| Security | $Holding | Balance | % of Fund | Category | Position | Country |
|---|---|---|---|---|---|---|
| United States Treasury Floating Rate Note | 271.49 mm | 271.61 mm principal | 14.05 | Debt | Long | USA |
| United States Treasury Floating Rate Note | 232.42 mm | 232.70 mm principal | 12.03 | Debt | Long | USA |
| United Kingdom Gilt | 106.18 mm | 82.23 mm principal | 5.50 | Debt | Long | UK |
| United Kingdom Gilt | 99.98 mm | 151.49 mm principal | 5.18 | Debt | Long | UK |
| Western Asset Premier Institutional US Treasury Reserves | 99.03 mm | 99.03 mm shares | 5.13 | Short-term investment vehicle | Long | USA |
| United States Treasury Floating Rate Note | 91.78 mm | 91.85 mm principal | 4.75 | Debt | Long | USA |
| Mexican Bonos | 85.45 mm | 2.01 bn principal | 4.42 | Debt | Long | Mexico |
| United States Treasury Note/Bond | 62.53 mm | 62.77 mm principal | 3.24 | Debt | Long | USA |
| United States Treasury Note/Bond | 62.24 mm | 61.17 mm principal | 3.22 | Debt | Long | USA |
| United States Treasury Note/Bond | 57.69 mm | 56.59 mm principal | 2.99 | Debt | Long | USA |
| Brazil Notas do Tesouro Nacional Serie F | 48.27 mm | 301.70 mm principal | 2.50 | Debt | Long | Brazil |
| Ginnie Mae II Pool | 46.74 mm | 46.20 mm principal | 2.42 | ABS-mortgage backed security | Long | USA |
| Mexican Bonos | 45.47 mm | 1.07 bn principal | 2.35 | Debt | Long | Mexico |
| Commonwealth Bank of Australia | 42.34 mm | 42.30 mm principal | 2.19 | Debt | Long | Australia |
| General Motors Financial Co Inc | 41.71 mm | 41.19 mm principal | 2.16 | Debt | Long | USA |
| Egypt Treasury Bills | 39.59 mm | 2.18 bn principal | 2.05 | Debt | Long | Egypt |
| Freddie Mac Pool | 38.86 mm | 38.31 mm principal | 2.01 | ABS-mortgage backed security | Long | USA |
| Toyota Motor Credit Corp | 38.43 mm | 38.14 mm principal | 1.99 | Debt | Long | USA |
| Ginnie Mae II Pool | 38.32 mm | 37.89 mm principal | 1.98 | ABS-mortgage backed security | Long | USA |
| Mexican Bonos | 32.20 mm | 749.00 mm principal | 1.67 | Debt | Long | Mexico |
| Fannie Mae Pool | 30.49 mm | 30.07 mm principal | 1.58 | ABS-mortgage backed security | Long | USA |
| Colombian TES | 30.02 mm | 143.09 bn principal | 1.55 | Debt | Long | Colombia |
| Ginnie Mae II Pool | 29.92 mm | 29.58 mm principal | 1.55 | ABS-mortgage backed security | Long | USA |
| Republic of South Africa Government Bond | 29.06 mm | 726.64 mm principal | 1.50 | Debt | Long | South Africa |
| Ginnie Mae II Pool | 26.93 mm | 26.64 mm principal | 1.39 | ABS-mortgage backed security | Long | USA |
| Republic of South Africa Government Bond | 24.69 mm | 509.20 mm principal | 1.28 | Debt | Long | South Africa |
| Petroleos Mexicanos | 22.57 mm | 31.45 mm principal | 1.17 | Debt | Long | Mexico |
| Colombian TES | 22.09 mm | 104.77 bn principal | 1.14 | Debt | Long | Colombia |
| Ginnie Mae II Pool | 21.81 mm | 21.57 mm principal | 1.13 | ABS-mortgage backed security | Long | USA |
| Brazil Notas do Tesouro Nacional Serie F | 21.71 mm | 133.26 mm principal | 1.12 | Debt | Long | Brazil |
| Ginnie Mae II Pool | 20.80 mm | 20.55 mm principal | 1.08 | ABS-mortgage backed security | Long | USA |
| Brazil Notas do Tesouro Nacional Serie F | 17.81 mm | 107.78 mm principal | 0.92 | Debt | Long | Brazil |
| New Zealand Government Bond | 16.72 mm | 38.12 mm principal | 0.87 | Debt | Long | New Zealand |
| Mexican Bonos | 14.04 mm | 299.90 mm principal | 0.73 | Debt | Long | Mexico |
|
USD/MXN FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
13.14 mm | 1.00 contracts | 0.68 | DFE | N/A | USA |
|
USD/EUR FORWARD
J.P. MORGAN SECURITIES LLC
|
12.30 mm | 1.00 contracts | 0.64 | DFE | N/A | USA |
|
USD/AUD FORWARD
MORGAN STANLEY & CO. LLC
|
3.92 mm | 1.00 contracts | 0.20 | DFE | N/A | USA |
|
KRW/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
2.78 mm | 1.00 contracts | 0.14 | DFE | N/A | USA |
|
USD/COP FORWARD
J.P. MORGAN SECURITIES LLC
|
2.65 mm | 1.00 contracts | 0.14 | DFE | N/A | USA |
|
JPY/USD FORWARD
J.P. MORGAN SECURITIES LLC
|
2.13 mm | 1.00 contracts | 0.11 | DFE | N/A | USA |
|
CLP/USD FORWARD
HSBC SECURITIES (USA) INC.
|
1.28 mm | 1.00 contracts | 0.07 | DFE | N/A | USA |
|
NZD/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
1.01 mm | 1.00 contracts | 0.05 | DFE | N/A | USA |
|
EUR/USD FORWARD
UBS Securities LLC
|
805.69 k | 1.00 contracts | 0.04 | DFE | N/A | USA |
|
KRW/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
418.97 k | 1.00 contracts | 0.02 | DFE | N/A | USA |
|
USD/EUR FORWARD
J.P. MORGAN SECURITIES LLC
|
368.40 k | 1.00 contracts | 0.02 | DFE | N/A | USA |
|
COP/USD FORWARD
J.P. MORGAN SECURITIES LLC
|
260.56 k | 1.00 contracts | 0.01 | DFE | N/A | USA |
| ULTRA U.S. TREASURY BOND | -93.59 k | 914.00 contracts | -0.00 | Interest rate derivative | N/A | USA |
|
USD/CNH FORWARD
J.P. MORGAN SECURITIES LLC
|
-230.41 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
CLP/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-231.40 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
EUR/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-315.13 k | 1.00 contracts | -0.02 | DFE | N/A | USA |
| LONG GILT | -337.31 k | 1.23 k contracts | -0.02 | Interest rate derivative | N/A | UK |
|
USD/GBP FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-436.49 k | 1.00 contracts | -0.02 | DFE | N/A | USA |
|
USD/CNH FORWARD
J.P. MORGAN SECURITIES LLC
|
-574.04 k | 1.00 contracts | -0.03 | DFE | N/A | USA |
|
KRW/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-1.03 mm | 1.00 contracts | -0.05 | DFE | N/A | USA |
|
USD/CLP FORWARD
HSBC SECURITIES (USA) INC.
|
-1.68 mm | 1.00 contracts | -0.09 | DFE | N/A | USA |
|
NZD/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-1.96 mm | 1.00 contracts | -0.10 | DFE | N/A | USA |
|
GBP/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-2.12 mm | 1.00 contracts | -0.11 | DFE | N/A | USA |
|
MXN/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-2.59 mm | 1.00 contracts | -0.13 | DFE | N/A | USA |
|
USD/JPY FORWARD
J.P. MORGAN SECURITIES LLC
|
-2.68 mm | 1.00 contracts | -0.14 | DFE | N/A | USA |
|
ZAR/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-2.75 mm | 1.00 contracts | -0.14 | DFE | N/A | USA |
