| Security | $Holding | Balance | % of Fund | Category | Position | Country |
|---|---|---|---|---|---|---|
| United States Treasury Note/Bond | 3.13 mm | 3.23 mm principal | 11.77 | Debt | Long | USA |
| United States Treasury Floating Rate Note | 3.11 mm | 3.11 mm principal | 11.67 | Debt | Long | USA |
| United Kingdom Gilt | 1.36 mm | 2.00 mm principal | 5.10 | Debt | Long | UK |
| United States Treasury Note/Bond | 1.20 mm | 1.19 mm principal | 4.52 | Debt | Long | USA |
| United States Treasury Note/Bond | 1.17 mm | 1.43 mm principal | 4.40 | Debt | Long | USA |
| Colombian TES | 1.09 mm | 4.65 bn principal | 4.09 | Debt | Long | Colombia |
| Ginnie Mae II Pool | 841.44 k | 835.10 k principal | 3.16 | ABS-mortgage backed security | Long | USA |
| Mexican Bonos | 826.38 k | 14.70 mm principal | 3.11 | Debt | Long | Mexico |
| United States Treasury Note/Bond | 783.63 k | 1.13 mm principal | 2.94 | Debt | Long | USA |
| Republic of South Africa Government Bond | 766.23 k | 19.00 mm principal | 2.88 | Debt | Long | South Africa |
| Mexican Bonos | 751.77 k | 14.50 mm principal | 2.82 | Debt | Long | Mexico |
| Freddie Mac Pool | 647.23 k | 643.10 k principal | 2.43 | ABS-mortgage backed security | Long | USA |
| Western Asset Premier Institutional US Treasury Reserves | 612.37 k | 612.37 k shares | 2.30 | Short-term investment vehicle | Long | USA |
| Mexican Bonos | 585.82 k | 11.20 mm principal | 2.20 | Debt | Long | Mexico |
| Mexican Bonos | 537.32 k | 10.20 mm principal | 2.02 | Debt | Long | Mexico |
| Commonwealth Bank of Australia | 531.38 k | 530.00 k principal | 2.00 | Debt | Long | Australia |
| Ginnie Mae II Pool | 529.06 k | 525.08 k principal | 1.99 | ABS-mortgage backed security | Long | USA |
| General Motors Financial Co Inc | 513.40 k | 510.00 k principal | 1.93 | Debt | Long | USA |
| Ginnie Mae II Pool | 487.29 k | 479.01 k principal | 1.83 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 480.01 k | 483.44 k principal | 1.80 | ABS-mortgage backed security | Long | USA |
| Toyota Motor Credit Corp | 479.45 k | 480.00 k principal | 1.80 | Debt | Long | USA |
| Fannie Mae Pool | 472.31 k | 469.30 k principal | 1.77 | ABS-mortgage backed security | Long | USA |
| Fannie Mae Pool | 465.42 k | 479.79 k principal | 1.75 | ABS-mortgage backed security | Long | USA |
| Republic of South Africa Government Bond | 459.94 k | 13.90 mm principal | 1.73 | Debt | Long | South Africa |
| Brazil Notas do Tesouro Nacional Serie F | 436.52 k | 2.11 mm principal | 1.64 | Debt | Long | Brazil |
| Ginnie Mae II Pool | 434.88 k | 431.60 k principal | 1.63 | ABS-mortgage backed security | Long | USA |
| Colombian TES | 421.00 k | 1.89 bn principal | 1.58 | Debt | Long | Colombia |
| Fannie Mae Pool | 378.34 k | 381.96 k principal | 1.42 | ABS-mortgage backed security | Long | USA |
| Freddie Mac Pool | 340.92 k | 351.44 k principal | 1.28 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 317.62 k | 315.23 k principal | 1.19 | ABS-mortgage backed security | Long | USA |
| Ginnie Mae II Pool | 289.79 k | 287.44 k principal | 1.09 | ABS-mortgage backed security | Long | USA |
| Petroleos Mexicanos | 250.75 k | 380.00 k principal | 0.94 | Debt | Long | Mexico |
| Freddie Mac Pool | 238.82 k | 240.99 k principal | 0.90 | ABS-mortgage backed security | Long | USA |
| Freddie Mac Pool | 233.47 k | 240.68 k principal | 0.88 | ABS-mortgage backed security | Long | USA |
| New Zealand Government Bond | 221.35 k | 490.00 k principal | 0.83 | Debt | Long | New Zealand |
| Brazil Notas do Tesouro Nacional Serie F | 211.79 k | 1.04 mm principal | 0.80 | Debt | Long | Brazil |
| Brazil Notas do Tesouro Nacional Serie F | 201.25 k | 980.00 k principal | 0.76 | Debt | Long | Brazil |
| Fannie Mae Pool | 198.24 k | 200.04 k principal | 0.74 | ABS-mortgage backed security | Long | USA |
| Freddie Mac Pool | 191.87 k | 193.61 k principal | 0.72 | ABS-mortgage backed security | Long | USA |
| Brazil Notas do Tesouro Nacional Serie F | 174.00 k | 860.00 k principal | 0.65 | Debt | Long | Brazil |
| Colombian TES | 148.60 k | 790.00 mm principal | 0.56 | Debt | Long | Colombia |
| US ULTRA BOND | 132.92 k | 27.00 contracts | 0.50 | Interest rate derivative | N/A | USA |
| LONG GILT | 73.75 k | 9.00 contracts | 0.28 | Interest rate derivative | N/A | UK |
|
USD/MXN FORWARD
J.P. MORGAN SECURITIES LLC
|
36.52 k | 1.00 contracts | 0.14 | DFE | N/A | USA |
|
USD/MXN FORWARD
MORGAN STANLEY & CO. LLC
|
33.14 k | 1.00 contracts | 0.12 | DFE | N/A | USA |
|
COP/USD FORWARD
J.P. MORGAN SECURITIES LLC
|
19.17 k | 1.00 contracts | 0.07 | DFE | N/A | USA |
|
NOK/USD FORWARD
MORGAN STANLEY & CO. LLC
|
16.40 k | 1.00 contracts | 0.06 | DFE | N/A | USA |
|
USD/JPY FORWARD
J.P. MORGAN SECURITIES LLC
|
9.20 k | 1.00 contracts | 0.03 | DFE | N/A | USA |
|
USD/AUD FORWARD
J.P. MORGAN SECURITIES LLC
|
8.62 k | 1.00 contracts | 0.03 | DFE | N/A | USA |
|
USD/CLP FORWARD
MORGAN STANLEY & CO. LLC
|
6.27 k | 1.00 contracts | 0.02 | DFE | N/A | USA |
|
USD/NOK FORWARD
J.P. MORGAN SECURITIES LLC
|
4.46 k | 1.00 contracts | 0.02 | DFE | N/A | USA |
|
USD/BRL FORWARD
HSBC SECURITIES (USA) INC.
|
3.40 k | 1.00 contracts | 0.01 | DFE | N/A | USA |
|
USD/NZD FORWARD
BARCLAYS PLC
|
2.72 k | 1.00 contracts | 0.01 | DFE | N/A | USA |
|
USD/MYR FORWARD
GOLDMAN SACHS & CO. LLC
|
1.86 k | 1.00 contracts | 0.01 | DFE | N/A | USA |
|
USD/CLP FORWARD
HSBC SECURITIES (USA) INC.
|
1.25 k | 1.00 contracts | 0.00 | DFE | N/A | USA |
|
INR/USD FORWARD
BARCLAYS PLC
|
260.55 | 1.00 contracts | 0.00 | DFE | N/A | USA |
|
USD/CLP FORWARD
HSBC SECURITIES (USA) INC.
|
102.91 | 1.00 contracts | 0.00 | DFE | N/A | USA |
|
USD/CNH FORWARD
HSBC SECURITIES (USA) INC.
|
-95.91 | 1.00 contracts | -0.00 | DFE | N/A | USA |
|
BRL/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-814.76 | 1.00 contracts | -0.00 | DFE | N/A | USA |
|
ZAR/USD FORWARD
UBS Securities LLC
|
-1.20 k | 1.00 contracts | -0.00 | DFE | N/A | USA |
|
GBP/USD FORWARD
UBS Securities LLC
|
-1.62 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
USD/MXN FORWARD
MORGAN STANLEY & CO. LLC
|
-1.65 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
CAD/USD FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-2.23 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
EUR/USD FORWARD
NATIONAL AUSTRALIA BANK LIMITED
|
-2.25 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
MXN/USD FORWARD
NATIONAL AUSTRALIA BANK LIMITED
|
-3.45 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
USD/NOK FORWARD
MORGAN STANLEY & CO. LLC
|
-3.52 k | 1.00 contracts | -0.01 | DFE | N/A | USA |
|
USD/CNH FORWARD
J.P. MORGAN SECURITIES LLC
|
-4.65 k | 1.00 contracts | -0.02 | DFE | N/A | USA |
|
USD/NZD FORWARD
BARCLAYS PLC
|
-10.66 k | 1.00 contracts | -0.04 | DFE | N/A | USA |
|
USD/GBP FORWARD
J.P. MORGAN SECURITIES LLC
|
-10.84 k | 1.00 contracts | -0.04 | DFE | N/A | USA |
|
USD/ZAR FORWARD
HSBC SECURITIES (USA) INC.
|
-12.11 k | 1.00 contracts | -0.05 | DFE | N/A | USA |
|
MXN/USD FORWARD
UBS Securities LLC
|
-14.24 k | 1.00 contracts | -0.05 | DFE | N/A | USA |
|
EUR/USD FORWARD
J.P. MORGAN SECURITIES LLC
|
-24.96 k | 1.00 contracts | -0.09 | DFE | N/A | USA |
|
BRL/USD FORWARD
HSBC SECURITIES (USA) INC.
|
-47.12 k | 1.00 contracts | -0.18 | DFE | N/A | USA |
|
COP/USD FORWARD
J.P. MORGAN SECURITIES LLC
|
-156.44 k | 1.00 contracts | -0.59 | DFE | N/A | USA |
|
USD/MXN FORWARD
CITIGROUP GLOBAL MARKETS INC.
|
-276.48 k | 1.00 contracts | -1.04 | DFE | N/A | USA |
