| Security | $Holding | Balance | % of Fund | Category | Position | Country |
|---|---|---|---|---|---|---|
| United States Treasury Floating Rate Note | 25.94 mm | 25.96 mm principal | 20.91 | Debt | Long | USA |
| United States Treasury Floating Rate Note | 7.99 mm | 7.99 mm principal | 6.44 | Debt | Long | USA |
| Mexican Bonos | 7.31 mm | 185.10 mm principal | 5.89 | Debt | Long | Mexico |
| Brazil Notas do Tesouro Nacional Serie F | 5.44 mm | 36.23 mm principal | 4.38 | Debt | Long | Brazil |
| Western Asset Premier Institutional US Treasury Reserves | 4.51 mm | 4.51 mm shares | 3.64 | Short-term investment vehicle | Long | USA |
| Colombian TES | 4.47 mm | 30.42 bn principal | 3.60 | Debt | Long | Colombia |
| Egypt Treasury Bills | 4.00 mm | 218.50 mm principal | 3.22 | Debt | Long | Egypt |
| Egypt Treasury Bills | 3.96 mm | 229.00 mm principal | 3.19 | Debt | Long | Egypt |
| Republic of Poland Government Bond | 3.66 mm | 16.86 mm principal | 2.95 | Debt | Long | Poland |
| Brazil Notas do Tesouro Nacional Serie F | 3.42 mm | 23.13 mm principal | 2.75 | Debt | Long | Brazil |
| Ginnie Mae II Pool | 3.40 mm | 3.37 mm principal | 2.74 | ABS-mortgage backed security | Long | USA |
| Commonwealth Bank of Australia | 3.14 mm | 3.13 mm principal | 2.53 | Debt | Long | Australia |
| Ginnie Mae II Pool | 3.01 mm | 3.02 mm principal | 2.43 | ABS-mortgage backed security | Long | USA |
| Freddie Mac Pool | 2.90 mm | 2.92 mm principal | 2.34 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 2.85 mm | 2.87 mm principal | 2.30 | ABS-mortgage backed security | Long | USA |
| General Motors Financial Co Inc | 2.83 mm | 2.81 mm principal | 2.28 | Debt | Long | USA |
| Freddie Mac Multifamily Structured Pass Through Certificates | 2.77 mm | 2.85 mm principal | 2.23 | ABS-mortgage backed security | Long | USA |
| Toyota Motor Credit Corp | 2.64 mm | 2.64 mm principal | 2.13 | Debt | Long | USA |
| Colombian TES | 2.56 mm | 13.60 bn principal | 2.06 | Debt | Long | Colombia |
| Ginnie Mae II Pool | 2.17 mm | 2.18 mm principal | 1.75 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 2.13 mm | 2.13 mm principal | 1.72 | ABS-mortgage backed security | Long | USA |
| Brazil Notas do Tesouro Nacional Serie F | 2.13 mm | 13.90 mm principal | 1.71 | Debt | Long | Brazil |
| Fannie Mae Pool | 2.11 mm | 2.12 mm principal | 1.70 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 2.06 mm | 2.06 mm principal | 1.66 | ABS-mortgage backed security | Long | USA |
| DISH DISH Network CORP | 1.58 mm | 1.86 mm principal | 1.27 | Debt | Long | USA |
| Petroleos Mexicanos | 1.53 mm | 2.15 mm principal | 1.24 | Debt | Long | Mexico |
| Ginnie Mae II Pool | 1.52 mm | 1.53 mm principal | 1.22 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 1.26 mm | 1.26 mm principal | 1.01 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 1.23 mm | 1.22 mm principal | 0.99 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 1.11 mm | 1.09 mm principal | 0.89 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 1.08 mm | 1.07 mm principal | 0.87 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 1.04 mm | 1.04 mm principal | 0.84 | ABS-mortgage backed security | Long | USA |
|
USD/KRW FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
949.24 k | 1.00 contracts | 0.77 | DFE | N/A | USA |
| Ginnie Mae II Pool | 898.27 k | 890.75 k principal | 0.72 | ABS-mortgage backed security | Long | USA |
| JBL Jabil Inc. | 856.12 k | 970.00 k principal | 0.69 | Debt | Long | USA |
| Ginnie Mae II Pool | 710.06 k | 704.12 k principal | 0.57 | ABS-mortgage backed security | Long | USA |
|
USD/JPY FORWARD
J.P. MORGAN SECURITIES LLC
|
644.13 k | 1.00 contracts | 0.52 | DFE | N/A | USA |
|
USD/JPY FORWARD
J.P. MORGAN SECURITIES LLC
|
532.40 k | 1.00 contracts | 0.43 | DFE | N/A | USA |
| Ginnie Mae II Pool | 481.76 k | 477.72 k principal | 0.39 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 452.99 k | 455.02 k principal | 0.37 | ABS-mortgage backed security | Long | USA |
|
USD/CHF FORWARD
UBS Securities LLC
|
337.09 k | 1.00 contracts | 0.27 | DFE | N/A | USA |
| EURO-BOBL | 312.50 k | -422.00 contracts | 0.25 | Interest rate derivative | N/A | Germany |
|
USD/COP FORWARD
J.P. MORGAN SECURITIES LLC
|
295.07 k | 1.00 contracts | 0.24 | DFE | N/A | USA |
|
USD/PLN FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
269.93 k | 1.00 contracts | 0.22 | DFE | N/A | USA |
|
TRY/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
257.46 k | 1.00 contracts | 0.21 | DFE | N/A | USA |
|
USD/EUR FORWARD
BARCLAYS PLC
|
234.29 k | 1.00 contracts | 0.19 | DFE | N/A | USA |
|
USD/NOK FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
216.39 k | 1.00 contracts | 0.17 | DFE | N/A | USA |
|
USD/EUR FORWARD
J.P. MORGAN SECURITIES LLC
|
195.21 k | 1.00 contracts | 0.16 | DFE | N/A | USA |
|
USD/EUR FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
187.87 k | 1.00 contracts | 0.15 | DFE | N/A | USA |
|
USD/AUD FORWARD
UBS Securities LLC
|
179.96 k | 1.00 contracts | 0.15 | DFE | N/A | USA |
|
USD/EUR FORWARD
HSBC SECURITIES (USA) INC.
|
175.79 k | 1.00 contracts | 0.14 | DFE | N/A | USA |
|
USD/NOK FORWARD
MORGAN STANLEY & CO. LLC
|
164.64 k | 1.00 contracts | 0.13 | DFE | N/A | USA |
|
USD/CNH FORWARD
J.P. MORGAN SECURITIES LLC
|
157.87 k | 1.00 contracts | 0.13 | DFE | N/A | USA |
|
USD/GBP FORWARD
HSBC SECURITIES (USA) INC.
|
137.77 k | 1.00 contracts | 0.11 | DFE | N/A | USA |
|
USD/AUD FORWARD
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
|
93.49 k | 1.00 contracts | 0.08 | DFE | N/A | USA |
|
USD/BRL FORWARD
HSBC SECURITIES (USA) INC.
|
60.46 k | 1.00 contracts | 0.05 | DFE | N/A | USA |
|
USD/AUD FORWARD
GOLDMAN SACHS & CO. LLC
|
48.76 k | 1.00 contracts | 0.04 | DFE | N/A | USA |
| EURO-BTP | 45.59 k | -129.00 contracts | 0.04 | Interest rate derivative | N/A | Germany |
|
USD/GBP FORWARD
J.P. MORGAN SECURITIES LLC
|
42.56 k | 1.00 contracts | 0.03 | DFE | N/A | USA |
|
USD/CHF FORWARD
MORGAN STANLEY & CO. LLC
|
29.32 k | 1.00 contracts | 0.02 | DFE | N/A | USA |
|
USD/BRL FORWARD
HSBC SECURITIES (USA) INC.
|
25.51 k | 1.00 contracts | 0.02 | DFE | N/A | USA |
|
USD/CLP FORWARD
HSBC SECURITIES (USA) INC.
|
22.70 k | 1.00 contracts | 0.02 | DFE | N/A | USA |
|
CHF/USD FORWARD
BARCLAYS PLC
|
14.31 k | 1.00 contracts | 0.01 | DFE | N/A | USA |
|
USD/AUD FORWARD
MORGAN STANLEY & CO. LLC
|
13.23 k | 1.00 contracts | 0.01 | DFE | N/A | USA |
|
EUR/USD FORWARD
MORGAN STANLEY & CO. LLC
|
8.02 k | 1.00 contracts | 0.01 | DFE | N/A | USA |
|
USD/MXN FORWARD
HSBC SECURITIES (USA) INC.
|
2.93 k | 1.00 contracts | 0.00 | DFE | N/A | USA |
|
ZAR/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-504.81 | 1.00 contracts | -0.00 | DFE | N/A | USA |
|
ZAR/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-1.19 k | 1.00 contracts | -0.00 | DFE | N/A | USA |
|
USD/TRY FORWARD
UBS Securities LLC
|
-10.05 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
EUR/USD FORWARD
GOLDMAN SACHS & CO. LLC
|
-11.37 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
USD/SEK FORWARD
MORGAN STANLEY & CO. LLC
|
-12.09 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
GBP/USD FORWARD
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
|
-14.90 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
USD/TRY FORWARD
J.P. MORGAN SECURITIES LLC
|
-16.51 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
ZAR/USD FORWARD
MORGAN STANLEY & CO. LLC
|
-18.37 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
ZAR/USD FORWARD
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
|
-24.45 k | 1.00 contracts | -0.02 | DFE | N/A | USA |
|
USD/TRY FORWARD
MORGAN STANLEY & CO. LLC
|
-26.49 k | 1.00 contracts | -0.02 | DFE | N/A | USA |
|
USD/TRY FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-26.57 k | 1.00 contracts | -0.02 | DFE | N/A | USA |
|
CHF/USD FORWARD
UBS Securities LLC
|
-29.72 k | 1.00 contracts | -0.02 | DFE | N/A | USA |
|
GBP/USD FORWARD
BARCLAYS PLC
|
-31.68 k | 1.00 contracts | -0.03 | DFE | N/A | USA |
|
USD/JPY FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-38.45 k | 1.00 contracts | -0.03 | DFE | N/A | USA |
|
HUF/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-43.43 k | 1.00 contracts | -0.04 | DFE | N/A | USA |
|
EUR/USD FORWARD
J.P. MORGAN SECURITIES LLC
|
-53.69 k | 1.00 contracts | -0.04 | DFE | N/A | USA |
|
PLN/USD FORWARD
BARCLAYS PLC
|
-60.60 k | 1.00 contracts | -0.05 | DFE | N/A | USA |
|
CAD/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-79.56 k | 1.00 contracts | -0.06 | DFE | N/A | USA |
|
MXN/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-80.02 k | 1.00 contracts | -0.06 | DFE | N/A | USA |
|
CHF/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-82.55 k | 1.00 contracts | -0.07 | DFE | N/A | USA |
|
CLP/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-87.46 k | 1.00 contracts | -0.07 | DFE | N/A | USA |
|
EUR/USD FORWARD
UBS Securities LLC
|
-105.37 k | 1.00 contracts | -0.08 | DFE | N/A | USA |
|
JPY/USD FORWARD
MORGAN STANLEY & CO. LLC
|
-122.60 k | 1.00 contracts | -0.10 | DFE | N/A | USA |
|
NOK/USD FORWARD
BARCLAYS PLC
|
-137.47 k | 1.00 contracts | -0.11 | DFE | N/A | USA |
|
CLP/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-214.53 k | 1.00 contracts | -0.17 | DFE | N/A | USA |
|
USD/ZAR FORWARD
HSBC SECURITIES (USA) INC.
|
-260.54 k | 1.00 contracts | -0.21 | DFE | N/A | USA |
|
NOK/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-272.87 k | 1.00 contracts | -0.22 | DFE | N/A | USA |
|
CNH/USD FORWARD
J.P. MORGAN SECURITIES LLC
|
-282.29 k | 1.00 contracts | -0.23 | DFE | N/A | USA |
|
AUD/USD FORWARD
MORGAN STANLEY & CO. LLC
|
-597.92 k | 1.00 contracts | -0.48 | DFE | N/A | USA |
|
KRW/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-824.04 k | 1.00 contracts | -0.66 | DFE | N/A | USA |
| LONG GILT | -849.93 k | 129.00 contracts | -0.69 | Interest rate derivative | N/A | UK |
|
JPY/USD FORWARD
J.P. MORGAN SECURITIES LLC
|
-1.07 mm | 1.00 contracts | -0.86 | DFE | N/A | USA |
