# EDGAR Filing Document

**Accession Number:** 0001254370
**File Stem:** 0001752724-23-010128
**Filing Date:** 2023-1
**Character Count:** 67170
**Document Hash:** dfefa97d05b08d6bf69db2e2b1d4b406
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-010128.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001752724-23-010128

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20221130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** WESTERN ASSET INFLATION-LINKED INCOME FUND
- **CENTRAL INDEX KEY:** 0001254370
- **IRS NUMBER:** 260066992
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21403
- **FILM NUMBER:** 23549161

**BUSINESS ADDRESS:**
- **STREET 1:** 620 EIGHTH AVENUE
- **STREET 2:** 47TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 8887770102

**MAIL ADDRESS:**
- **STREET 1:** 620 EIGHTH AVENUE
- **STREET 2:** 47TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTERN ASSET/CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND
- **DATE OF NAME CHANGE:** 20090701

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTERN ASSET CLAYMORE INFLATION-LINKED SECURITIES & INCOME FUND
- **DATE OF NAME CHANGE:** 20070810

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTERN ASSET CLAYMORE US TREASURY INFLATION PRO SECU FUND
- **DATE OF NAME CHANGE:** 20030903

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Western Asset Inflation-Linked Income Fund

- **b. Investment Company Act file number:** 811-21403

- **c. CIK number of Registrant:** 0001254370

- **d. LEI of Registrant:** 549300BKG7Y2MQAORR48

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-888-777-0102

**Item A.2. Information about the Series.**

- **a. Name of Series:** Western Asset Inflation-Linked Income Fund

- **c. LEI of Series:** 549300BKG7Y2MQAORR48

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2022-11-30

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $243524515.51

**Total Liabilities:** $1827984.16

**Net Assets:** $241696531.35

**Amount of Assets Invested in Other Investment Companies:** $22769683.31

**Cash Not Reported:** $10202069.41

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -168.47000000 | **1-Year:** 8615.32000000 | **5-Year:** 32337.52000000 | **10-Year:** 18598.05000000 | **30-Year:** 3704.54000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000000000 | -8.51%               | -2.30%               | 3.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1318267.12             | $-19771450.62                              |
| Month 2  | $-3170866.87             | $6635684.23                                |
| Month 3  | $-84502.38               | $6277550.23                                |

### Schedule of Portfolio Investments

| Name                                                    | Title                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PRKCM Trust                                             | PRKCM 2021-AFC1 Trust                                         | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      785103 | PA      | $628695.32    | 0.26%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12720500 | PA      | $12471694.14  | 5.16%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                  | Barrick North America Finance LLC                             | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      530000 | PA      | $536626.67    | 0.22%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                    | CUSIP: 034863AT7<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      800000 | PA      | $750764.38    | 0.31%             | 2027-09-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves       | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |     4589376 | NS      | $4589375.51   | 1.90%             |  |  |  | No            |                  1 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                               | CUSIP: 80007RAL9<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      420000 | PA      | $363081.60    | 0.15%             | 2030-06-18      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 9128284H0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    29873000 | PA      | $29660545.32  | 12.27%            | 2023-04-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie B                      | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    14467703 | PA      | $2773363.59   | 1.15%             | 2050-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                              | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |      330000 | PA      | $256217.69    | 0.11%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                     | BHMS 2018-ATLS                                                | CUSIP: 05549GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2520000 | PA      | $2301232.50   | 0.95%             | 2035-07-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    40623075 | PA      | $46417235.59  | 19.20%            | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                                    | Southern Copper Corp                                          | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |      700000 | PA      | $657048.00    | 0.27%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                                         | Yamana Gold Inc                                               | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |      670000 | PA      | $622055.23    | 0.26%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810FS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    37385500 | PA      | $37707206.34  | 15.60%            | 2026-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RUSSIA I/L BOND - OFZ                                   | Russian Federal Inflation Linked Bond                         | CUSIP: 000000000<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   298934253 | PA      | $2106378.19   | 0.87%             | 2028-02-02      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | USD/BRL FORWARD                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12651.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12441870 | PA      | $13179677.74  | 5.45%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                       | EOG Resources Inc                                             | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |       40000 | PA      | $39342.30     | 0.02%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828ZJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1149080 | PA      | $1101759.35   | 0.46%             | 2025-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/CAD FORWARD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $54996.78     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                         | Chevron USA Inc                                               | CUSIP: 166756AP1<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |      200000 | PA      | $197531.05    | 0.08%             | 2024-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie F                      | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |      965000 | PA      | $170790.60    | 0.07%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac Stacr Remic Trust 2020-DNA1                       | CUSIP: 35565HBD6<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | CORP              | US        |      440000 | PA      | $420165.37    | 0.17%             | 2050-01-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                          | RAMP Series 2004-SL4 Trust                                    | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34465 | PA      | $15258.94     | 0.01%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                  | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      370000 | PA      | $274529.86    | 0.11%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA3                       | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $575028.78    | 0.24%             | 2042-04-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | Morgan Stanley & Co                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Short            | RA               | CORP              | US        |   -32381250 | PA      | $-32381250.00 | -13.40%           |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                               | CUSIP: 3140JA4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      463656 | PA      | $397388.27    | 0.16%             | 2035-01-01      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14772948 | PA      | $14134527.37  | 5.85%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                               | CUSIP: 3140HXMR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $82019.74     | 0.03%             | 2035-02-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME Euro Foreign Exchange Currency                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           4 | NC      | $11183.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hawaii Hotel Trust 2019-MAUI                            | Hawaii Hotel Trust 2019-MAUI                                  | CUSIP: 41975AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $161579.99    | 0.07%             | 2038-05-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2007-12T1                              | CUSIP: 02150LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1144463 | PA      | $571985.12    | 0.24%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12741338 | PA      | $10968950.36  | 4.54%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                     | Nigeria Government International Bond                         | CUSIP: 65412JAC7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      200000 | PA      | $160484.00    | 0.07%             | 2027-11-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                | BHP Billiton Finance USA Ltd                                  | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |      810000 | PA      | $804043.24    | 0.33%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                             | SREIT Trust 2021-PALM                                         | CUSIP: 85237AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      830000 | PA      | $778586.31    | 0.32%             | 2034-10-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38378B2Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2077227 | PA      | $32938.18     | 0.01%             | 2054-01-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                      | NYMEX Light Sweet Crude Oil                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -83 | NC      | $516990.90    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.HY.39.V1                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $202001.31    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                                | Petrobras Global Finance BV                                   | CUSIP: 71647NAY5<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |      510000 | PA      | $502028.38    | 0.21%             | 2028-01-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | CBOT US Long Bond                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -57 | NC      | $5672.81      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1153620 | PA      | $1053901.05   | 0.44%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                   | General Dynamics Corp                                         | CUSIP: 369550BJ6<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     2560000 | PA      | $2338212.89   | 0.97%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | INR/USD FORWARD                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $46391.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK32                                               | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2621947 | PA      | $115921.00    | 0.05%             | 2054-04-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                                  | Bausch Health Americas Inc                                    | CUSIP: 91911XAV6<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |     1520000 | PA      | $988537.30    | 0.41%             | 2026-04-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                   | General Dynamics Corp                                         | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |       10000 | PA      | $9304.96      | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | Morgan Stanley & Co                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Short            | RA               | CORP              | US        |   -38718750 | PA      | $-38718750.00 | -16.02%           |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7083850 | PA      | $7186241.60   | 2.97%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/CAD FORWARD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31555.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4136934 | PA      | $2869945.35   | 1.19%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ILFC E-CAPITAL TRUST II                                 | ILFC E-Capital Trust II                                       | CUSIP: 44965UAA2<br>LEI: N/A                  | Long             | SN               | CORP              | US        |     1010000 | PA      | $694375.00    | 0.29%             | 2065-12-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6517080 | PA      | $6187552.32   | 2.56%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | CME Japanese Yen Currency                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          35 | NC      | $82168.75     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED MEXICAN STATES                                   | Mexico Government International Bond                          | CUSIP: 91087BAF7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1480000 | PA      | $1438953.30   | 0.60%             | 2029-04-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                               | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $163377.00    | 0.07%             | 2029-03-08      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                       | EOG Resources Inc                                             | CUSIP: 26875PAT8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |      120000 | PA      | $118084.94    | 0.05%             | 2050-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828H45<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11278170 | PA      | $10887920.84  | 4.50%             | 2025-01-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                                    | Range Resources Corp                                          | CUSIP: 75281ABA6<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |      673000 | PA      | $670382.03    | 0.28%             | 2023-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                            | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $778276.83    | 0.32%             | 2036-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12754000 | PA      | $12620511.53  | 5.22%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8409760 | PA      | $7927740.90   | 3.28%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | 10 YEAR US TREASURY NOTE                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          33 | NC      | $22815.82     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2014-1                    | CUSIP: 64828AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      337590 | PA      | $313040.92    | 0.13%             | 2054-01-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | Morgan Stanley & Co                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Short            | RA               | CORP              | US        |   -12587500 | PA      | $-12587500.00 | -5.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2020-2                              | CUSIP: 89176UAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250000 | PA      | $190653.85    | 0.08%             | 2060-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38378XYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5660802 | PA      | $128851.18    | 0.05%             | 2056-10-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                                | COMEX Gold 100 Troy Ounces                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |          43 | NC      | $-20317.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2943580 | PA      | $3040238.37   | 1.26%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                      | CUSIP: 30711XJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      590000 | PA      | $612647.03    | 0.25%             | 2029-10-25      | Floating      | 8.87%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                   | Bausch Health Cos Inc                                         | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     1160000 | PA      | $485196.45    | 0.20%             | 2030-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                          | Halliburton Co                                                | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |        3000 | PA      | $2937.38      | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                           | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      430000 | PA      | $298639.19    | 0.12%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                            | Saxon Asset Securities Trust 2006-3                           | CUSIP: 80556AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1110000 | PA      | $923676.07    | 0.38%             | 2046-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | Morgan Stanley & Co                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Short            | RA               | CORP              | US        |   -12962500 | PA      | $-12962500.00 | -5.36%            |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                          | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      200000 | PA      | $190503.25    | 0.08%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KAZTRANSGAS JSC                                         | KazTransGas JSC                                               | CUSIP: 48668NAA9<br>LEI: 635400YGLXBBSVHONW39 | Long             | DBT              | CORP              | KZ        |     1600000 | PA      | $1431536.00   | 0.59%             | 2027-09-26      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828N71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    39709843 | PA      | $38452021.92  | 15.91%            | 2026-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | Morgan Stanley & Co                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Short            | RA               | CORP              | US        |    -7406250 | PA      | $-7406250.00  | -3.06%            |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6179490 | PA      | $6713652.41   | 2.78%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                            | CUSIP: 3137ARUW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      645665 | PA      | $27003.21     | 0.01%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                              | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       40000 | PA      | $37915.30     | 0.02%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38378NF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      550540 | PA      | $14381.15     | 0.01%             | 2055-09-16      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                              | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2440000 | PA      | $2296047.20   | 0.95%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                               | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      400000 | PA      | $320760.00    | 0.13%             | 2031-08-08      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                      | NYMEX LIGHT SWEET CRUDE OIL                                   | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         182 | NC      | $-1136345.76  | -0.47%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2022-LP2                         | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      625663 | PA      | $579920.75    | 0.24%             | 2039-02-15      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| MEX BONOS DESARR FIX RT                                 | Mexican Bonos                                                 | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    16190000 | PA      | $737482.06    | 0.31%             | 2047-11-07      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                          | Chase Mortgage Finance Trust Series 2007-A1                   | CUSIP: 161630AJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1864 | PA      | $1694.09      | 0.00%             | 2037-02-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                | Brazil Notas do Tesouro Nacional Serie F                      | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     2920000 | PA      | $560844.57    | 0.23%             | 2023-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                          | CUSIP: 378272AQ1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      800000 | PA      | $743231.26    | 0.31%             | 2027-10-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | IDR/USD FORWARD                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $29767.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38378NDN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |           0 | PA      | $0.00         | 0.00%             | 2044-09-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.IG.38                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $246911.04    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | Morgan Stanley & Co                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Short            | RA               | CORP              | US        |   -37125000 | PA      | $-37125000.00 | -15.36%           |  |  |  | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5658850 | PA      | $5366866.58   | 2.22%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |      300000 | PA      | $279188.20    | 0.12%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7865858 | PA      | $7404878.05   | 3.06%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7495110 | PA      | $6720228.95   | 2.78%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                                | BXMT 2020-FL2 LTD                                             | CUSIP: 12434LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      523494 | PA      | $515496.40    | 0.21%             | 2038-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                              | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3160554.29   | 1.31%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                              | Morgan Stanley ABS Capital I Inc Trust 2004-HE7               | CUSIP: 61744CGD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      575704 | PA      | $542459.13    | 0.22%             | 2034-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | USD/CLP FORWARD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-150520.32   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2022-CLS                                             | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $456150.35    | 0.19%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                     | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     1330000 | PA      | $1301717.55   | 0.54%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                                 | MYR/USD FORWARD                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $120353.44    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                         | United States Treasury Note/Bond                              | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       90000 | PA      | $74464.45     | 0.03%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BONOS TESORERIA PESOS                                   | Bonos de la Tesoreria de la Republica en pesos                | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  2060000000 | PA      | $2244908.65   | 0.93%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38378BSB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      246829 | PA      | $34.90        | 0.00%             | 2049-03-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                               | CUSIP: 3140HXEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $164492.72    | 0.07%             | 2035-01-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| APACHE CORP                                             | Apache Corp                                                   | CUSIP: 037411BC8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |      440000 | PA      | $310566.86    | 0.13%             | 2044-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                          | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      370000 | PA      | $364175.97    | 0.15%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                                    | Indonesia Treasury Bond                                       | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 43881000000 | PA      | $2834001.59   | 1.17%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                    | YPF SA                                                        | CUSIP: 000000000<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      800000 | PA      | $633180.00    | 0.26%             | 2025-07-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                         | CDS CDX.NA.IG.39.V1                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $619571.16    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38378BF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      756137 | PA      | $2602.40      | 0.00%             | 2053-02-16      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                                | COMEX Copper                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |          56 | NC      | $205381.33    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | Morgan Stanley & Co                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | Short            | RA               | CORP              | US        |   -17718750 | PA      | $-17718750.00 | -7.33%            |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FINANCE CANADA                                 | Glencore Finance Canada Ltd                                   | CUSIP: 98417EAR1<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |     1170000 | PA      | $1056059.25   | 0.44%             | 2042-10-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38379KVU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4073049 | PA      | $55443.16     | 0.02%             | 2052-03-16      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| ANTOFAGASTA PLC                                         | Antofagasta PLC                                               | CUSIP: 03718NAA4<br>LEI: 213800MY6QVH4FVLD628 | Long             | DBT              | CORP              | GB        |      550000 | PA      | $430599.74    | 0.18%             | 2030-10-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12730343 | PA      | $10664562.49  | 4.41%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38378NK51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      127490 | PA      | $811.84       | 0.00%             | 2048-02-16      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Remic Trust 2020-DNA2                       | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |      284687 | PA      | $282723.27    | 0.12%             | 2050-02-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                     | MRCD 2019-MARK Mortgage Trust                                 | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850000 | PA      | $781773.65    | 0.32%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B29 Mortgage Trust                             | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4232032 | PA      | $240014.20    | 0.10%             | 2054-09-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11568500 | PA      | $11189398.75  | 4.63%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                            | CUSIP: 3137ARKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      230112 | PA      | $7720.24      | 0.00%             | 2027-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA TREASURY BOND                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -37 | NC      | $77404.74     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2033010 | PA      | $2203331.69   | 0.91%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust 2004-11                               | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26939 | PA      | $25258.92     | 0.01%             | 2034-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                                  | Bausch Health Americas Inc                                    | CUSIP: 91911XAW4<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |      970000 | PA      | $467327.14    | 0.19%             | 2027-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                      | CUSIP: 30711XUW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      440000 | PA      | $445312.60    | 0.18%             | 2030-05-25      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                           | First Franklin Mortgage Loan Trust 2006-FF15                  | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      360311 | PA      | $350799.67    | 0.15%             | 2036-11-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                          | CWHEQ Revolving Home Equity Loan Trust Series 2005-C          | CUSIP: 126685AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210389 | PA      | $194554.36    | 0.08%             | 2035-07-15      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                          | Bear Stearns ARM Trust 2004-9                                 | CUSIP: 07384M3F7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6946 | PA      | $6268.73      | 0.00%             | 2034-11-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                         | Sands China Ltd                                               | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      600000 | PA      | $560295.00    | 0.23%             | 2028-08-08      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                     | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      810000 | PA      | $736755.75    | 0.30%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38379RAJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6185867 | PA      | $153819.64    | 0.06%             | 2057-09-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                          | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     1340000 | PA      | $1308888.90   | 0.54%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                         | United States Treasury Inflation Indexed Bonds                | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20006280 | PA      | $19509933.19  | 8.07%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                          | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A1    | CUSIP: 59020UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3270 | PA      | $2987.87      | 0.00%             | 2034-02-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2020-R01                  | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59492 | PA      | $58492.62     | 0.02%             | 2040-01-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                             | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1041885.92   | 0.43%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                     | CUSIP: 674599DC6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      110000 | PA      | $110146.30    | 0.05%             | 2026-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan T                          | CWHEQ Revolving Home Equity Loan Trust Series 2006-I          | CUSIP: 12668FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      335174 | PA      | $306907.02    | 0.13%             | 2037-01-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                | COP/USD FORWARD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-126531.56   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN | CUSIP: 46652BBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2270000 | PA      | $1839400.75   | 0.76%             | 2037-01-16      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                              | JPY/USD FORWARD                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-86284.96    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2019-NQM1                                         | CUSIP: 12655VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      181987 | PA      | $172858.84    | 0.07%             | 2059-10-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                      | CUSIP: 38376G5V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1330492 | PA      | $13.30        | 0.00%             | 2046-09-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                      | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      281263 | PA      | $288809.44    | 0.12%             | 2024-11-25      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2015-2                              | CUSIP: 89171YAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      950000 | PA      | $778654.01    | 0.32%             | 2060-11-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-24

**Name of Applicant:** Western Asset Inflation-Linked Income Fund

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer