0001752724-22-010044.txt : 20220121
0001752724-22-010044.hdr.sgml : 20220121
20220121135228
ACCESSION NUMBER: 0001752724-22-010044
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211130
FILED AS OF DATE: 20220121
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: 22545368
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
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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
2021-11-30
2021-11-30
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46736760.69000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2907209.54000000
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MXN
RUB
USD
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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
76324929.86000000
8.557806570308
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828X39
94746960.00000000
PA
USD
97021239.50000000
10.87834607087
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.12500000
N
N
N
N
N
N
ILFC E-CAPITAL TRUST II
N/A
ILFC E-Capital Trust II
44965UAA2
2084000.00000000
PA
USD
1815685.00000000
0.203580678699
Long
SN
CORP
US
N
2
2065-12-21
Variable
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N
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N
N
N
GLENCORE FUNDING LLC
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Glencore Funding LLC
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USD
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DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
TSY INFL IX N/B
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United States Treasury Inflation Indexed Bonds
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80617550.00000000
PA
USD
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9.532465640573
Long
DBT
UST
US
N
2
2023-04-15
Fixed
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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
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16959900.00000000
PA
USD
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2.550427607218
Long
DBT
UST
US
N
2
2028-04-15
Fixed
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BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
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CME ULTRA LONG TERM US TREASURY BOND
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USD
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DIR
CORP
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BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
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Short
US TREASURY N/B
United States Treasury Note/Bond
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USD
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N
N
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WILLIAMS COMPANIES INC
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Williams Cos Inc/The
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2350000.00000000
PA
USD
3072963.31000000
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Long
DBT
CORP
US
N
2
2044-06-24
Fixed
5.75000000
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N
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N
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N
MORGAN STANLEY & CO. LLC
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USD/EUR FORWARD
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MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
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USD
3500000.00000000
EUR
2021-12-15
-134858.88000000
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAE5
2480000.00000000
PA
USD
2667240.00000000
0.299059875173
Long
DBT
CORP
KY
N
2
2028-08-08
Fixed
5.40000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
30925471.50000000
PA
5866683.57000000
0.657792195726
Long
DBT
NUSS
BR
N
2
2030-08-15
Fixed
6.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAL9
600000.00000000
PA
USD
619599.00000000
0.069471513473
Long
DBT
CORP
KY
N
2
2030-06-18
Fixed
4.37500000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.IG.37.V1
000000000
1.00000000
NC
USD
3580225.59000000
0.401426874986
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.37.V1
Y
Default Event
2026-12-20
3720301.11000000
USD
0.00000000
USD
158874000.00000000
USD
-140075.52000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
100812000000.00000000
PA
7559580.24000000
0.847605435934
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
AMBAC ASSURANCE CORP
549300RYYRVPPB8NC636
Ambac Assurance Corp
023138AA8
48492.51000000
PA
USD
65616.91000000
0.007357187547
Long
DBT
CORP
US
N
2
N/A
Fixed
5.10000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
9282552.00000000
PA
USD
11403505.88000000
1.278599243044
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
3690000.00000000
PA
USD
3927672.90000000
0.440383830175
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP
78472UAA6
650000.00000000
PA
USD
647265.39000000
0.072573561710
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
0.83080000
N
N
N
N
N
N
REPUBLICA ORIENT URUGUAY
549300RDR012H2V82H43
Uruguay Government International Bond
760942AU6
272807901.00000000
PA
7031301.08000000
0.788373008538
Long
DBT
NUSS
UY
N
2
2027-04-05
Fixed
4.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
330000.00000000
PA
USD
353529.00000000
0.039638854625
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
110000.00000000
PA
USD
116286.84000000
0.013038469674
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
2551955.00000000
0.286133735152
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
2551955.00000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CA2
400000.00000000
PA
USD
439369.51000000
0.049263579886
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/CAD FORWARD
000000000
1.00000000
NC
USD
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0.010188073319
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-7848383.06000000
CAD
6237600.66000000
USD
2022-01-18
90864.87000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
12813790.00000000
PA
USD
16762857.46000000
1.879507678178
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-7437500.00000000
PA
USD
-7437500.00000000
-0.83391739086
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.14000000
2022-03-09
5000000.00000000
USD
6389245.53900000
USD
UST
60850.71783000
USD
60850.71783000
USD
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
51280000.00000000
PA
2370917.56000000
0.265835211507
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-PALM
85237AAC7
1930000.00000000
PA
USD
1922095.69000000
0.215511801384
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Floating
0.90000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411AY1
910000.00000000
PA
USD
1011050.95000000
0.113362416168
Long
DBT
CORP
US
N
2
2042-02-01
Fixed
5.25000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
335648000.00000000
PA
4244246.35000000
0.475879104856
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBV4
2880000.00000000
PA
USD
3055974.25000000
0.342646060249
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
912828TE0
83498800.00000000
PA
USD
86328922.52000000
9.679487707416
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDK4
110000.00000000
PA
USD
110502.73000000
0.012389935903
Long
DBT
UST
US
N
2
2026-11-30
Fixed
1.25000000
N
N
N
N
N
N
MRCD Mortgage Trust
N/A
MRCD 2019-MARK Mortgage Trust
55348UAG3
2530000.00000000
PA
USD
2575578.46000000
0.288782476548
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Fixed
2.71752000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie B
000000000
54353859.00000000
PA
10712282.42000000
1.201096955411
Long
DBT
NUSS
BR
N
2
2050-08-15
Fixed
6.00000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CDJ7
180000.00000000
PA
USD
178931.25000000
0.020062370573
Long
DBT
UST
US
N
2
2031-11-15
Fixed
1.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-44275000.00000000
PA
USD
-44275000.00000000
-4.96426117384
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.14000000
2022-03-09
35000000.00000000
USD
38337816.16000000
USD
UST
362240.74380000
USD
362240.74380000
USD
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
2630000.00000000
PA
USD
2597374.85000000
0.291226360740
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
46632HAL5
37901.69000000
PA
USD
35040.11000000
0.003928814400
Long
ABS-MBS
CORP
US
N
2
2051-02-15
Variable
6.71766600
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/EUR FORWARD
000000000
1.00000000
NC
USD
60933.23000000
0.006832037671
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-2647846.19000000
EUR
3069359.47000000
USD
2022-01-18
60933.23000000
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-C59
95003CBU3
3982418.16000000
PA
USD
451399.53000000
0.050612425989
Long
ABS-MBS
CORP
US
N
2
2054-04-15
Variable
1.68375700
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
CDS CDX.NA.HY.37
000000000
1.00000000
NC
USD
5397312.50000000
0.605164740527
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE, INC.
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.37.V1
Y
Default Event
2026-12-20
5756659.29000000
USD
0.00000000
USD
62500000.00000000
USD
-359346.79000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
42782400.00000000
PA
USD
44570646.14000000
4.997410008491
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.12500000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
2446000.00000000
PA
412806.55000000
0.046285251913
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
6801150.00000000
PA
USD
8269462.24000000
0.927199781515
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.37500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MXN FORWARD
000000000
1.00000000
NC
USD
271025.94000000
0.030388335427
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-206010000.00000000
MXN
9786326.41000000
USD
2022-01-18
271025.94000000
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME BRITISH POUND CURRENCY
000000000
-67.00000000
NC
USD
235798.13000000
0.026438475474
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Short
BRITISH POUND CURRENCY
BRITISH POUND CURRENCY
2021-12-13
-5797635.63000000
USD
235798.13000000
N
N
N
SOUTHERN COPPER CORP
2549007U6NAP46Q9TU15
Southern Copper Corp
84265VAG0
3440000.00000000
PA
USD
4288097.60000000
0.480795853762
Long
DBT
CORP
US
N
2
2042-11-08
Fixed
5.25000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AQ4
2250000.00000000
PA
USD
2499626.25000000
0.280266460575
Long
DBT
CORP
US
N
2
2044-06-01
Fixed
4.90000000
N
N
N
N
N
N
BrightSpire Capital, Inc
N/A
BRSP 2021-FL1 Ltd
05591XAA9
2000000.00000000
PA
USD
2004437.90000000
0.224744285541
Long
ABS-CBDO
CORP
KY
N
2
2038-08-19
Floating
1.23875000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan T
N/A
Morgan Stanley Mortgage Loan Trust 2007-11AR
61754VAE1
72285.65000000
PA
USD
53554.20000000
0.006004676132
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Variable
2.63201600
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-82118750.00000000
PA
USD
-82118750.00000000
-9.20742907441
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.14000000
2022-03-09
35000000.00000000
USD
49073012.58000000
USD
UST
671863.51390000
USD
671863.51390000
USD
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
3257.00000000
NC
USD
5962770.77000000
0.668565814162
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
2022-03-22
420093541.73000000
USD
5962770.77000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/BRL FORWARD
000000000
1.00000000
NC
USD
-214899.00000000
-0.02409519507
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-9083373.48000000
USD
50380931.00000000
BRL
2022-01-18
-214899.00000000
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AC5
570000.00000000
PA
USD
607893.60000000
0.068159064851
Long
DBT
CORP
NL
N
2
2028-05-15
Fixed
6.12500000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBH1
3690000.00000000
PA
USD
3728235.04000000
0.418022189859
Long
ABS-MBS
USGSE
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAJ9
2550000.00000000
PA
USD
2961187.50000000
0.332018252619
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.87500000
N
N
N
N
N
N
Bear Stearns Asset Backed Secu
N/A
Bear Stearns Asset Backed Securities Trust 2007-SD2
07386UAM4
33060.96000000
PA
USD
32491.11000000
0.003643011990
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.89163000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/CLP FORWARD
000000000
1.00000000
NC
USD
77406.26000000
0.008679048924
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-6204483648.00000000
CLP
7537030.67000000
USD
2022-01-18
77406.26000000
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
WTI CRUDE OIL
000000000
150.00000000
NC
USD
-669274.05000000
-0.07504124632
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Long
WTI CRUDE OIL
WTI CRUDE OIL
2022-04-20
10390774.05000000
USD
-669274.05000000
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
BRL/USD FORWARD
000000000
1.00000000
NC
USD
35874.13000000
0.004022327514
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-8845993.12000000
USD
50457014.00000000
BRL
2022-01-18
35874.13000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-39987500.00000000
PA
USD
-39987500.00000000
-4.48353232499
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.14000000
2022-03-09
327162.09470000
USD
327162.09470000
USD
35000000.00000000
USD
36557597.92000000
USD
UST
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/AUD FORWARD
000000000
1.00000000
NC
USD
11175.98000000
0.001253088279
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-696486.28000000
AUD
507954.41000000
USD
2022-01-18
11175.98000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
105957370.00000000
PA
USD
148706098.73000000
16.67342545994
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CB0
880000.00000000
PA
USD
1043976.57000000
0.117054146874
Long
DBT
NUSS
ID
N
2
2047-07-18
Fixed
4.75000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
4090000.00000000
PA
714462.59000000
0.080107936661
Long
DBT
NUSS
BR
N
2
2023-01-01
Fixed
10.00000000
N
N
N
N
N
N
ANTOFAGASTA PLC
213800MY6QVH4FVLD628
Antofagasta PLC
03718NAA4
1110000.00000000
PA
USD
1054461.15000000
0.118229713072
Long
DBT
CORP
GB
N
2
2030-10-14
Fixed
2.37500000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06740L8C2
1029000.00000000
PA
USD
1088374.91000000
0.122032237341
Long
DBT
CORP
GB
N
2
2022-11-21
Fixed
7.62500000
N
N
N
N
N
N
Hawaii Hotel Trust 2019-MAUI
N/A
Hawaii Hotel Trust 2019-MAUI
41975AAL6
1760000.00000000
PA
USD
1748810.10000000
0.196082441103
Long
ABS-MBS
CORP
US
N
2
2038-05-15
Floating
2.83950000
N
N
N
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond
135087G99
3177583.90000000
PA
2805984.81000000
0.314616407604
Long
DBT
NUSS
CA
N
2
2050-12-01
Fixed
0.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-50681250.00000000
PA
USD
-50681250.00000000
-5.68255136345
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.14000000
2022-03-09
45000000.00000000
USD
45599982.57000000
USD
UST
414654.17720000
USD
414654.17720000
USD
N
N
N
Morgan Stanley Capital I Trust
3IFG42XD94UUZ7FL2766
Morgan Stanley Capital I Inc
62479WAA9
1910000.00000000
PA
USD
1905679.58000000
0.213671172191
Long
ABS-MBS
CORP
US
N
2
2023-11-15
Floating
0.87790000
N
N
N
N
N
N
Avenue of Americas
N/A
AOA 2021-1177 Mortgage Trust
00192NAA5
2240000.00000000
PA
USD
2240757.57000000
0.251241237826
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
0.96440000
N
N
N
N
N
N
BX Trust
N/A
BX Trust 2021-ARIA
05608RAJ4
2230000.00000000
PA
USD
2224595.37000000
0.249429077872
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
1.98540000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DJ1
2690000.00000000
PA
USD
3194415.35000000
0.358168539698
Long
DBT
CORP
US
N
2
2040-03-15
Fixed
6.20000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
COP/USD FORWARD
000000000
1.00000000
NC
USD
-712608.61000000
-0.07990006221
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-14199226.60000000
USD
54160819992.00000000
COP
2022-01-18
-712608.61000000
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
750000.00000000
PA
USD
792020.22000000
0.088803957697
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
26741005.20000000
PA
USD
34447924.95000000
3.862416631254
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBG6
6590000.00000000
PA
USD
8219759.26000000
0.921626917058
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
4.32700000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/JPY FORWARD
000000000
1.00000000
NC
USD
40404.14000000
0.004530247396
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-7907177.11000000
USD
897550000.00000000
JPY
2022-01-18
40404.14000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CBF7
4215040.00000000
PA
USD
4717961.46000000
0.528993628358
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.12500000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAK3
6785028.73000000
PA
USD
6772153.46000000
0.759316510102
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Floating
0.30543900
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCA7
7321930.00000000
PA
USD
7942496.74000000
0.890539315409
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.12500000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
4480000.00000000
PA
USD
6205939.80000000
0.695830739612
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01300000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
210000.00000000
PA
USD
236887.55000000
0.026560624890
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.62500000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BH0
30000.00000000
PA
USD
36680.50000000
0.004112740417
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0NX3
2660000.00000000
PA
USD
2749228.64000000
0.308252715879
Long
ABS-MBS
CORP
US
N
2
2029-10-25
Floating
3.54200000
N
N
N
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond
135087ZH0
3671395.20000000
PA
3794977.33000000
0.425505558778
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
455780CD6
1790000.00000000
PA
USD
1934498.43000000
0.216902438100
Long
DBT
NUSS
ID
N
2
2028-01-11
Fixed
3.50000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAW4
1970000.00000000
PA
USD
2030163.80000000
0.227628759545
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
10373QBL3
580000.00000000
PA
USD
637925.85000000
0.071526381229
Long
DBT
CORP
US
N
2
2030-04-06
Fixed
3.63300000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
USD/IDR FORWARD
000000000
1.00000000
NC
USD
11483.68000000
0.001287588633
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-3668961.79000000
USD
52969535174.00000000
IDR
2022-01-18
11483.68000000
N
N
N
Fannie Mae - CAS
B1V7KEBTPIMZEU4LTD58
Fannie Mae Connecticut Avenue Securities
30711XQW7
2950000.00000000
PA
USD
3125673.09000000
0.350460927449
Long
ABS-MBS
CORP
US
N
2
2030-02-25
Floating
4.24200000
N
N
N
N
N
N
BHMS Mortgage Trust
N/A
BHMS 2018-ATLS
05549GAL5
4220000.00000000
PA
USD
4187067.54000000
0.469468025320
Long
ABS-MBS
CORP
US
N
2
2035-07-15
Floating
2.33950000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME MEXICAN PESO CURRENCY
000000000
257.00000000
NC
USD
-391089.38000000
-0.04385025013
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
MEXICAN PESO
MEXICAN PESO
2021-12-13
6362484.38000000
USD
-391089.38000000
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AD0
20000.00000000
PA
USD
20270.10000000
0.002272751449
Long
DBT
CORP
CA
N
2
2025-01-15
Fixed
6.50000000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
RUB/USD FORWARD
000000000
1.00000000
NC
USD
-390894.17000000
-0.04382836253
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-36667279.24000000
USD
2715784058.00000000
RUB
2022-01-18
-390894.17000000
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
2870000.00000000
PA
USD
3010314.30000000
0.337526513846
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
YAMANA GOLD INC
54930002VY22NXG01418
Yamana Gold Inc
98462YAD2
1360000.00000000
PA
USD
1499680.61000000
0.168149208930
Long
DBT
CORP
CA
N
2
2027-12-15
Fixed
4.62500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDJ7
30000.00000000
PA
USD
31656.16000000
0.003549394601
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.10000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
52114710.00000000
PA
USD
52658901.18000000
5.904292232302
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-16743750.00000000
PA
USD
-16743750.00000000
-1.87736528581
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.14000000
2022-03-09
136990.81770000
USD
136990.81770000
USD
15000000.00000000
USD
16077431.56000000
USD
UST
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2021-B29 Mortgage Trust
08163JAG9
8225424.75000000
PA
USD
619860.61000000
0.069500846062
Long
ABS-MBS
CORP
US
N
2
2054-09-15
Variable
1.16013100
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
100000.00000000
PA
USD
108970.01000000
0.012218082207
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/RUB FORWARD
000000000
1.00000000
NC
USD
419263.67000000
0.047009245817
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-638319106.00000000
RUB
8945681.53000000
USD
2022-01-18
419263.67000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-VOLT
05609VAA3
910000.00000000
PA
USD
906745.48000000
0.101667337796
Long
ABS-MBS
CORP
US
N
2
2036-09-15
Floating
0.78951000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
3720000.00000000
PA
USD
4038134.40000000
0.452769143234
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBM3
660000.00000000
PA
USD
722091.67000000
0.080963334643
Long
DBT
CORP
US
N
2
2051-04-15
Fixed
3.45200000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
217320000.00000000
PA
9838700.87000000
1.103148068436
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
455780CE4
2010000.00000000
PA
USD
2263255.24000000
0.253763751878
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust 2006-5
52520TAT5
2566211.39000000
PA
USD
712287.39000000
0.079864045958
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
7.05800000
N
N
N
N
N
N
Banc of America Funding Corpor
N/A
Banc of America Funding 2015-R2 Trust
05990TAP2
8773152.40000000
PA
USD
7713780.21000000
0.864894852627
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Variable
0.31437400
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
18489710.00000000
PA
USD
19848680.94000000
2.225500533991
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAR6
600000.00000000
PA
USD
570648.00000000
0.063982963530
Long
DBT
CORP
KY
N
2
2031-08-08
Fixed
3.25000000
N
N
N
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
1620000.00000000
PA
USD
2154550.35000000
0.241575395812
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
PFP III
N/A
PFP 2021-8 Ltd
69357XAA9
2550000.00000000
PA
USD
2550255.00000000
0.285943125463
Long
ABS-MBS
CORP
US
N
2
2037-08-09
Floating
1.08950000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
718.00000000
NC
USD
420227.68000000
0.047117333845
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
2022-03-31
86743852.24000000
USD
420227.68000000
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2021-XL2
05609KAG4
2250000.00000000
PA
USD
2208825.68000000
0.247660927453
Long
ABS-MBS
CORP
US
N
2
2038-10-15
Floating
1.48670000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBP5
400000.00000000
PA
USD
393591.97000000
0.044130848899
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
3.13700000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
-870.00000000
NC
USD
-2166385.87000000
-0.24290243392
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
2022-03-22
-138882364.13000000
USD
-2166385.87000000
N
N
N
CREDIT SUISSE AG
ANGGYXNX0JLX3X63JN86
CREDIT SUISSE AG
000000000
-20137500.00000000
PA
USD
-20137500.00000000
-2.25788389358
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.60000000
2026-01-15
15000000.00000000
USD
16907312.48000000
USD
UST
1918000.00000000
USD
1918000.00000000
USD
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-142300.73000000
-0.01595523408
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-5788058.48000000
USD
4241448.29000000
GBP
2022-01-18
-142300.73000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-362.00000000
NC
USD
-2828.31000000
-0.00031711958
N/A
DIR
CORP
US
N
2
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
CBOT 5 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
2021-12-31
0.00000000
USD
100000.00000000
122.00000000
USD
2021-11-26
XXXX
91334.60000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAH3
404796.46000000
PA
USD
407111.98000000
0.045646757667
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
3.84200000
N
N
N
N
N
N
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
USD/EUR FORWARD
000000000
1.00000000
NC
USD
48369.51000000
0.005423351338
N/A
DFE
CORP
US
N
2
BNP PARIBAS SECURITIES CORP.
RCNB6OTYUAMMP879YW96
-2230000.00000000
EUR
2582047.84000000
USD
2022-01-18
48369.51000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BU9
430000.00000000
PA
USD
524312.02000000
0.058787618382
Long
DBT
NUSS
ID
N
2
2045-01-15
Fixed
5.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
45208242.80000000
PA
USD
58084050.35000000
6.512578113430
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
CHEVRON USA INC
VA8TZDWPEZYU430RZ444
Chevron USA Inc
166756AP1
500000.00000000
PA
USD
537575.58000000
0.060274773118
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
3.90000000
N
N
N
N
N
N
BONOS TESORERIA PESOS
549300FLZTJM5YJF8D34
Bonos de la Tesoreria de la Republica en pesos
000000000
4785000000.00000000
PA
5347323.60000000
0.599559817763
Long
DBT
NUSS
CL
N
2
2035-03-01
Fixed
5.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
103655250.00000000
PA
USD
120766517.70000000
13.54074613028
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
727011.01000000
PA
USD
728872.01000000
0.081723569055
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
2.19200000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
3720000.00000000
PA
USD
4148934.60000000
0.465192432469
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAR1
2330000.00000000
PA
USD
2957236.00000000
0.331575197215
Long
DBT
CORP
CA
N
2
2042-10-25
Variable
5.55000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME 3 MONTH EURODOLLAR
000000000
838.00000000
NC
USD
-1116272.30000000
-0.12516018607
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
NA
90 DAY EURO DOLLAR TIME DEPOSIT
2023-12-18
207348072.30000000
USD
-1116272.30000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/MYR FORWARD
000000000
1.00000000
NC
USD
-31869.36000000
-0.00357329929
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-9913722.20000000
USD
41682245.00000000
MYR
2022-01-14
-31869.36000000
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Bonos del Tesoro
000000000
26750000.00000000
PA
76040.09000000
0.008525869371
Long
DBT
NUSS
AR
N
2
2023-10-17
Fixed
16.00000000
N
N
N
N
N
N
BARRICK GOLD CORP
0O4KBQCJZX82UKGCBV73
Barrick Gold Corp
067901AH1
330000.00000000
PA
USD
433859.39000000
0.048645766791
Long
DBT
CORP
CA
N
2
2042-04-01
Fixed
5.25000000
N
N
N
N
N
N
Western Asset Premier Institutional Government Reserves
549300WB3XRN9YTWFB76
Western Asset Premier Institutional Government Reserves
52470G494
23400104.88000000
NS
USD
23400104.88000000
2.623698071590
Long
STIV
RF
US
N
1
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
MXN/USD FORWARD
000000000
1.00000000
NC
USD
461727.31000000
0.051770411246
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-289604444.00000000
MXN
13838132.84000000
USD
2022-01-18
461727.31000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-42393750.00000000
PA
USD
-42393750.00000000
-4.75332912792
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.14000000
2022-03-09
346849.09160000
USD
346849.09160000
USD
35000000.00000000
USD
36547929.83000000
USD
UST
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BBQ1
4570000.00000000
PA
USD
4391513.17000000
0.492391153568
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
4.84446300
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
INR/USD FORWARD
000000000
1.00000000
NC
USD
-46643.68000000
-0.00522984550
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-8553054.75000000
USD
642419942.00000000
INR
2022-01-18
-46643.68000000
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE BRENT CRUDE OIL
000000000
111.00000000
NC
USD
-367175.30000000
-0.04116892345
N/A
DCO
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
BRENT CRUDE OIL
BRENT CRUDE OIL
2021-12-30
8051705.30000000
USD
-367175.30000000
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
1630000.00000000
PA
USD
1759053.10000000
0.197230920543
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
92925CDB5
1201060.33000000
PA
USD
1158069.22000000
0.129846596622
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
1.08317000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
CME EURO FOREIGN EXCHANGE CURRENCY
000000000
32.00000000
NC
USD
-224320.25000000
-0.02515153715
N/A
DFE
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
CHICAGO MERCANTILE EXCHANGE
EURO CURRENCY 2PM
2021-12-13
4754920.25000000
USD
-224320.25000000
N
N
N
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
WTI CRUDE OIL
000000000
-141.00000000
NC
USD
1907596.61000000
0.213886116010
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE, INC.
5493008GFNDTXFPHWI47
Short
WTI CRUDE OIL
WTI CRUDE OIL
2021-12-20
-11238976.61000000
USD
1907596.61000000
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAW9
11560000.00000000
PA
USD
18273.47000000
0.002048882611
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Variable
0.60000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-40718750.00000000
PA
USD
-40718750.00000000
-4.56552252224
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.14000000
2022-03-09
333144.89640000
USD
333144.89640000
USD
25000000.00000000
USD
36635966.33000000
USD
UST
N
N
N
COMMODITY EXCHANGE, INC.
N/A
COMEX COPPER
000000000
199.00000000
NC
USD
-276281.30000000
-0.03097758397
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
COPPER
COPPER
2022-03-29
21569281.30000000
USD
-276281.30000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-3086211.81000000
-0.34603639667
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
-3086211.81000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
2620000.00000000
PA
USD
2738384.70000000
0.307036857035
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281ABA6
673000.00000000
PA
USD
683508.90000000
0.076637305347
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co
000000000
-56131250.00000000
PA
USD
-56131250.00000000
-6.29362360280
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.14000000
2022-03-09
35000000.00000000
USD
41060616.02000000
USD
UST
459243.94690000
USD
459243.94690000
USD
N
N
N
Greystone Commercial Real Esta
N/A
Greystone CRE Notes 2021-FL3 Ltd
39809PAA3
2610000.00000000
PA
USD
2613779.28000000
0.293065680332
Long
ABS-CBDO
CORP
KY
N
2
2039-07-15
Floating
1.10950000
N
N
N
N
N
N
RUSSIA I/L BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Inflation Linked Bond
000000000
544806357.60000000
PA
7116059.51000000
0.797876407368
Long
DBT
NUSS
RU
N
2
2028-02-02
Fixed
2.50000000
N
N
N
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BJ6
3470000.00000000
PA
USD
4501398.09000000
0.504711818547
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Origen Manufactured Housing
5493005G5GFEQWMCSY59
Origen Manufactured Housing Contract Trust 2007-B
68620KAA0
2763455.72000000
PA
USD
2764953.51000000
0.310015840930
Long
ABS-O
CORP
US
N
2
2037-10-15
Floating
1.28925000
N
N
N
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAK8
1170000.00000000
PA
USD
1617978.22000000
0.181413132866
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
31000.00000000
PA
USD
33568.71000000
0.003763836108
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
70000.00000000
PA
USD
80639.60000000
0.009041581826
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.37500000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
ICE BRENT CRUDE OIL
000000000
197.00000000
NC
USD
-2447193.10000000
-0.27438748032
N/A
DCO
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Long
BRENT CRUDE OIL
BRENT CRUDE OIL
2022-01-31
16016553.10000000
USD
-2447193.10000000
N
N
N
BXMT Ltd
N/A
BXMT 2020-FL2 LTD
12434LAA2
1310000.00000000
PA
USD
1307483.29000000
0.146599402190
Long
ABS-MBS
CORP
KY
N
2
2038-02-15
Floating
1.06215000
N
N
N
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAT8
250000.00000000
PA
USD
338814.93000000
0.037989063853
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.95000000
N
N
N
N
N
N
KAZTRANSGAS JSC
635400YGLXBBSVHONW39
KazTransGas JSC
48668NAA9
4000000.00000000
PA
USD
4371348.00000000
0.490130167222
Long
DBT
CORP
KZ
N
2
2027-09-26
Fixed
4.37500000
N
N
N
N
N
N
BDS Ltd
N/A
BDS 2021-FL8
05493JAA9
1020000.00000000
PA
USD
1014594.00000000
0.113759674791
Long
ABS-MBS
CORP
KY
N
2
2036-01-18
Floating
1.00875000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
93764429.00000000
PA
USD
103615719.35000000
11.61774122121
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
46652BAS8
2717478.90000000
PA
USD
2657389.73000000
0.297955429935
Long
ABS-MBS
CORP
US
N
2
2037-01-16
Floating
3.08913000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-FOX
12433AAL3
396117.73000000
PA
USD
397078.39000000
0.044521757977
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Floating
4.34000000
N
N
N
N
N
N
Natixis Commercial Mortgage Se
N/A
Natixis Commercial Mortgage Securities Trust 2019-TRUE
63874DAA0
5700000.00000000
PA
USD
5652433.50000000
0.633769760853
Long
ABS-MBS
CORP
US
N
2
2024-04-18
Floating
3.51050000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABD6
100000.00000000
PA
USD
107606.91000000
0.012065246874
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac - SCRT
N/A
Seasoned Credit Risk Transfer Trust Series 2017-2
35563PBJ7
5170000.00000000
PA
USD
5298201.52000000
0.594052085758
Long
ABS-MBS
CORP
US
N
2
2056-08-25
Variable
4.00000000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAP0
200000.00000000
PA
USD
188470.00000000
0.021131887147
Long
DBT
CORP
KY
N
2
2029-03-08
Fixed
2.85000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCM1
12281520.00000000
PA
USD
13798646.46000000
1.547150420620
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
MEXICAN UDIBONOS
254900EGTWEU67VP6075
Mexican Udibonos
000000000
246397760.00000000
PA
11476272.63000000
1.286758094580
Long
DBT
NUSS
MX
N
2
2022-06-09
Fixed
2.00000000
N
N
N
N
N
N
REPUBLIC OF NIGERIA
549300GSBZD84TNEQ285
Nigeria Government International Bond
65412JAC7
280000.00000000
PA
USD
274254.40000000
0.030750321167
Long
DBT
NUSS
NG
N
2
2027-11-28
Fixed
6.50000000
N
N
N
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
1700000.00000000
PA
USD
1296250.00000000
0.145339888121
Long
DBT
CORP
AR
N
2
2025-07-28
Fixed
8.50000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
1630000.00000000
PA
USD
1754487.68000000
0.196719030374
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
COMMODITY EXCHANGE, INC.
N/A
COMEX GOLD 100 TROY OUNCES
000000000
243.00000000
NC
USD
-344560.98000000
-0.03863333020
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE, INC.
N/A
Long
GOLD
GOLD
2022-02-24
43513510.98000000
USD
-344560.98000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1834385.62000000
0.205677454798
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
1743267.39000000
N
N
N
2022-01-21
Western Asset Inflation-Linked Opportunities & Income Fund
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer