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April 27, 2022 12:09 PM EDT

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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
      2022-11-30
      2022-02-28
      N
    
    
      850013312.64
      17806048.57
      832207264.07
      0.00000000
      58315450.62000000
      0.00000000
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      0.00000000
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          BRL
          
          
        
        
          MXN
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        BXMT Ltd
        N/A
        BXMT 2020-FL2 LTD
        12434LAA2
        
          
        
        1310000.00000000
        PA
        USD
        1301422.12000000
        0.156381970716
        Long
        ABS-MBS
        CORP
        KY
        N
        2
        
          2038-02-15
          Floating
          1.06281000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-2
        35563PBJ7
        
          
        
        5170000.00000000
        PA
        USD
        5178420.90000000
        0.622251345737
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2056-08-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN COPPER CORP
        2549007U6NAP46Q9TU15
        Southern Copper Corp
        84265VAG0
        
          
          
        
        3440000.00000000
        PA
        USD
        4010283.20000000
        0.481885147263
        Long
        DBT
        CORP
        US
        
        N
        2
        
          2042-11-08
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BHMS Mortgage Trust
        N/A
        BHMS 2018-ATLS
        05549GAL5
        
          
        
        4220000.00000000
        PA
        USD
        4144986.12000000
        0.498071369832
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-07-15
          Floating
          2.44114000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CCM1
        
          
          
        
        6241320.00000000
        PA
        USD
        6861518.72000000
        0.824496374429
        Long
        DBT
        UST
        US
        N
        2
        
          2031-07-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RF7
        
          
          
        
        53473269.00000000
        PA
        USD
        71881300.15000000
        8.637427628119
        Long
        DBT
        UST
        US
        N
        2
        
          2044-02-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/BRL FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        745447.67000000
        0.089574761262
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -6627292.99000000
            USD
            38497945.00000000
            BRL
            2022-04-19
            745447.67000000
          
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        969457BV1
        
          
          
        
        2350000.00000000
        PA
        USD
        2767483.73000000
        0.332547413304
        Long
        DBT
        CORP
        US
        N
        2
        
          2044-06-24
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5 YEAR TREASURY NOTE
        000000000
        
          
          
        
        1293.00000000
        NC
        USD
        789303.61000000
        0.094844595100
        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
                
                  
                  
                  
                
              
            
            2022-06-30
            152148352.64000000
            USD
            789303.61000000
          
        
        
          N
          N
          N
        
      
      
        MEX BONOS DESARR FIX RT
        254900EGTWEU67VP6075
        Mexican Bonos
        000000000
        
          
          
        
        51280000.00000000
        PA
        
        2454156.29000000
        0.294897244467
        Long
        DBT
        NUSS
        MX
        N
        2
        
          2047-11-07
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT RRB
        4BFD7AQU0A75QLAHK410
        Canadian Government Real Return Bond
        135087ZH0
        
          
          
        
        3699639.90000000
        PA
        
        3616540.30000000
        0.434572065895
        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
        604528.75000000
        0.072641609380
        Long
        DBT
        CORP
        US
        N
        2
        
          2030-04-06
          Fixed
          3.63300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        58956.20000000
        0.007084316917
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -7756925.75000000
            USD
            897550000.00000000
            JPY
            2022-04-19
            58956.20000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2020-FOX
        12433AAL3
        
          
        
        396117.73000000
        PA
        USD
        393563.64000000
        0.047291541060
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2032-11-15
          Floating
          4.44100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CB0
        
          
          
        
        880000.00000000
        PA
        USD
        953462.18000000
        0.114570278482
        Long
        DBT
        NUSS
        ID
        N
        2
        
          2047-07-18
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAZTRANSGAS JSC
        635400YGLXBBSVHONW39
        KazTransGas JSC
        48668NAA9
        
          
          
        
        4000000.00000000
        PA
        USD
        4015224.00000000
        0.482478845517
        Long
        DBT
        CORP
        KZ
        N
        2
        
          2027-09-26
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAE5
        
          
          
        
        2480000.00000000
        PA
        USD
        2441783.20000000
        0.293410464606
        Long
        DBT
        CORP
        KY
        
        N
        2
        
          2028-08-08
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Avenue of Americas
        N/A
        AOA 2021-1177 Mortgage Trust
        00192NAA5
        
          
        
        2240000.00000000
        PA
        USD
        2207586.08000000
        0.265268782827
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-10-15
          Floating
          1.06640000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828X39
        
          
          
        
        90566390.00000000
        PA
        USD
        91616479.22000000
        11.00885358437
        Long
        DBT
        UST
        US
        N
        2
        
          2022-04-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CCA7
        
          
          
        
        7441770.00000000
        PA
        USD
        7942875.87000000
        0.954434816052
        Long
        DBT
        UST
        US
        N
        2
        
          2026-04-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -4678889.46000000
        -0.56222646232
        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
            -4678889.46000000
          
        
        
          N
          N
          N
        
      
      
        CHEVRON USA INC
        VA8TZDWPEZYU430RZ444
        Chevron USA Inc
        166756AP1
        
          
          
        
        500000.00000000
        PA
        USD
        526213.73000000
        0.063231090705
        Long
        DBT
        CORP
        US
        N
        2
        
          2024-11-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMODITY EXCHANGE, INC.
        N/A
        COMEX GOLD 100 TROY OUNCES
        000000000
        
          
          
        
        201.00000000
        NC
        USD
        1532770.27000000
        0.184181313499
        N/A
        DCO
        CORP
        US
        N
        1
        
          
            
              COMMODITY EXCHANGE, INC.
              N/A
            
            Long
            
              
                GOLD
                GOLD
                
                  
                  
                
              
            
            2022-04-27
            36671299.73000000
            USD
            1532770.27000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        Banc of America Funding 2015-R2 Trust
        05990TAP2
        
          
        
        8810814.53000000
        PA
        USD
        7706991.28000000
        0.926090363872
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-29
          Variable
          0.32854700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
        46632HAL5
        
          
          
        
        37552.99000000
        PA
        USD
        34271.05000000
        0.004118090706
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2051-02-15
          Variable
          6.64365900
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH AMERICAS
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAV6
        
          
          
        
        2870000.00000000
        PA
        USD
        2972545.10000000
        0.357188074213
        Long
        DBT
        CORP
        US
        N
        2
        
          2026-04-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIA GOVT BOND - OFZ
        5493004EHVGF71PDBU58
        Russian Federal Bond - OFZ
        000000000
        
          
          
        
        335648000.00000000
        PA
        
        1669963.91000000
        0.200666826895
        Long
        DBT
        NUSS
        RU
        N
        2
        
          2028-01-19
          Fixed
          7.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APACHE CORP
        72ZZ1XRHOOU9P9X16K08
        Apache Corp
        037411AY1
        
          
          
        
        910000.00000000
        PA
        USD
        897783.25000000
        0.107879766106
        Long
        DBT
        CORP
        US
        N
        2
        
          2042-02-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        Morgan Stanley & Co
        000000000
        
          
        
        -39987500.00000000
        PA
        USD
        -39987500.00000000
        -4.80499290578
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.14000000
          2022-03-09
          
            
              35000000.00000000
              USD
              36481263.24000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAP0
        
          
          
        
        200000.00000000
        PA
        USD
        168480.00000000
        0.020244956668
        Long
        DBT
        CORP
        KY
        
        N
        2
        
          2029-03-08
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
          
        
        3720000.00000000
        PA
        USD
        1842545.76000000
        0.221404671594
        Long
        DBT
        CORP
        LU
        
        N
        2
        
          2026-02-11
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EOG RESOURCES INC
        XWTZDRYZPBUHIQBKDB46
        EOG Resources Inc
        26875PAT8
        
          
          
        
        250000.00000000
        PA
        USD
        304361.87000000
        0.036572844667
        Long
        DBT
        CORP
        US
        N
        2
        
          2050-04-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAJ9
        
          
          
        
        2550000.00000000
        PA
        USD
        2738659.20000000
        0.329083789368
        Long
        DBT
        NUSS
        AE
        N
        2
        
          2050-04-16
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS TESORERIA PESOS
        549300FLZTJM5YJF8D34
        Bonos de la Tesoreria de la Republica en pesos
        000000000
        
          
          
        
        4785000000.00000000
        PA
        
        5563987.46000000
        0.668581938685
        Long
        DBT
        NUSS
        CL
        N
        2
        
          2035-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        3IFG42XD94UUZ7FL2766
        Morgan Stanley Capital I Inc
        62479WAA9
        
          
        
        1903704.71000000
        PA
        USD
        1879435.52000000
        0.225837432709
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2023-11-15
          Floating
          0.96990000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RANGE RESOURCES CORP
        H3Y3WLYCX0BTO1TRW162
        Range Resources Corp
        75281ABA6
        
          
          
        
        673000.00000000
        PA
        USD
        681345.20000000
        0.081872056327
        Long
        DBT
        CORP
        US
        N
        2
        
          2023-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780BU9
        
          
          
        
        430000.00000000
        PA
        USD
        481634.02000000
        0.057874286946
        Long
        DBT
        NUSS
        ID
        N
        2
        
          2045-01-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARRICK GOLD CORP
        0O4KBQCJZX82UKGCBV73
        Barrick Gold Corp
        067901AH1
        
          
          
        
        330000.00000000
        PA
        USD
        387238.00000000
        0.046531437145
        Long
        DBT
        CORP
        CA
        N
        2
        
          2042-04-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        CAD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -25967.66000000
        -0.00312033565
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -7848383.06000000
            CAD
            6166961.11000000
            USD
            2022-04-19
            -25967.66000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAF7
        
          
          
        
        3720000.00000000
        PA
        USD
        3959140.20000000
        0.475739683001
        Long
        DBT
        NUSS
        MX
        N
        2
        
          2029-04-22
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE FUTURES EUROPE
        549300UF4R84F48NCH34
        ICE BRENT CRUDE OIL
        000000000
        
          
          
        
        258.00000000
        NC
        USD
        3333146.60000000
        0.400518806300
        N/A
        DCO
        CORP
        GB
        
        N
        1
        
          
            
              ICE FUTURES EUROPE
              549300UF4R84F48NCH34
            
            Long
            
              
                CRUDE OIL
                CRUDE OIL
                
                  
                  
                
              
            
            2022-04-29
            21202653.40000000
            USD
            3333146.60000000
          
        
        
          N
          N
          N
        
      
      
        NOTA DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        Brazil Notas do Tesouro Nacional Serie B
        000000000
        
          
          
        
        55545425.50000000
        PA
        
        11187283.86000000
        1.344290580364
        Long
        DBT
        NUSS
        BR
        N
        2
        
          2050-08-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE AG
        ANGGYXNX0JLX3X63JN86
        CREDIT SUISSE AG
        000000000
        
          
        
        -20137500.00000000
        PA
        USD
        -20137500.00000000
        -2.41976979406
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.60000000
          2026-01-15
          
            
              2258000.00000000
              USD
              2258000.00000000
              USD
              
            
            
              15000000.00000000
              USD
              16856942.59000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828B25
        
          
          
        
        13143680.00000000
        PA
        USD
        13972169.00000000
        1.678928988394
        Long
        DBT
        UST
        US
        N
        2
        
          2024-01-15
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME EURO FOREIGN EXCHANGE CURRENCY
        000000000
        
          
          
        
        32.00000000
        NC
        USD
        -46212.50000000
        -0.00555300368
        N/A
        DFE
        CORP
        US
        N
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                CHICAGO MERCANTILE EXCHANGE
                EURO CURRENCY 2PM
                
                  
                  
                
              
            
            2022-03-14
            4536812.50000000
            USD
            -46212.50000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        3851449.27000000
        0.462799285260
        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
            3851449.27000000
          
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2021-B29 Mortgage Trust
        08163JAG9
        
          
        
        8218518.49000000
        PA
        USD
        587512.30000000
        0.070596872361
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2054-09-15
          Variable
          1.04823700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2M4
        
          
          
        
        4480000.00000000
        PA
        USD
        5529220.30000000
        0.664404234223
        Long
        DBT
        CORP
        US
        N
        2
        
          2051-04-04
          Fixed
          5.01300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALCOA NEDERLAND HOLDING
        5493000UL1QLQLT1VQ42
        Alcoa Nederland Holding BV
        013822AC5
        
          
          
        
        570000.00000000
        PA
        USD
        600660.30000000
        0.072176767246
        Long
        DBT
        CORP
        NL
        
        N
        2
        
          2028-05-15
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        Morgan Stanley & Co
        000000000
        
          
        
        -50681250.00000000
        PA
        USD
        -50681250.00000000
        -6.08997928618
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.14000000
          2022-03-09
          
            
              45000000.00000000
              USD
              45808239.61000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2021-C59
        95003CBU3
        
          
        
        3975851.56000000
        PA
        USD
        423112.51000000
        0.050842203411
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2054-04-15
          Variable
          1.54873800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -59582.05000000
        -0.00715952053
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -5750780.39000000
            USD
            4241448.29000000
            GBP
            2022-04-19
            -59582.05000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME 3 MONTH EURODOLLAR
        000000000
        
          
          
        
        769.00000000
        NC
        USD
        -2148502.40000000
        -0.25816914761
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                NA
                90 DAY EURO DOLLAR TIME DEPOSIT
                
                  
                  
                
              
            
            2023-12-18
            190274739.90000000
            USD
            -2148502.40000000
          
        
        
          N
          N
          N
        
      
      
        YPF SOCIEDAD ANONIMA
        5493003N7447U18U5U53
        YPF SA
        000000000
        
          
          
        
        1700000.00000000
        PA
        USD
        1358980.00000000
        0.163298262184
        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
        1683596.11000000
        0.202304904401
        Long
        DBT
        CORP
        US
        
        N
        2
        
          2027-10-27
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828N71
        
          
          
        
        95299487.00000000
        PA
        USD
        103667118.37000000
        12.45688698546
        Long
        DBT
        UST
        US
        N
        2
        
          2026-01-15
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828UH1
        
          
          
        
        43483320.00000000
        PA
        USD
        45142609.14000000
        5.424443055114
        Long
        DBT
        UST
        US
        N
        2
        
          2023-01-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/CLP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -555777.69000000
        -0.06678356630
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -6204483648.00000000
            CLP
            7155854.50000000
            USD
            2022-04-19
            -555777.69000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        USD/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6874.45000000
        -0.00082605022
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -696486.28000000
            AUD
            499361.16000000
            USD
            2022-04-19
            -6874.45000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME RUSSIAN RUBLE CURRENCY
        000000000
        
          
          
        
        21.00000000
        NC
        USD
        -205327.50000000
        -0.02467263972
        N/A
        DFE
        CORP
        US
        N
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                RUSSIAN RUBLE
                RUSSIAN RUBLE
                
                  
                  
                
              
            
            2022-03-15
            667327.50000000
            USD
            -205327.50000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2022-LP2
        05610HAN3
        
          
        
        1820000.00000000
        PA
        USD
        1805516.26000000
        0.216955118989
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-02-15
          Floating
          4.15580000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        10 YEAR US TREASURY NOTE
        000000000
        
          
          
        
        2979.00000000
        NC
        USD
        3648768.57000000
        0.438444691308
        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
                
                  
                  
                  
                
              
            
            2022-06-21
            375987543.93000000
            USD
            3648768.57000000
          
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        91911KAP7
        
          
          
        
        2620000.00000000
        PA
        USD
        2704848.70000000
        0.325021039442
        Long
        DBT
        CORP
        CA
        
        N
        2
        
          2025-12-15
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOTA DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        Brazil Notas do Tesouro Nacional Serie F
        000000000
        
          
          
        
        4090000.00000000
        PA
        
        779165.69000000
        0.093626398571
        Long
        DBT
        NUSS
        BR
        N
        2
        
          2023-01-01
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BrightSpire Capital, Inc
        N/A
        BRSP 2021-FL1 Ltd
        05591XAA9
        
          
        
        2000000.00000000
        PA
        USD
        1995995.62000000
        0.239843570967
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        2
        
          2038-08-19
          Floating
          1.32071000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128284H0
        
          
          
        
        80814960.00000000
        PA
        USD
        84840147.08000000
        10.19459343157
        Long
        DBT
        UST
        US
        N
        2
        
          2023-04-15
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        Morgan Stanley & Co
        000000000
        
          
        
        -44275000.00000000
        PA
        USD
        -44275000.00000000
        -5.32018908168
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.14000000
          2022-03-09
          
            
              35000000.00000000
              USD
              38356833.80000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810PZ5
        
          
          
        
        27179070.10000000
        PA
        USD
        34075481.37000000
        4.094590715701
        Long
        DBT
        UST
        US
        N
        2
        
          2029-01-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810FS2
        
          
          
        
        105352500.00000000
        PA
        USD
        120406732.76000000
        14.46835878013
        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
        2597014.47000000
        0.312063422433
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2039-07-15
          Floating
          1.21114000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICAN UDIBONOS
        254900EGTWEU67VP6075
        Mexican Udibonos
        000000000
        
          
          
        
        251248795.00000000
        PA
        
        12212060.36000000
        1.467430156794
        Long
        DBT
        NUSS
        MX
        N
        2
        
          2022-06-09
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XQW7
        
          
        
        2950000.00000000
        PA
        USD
        3117194.20000000
        0.374569453378
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2030-02-25
          Floating
          4.33686000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-VOLT
        05609VAA3
        
          
        
        910000.00000000
        PA
        USD
        885058.81000000
        0.106350767196
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-15
          Floating
          0.89114000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CD6
        
          
          
        
        1790000.00000000
        PA
        USD
        1850514.08000000
        0.222362163837
        Long
        DBT
        NUSS
        ID
        N
        2
        
          2028-01-11
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.IG.37.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        2643539.79000000
        0.317654015307
        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
            3538823.01000000
            USD
            0.00000000
            USD
            158874000.00000000
            USD
            -895283.22000000
          
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Secu
        N/A
        Bear Stearns Asset Backed Securities Trust 2007-SD2
        07386UAM4
        
          
          
        
        30086.79000000
        PA
        USD
        29342.36000000
        0.003525847618
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-09-25
          Floating
          0.98686000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAL9
        
          
          
        
        600000.00000000
        PA
        USD
        553500.00000000
        0.066509873669
        Long
        DBT
        CORP
        KY
        
        N
        2
        
          2030-06-18
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT Trust
        N/A
        SREIT Trust 2021-MFP
        78472UAA6
        
          
        
        650000.00000000
        PA
        USD
        637819.07000000
        0.076641853242
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-11-15
          Floating
          0.92194000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMODITY EXCHANGE, INC.
        N/A
        COMEX COPPER
        000000000
        
          
          
        
        199.00000000
        NC
        USD
        -318897.50000000
        -0.03831948046
        N/A
        DCO
        CORP
        US
        N
        1
        
          
            
              COMMODITY EXCHANGE, INC.
              N/A
            
            Long
            
              
                COPPER
                COPPER
                
                  
                  
                
              
            
            2022-05-26
            22480035.00000000
            USD
            -318897.50000000
          
        
        
          N
          N
          N
        
      
      
        US TREASURY N/B
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CDJ7
        
          
          
        
        180000.00000000
        PA
        USD
        172589.06000000
        0.020738711070
        Long
        DBT
        UST
        US
        N
        2
        
          2031-11-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        N/A
        Banc of America Funding 2015-R2 Trust
        05990TAK3
        
          
        
        6539820.18000000
        PA
        USD
        6539820.18000000
        0.785840314348
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-29
          Floating
          0.32113300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810RL4
        
          
          
        
        13023670.00000000
        PA
        USD
        15676120.38000000
        1.883679830350
        Long
        DBT
        UST
        US
        N
        2
        
          2045-02-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hawaii Hotel Trust 2019-MAUI
        N/A
        Hawaii Hotel Trust 2019-MAUI
        41975AAL6
        
          
        
        1760000.00000000
        PA
        USD
        1722499.68000000
        0.206979649706
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-05-15
          Floating
          2.94114000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WAMU Mortgage Pass-Through Cer
        N/A
        WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust
        92925CDB5
        
          
          
        
        1146859.20000000
        PA
        USD
        1109200.01000000
        0.133284105761
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-02-25
          Floating
          1.10372000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan T
        N/A
        Morgan Stanley Mortgage Loan Trust 2007-11AR
        61754VAE1
        
          
        
        71242.06000000
        PA
        USD
        52334.64000000
        0.006288654552
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-06-25
          Variable
          2.62681500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBG6
        
          
          
        
        6590000.00000000
        PA
        USD
        7466577.94000000
        0.897201726344
        Long
        DBT
        CORP
        US
        N
        2
        
          2050-03-19
          Fixed
          4.32700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN GOVERNMENT RRB
        4BFD7AQU0A75QLAHK410
        Canadian Government Real Return Bond
        135087G99
        
          
          
        
        3202062.20000000
        PA
        
        2594516.69000000
        0.311763283260
        Long
        DBT
        NUSS
        CA
        N
        2
        
          2050-12-01
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIA I/L BOND - OFZ
        5493004EHVGF71PDBU58
        Russian Federal Inflation Linked Bond
        000000000
        
          
          
        
        559462819.20000000
        PA
        
        1783847.05000000
        0.214351295286
        Long
        DBT
        NUSS
        RU
        N
        2
        
          2028-02-02
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R07
        20753WAF3
        
          
        
        499792.70000000
        PA
        USD
        501122.35000000
        0.060216050932
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2039-10-25
          Floating
          2.28686000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Natixis Commercial Mortgage Se
        N/A
        Natixis Commercial Mortgage Securities Trust 2019-TRUE
        63874DAA0
        
          
        
        5700000.00000000
        PA
        USD
        5687061.00000000
        0.683370747352
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2024-04-18
          Floating
          3.51050000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/MYR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -49533.10000000
        -0.00595201485
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -9952210.27000000
            USD
            41650000.00000000
            MYR
            2022-04-20
            -49533.10000000
          
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810SM1
        
          
          
        
        9434541.00000000
        PA
        USD
        10434280.63000000
        1.253807925079
        Long
        DBT
        UST
        US
        N
        2
        
          2050-02-15
          Fixed
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Origen Manufactured Housing
        5493005G5GFEQWMCSY59
        Origen Manufactured Housing Contract Trust 2007-B
        68620KAA0
        
          
        
        2530920.61000000
        PA
        USD
        2497264.43000000
        0.300077220882
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2037-10-15
          Floating
          1.39114000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK MERCANTILE EXCHANGE, INC.
        5493008GFNDTXFPHWI47
        NYMEX LIGHT SWEET CRUDE OIL
        000000000
        
          
          
        
        150.00000000
        NC
        USD
        308625.00000000
        0.037085112486
        N/A
        DCO
        CORP
        US
        N
        1
        
          
            
              NEW YORK MERCANTILE EXCHANGE, INC.
              5493008GFNDTXFPHWI47
            
            Long
            
              
                WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
                WEST TEXAS INTERMEDIATE LIGHT SWEET CRUDE OIL
                
                  
                  
                
              
            
            2022-07-20
            12708375.00000000
            USD
            308625.00000000
          
        
        
          N
          N
          N
        
      
      
        AMBAC ASSURANCE CORP
        549300RYYRVPPB8NC636
        Ambac Assurance Corp
        023138AA8
        
          
          
        
        48492.51000000
        PA
        USD
        63798.44000000
        0.007666171968
        Long
        DBT
        CORP
        US
        N
        2
        
          N/A
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        BRL/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1267729.05000000
        0.152333331458
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -10671003.08000000
            USD
            62340000.00000000
            BRL
            2022-04-19
            1267729.05000000
          
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
          
        
        750000.00000000
        PA
        USD
        775853.03000000
        0.093228341483
        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
        912810QV3
        
          
          
        
        44171830.00000000
        PA
        USD
        52762588.36000000
        6.340077843343
        Long
        DBT
        UST
        US
        N
        2
        
          2042-02-15
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        Morgan Stanley & Co
        000000000
        
          
        
        -82118750.00000000
        PA
        USD
        -82118750.00000000
        -9.86758389951
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.14000000
          2022-03-09
          
            
              35000000.00000000
              USD
              48261033.42000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        GENERAL DYNAMICS CORP
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BJ6
        
          
          
        
        3470000.00000000
        PA
        USD
        3993351.85000000
        0.479850636062
        Long
        DBT
        CORP
        US
        N
        2
        
          2050-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        Morgan Stanley & Co
        000000000
        
          
        
        -16743750.00000000
        PA
        USD
        -16743750.00000000
        -2.01196873938
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.14000000
          2022-03-09
          
            
              15000000.00000000
              USD
              15904068.57000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810PS1
        
          
          
        
        6912500.00000000
        PA
        USD
        8224331.85000000
        0.988255234612
        Long
        DBT
        UST
        US
        N
        2
        
          2027-01-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        Morgan Stanley & Co
        000000000
        
          
        
        -40718750.00000000
        PA
        USD
        -40718750.00000000
        -4.89286164132
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.14000000
          2022-03-09
          
            
              25000000.00000000
              USD
              33784211.07000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME BRITISH POUND CURRENCY
        000000000
        
          
          
        
        -67.00000000
        NC
        USD
        -90198.75000000
        -0.01083849587
        N/A
        DFE
        CORP
        US
        N
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                BRITISH POUND CURRENCY
                BRITISH POUND CURRENCY
                
                  
                  
                
              
            
            2022-03-14
            -5527332.50000000
            USD
            -90198.75000000
          
        
        
          N
          N
          N
        
      
      
        EOG RESOURCES INC
        XWTZDRYZPBUHIQBKDB46
        EOG Resources Inc
        26875PAU5
        
          
          
        
        70000.00000000
        PA
        USD
        77365.30000000
        0.009296398065
        Long
        DBT
        CORP
        US
        N
        2
        
          2030-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
        46652BAS8
        
          
        
        1976481.46000000
        PA
        USD
        1908340.29000000
        0.229310698475
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-16
          Floating
          3.12571000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PFP III
        N/A
        PFP 2021-8 Ltd
        69357XAA9
        
          
        
        2550000.00000000
        PA
        USD
        2536288.65000000
        0.304766463776
        Long
        ABS-MBS
        CORP
        KY
        
        N
        2
        
          2037-08-09
          Floating
          1.12571000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        Morgan Stanley & Co
        000000000
        
          
        
        -42393750.00000000
        PA
        USD
        -42393750.00000000
        -5.09413361674
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.14000000
          2022-03-09
          
            
              35000000.00000000
              USD
              36114087.31000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        SANDS CHINA LTD
        549300EVO6UZDGY05787
        Sands China Ltd
        80007RAR6
        
          
          
        
        600000.00000000
        PA
        USD
        489000.00000000
        0.058759400585
        Long
        DBT
        CORP
        KY
        
        N
        2
        
          2031-08-08
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH AMERICAS
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAW4
        
          
          
        
        1970000.00000000
        PA
        USD
        1997580.00000000
        0.240033953829
        Long
        DBT
        CORP
        US
        N
        2
        
          2027-01-31
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810FD5
        
          
          
        
        17237700.00000000
        PA
        USD
        22452366.26000000
        2.697929617940
        Long
        DBT
        UST
        US
        N
        2
        
          2028-04-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBP5
        
          
          
        
        400000.00000000
        PA
        USD
        370869.28000000
        0.044564532900
        Long
        DBT
        CORP
        US
        N
        2
        
          2035-11-15
          Fixed
          3.13700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        Barclays Bank PLC
        06740L8C2
        
          
          
        
        1029000.00000000
        PA
        USD
        1067064.46000000
        0.128220998069
        Long
        DBT
        CORP
        GB
        N
        2
        
          2022-11-21
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BHP BILLITON FIN USA LTD
        5493003NUVITP3TMY274
        BHP Billiton Finance USA Ltd
        055451AV0
        
          
          
        
        1620000.00000000
        PA
        USD
        1958677.67000000
        0.235359357526
        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
        2057546.55000000
        0.247239676800
        Long
        DBT
        NUSS
        ID
        N
        2
        
          2048-01-11
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/IDR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        21576.71000000
        0.002592708683
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -3652693.53000000
            USD
            52969535174.00000000
            IDR
            2022-04-19
            21576.71000000
          
        
        
          N
          N
          N
        
      
      
        GLENCORE FINANCE CANADA
        5493005TTO0UJ33KCK70
        Glencore Finance Canada Ltd
        98417EAR1
        
          
          
        
        2330000.00000000
        PA
        USD
        2689425.80000000
        0.323167787174
        Long
        DBT
        CORP
        CA
        
        N
        2
        
          2042-10-25
          Variable
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL DYNAMICS CORP
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BH0
        
          
          
        
        30000.00000000
        PA
        USD
        33561.82000000
        0.004032867946
        Long
        DBT
        CORP
        US
        N
        2
        
          2040-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        COP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        549156.65000000
        0.065987966424
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -13131169.08000000
            USD
            54160819992.00000000
            COP
            2022-04-19
            549156.65000000
          
        
        
          N
          N
          N
        
      
      
        HALLIBURTON CO
        ENYF8GB5SMQZ25S06U51
        Halliburton Co
        406216BG5
        
          
          
        
        11000.00000000
        PA
        USD
        11519.34000000
        0.001384191234
        Long
        DBT
        CORP
        US
        N
        2
        
          2025-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/INR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -50660.09000000
        -0.00608743665
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -8524115.20000000
            USD
            642419942.00000000
            INR
            2022-04-19
            -50660.09000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CME ULTRA LONG TERM US TREASURY BOND
        000000000
        
          
          
        
        -208.00000000
        NC
        USD
        203357.56000000
        0.024435927055
        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
                
                  
                  
                  
                
              
            
            2022-06-21
            -38878357.56000000
            USD
            203357.56000000
          
        
        
          N
          N
          N
        
      
      
        BARRICK NA FINANCE LLC
        N/A
        Barrick North America Finance LLC
        06849RAK8
        
          
          
        
        1170000.00000000
        PA
        USD
        1459602.75000000
        0.175389330641
        Long
        DBT
        CORP
        US
        
        N
        2
        
          2043-05-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK MERCANTILE EXCHANGE, INC.
        5493008GFNDTXFPHWI47
        NYMEX LIGHT SWEET CRUDE OIL
        000000000
        
          
          
        
        -141.00000000
        NC
        USD
        -859225.24000000
        -0.10324654411
        N/A
        DCO
        CORP
        US
        N
        1
        
          
            
              NEW YORK MERCANTILE EXCHANGE, INC.
              5493008GFNDTXFPHWI47
            
            Short
            
              
                CRUDE OIL
                CRUDE OIL
                
                  
                  
                
              
            
            2022-03-22
            -12637294.76000000
            USD
            -859225.24000000
          
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AN8
        
          
          
        
        500000.00000000
        PA
        USD
        518721.02000000
        0.062330748888
        Long
        DBT
        CORP
        US
        
        N
        2
        
          2027-03-27
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-CIP
        12434FAA5
        
          
        
        520000.00000000
        PA
        USD
        511640.74000000
        0.061479965639
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-12-15
          Floating
          1.11200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        91282CDC2
        
          
          
        
        24486960.00000000
        PA
        USD
        26323276.06000000
        3.163067326673
        Long
        DBT
        UST
        US
        N
        2
        
          2026-10-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        Lehman Mortgage Trust 2006-5
        52520TAT5
        
          
        
        2476896.72000000
        PA
        USD
        594697.95000000
        0.071460317119
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-25
          Floating
          6.96314000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF NIGERIA
        549300GSBZD84TNEQ285
        Nigeria Government International Bond
        65412JAC7
        
          
          
        
        280000.00000000
        PA
        USD
        267552.60000000
        0.032149755421
        Long
        DBT
        NUSS
        NG
        N
        2
        
          2027-11-28
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DC6
        
          
          
        
        330000.00000000
        PA
        USD
        355068.45000000
        0.042665867666
        Long
        DBT
        CORP
        US
        N
        2
        
          2026-03-15
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
        46652BAW9
        
          
        
        11560000.00000000
        PA
        USD
        18633.56000000
        0.002239052794
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-16
          Variable
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -80445.64000000
        -0.00966653903
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -286041.19000000
            USD
            22500000.00000000
            RUB
            2022-03-15
            -80445.64000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/MXN FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -229722.46000000
        -0.02760399601
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -427720000.00000000
            MXN
            20469466.38000000
            USD
            2022-04-19
            -229722.46000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        Morgan Stanley & Co
        000000000
        
          
        
        -7437500.00000000
        PA
        USD
        -7437500.00000000
        -0.89370765206
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.14000000
          2022-03-09
          
            
              5000000.00000000
              USD
              5803884.72000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        MEX BONOS DESARR FIX RT
        254900EGTWEU67VP6075
        Mexican Bonos
        000000000
        
          
          
        
        217320000.00000000
        PA
        
        10165262.11000000
        1.221482021231
        Long
        DBT
        NUSS
        MX
        N
        2
        
          2042-11-13
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APACHE CORP
        72ZZ1XRHOOU9P9X16K08
        Apache Corp
        037411BC8
        
          
          
        
        2630000.00000000
        PA
        USD
        2351969.55000000
        0.282618243260
        Long
        DBT
        CORP
        US
        N
        2
        
          2044-01-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.HY.37
        000000000
        
          
        
        1.00000000
        NC
        USD
        4093631.94000000
        0.491900529680
        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
            5475846.68000000
            USD
            0.00000000
            USD
            62500000.00000000
            USD
            -1382214.74000000
          
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912810FH6
        
          
          
        
        98364520.00000000
        PA
        USD
        134058426.17000000
        16.10877866102
        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
        653579.75000000
        0.078535693957
        Long
        DBT
        CORP
        US
        N
        2
        
          2051-04-15
          Fixed
          3.45200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME MEXICAN PESO CURRENCY
        000000000
        
          
          
        
        257.00000000
        NC
        USD
        282222.50000000
        0.033912525423
        N/A
        DFE
        CORP
        US
        N
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Long
            
              
                MEXICAN PESO
                MEXICAN PESO
                
                  
                  
                
              
            
            2022-03-14
            5966732.50000000
            USD
            282222.50000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        RUB/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8580874.01000000
        -1.03109818677
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -26953460.90000000
            USD
            2077464952.00000000
            RUB
            2022-04-19
            -8580874.01000000
          
        
        
          N
          N
          N
        
      
      
        ANGLO AMERICAN CAPITAL
        TINT358G1SSHR3L3PW36
        Anglo American Capital PLC
        034863AT7
        
          
          
        
        1630000.00000000
        PA
        USD
        1711501.71000000
        0.205658107528
        Long
        DBT
        CORP
        GB
        
        N
        2
        
          2027-09-11
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828TE0
        
          
          
        
        84866600.00000000
        PA
        USD
        87480076.28000000
        10.51181358982
        Long
        DBT
        UST
        US
        N
        2
        
          2022-07-15
          Fixed
          0.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US TREASURY LONG BOND
        000000000
        
          
          
        
        -924.00000000
        NC
        USD
        -1594705.42000000
        -0.19162358811
        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
                
                  
                  
                  
                
              
            
            2022-06-21
            -143184544.58000000
            USD
            -1594705.42000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -14152.33000000
        -0.00170057756
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -67894444.00000000
            MXN
            3271548.40000000
            USD
            2022-04-19
            -14152.33000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
          
        
        100812000000.00000000
        PA
        
        7459464.69000000
        0.896346981341
        Long
        DBT
        NUSS
        ID
        N
        2
        
          2027-05-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        Morgan Stanley & Co
        000000000
        
          
        
        -56131250.00000000
        PA
        USD
        -56131250.00000000
        -6.74486422114
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.14000000
          2022-03-09
          
            
              35000000.00000000
              USD
              39734221.81000000
              USD
              UST
            
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        4892.75000000
        0.000587924452
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1311506.14000000
            USD
            27201555.40000000
            MXN
            2022-04-19
            4892.75000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        2208962.61000000
        0.265434189939
        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
            2117844.38000000
          
        
        
          N
          N
          N
        
      
      
        YAMANA GOLD INC
        54930002VY22NXG01418
        Yamana Gold Inc
        98462YAD2
        
          
          
        
        1360000.00000000
        PA
        USD
        1425588.22000000
        0.171302063986
        Long
        DBT
        CORP
        CA
        N
        2
        
          2027-12-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Bonos del Tesoro
        000000000
        
          
          
        
        26750000.00000000
        PA
        
        85719.66000000
        0.010300277791
        Long
        DBT
        NUSS
        AR
        N
        2
        
          2023-10-17
          Fixed
          16.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Western Asset Premier Institutional Government Reserves
        549300WB3XRN9YTWFB76
        Western Asset Premier Institutional Government Reserves
        52470G494
        
          
          
        
        15561652.24000000
        NS
        USD
        15561652.24000000
        1.869925066971
        Long
        STIV
        RF
        US
        N
        1
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-XL2
        05609KAG4
        
          
        
        2250000.00000000
        PA
        USD
        2200975.65000000
        0.264474457869
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2038-10-15
          Floating
          1.58770000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOTA DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        Brazil Notas do Tesouro Nacional Serie F
        000000000
        
          
          
        
        2446000.00000000
        PA
        
        454047.38000000
        0.054559410810
        Long
        DBT
        NUSS
        BR
        N
        2
        
          2027-01-01
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DJ1
        
          
          
        
        2690000.00000000
        PA
        USD
        2997668.75000000
        0.360206991626
        Long
        DBT
        CORP
        US
        N
        2
        
          2040-03-15
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAJ4
        
          
        
        2230000.00000000
        PA
        USD
        2171510.22000000
        0.260933821867
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-10-15
          Floating
          2.08640000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2021-B31 Mortgage Trust
        08163MAE7
        
          
        
        450000.00000000
        PA
        USD
        441337.95000000
        0.053032215537
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2054-12-15
          Fixed
          2.66900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AQ4
        
          
          
        
        2250000.00000000
        PA
        USD
        2271476.25000000
        0.272945977290
        Long
        DBT
        CORP
        US
        N
        2
        
          2044-06-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MRCD Mortgage Trust
        N/A
        MRCD 2019-MARK Mortgage Trust
        55348UAG3
        
          
        
        2530000.00000000
        PA
        USD
        2511809.55000000
        0.301824997022
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-15
          Fixed
          2.71752000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/RUB FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -72276.57000000
        -0.00868492419
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -277872.12000000
            USD
            22500000.00000000
            RUB
            2022-03-15
            -72276.57000000
          
        
        
          N
          N
          N
        
      
      
        ILFC E-CAPITAL TRUST II
        N/A
        ILFC E-Capital Trust II
        44965UAA2
        
          
          
        
        2084000.00000000
        PA
        USD
        1792240.00000000
        0.215359812077
        Long
        SN
        CORP
        US
        N
        2
        
          2065-12-21
          Variable
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOTA DO TESOURO NACIONAL
        254900ZFY40OYEADAP90
        Brazil Notas do Tesouro Nacional Serie B
        000000000
        
          
          
        
        31603431.75000000
        PA
        
        6289465.35000000
        0.755757083787
        Long
        DBT
        NUSS
        BR
        N
        2
        
          2030-08-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - SCRT
        N/A
        Seasoned Credit Risk Transfer Trust Series 2017-2
        35563PBH1
        
          
        
        3690000.00000000
        PA
        USD
        3690026.94000000
        0.443402394969
        Long
        ABS-MBS
        USGSE
        US
        N
        2
        
          2056-08-25
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT Trust
        N/A
        SREIT Trust 2021-PALM
        85237AAC7
        
          
        
        1930000.00000000
        PA
        USD
        1879798.96000000
        0.225881104522
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-10-15
          Floating
          1.00100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTOFAGASTA PLC
        213800MY6QVH4FVLD628
        Antofagasta PLC
        03718NAA4
        
          
          
        
        1110000.00000000
        PA
        USD
        997928.85000000
        0.119913499086
        Long
        DBT
        CORP
        GB
        
        N
        2
        
          2030-10-14
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABD6
        
          
          
        
        100000.00000000
        PA
        USD
        103899.47000000
        0.012484806908
        Long
        DBT
        CORP
        US
        N
        2
        
          2027-04-15
          Fixed
          3.75000000
          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
        4279664.70000000
        0.514254667649
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-16
          Variable
          4.68819000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLICA ORIENT URUGUAY
        549300RDR012H2V82H43
        Uruguay Government International Bond
        760942AU6
        
          
          
        
        277762377.00000000
        PA
        
        7476028.36000000
        0.898337311241
        Long
        DBT
        NUSS
        UY
        N
        2
        
          2027-04-05
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAD2
        
          
          
        
        110000.00000000
        PA
        USD
        113575.58000000
        0.013647511251
        Long
        DBT
        CORP
        US
        N
        2
        
          2024-02-06
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XAH3
        
          
        
        212483.75000000
        PA
        USD
        212959.61000000
        0.025589732173
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2050-08-25
          Floating
          3.93686000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NAY5
        
          
          
        
        3690000.00000000
        PA
        USD
        3895643.70000000
        0.468109792859
        Long
        DBT
        CORP
        NL
        
        N
        2
        
          2028-01-27
          Fixed
          5.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEG ENERGY CORP
        5493002WXPTG5ZC1T326
        MEG Energy Corp
        552704AD0
        
          
          
        
        8000.00000000
        PA
        USD
        8134.48000000
        0.000977458423
        Long
        DBT
        CORP
        CA
        N
        2
        
          2025-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BDS Ltd
        N/A
        BDS 2021-FL8
        05493JAA9
        
          
        
        963551.22000000
        PA
        USD
        948053.70000000
        0.113920382689
        Long
        ABS-MBS
        CORP
        KY
        N
        2
        
          2036-01-18
          Floating
          1.05671000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CA2
        
          
          
        
        400000.00000000
        PA
        USD
        420733.41000000
        0.050556325108
        Long
        DBT
        NUSS
        ID
        N
        2
        
          2027-07-18
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBV4
        
          
          
        
        2880000.00000000
        PA
        USD
        2913925.33000000
        0.350144183523
        Long
        DBT
        CORP
        US
        N
        2
        
          2029-07-31
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        11432.27000000
        0.001373728696
        N/A
        DFE
        CORP
        US
        N
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -1377846.19000000
            EUR
            1559392.58000000
            USD
            2022-04-19
            11432.27000000
          
        
        
          N
          N
          N
        
      
      
        TSY INFL IX N/B
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        9128286N5
        
          
          
        
        28741440.00000000
        PA
        USD
        30584747.25000000
        3.675135818981
        Long
        DBT
        UST
        US
        N
        2
        
          2024-04-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      2022-04-20
      Western Asset Inflation-Linked Opportunities & Income Fund
      Christopher Berarducci
      Christopher Berarducci
      Principal Financial Officer
    
  
  XXXX

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
U.S. TREASURY INFLATION PROTECTED SECURITIES - 116.4%
U.S. Treasury Bonds, Inflation Indexed		2.000	%		1/15/26		105,352,500	$	120,406,733	^(a)
U.S. Treasury Bonds, Inflation Indexed		2.375	%		1/15/27		6,912,500		8,224,332
U.S. Treasury Bonds, Inflation Indexed		3.625	%		4/15/28		17,237,700		22,452,366
U.S. Treasury Bonds, Inflation Indexed		2.500	%		1/15/29		27,179,070		34,075,481
U.S. Treasury Bonds, Inflation Indexed		3.875	%		4/15/29		98,364,520		134,058,426	^(a)
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/42		44,171,830		52,762,588	^(a)
U.S. Treasury Bonds, Inflation Indexed		1.375	%		2/15/44		53,473,269		71,881,300	^(a)(b)
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/45		13,023,670		15,676,121	^(b)(c)
U.S. Treasury Bonds, Inflation Indexed		0.250	%		2/15/50		9,434,541		10,434,281
U.S. Treasury Notes, Inflation Indexed		0.125	%		4/15/22		90,566,390		91,616,479	^(a)
U.S. Treasury Notes, Inflation Indexed		0.125	%		7/15/22		84,866,600		87,480,076
U.S. Treasury Notes, Inflation Indexed		0.125	%		1/15/23		43,483,320		45,142,609	^(a)
U.S. Treasury Notes, Inflation Indexed		0.625	%		4/15/23		80,814,960		84,840,147	^(a)
U.S. Treasury Notes, Inflation Indexed		0.625	%		1/15/24		13,143,680		13,972,169
U.S. Treasury Notes, Inflation Indexed		0.500	%		4/15/24		28,741,440		30,584,747	^(a)
U.S. Treasury Notes, Inflation Indexed		0.625	%		1/15/26		95,299,487		103,667,119	^(a)
U.S. Treasury Notes, Inflation Indexed		0.125	%		4/15/26		7,441,770		7,942,876
U.S. Treasury Notes, Inflation Indexed		0.125	%		10/15/26		24,486,960		26,323,276
U.S. Treasury Notes, Inflation Indexed		0.125	%		7/15/31		6,241,320		6,861,519

TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $899,610,639)									968,402,645

CORPORATE BONDS & NOTES - 9.4%
COMMUNICATION SERVICES - 0.0%††
Wireless Telecommunication Services - 0.0%††
T-Mobile USA Inc., Senior Secured Notes		3.750	%		4/15/27		100,000		103,899

CONSUMER DISCRETIONARY - 0.4%
Hotels, Restaurants & Leisure - 0.4%
Sands China Ltd., Senior Notes		5.400	%		8/8/28		2,480,000		2,441,783
Sands China Ltd., Senior Notes		2.850	%		3/8/29		200,000		168,480	^(d)
Sands China Ltd., Senior Notes		4.375	%		6/18/30		600,000		553,500
Sands China Ltd., Senior Notes		3.250	%		8/8/31		600,000		489,000	^(d)

TOTAL CONSUMER DISCRETIONARY									3,652,763

ENERGY - 4.3%
Energy Equipment & Services - 0.0%††
Halliburton Co., Senior Notes		3.800	%		11/15/25		11,000		11,519

Oil, Gas & Consumable Fuels - 4.3%
Apache Corp., Senior Notes		5.250	%		2/1/42		910,000		897,783
Apache Corp., Senior Notes		4.250	%		1/15/44		2,630,000		2,351,970
BP Capital Markets America Inc., Senior Notes		3.790	%		2/6/24		110,000		113,576

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
BP Capital Markets America Inc., Senior Notes		3.633	%		4/6/30		580,000	$	604,529
Chevron USA Inc., Senior Notes		3.900	%		11/15/24		500,000		526,214
Continental Resources Inc., Senior Notes		4.900	%		6/1/44		2,250,000		2,271,476
Enterprise Products Operating LLC, Senior Notes		3.125	%		7/31/29		2,880,000		2,913,925
EOG Resources Inc., Senior Notes		4.375	%		4/15/30		70,000		77,365
EOG Resources Inc., Senior Notes		4.950	%		4/15/50		250,000		304,362
Exxon Mobil Corp., Senior Notes		4.327	%		3/19/50		6,590,000		7,466,578
Exxon Mobil Corp., Senior Notes		3.452	%		4/15/51		660,000		653,580
Gazprom PJSC Via Gaz Capital SA, Senior Notes		5.150	%		2/11/26		3,720,000		1,842,546	^(d)
KazTransGas JSC, Senior Notes		4.375	%		9/26/27		4,000,000		4,015,224	^(d)
MEG Energy Corp., Secured Notes		6.500	%		1/15/25		8,000		8,134	^(d)
Occidental Petroleum Corp., Senior Notes		5.550	%		3/15/26		330,000		355,068
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		2,690,000		2,997,669
Petrobras Global Finance BV, Senior Notes		5.999	%		1/27/28		3,690,000		3,895,644
Range Resources Corp., Senior Notes		5.000	%		3/15/23		673,000		681,345
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		2,350,000		2,767,484
YPF SA, Senior Notes		8.500	%		7/28/25		1,700,000		1,358,980	^(e)

Total Oil, Gas & Consumable Fuels									36,103,452

TOTAL ENERGY									36,114,971

FINANCIALS - 1.0%
Banks - 0.8%
Barclays Bank PLC, Subordinated Notes		7.625	%		11/21/22		1,029,000		1,067,065
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%)		5.013	%		4/4/51		4,480,000		5,529,220	^(f)

Total Banks									6,596,285

Diversified Financial Services - 0.2%
ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.800%)		3.620	%		12/21/65		2,084,000		1,792,240	^(d)(f)

Insurance - 0.0%††
Ambac Assurance Corp., Subordinated Notes		5.100	%		6/7/22		48,493		63,798	^(d)(g)

TOTAL FINANCIALS									8,452,323

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
HEALTH CARE - 0.9%
Pharmaceuticals - 0.9%
Bausch Health Americas Inc., Senior Notes		9.250	%		4/1/26		2,870,000	$	2,972,545	^(d)
Bausch Health Americas Inc., Senior Notes		8.500	%		1/31/27		1,970,000		1,997,580	^(d)
Bausch Health Cos. Inc., Senior Notes		9.000	%		12/15/25		2,620,000		2,704,849	^(d)

TOTAL HEALTH CARE									7,674,974

INDUSTRIALS - 0.5%
Aerospace & Defense - 0.5%
General Dynamics Corp., Senior Notes		4.250	%		4/1/40		30,000		33,562
General Dynamics Corp., Senior Notes		4.250	%		4/1/50		3,470,000		3,993,352

TOTAL INDUSTRIALS									4,026,914

INFORMATION TECHNOLOGY - 0.1%
Semiconductors & Semiconductor Equipment - 0.1%
Broadcom Inc., Senior Notes		3.137	%		11/15/35		400,000		370,869	^(d)

MATERIALS - 2.2%
Metals & Mining - 2.2%
Alcoa Nederland Holding BV, Senior Notes		6.125	%		5/15/28		570,000		600,660	^(d)
Anglo American Capital PLC, Senior Notes		4.000	%		9/11/27		1,630,000		1,711,502	^(d)
Antofagasta PLC, Senior Notes		2.375	%		10/14/30		1,110,000		997,929	^(d)
Barrick Gold Corp., Senior Notes		5.250	%		4/1/42		330,000		387,238
Barrick North America Finance LLC, Senior Notes		5.750	%		5/1/43		1,170,000		1,459,603
BHP Billiton Finance USA Ltd., Senior Notes		5.000	%		9/30/43		1,620,000		1,958,678
Glencore Finance Canada Ltd., Senior Notes		5.550	%		10/25/42		2,330,000		2,689,426	^(d)
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		750,000		775,853	^(d)
Glencore Funding LLC, Senior Notes		4.000	%		3/27/27		500,000		518,721	^(d)
Glencore Funding LLC, Senior Notes		3.875	%		10/27/27		1,630,000		1,683,596	^(d)
Southern Copper Corp., Senior Notes		5.250	%		11/8/42		3,440,000		4,010,283
Yamana Gold Inc., Senior Notes		4.625	%		12/15/27		1,360,000		1,425,588

TOTAL MATERIALS									18,219,077

TOTAL CORPORATE BONDS & NOTES (Cost - $77,983,045)									78,615,790

COLLATERALIZED MORTGAGE OBLIGATIONS^(h)- 8.4%
AOA Mortgage Trust, 2021-1177 A (1 mo. USD LIBOR + 0.874%)		1.066	%		10/15/38		2,240,000		2,207,586	^(d)(f)
Banc of America Funding Trust, 2015-R2 4A2 (1 mo. USD LIBOR + 0.165%)		0.328	%		9/29/36		6,466,571		6,466,571	^(d)(f)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS ^(h) - (continued)
Banc of America Funding Trust, 2015-R2 5A2		0.335	%		9/29/36		8,858,860	$	7,749,017	^(d)(f)
BDS, 2021-FL8 A (1 mo. USD LIBOR + 0.920%)		1.057	%		1/18/36		963,551		948,054	^(d)(f)
Benchmark Mortgage Trust, 2021-B29 XA, IO		1.048	%		9/15/54		8,218,518		587,512	^(d)(f)
Benchmark Mortgage Trust, 2021-B31 A5		2.669	%		12/15/54		450,000		441,338
BHMS, 2018-ATLS D (1 mo. USD LIBOR + 2.250%)		2.441	%		7/15/35		4,220,000		4,144,986	^(d)(f)
BX Commercial Mortgage Trust, 2020-FOX F (1 mo. USD LIBOR + 4.250%)		4.441	%		11/15/32		396,118		393,564	^(d)(f)
BX Commercial Mortgage Trust, 2021-CIP A (1 mo. USD LIBOR + 0.921%)		1.112	%		12/15/38		520,000		511,641	^(d)(f)
BX Commercial Mortgage Trust, 2021- VOLT A (1 mo. USD LIBOR + 0.700%)		0.891	%		9/15/36		910,000		885,059	^(d)(f)
BX Commercial Mortgage Trust, 2021-XL2 D (1 mo. USD LIBOR + 1.397%)		1.588	%		10/15/38		2,250,000		2,200,976	^(d)(f)
BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%)		4.156	%		2/15/39		1,820,000		1,805,516	^(d)(f)
BX Trust, 2021-ARIA D (1 mo. USD LIBOR + 1.895%)		2.086	%		10/15/36		2,230,000		2,171,510	^(d)(f)
BXMT Ltd., 2020-FL2 A (30 Day Average SOFR + 1.014%)		1.063	%		2/15/38		1,310,000		1,301,422	^(d)(f)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA4 M2 (1 mo. USD LIBOR + 3.750%)		3.937	%		8/25/50		212,484		212,960	^(d)(f)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 M1		4.000	%		8/25/56		3,690,000		3,690,027	^(d)(f)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 M2		4.000	%		8/25/56		5,170,000		5,178,421	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2017-C06 1B1 (1 mo. USD LIBOR + 4.150%)		4.337	%		2/25/30		2,950,000		3,117,194	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1M2 (1 mo. USD LIBOR + 2.100%)		2.287	%		10/25/39		499,793		501,122	^(d)(f)
Hawaii Hotel Trust, 2019-MAUI F (1 mo. USD LIBOR + 2.750%)		2.941	%		5/15/38		1,760,000		1,722,500	^(d)(f)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS^(h)- (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ		6.644	%		2/15/51		37,553		$	34,271	^(f)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFL (1 mo. USD LIBOR + 3.000%)		3.126	%		1/16/37		1,976,481			1,908,340	^(d)(f)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX		4.688	%		1/16/37		4,570,000			4,279,665	^(d)(f)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN XHFL, IO		0.600	%		1/16/37		11,560,000			18,634	^(d)(f)
Lehman Mortgage Trust, 2006-5 2A2, IO (-1.000 x 1 mo. USD LIBOR + 7.150%)		6.963	%		9/25/36		2,476,897			594,698	^(f)
Morgan Stanley Capital I Inc., 2021-ILP A (1 mo. USD LIBOR + 0.778%)		0.970	%		11/15/23		1,903,705			1,879,435	^(d)(f)
Morgan Stanley Mortgage Loan Trust, 2007-11AR 2A3		2.627	%		6/25/37		71,242			52,335	^(f)
MRCD Mortgage Trust, 2019-PARK A		2.718	%		12/15/36		2,530,000			2,511,809	^(d)
Natixis Commercial Mortgage Securities Trust, 2019-TRUE A (1 mo. USD LIBOR + 2.011%, 3.511% floor)		3.511	%		4/18/24		5,700,000			5,687,061	^(d)(f)
PFP Ltd., 2021-8 A (1 mo. USD LIBOR + 1.000%)		1.126	%		8/9/37		2,550,000			2,536,289	^(d)(f)
SREIT Trust, 2021-MFP A (1 mo. USD LIBOR + 0.731%)		0.922	%		11/15/38		650,000			637,819	^(d)(f)
SREIT Trust, 2021-PALM B (1 mo. USD LIBOR + 0.810%)		1.001	%		10/15/34		1,930,000			1,879,799	^(d)(f)
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR3 A1B (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.000%)		1.104	%		2/25/46		1,146,859			1,109,200	^(f)
Wells Fargo Commercial Mortgage Trust, 2021-C59 XA, IO		1.549	%		4/15/54		3,975,851			423,112	^(f)

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $66,070,220)										69,789,443

NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 5.4%
Brazil - 2.1%
Brazil Notas do Tesouro Nacional Serie B, Notes		6.000	%		8/15/30		31,603,432	^BRL		6,289,465
Brazil Notas do Tesouro Nacional Serie B, Notes		6.000	%		8/15/50		55,545,426	^BRL		11,187,284

Total Brazil										17,476,749

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Canada - 0.7%
Canadian Government Real Return Bond		1.500	%		12/1/44		3,699,640	^CAD	$	3,616,540
Canadian Government Real Return Bond		0.500	%		12/1/50		3,202,062	^CAD		2,594,517

Total Canada										6,211,057

Mexico - 1.5%
Mexican Udibonos		2.000	%		6/9/22		251,248,795	^MXN		12,212,061

Russia - 0.2%
Russian Federal Inflation Linked Bond - OFZ		2.500	%		2/2/28		559,462,819	^RUB		1,783,847

Uruguay - 0.9%
Uruguay Government International Bond		4.250	%		4/5/27		277,762,377	^UYU		7,476,028

TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $61,220,550)										45,159,742

Sovereign Bonds - 5.0%
Argentina - 0.0%††
Argentine Bonos del Tesoro, Bonds		16.000	%		10/17/23		26,750,000	^ARS		85,720	⁽ⁱ⁾

Brazil - 0.2%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/23		4,090,000	^BRL		779,166
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		2,446,000	^BRL		454,047

Total Brazil										1,233,213

Chile - 0.7%
Bonos de la Tesoreria de la Republica en pesos, Bonds		5.000	%		3/1/35		4,785,000,000	^CLP		5,563,987

Indonesia - 1.6%
Indonesia Government International Bond, Senior Notes		3.850	%		7/18/27		400,000			420,733	^(d)
Indonesia Government International Bond, Senior Notes		3.500	%		1/11/28		1,790,000			1,850,514
Indonesia Government International Bond, Senior Notes		5.125	%		1/15/45		430,000			481,634	^(d)
Indonesia Government International Bond, Senior Notes		4.750	%		7/18/47		880,000			953,462	^(d)
Indonesia Government International Bond, Senior Notes		4.350	%		1/11/48		2,010,000			2,057,547
Indonesia Treasury Bond		7.000	%		5/15/27		100,812,000,000	^IDR		7,459,465

Total Indonesia										13,223,355

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Mexico - 2.0%
Mexican-Bonos, Bonds		8.000	%		11/7/47		51,280,000	^MXN	$	2,454,157
Mexican-Bonos, Senior Notes		7.750	%		11/13/42		217,320,000	^MXN		10,165,262
Mexico Government International Bond, Senior Notes		4.500	%		4/22/29		3,720,000			3,959,140

Total Mexico										16,578,559

Nigeria - 0.0%††
Nigeria Government International Bond, Senior Notes		6.500	%		11/28/27		280,000			267,553	^(d)

Russia - 0.2%
Russian Federal Bond - OFZ		7.050	%		1/19/28		335,648,000	^RUB		1,669,964

United Arab Emirates - 0.3%
Abu Dhabi Government International Bond, Senior Notes		3.875	%		4/16/50		2,550,000			2,738,659	^(d)

TOTAL SOVEREIGN BONDS (Cost - $50,198,612)										41,361,010

ASSET-BACKED SECURITIES - 0.8%
Bear Stearns Asset Backed Securities Trust, 2007-SD2 2A1 (1 mo. USD LIBOR + 0.800%)		0.987	%		9/25/46		30,087			29,342	^(f)
BRSP Ltd., 2021-FL1 A (1 mo. USD LIBOR + 1.150%)		1.321	%		8/19/38		2,000,000			1,995,996	^(d)(f)
Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. USD LIBOR + 1.020%)		1.211	%		7/15/39		2,610,000			2,597,015	^(d)(f)
Origen Manufactured Housing Contract Trust, 2007-B A1 (1 mo. USD LIBOR + 1.200%)		1.391	%		10/15/37		2,530,920			2,497,264	^(d)(f)

TOTAL ASSET-BACKED SECURITIES (Cost - $6,969,450)										7,119,617

U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.0%††
U.S. Government Obligations - 0.0%††
U.S. Treasury Notes (Cost - $177,356)		1.375	%		11/15/31		180,000			172,589

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,162,229,872)										1,210,620,836


						SHARES
SHORT-TERM INVESTMENTS - 1.4%
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $11,327,861)		0.010	%				11,327,861			11,327,861	^(j)

TOTAL INVESTMENTS - 146.8% (Cost - $1,173,557,733)										1,221,948,697
Liabilities in Excess of Other Assets - (46.8)%										(389,672,079	)

TOTAL NET ASSETS - 100.0%									$	832,276,618

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022

†	Face amount denominated in U.S. dollars, unless otherwise noted.

††	Represents less than 0.1%.

(a)	All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements.

(b)	All or a portion of this security is held at the broker as collateral for open futures contracts.

(c)	All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts.

(d)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(e)

Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(f)

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(g)	Security has no maturity date. The date shown represents the next call date.

(h)

Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.

(i)	Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1).

(j)

In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At February 28, 2022, the total market value of investments in Affiliated Companies was $11,327,861 and the cost was $11,327,861 (Note 2).

Abbreviation(s) used in this schedule:


ARS		— Argentine Peso
BRL		— Brazilian Real
CAD		— Canadian Dollar
CAS		— Connecticut Avenue Securities
CLP		— Chilean Peso
CMT		— Constant Maturity Treasury
GTD		— Guaranteed
IDR		— Indonesian Rupiah
IO		— Interest Only
JSC		— Joint Stock Company
LIBOR		— London Interbank Offered Rate
MXN		— Mexican Peso
OFZ		— Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
PJSC		— Private Joint Stock Company
REMIC		— Real Estate Mortgage Investment Conduit
RUB		— Russian Ruble
SOFR		— Secured Overnight Financing Rate
USD		— United States Dollar
UYU		— Uruguayan Peso

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022

At February 28, 2022, the Fund had the following open reverse repurchase agreements:


Counterparty	Rate			Effective Date		Maturity Date	Face Amount of Reverse Repurchase Agreements	Asset Class of Collateral*	Collateral Value**
Credit Suisse		0.100	%		4/8/2019	TBD***	$ 20,137,500	U.S. Treasury Inflation Protected Securities	$	24,133,732
Morgan Stanley & Co. Inc.		0.140	%		9/10/2021	3/9/2022	380,487,500	U.S. Treasury Inflation Protected Securities Cash		385,485,406 3,460,000

							$400,625,000		$	413,079,138

*	Refer to the Consolidated Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements.

**	Including accrued interest.

***

TBD — To Be Determined; These reverse repurchase agreements have no maturity dates because they are renewed daily and can be terminated by either the Fund or the counterparty in accordance with the terms of the agreements. The rates for these agreements are variable. The rate disclosed is the rate as of February 28, 2022.

At February 28, 2022, the Fund had the following open futures contracts:


	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy:
90-Day Eurodollar		769		12/23	$	190,274,740	$	188,126,238	$	(2,148,502	)
Brent Crude		258		4/22		21,202,653		24,535,800		3,333,147
Copper		199		5/22		22,480,035		22,161,137		(318,898	)
Euro		32		3/22		4,536,813		4,490,600		(46,213	)
Gold 100 Ounce		201		4/22		36,671,300		38,204,070		1,532,770
Mexican Peso		257		3/22		5,966,733		6,248,955		282,222
Russian Ruble		21		3/22		667,327		462,000		(205,327	)
U.S. Treasury 5-Year Notes		1,293		6/22		152,148,352		152,937,656		789,304
U.S. Treasury 10-Year Notes		2,979		6/22		375,987,544		379,636,313		3,648,769
WTI Crude		150		7/22		12,708,375		13,017,000		308,625

										7,175,897

Contracts to Sell:
British Pound		67		3/22		5,527,332		5,617,531		(90,199	)
U.S. Treasury Long-Term Bonds		924		6/22		143,184,545		144,779,250		(1,594,705	)
U.S. Treasury Ultra Long-Term Bonds		208		6/22		38,878,357		38,675,000		203,357
WTI Crude		141		3/22		12,637,295		13,496,520		(859,225	)

										(2,340,772	)

Net unrealized appreciation on open futures contracts									$	4,835,125

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022

At February 28, 2022, the Fund had the following open forward foreign currency contracts:


Purchased Currency		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
RUB	22,500,000		USD	286,041	Citibank N.A.		3/15/22	$	(80,446	)
RUB	22,500,000		USD	277,872	Goldman Sachs Group Inc.		3/15/22		(72,277	)
BRL	62,340,000		USD	10,671,003	Citibank N.A.		4/19/22		1,267,729
IDR	52,969,535,174		USD	3,652,694	Citibank N.A.		4/19/22		21,577
INR	642,419,942		USD	8,524,115	Citibank N.A.		4/19/22		(50,660	)
USD	7,155,855		CLP	6,204,483,648	Citibank N.A.		4/19/22		(555,778	)
USD	1,559,393		EUR	1,377,846	Citibank N.A.		4/19/22		11,432
USD	68,241		MXN	1,420,000	Citibank N.A.		4/19/22		(479	)
USD	8,733,366		MXN	181,730,000	Citibank N.A.		4/19/22		(61,321	)
USD	11,667,859		MXN	244,570,000	Citibank N.A.		4/19/22		(167,922	)
GBP	4,241,448		USD	5,750,781	Goldman Sachs Group Inc.		4/19/22		(59,582	)
RUB	2,077,464,952		USD	26,953,461	Goldman Sachs Group Inc.		4/19/22		(8,580,874	)
USD	499,361		AUD	696,486	JPMorgan Chase & Co.		4/19/22		(6,874	)
USD	3,271,548		MXN	67,894,444	JPMorgan Chase & Co.		4/19/22		(14,152	)
BRL	38,497,945		USD	6,627,293	Morgan Stanley & Co. Inc.		4/19/22		745,448
COP	54,160,819,992		USD	13,131,169	Morgan Stanley & Co. Inc.		4/19/22		549,156
JPY	897,550,000		USD	7,756,926	Morgan Stanley & Co. Inc.		4/19/22		58,956
MXN	27,201,556		USD	1,311,506	Morgan Stanley & Co. Inc.		4/19/22		4,893
USD	6,166,961		CAD	7,848,383	Morgan Stanley & Co. Inc.		4/19/22		(25,968	)
MYR	41,650,000		USD	9,952,210	Morgan Stanley & Co. Inc.		4/20/22		(49,533	)

Total								$	(7,066,675	)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022

Abbreviation(s) used in this table:


AUD		— Australian Dollar
BRL		— Brazilian Real
CAD		— Canadian Dollar
CLP		— Chilean Peso
COP		— Colombian Peso
EUR		— Euro
GBP		— British Pound
IDR		— Indonesian Rupiah
INR		— Indian Rupee
JPY		— Japanese Yen
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
RUB		— Russian Ruble
USD		— United States Dollar

At February 28, 2022, the Fund had the following open swap contracts:


CENTRALLY CLEARED INTEREST RATE SWAPS
	NOTIONAL AMOUNT		TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†	UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED APPRECIATION (DEPRECIATION)
	$	56,220,000		3/22/23	2.570%*	CPURNSA*		—	$	3,851,449
		14,120,000		4/7/25	0.802%*	CPURNSA*	$	91,118		2,117,844
		56,220,000		3/22/26	CPURNSA*	2.504%*		—		(4,678,889	)

Total	$	126,560,000					$	91,118	$	1,290,404


CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION¹
REFERENCE ENTITY	NOTIONAL AMOUNT²		TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE³		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED DEPRECIATION
Markit CDX.NA.HY.37 Index	$	62,500,000		12/20/26	5.000% quarterly	$	3,477,313	$	5,475,847	$	(1,998,534	)
Markit CDX.NA.IG.37 Index		158,874,000		12/20/26	1.000% quarterly		2,330,205		3,538,823		(1,208,618	)

Total	$	221,374,000				$	5,807,518	$	9,014,670	$	(3,207,152	)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

²	The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

†	Percentage shown is an annual percentage rate.

*	One time payment made at termination date.

Abbreviation(s) used in this table:


CPURNSA		— U.S. CPI Urban Consumers NSA Index

This Consolidated Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Opportunities & Income Fund 2022 Quarterly Report

Notes to Consolidated Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset Inflation-Linked Opportunities & Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified, closed-end management investment company. The Fund commenced operations on February 25, 2004.

The Fund’s primary investment objective is to provide current income for its shareholders. Capital appreciation, when consistent with current income, is a secondary investment objective. Under normal market conditions and at the time of purchase, the Fund will invest at least 80% of its total managed assets in inflation-linked securities. The Fund may invest up to 100% of its total managed assets in non-U.S. dollar investments. The Fund may also invest up to 40% of its total managed assets in below investment grade securities. If a security is rated by multiple nationally recognized statistical rating organizations (“NRSROs”) and receives different ratings, the Fund will treat the security as being rated in the highest rating category received from an NRSRO.

The Fund may gain exposure to the commodities markets by investing a portion of its assets in a wholly-owned subsidiary, Western Asset Inflation-Linked Opportunities & Income Fund CFC (the “Subsidiary”), organized under the laws of the Cayman Islands. Among other investments, the Subsidiary may invest in commodity-linked instruments. The Fund may invest up to 25% of its total assets in the Subsidiary; although 10% of total managed assets may be utilized for commodity-related strategies. This schedule of investments is the consolidated schedule of investments of the Fund and the Subsidiary.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the

Notes to Consolidated Schedule of Investments (unaudited) (cont’d)

manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information

Notes to Consolidated Schedule of Investments (unaudited) (cont’d)

generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

•

Level 1 – quoted prices in active markets for identical investments

•

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:


ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Long-Term Investments†:
U.S. Treasury Inflation Protected Securities		—	$	968,402,645		—	$	968,402,645
Corporate Bonds & Notes		—		78,615,790		—		78,615,790
Collateralized Mortgage Obligations		—		69,789,443		—		69,789,443
Non-U.S. Treasury Inflation Protected Securities		—		45,159,742		—		45,159,742
Sovereign Bonds		—		41,361,010		—		41,361,010
Asset-Backed Securities		—		7,119,617		—		7,119,617
U.S. Government & Agency Obligations		—		172,589		—		172,589
Total Long-Term Investments		—		1,210,620,836		—		1,210,620,836

Short-Term Investments†	$	11,327,861		—		—		11,327,861

Total Investments	$	11,327,861	$	1,210,620,836		—	$	1,221,948,697

Notes to Consolidated Schedule of Investments (unaudited) (cont’d)


ASSETS (cont’d)
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Futures Contracts††	$	10,098,194		—		—	$	10,098,194
Forward Foreign Currency Contracts††		—	$	2,659,191		—		2,659,191
Centrally Cleared Interest Rate Swaps††		—		5,969,293		—		5,969,293

Total Other Financial Instruments	$	10,098,194	$	8,628,484		—	$	18,726,678

Total	$	21,426,055	$	1,219,249,320		—	$	1,240,675,375


LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Futures Contracts††	$	5,263,069		—		—	$	5,263,069
Forward Foreign Currency Contracts††		—	$	9,725,866		—		9,725,866
Centrally Cleared Interest Rate Swaps††		—		4,678,889		—		4,678,889
Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection††		—		3,207,152		—		3,207,152

Total	$	5,263,069	$	17,611,907		—	$	22,874,976

†	See Consolidated Schedule of Investments for additional detailed categorizations.

††	Reflects the unrealized appreciation (depreciation) of the instruments.

Notes to Consolidated Schedule of Investments (unaudited) (cont’d)

2. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended February 28, 2022. The following transactions were effected in such company for the period ended February 28, 2022.


	Affiliate Value at November 30, 2021		Purchased				Sold				Realized Gain (Loss)		Dividend Income		Net Increase (Decrease) in Unrealized Appreciation (Depreciation)		Affiliate Value at February 28, 2022
	Affiliate Value at November 30, 2021		Cost		Shares		Cost		Shares		Realized Gain (Loss)		Dividend Income				Affiliate Value at February 28, 2022
Western Asset Premier Institutional Government Reserves, Premium Shares	$	12,923,449	$	126,267,770		126,267,770	$	127,863,358		127,863,358		—	$	389		—	$	11,327,861

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