973
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
0.60000000
N
N
N
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
8295913.85000000
NS
USD
8295913.85000000
1.080045395186
Long
STIV
RF
US
N
1
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-559.70000000
-0.00007286736
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-1209228.75000000
USD
1125000.00000000
EUR
2022-06-15
-559.70000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
400000.00000000
PA
USD
327029.89000000
0.042576036006
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
1630000.00000000
PA
USD
1596007.26000000
0.207784256564
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-120843750.00000000
PA
USD
-120843750.00000000
-15.7326532175
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
75000000.00000000
USD
81638303.82000000
USD
UST
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
2630000.00000000
PA
USD
2101422.60000000
0.273584302285
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-40406250.00000000
PA
USD
-40406250.00000000
-5.26049149476
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.79000000
2022-09-06
25000000.00000000
USD
27379290.60000000
USD
UST
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
750000.00000000
PA
USD
755827.83000000
0.098401258993
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAE5
2480000.00000000
PA
USD
2190410.40000000
0.285169627947
Long
DBT
CORP
KY
N
2
2028-08-08
Variable
5.40000000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
570000.00000000
PA
USD
579759.52000000
0.075478917839
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAJ4
2230000.00000000
PA
USD
2107066.79000000
0.274319119633
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.77040000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
20249798.59800000
PA
4349238.09000000
0.566227501467
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCA7
7674100.00000000
PA
USD
7808270.82000000
1.016559127299
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN/USD FORWARD
000000000
1.00000000
NC
USD
-108377.42000000
-0.01410966115
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-152382888.60000000
MXN
7559237.47000000
USD
2022-07-19
-108377.42000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CD6
1790000.00000000
PA
USD
1761912.13000000
0.229383419010
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
32718534.75000000
PA
7082685.77000000
0.922095177186
Long
DBT
NUSS
BR
N
2
2030-08-15
Fixed
6.00000000
N
N
N
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
256542895.00000000
PA
13001821.91000000
1.692707776001
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
2.00000000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-PALM
85237AAC7
1930000.00000000
PA
USD
1823557.99000000
0.237409096281
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
1.68500000
N
N
N
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAA2
1310000.00000000
PA
USD
1298571.10000000
0.169061029590
Long
ABS-MBS
CORP
KY
N
2
2038-02-15
Floating
1.42988000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAA3
910000.00000000
PA
USD
868091.68000000
0.113016894646
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
1.57472000
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
4144182.48000000
0.539531302429
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.68819000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
70000.00000000
PA
USD
72301.26000000
0.009412904273
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CDC2
25251120.00000000
PA
USD
25733846.17000000
3.350290583881
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.12500000
N
N
N
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAK8
1170000.00000000
PA
USD
1287376.67000000
0.167603626248
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B29 Mortgage Trust
08163JAG9
8211073.01000000
PA
USD
531027.33000000
0.069134471844
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Variable
1.04651800
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAP0
200000.00000000
PA
USD
148617.16000000
0.019348474707
Long
DBT
CORP
KY
N
2
2029-03-08
Variable
3.10000000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2021-FL8
05493JAA9
873433.01000000
PA
USD
852688.98000000
0.111011616444
Long
ABS-MBS
CORP
KY
N
2
2036-01-18
Floating
1.85557000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAJ9
2550000.00000000
PA
USD
2415870.00000000
0.314522223355
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
AMBAC ASSURANCE CORP
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
48492.51000000
PA
USD
44855.57000000
0.005839748664
Long
DBT
CORP
US
N
2
N/A
Fixed
5.10000000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
INR/USD FORWARD
000000000
1.00000000
NC
USD
-129500.40000000
-0.01685966286
N/A
DFE
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
-8363427.31000000
USD
642419942.00000000
INR
2022-07-19
-129500.40000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828VM9
27179240.00000000
PA
USD
28067872.86000000
3.654157623047
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.37500000
N
N
N
N
N
N
2022-07-22
Western Asset Inflation-Linked Opportunities & Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer