Close

Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

May 25, 2021 4:29 PM EDT

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000013795
        C000037818
        C000037819
        C000058985
        C000041010
        C000058984
        C000037820
        C000202041
        C000161293
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Bond Fund
      S000013795
      K5ZYN8ZUQE8S5OUPBU26
      2021-03-31
      2021-03-31
      N
    
    
      885924946.94
      384689304.29
      501235642.65
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      121100389.20000000
      0.00000000
      0.00000000
      18258434.72000000
      
        
          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CHF
          
          
        
        
          CLP
          
          
        
        
          CNY
          
          
        
        
          COP
          
          
        
        
          CZK
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          IDR
          
          
        
        
          ILS
          
          
        
        
          INR
          
          
        
        
          JPY
          
          
        
        
          KRW
          
          
        
        
          MXN
          
          
        
        
          MYR
          
          
        
        
          NOK
          
          
        
        
          NZD
          
          
        
        
          PLN
          
          
        
        
          RUB
          
          
        
        
          SEK
          
          
        
        
          SGD
          
          
        
        
          TRY
          
          
        
        
          TWD
          
          
        
        
          USD
          
          
        
        
          ZAR
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W7WP5
        
          
        
        17626.62000000
        PA
        USD
        18971.32000000
        0.003784910406
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290NBS0
        
          
        
        8247.79000000
        PA
        USD
        9142.00000000
        0.001823892640
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        26539.24000000
        0.005294763129
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            893000.00000000
            USD
            18954818.00000000
            MXN
            2021-06-16
            26539.24000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -26816.08000000
        -0.00534999463
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1199952.39000000
            USD
            89188860.99000000
            RUB
            2021-05-19
            -26816.08000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        1110000.00000000
        PA
        USD
        48562.50000000
        0.009688556811
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2027-04-12
          Fixed
          5.37500000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAW8
        
          
        
        1325000.00000000
        PA
        USD
        1383737.25000000
        0.276065214094
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2022-09-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        28939.47000000
        PA
        USD
        31183.37000000
        0.006221299394
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stratton Mortgage Funding PLC
        213800RHNWAD2QXB3483
        Stratton Mortgage Funding 2019-1 PLC
        000000000
        
          
        
        1267914.65000000
        PA
        
        1754708.89000000
        0.350076638748
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-05-25
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        386.48000000
        0.000077105450
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            76547536.00000000
            JPY
            589312.25000000
            EUR
            2021-06-16
            386.48000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1824.50000000
        -0.00036400045
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            194339.90000000
            USD
            2808891744.65000000
            IDR
            2021-04-12
            -1824.50000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468P7
        
          
        
        400000.00000000
        PA
        USD
        433688.00000000
        0.086523775066
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.62200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCT6
        
          
        
        375000.00000000
        PA
        USD
        428846.25000000
        0.085557812236
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adobe Inc
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724FAC5
        
          
        
        30000.00000000
        PA
        USD
        32480.70000000
        0.006480125760
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BK6
        
          
        
        225000.00000000
        PA
        USD
        245517.75000000
        0.048982500267
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          4.26900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBC3
        
          
        
        500000.00000000
        PA
        USD
        477740.00000000
        0.095312455729
        Long
        DBT
        
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Alt-A Securities INC Mortgage Loan Trust
        N/A
        Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5/DE
        25150XAA0
        
          
        
        669530.44000000
        PA
        USD
        627747.79000000
        0.125240054095
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-25
          Floating
          0.30900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        70000.00000000
        PA
        
        82268.58000000
        0.016413154412
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAF6
        
          
        
        200000.00000000
        PA
        USD
        211374.00000000
        0.042170584454
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AH9
        
          
        
        400000.00000000
        PA
        USD
        439496.00000000
        0.087682511498
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215822  IRS ZAR R F  6.25000 2 CCPVANILLA / Short: SR215822  IRS ZAR P V 03MJIBAR 1 CCPVANILLA
        000000000
        
          
        
        13750000.00000000
        OU
        Notional Amount
        
        2233.90000000
        0.000445678601
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-17
            14042.96000000
            ZAR
            0.00000000
            ZAR
            13750000.00000000
            ZAR
            1291.20000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00772BAP6
        
          
        
        1150000.00000000
        PA
        USD
        1199795.00000000
        0.239367454727
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-07-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DT9
        
          
        
        470000.00000000
        PA
        USD
        447087.50000000
        0.089197068595
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2051-05-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1160.73000000
        -0.00023157371
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            426140.25000000
            USD
            534017.65000000
            CAD
            2021-06-16
            -1160.73000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KN0
        
          
        
        1050000.00000000
        PA
        USD
        1140604.50000000
        0.227558537930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        221.22000000
        0.000044134929
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5292967.87000000
            ZAR
            355125.49000000
            USD
            2021-06-17
            221.22000000
          
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BG3
        
          
        
        372000.00000000
        PA
        USD
        443059.44000000
        0.088393442584
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-12-15
          Fixed
          4.68500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        3824.58000000
        0.000763030334
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            97882391.00000000
            JPY
            888482.97000000
            USD
            2021-06-16
            3824.58000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        Long: CS005470  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005470  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        80000.00000000
        OU
        Notional Amount
        USD
        -168.56000000
        -0.00003362889
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Barclays Capital Securities Limited
              K9WDOH4D2PYBSLSOB484
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            32.09000000
            USD
            0.00000000
            USD
            80000.00000000
            USD
            -200.65000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3572.04000000
        0.000712646846
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            698605.92000000
            USD
            51629771.57000000
            INR
            2021-04-27
            3572.04000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215691  IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR215691  IRS JPY P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        1444290000.00000000
        OU
        Notional Amount
        
        217009.38000000
        0.043294881994
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-16
            23146427.00000000
            JPY
            0.00000000
            JPY
            1444290000.00000000
            JPY
            3686.78000000
          
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAN4
        
          
        
        60000.00000000
        PA
        USD
        62175.60000000
        0.012404465027
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.24200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RFW7
        
          
        
        175000.00000000
        PA
        USD
        206097.50000000
        0.041117885972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215780  IRS GBP R F   .00000 2 CCPOIS / Short: SR215780  IRS GBP P V 00MSONIA 1 CCPOIS
        000000000
        
          
        
        13260000.00000000
        OU
        Notional Amount
        
        -452521.49000000
        -0.09028118742
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            0.00000000
            GBP
            -318584.73000000
            GBP
            13260000.00000000
            GBP
            21529.73000000
          
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CH2
        
          
        
        438000.00000000
        PA
        USD
        450045.00000000
        0.089787110433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3134.42000000
        0.000625338609
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            682448.68000000
            EUR
            759004.41000000
            CHF
            2021-06-16
            3134.42000000
          
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBL3
        
          
        
        30000.00000000
        PA
        USD
        36216.90000000
        0.007225523669
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2038-05-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQL3
        
          
        
        576847.56000000
        PA
        USD
        95940.13000000
        0.019140723810
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          6.03900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -6829.88000000
        -0.00136260860
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2508566100.00000000
            COP
            678000.00000000
            USD
            2021-04-27
            -6829.88000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746SH5
        
          
        
        2750000.00000000
        PA
        USD
        2942390.00000000
        0.587027288092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-23
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SQC6
        
          
        
        30037.12000000
        PA
        USD
        33771.77000000
        0.006737703213
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HHF0
        
          
        
        30000.00000000
        PA
        USD
        42382.50000000
        0.008455603790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-05-15
          Fixed
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Whitehorse Ltd
        5493006SRQWF2ZFME608
        WhiteHorse IX Ltd
        965249AF2
        
          
        
        57438.49000000
        PA
        USD
        57453.83000000
        0.011462439042
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-07-17
          Floating
          1.38300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CL2
        
          
        
        525000.00000000
        PA
        USD
        520049.25000000
        0.103753445634
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAG8
        
          
        
        600000.00000000
        PA
        USD
        655716.00000000
        0.130819906687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215095  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR215095  IRS NOK P F  1.24000 2 CCPVANILLA
        000000000
        
          
        
        87720000.00000000
        OU
        Notional Amount
        
        457377.98000000
        0.091250090991
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-10-29
            714408.56000000
            NOK
            0.00000000
            NOK
            87720000.00000000
            NOK
            1020725.65000000
          
        
        
          N
          N
          N
        
      
      
        Mylan Inc
        30ZMPDNA1RHIBH89C294
        Mylan Inc
        628530BC0
        
          
        
        60000.00000000
        PA
        USD
        70794.00000000
        0.014123895823
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-11-29
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        7001.88000000
        0.001396923802
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1811981.66000000
            TRY
            215276.42000000
            USD
            2021-06-16
            7001.88000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133KGR83
        
          
        
        2781546.38000000
        PA
        USD
        2946805.84000000
        0.587908278912
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        12567.20000000
        PA
        USD
        13525.92000000
        0.002698515199
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291GXG6
        
          
        
        18579.19000000
        PA
        USD
        20544.67000000
        0.004098804684
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215791  IRS SEK R F   .50000 2 CCPVANILLA / Short: SR215791  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        196840000.00000000
        OU
        Notional Amount
        
        150325.90000000
        0.029991063525
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            1269421.88000000
            SEK
            0.00000000
            SEK
            196840000.00000000
            SEK
            1926.23000000
          
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        N/A
        CSAIL 2020-C19 Commercial Mortgage Trust
        12597NAE3
        
          
        
        387000.00000000
        PA
        USD
        329509.35000000
        0.065739409164
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-03-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGJ7
        
          
        
        800000.00000000
        PA
        USD
        798952.00000000
        0.159396485807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-21
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LVE8
        
          
        
        9340.20000000
        PA
        USD
        10594.18000000
        0.002113612660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LOGISTICS PARTNER
        5493006LL0CKP8WQW329
        Sunoco Logistics Partners Operations LP
        86765BAN9
        
          
        
        200000.00000000
        PA
        USD
        216110.00000000
        0.043115449423
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B06N1
        
          
        
        1081996.58000000
        PA
        USD
        69529.64000000
        0.013871647202
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-25
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GAC6
        
          
        
        35000.00000000
        PA
        USD
        37511.25000000
        0.007483755505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.17600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QT50
        
          
        
        323853.74000000
        PA
        USD
        356536.06000000
        0.071131425952
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179N5W4
        
          
        
        3826.83000000
        PA
        USD
        4220.20000000
        0.000841959278
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAH5
        
          
        
        425000.00000000
        PA
        USD
        449114.50000000
        0.089601469206
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCB3
        
          
        
        750000.00000000
        PA
        USD
        848970.00000000
        0.169375425002
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397S7M0
        
          
        
        285607.35000000
        PA
        USD
        321584.02000000
        0.064158250658
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDJ7
        
          
        
        225000.00000000
        PA
        USD
        242754.75000000
        0.048431262532
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IHO Verwaltungs GmbH
        529900JL0HDVGZMUJF32
        IHO Verwaltungs GmbH
        44963BAD0
        
          
        
        823000.00000000
        PA
        USD
        896041.25000000
        0.178766467057
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2029-05-15
          Fixed
          6.37500000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA1
        35564KCN7
        
          
        
        800000.00000000
        PA
        USD
        786230.24000000
        0.156858406126
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-25
          Floating
          3.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAB HOLDINGS BV
        529900RRNKUM3INJGF98
        JAB Holdings BV
        46653KAA6
        
          
        
        250000.00000000
        PA
        USD
        234905.00000000
        0.046865182762
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-11-23
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1465.77000000
        -0.00029243131
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            157931.00000000
            USD
            113468.65000000
            GBP
            2021-06-16
            -1465.77000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WAH5
        
          
        
        160646.97000000
        PA
        USD
        161186.84000000
        0.032157896662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          3.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2017-COR2 Mortgage Trust
        12595EAN5
        
          
        
        350000.00000000
        PA
        USD
        317499.50000000
        0.063343360484
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZIMMER BIOMET HOLDINGS
        2P2YLDVPES3BXQ1FRB91
        Zimmer Biomet Holdings Inc
        98956PAF9
        
          
        
        65000.00000000
        PA
        USD
        70450.25000000
        0.014055315305
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        709.86000000
        0.000141622011
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446558.20000000
            USD
            2953401.97000000
            CNY
            2021-06-16
            709.86000000
          
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002956  CDS USD R F  3.00000 2 CMBX / Short: CX002956  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        350000.00000000
        OU
        Notional Amount
        USD
        -21218.75000000
        -0.00423328833
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                Markit CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -106983.91000000
            USD
            350000.00000000
            USD
            85765.16000000
          
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAD0
        
          
        
        725000.00000000
        PA
        USD
        785102.50000000
        0.156633414146
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PFIZER INC
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081EW9
        
          
        
        200000.00000000
        PA
        USD
        207426.00000000
        0.041382930971
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DS1
        
          
        
        330000.00000000
        PA
        USD
        322987.50000000
        0.064438254688
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2031-04-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERH60
        
          
        
        112869.69000000
        PA
        USD
        122566.49000000
        0.024452867986
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAH9
        
          
        
        65000.00000000
        PA
        USD
        69307.55000000
        0.013827338701
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6982.93000000
        -0.00139314314
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            893879.93000000
            USD
            25194005.83000000
            TWD
            2021-04-19
            -6982.93000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KAH1
        
          
        
        125000.00000000
        PA
        USD
        124418.94000000
        0.024822444657
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          1.95900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -1896.77000000
        -0.00037841881
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            508349108.00000000
            KRW
            448453.64000000
            USD
            2021-04-05
            -1896.77000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703DBD2
        
          
        
        50000.00000000
        PA
        USD
        62260.00000000
        0.012421303415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215773  IRS EUR R V 12MESTRO CCPVANILLA / Short: BR215773  IRS EUR P F   .00000 CCPVANILLA/FIXED -0.5
        000000000
        
          
        
        47210000.00000000
        OU
        Notional Amount
        
        205236.79000000
        0.040946168336
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-06-16
            118352.08000000
            EUR
            0.00000000
            EUR
            47210000.00000000
            EUR
            63338.55000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BZY5
        
          
        
        52785.98000000
        PA
        USD
        57718.38000000
        0.011515218609
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASTE MANAGEMENT INC
        549300YX8JIID70NFS41
        Waste Management Inc
        94106LBN8
        
          
        
        250000.00000000
        PA
        USD
        236840.00000000
        0.047251228733
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRNS5
        
          
        
        13989.65000000
        PA
        USD
        15074.38000000
        0.003007443748
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -2617.87000000
        -0.00052228328
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            23162802.81000000
            TWD
            813872.20000000
            USD
            2021-05-03
            -2617.87000000
          
        
        
          N
          N
          N
        
      
      
        Pfizer Inc
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081DK6
        
          
        
        25000.00000000
        PA
        USD
        30072.75000000
        0.005999722972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-05-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Welltower Inc
        T6IZ0MBEG5ACZDTR7D06
        Welltower Inc
        95040QAG9
        
          
        
        65000.00000000
        PA
        USD
        70117.45000000
        0.013988919389
        Long
        DBT
        
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJ3T5
        
          
        
        878080.10000000
        PA
        USD
        940509.38000000
        0.187638168552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        8185.20000000
        0.001633004380
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            377532.47000000
            EUR
            451644.36000000
            USD
            2021-06-16
            8185.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        3237.01000000
        0.000645806029
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2607470.49000000
            SGD
            1941526.80000000
            USD
            2021-04-06
            3237.01000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H020642
        
          
        
        -12000000.00000000
        PA
        USD
        -12110386.80000000
        -2.41610647159
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-04-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5824.93000000
        -0.00116211408
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            449026.03000000
            USD
            6454749181.25000000
            IDR
            2021-04-05
            -5824.93000000
          
        
        
          N
          N
          N
        
      
      
        East Bay Municipal Utility District Water System Revenue
        N/A
        EAST BAY CA MUNI UTILITY DIST WTR SYS REVENUE
        271014TU6
        
          
        
        900000.00000000
        PA
        USD
        1237233.96000000
        0.246836787874
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-06-01
          Fixed
          5.87400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215618  IRS AUD R F  1.50000 2 CCPVANILLA / Short: SR215618  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        2640000.00000000
        OU
        Notional Amount
        
        -122712.76000000
        -0.02448204987
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-02-02
            0.00000000
            AUD
            -77664.81000000
            AUD
            2640000.00000000
            AUD
            -41775.95000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36210AT31
        
          
        
        96487.53000000
        PA
        USD
        109174.75000000
        0.021781122631
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9247.02000000
        -0.00184484486
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            854462.78000000
            USD
            1062075.02000000
            CAD
            2021-06-16
            -9247.02000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FEG0
        
          
        
        173542.14000000
        PA
        USD
        30507.09000000
        0.006086376826
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Floating
          6.13900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13630.85000000
        0.002719449464
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            242617.00000000
            USD
            5282136.02000000
            MXN
            2021-06-16
            13630.85000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAC7
        
          
        
        875000.00000000
        PA
        USD
        937413.75000000
        0.187020568817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GYKA6
        
          
        
        738487.49000000
        PA
        USD
        811752.17000000
        0.161950208829
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03351A SWAPTION US0003M JUN21 0.912 PUT
        000000000
        
          
        
        -3900000.00000000
        NC
        USD
        -45791.85000000
        -0.00913579284
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -45791.85000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-06-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3900000.00000000
                  USD
                
              
            
            1.00000000
            0.91200000
            USD
            2021-06-01
            XXXX
            -19661.85000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHZ5
        
          
        
        75000.00000000
        PA
        USD
        74482.50000000
        0.014859777250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-13
          Fixed
          2.49600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M4EM1
        
          
        
        2345.72000000
        PA
        USD
        2677.78000000
        0.000534235751
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
        
        320000.00000000
        PA
        USD
        345046.40000000
        0.068839158798
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RAH6
        
          
        
        665000.00000000
        PA
        USD
        669860.55000000
        0.133641842878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214471  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214471  IRS EUR P F   .26000 2 CCPVANILLA
        000000000
        
          
        
        13760000.00000000
        OU
        Notional Amount
        
        965802.64000000
        0.192684349998
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-05-21
            166032.85000000
            EUR
            0.00000000
            EUR
            13760000.00000000
            EUR
            792373.09000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS03447A SWAPTION EUR006M APR21 0.031 CALL
        000000000
        
          
        
        -3350000.00000000
        NC
        
        -11623.39000000
        -0.00231894721
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3350000.00000000
                    OU
                    Notional Amount
                    N/A
                    -11623.39000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-05-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3350000.00000000
                  EUR
                
              
            
            1.00000000
            0.03100000
            EUR
            2021-04-29
            XXXX
            7909.78000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAE2
        
          
        
        525000.00000000
        PA
        USD
        606805.50000000
        0.121061921453
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-12
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Weyerhaeuser Co
        08IRJODWFYBI7QWRGS31
        Weyerhaeuser Co
        962166BR4
        
          
        
        50000.00000000
        PA
        USD
        70271.50000000
        0.014019653436
        Long
        DBT
        
        US
        N
        
        2
        
          2032-03-15
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTUIT INC
        VI90HBPH7XSFMB9E4M29
        Intuit Inc
        46124HAC0
        
          
        
        175000.00000000
        PA
        USD
        171680.25000000
        0.034251405006
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        4312.09000000
        0.000860291973
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1382825.00000000
            AUD
            1054930.92000000
            USD
            2021-06-01
            4312.09000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        24743.21000000
        PA
        USD
        29658.00000000
        0.005916977460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS MORTGAGE TRUST 2017-C1
        07332VAA3
        
          
        
        150000.00000000
        PA
        USD
        137761.51000000
        0.027484380255
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-15
          Variable
          3.49400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213X3S1
        
          
        
        15551.90000000
        PA
        USD
        17407.26000000
        0.003472869548
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALGREENS BOOTS ALLIANCE
        549300RPTUOIXG4LIH86
        Walgreens Boots Alliance Inc
        931427AC2
        
          
        
        50000.00000000
        PA
        USD
        55200.00000000
        0.011012784268
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-11-18
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378YFA2
        
          
        
        336970.90000000
        PA
        USD
        66401.36000000
        0.013247533565
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-11-20
          Floating
          5.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TD AMERITRADE HOLDING CO
        ZI85ER3E6RXD4HPHW309
        TD Ameritrade Holding Corp
        87236YAF5
        
          
        
        55000.00000000
        PA
        USD
        59767.95000000
        0.011924122092
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        1337623.70000000
        PA
        USD
        1435723.42000000
        0.286436816905
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAG5
        
          
        
        377000.00000000
        PA
        USD
        404411.67000000
        0.080682943427
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-25
          Fixed
          4.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020653
        
          
        
        12000000.00000000
        PA
        USD
        11951176.80000000
        2.384342968272
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        Long: CS005482  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005482  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        670000.00000000
        OU
        Notional Amount
        USD
        -1411.69000000
        -0.00028164198
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            344.33000000
            USD
            0.00000000
            USD
            670000.00000000
            USD
            -1756.02000000
          
        
        
          N
          N
          N
        
      
      
        TEGNA INC
        549300YC5EDBGX85AO10
        TEGNA Inc
        87901JAJ4
        
          
        
        950000.00000000
        PA
        USD
        965437.50000000
        0.192611502026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WQE1
        
          
        
        1236620.36000000
        PA
        USD
        90727.99000000
        0.018100865596
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          3.15900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCM1
        
          
        
        75000.00000000
        PA
        USD
        92671.50000000
        0.018488609371
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-10-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DR0
        
          
        
        100000.00000000
        PA
        USD
        80656.25000000
        0.016091483353
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2121-07-28
          Fixed
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAE0
        
          
        
        275000.00000000
        PA
        USD
        270473.50000000
        0.053961346118
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          3.26800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAP5
        
          
        
        35000.00000000
        PA
        USD
        40247.55000000
        0.008029666403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REINSURANCE GRP OF AMER
        LORM1GNEU1DKEW527V90
        Reinsurance Group of America Inc
        759351AN9
        
          
        
        65000.00000000
        PA
        USD
        71233.50000000
        0.014211579133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AZ7
        
          
        
        30000.00000000
        PA
        USD
        38873.10000000
        0.007755454060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-10-23
          Fixed
          6.38400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJB6
        
          
        
        950000.00000000
        PA
        USD
        946998.00000000
        0.188932693412
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEACHERS INSUR & ANNUITY
        O06XD7BJ4EPXNABVFN69
        Teachers Insurance & Annuity Association of America
        878091BD8
        
          
        
        295000.00000000
        PA
        USD
        360728.95000000
        0.071967936695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-09-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312940FB0
        
          
        
        10898.09000000
        PA
        USD
        12559.15000000
        0.002505637854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        14195.90000000
        0.002832180873
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3794502.81000000
            SEK
            448987.70000000
            USD
            2021-06-16
            14195.90000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1551.46000000
        -0.00030952707
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1303937.69000000
            USD
            18967860000.00000000
            IDR
            2021-04-05
            -1551.46000000
          
        
        
          N
          N
          N
        
      
      
        PRESTIGE BRANDS INC
        549300JBVP4J6D42I235
        Prestige Brands Inc
        74112BAM7
        
          
        
        635000.00000000
        PA
        USD
        604837.50000000
        0.120669291753
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH AMERICAS
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAV6
        
          
        
        200000.00000000
        PA
        USD
        221500.00000000
        0.044190791945
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AP4
        
          
        
        325000.00000000
        PA
        USD
        359102.25000000
        0.071643398721
        Long
        DBT
        
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468L6
        
          
        
        1275000.00000000
        PA
        USD
        1293360.00000000
        0.258034323569
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-22
          Fixed
          2.69900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        12351.10000000
        0.002464130430
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2217440.39000000
            EUR
            2614362.21000000
            USD
            2021-04-30
            12351.10000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCW2
        
          
        
        24334.89000000
        PA
        USD
        26425.54000000
        0.005272079188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RD89
        
          
        
        21130.14000000
        PA
        USD
        23222.91000000
        0.004633132208
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMDOCS LTD
        N/A
        Amdocs Ltd
        02342TAE9
        
          
        
        350000.00000000
        PA
        USD
        343269.50000000
        0.068484654879
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2030-06-15
          Fixed
          2.53800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214058  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214058  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        9850000.00000000
        OU
        Notional Amount
        
        49199.58000000
        0.009815658706
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-18
            0.00000000
            EUR
            -84808.41000000
            EUR
            9850000.00000000
            EUR
            1018789.86000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2487.48000000
        0.000496269576
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            178216.75000000
            USD
            3724926.11000000
            MXN
            2021-06-16
            2487.48000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -344.75000000
        -0.00006878002
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            244145.04000000
            USD
            175589113.00000000
            CLP
            2021-05-17
            -344.75000000
          
        
        
          N
          N
          N
        
      
      
        KOHL'S CORPORATION
        549300JF6LPRTRJ0FH50
        Kohl's Corp
        500255AX2
        
          
        
        300000.00000000
        PA
        USD
        300291.00000000
        0.059910144939
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HBH76
        
          
        
        569017.36000000
        PA
        USD
        624935.61000000
        0.124679004608
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2021-NMR1
        59982HAH3
        
          
        
        760000.00000000
        PA
        USD
        756800.40000000
        0.150986948174
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-11-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215699  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215699  IRS USD P F  2.43100 2 CCPVANILLA
        000000000
        
          
        
        8570000.00000000
        OU
        Notional Amount
        USD
        84967.26000000
        0.016951559859
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2036-02-25
            23380.23000000
            USD
            0.00000000
            USD
            8570000.00000000
            USD
            61587.03000000
          
        
        
          N
          N
          N
        
      
      
        SCRIPPS ESCROW II INC
        N/A
        Scripps Escrow II Inc
        81105DAA3
        
          
        
        490000.00000000
        PA
        USD
        481425.00000000
        0.096047638881
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1414.12000000
        0.000282126784
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179257.84000000
            USD
            3724260.88000000
            MXN
            2021-06-16
            1414.12000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -9012.05000000
        -0.00179796671
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2685974.41000000
            TRY
            304273.51000000
            USD
            2021-05-24
            -9012.05000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4266.76000000
        -0.00085124832
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            449326.78000000
            USD
            2938821.80000000
            CNY
            2021-06-16
            -4266.76000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        13705.10000000
        0.002734262856
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3528204.38000000
            SEK
            417983.18000000
            USD
            2021-06-16
            13705.10000000
          
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK CORP
        MP3J6QPYPGN75NVW2S34
        Kimberly-Clark Corp
        494368CA9
        
          
        
        10000.00000000
        PA
        USD
        9830.10000000
        0.001961173381
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-07
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GEN5
        
          
        
        5000.00000000
        PA
        USD
        6791.70000000
        0.001354991429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-02-07
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        4971.29000000
        0.000991806962
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            17821316196.20000000
            IDR
            1228632.62000000
            USD
            2021-04-05
            4971.29000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300MHMWVKFEDI8G73
        SLM Student Loan Trust 2008-2
        784442AC9
        
          
        
        180569.76000000
        PA
        USD
        180170.14000000
        0.035945197162
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-04-25
          Floating
          0.96800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAY5
        
          
        
        155000.00000000
        PA
        USD
        202329.25000000
        0.040366093865
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MQQ6
        
          
        
        2389.29000000
        PA
        USD
        2640.86000000
        0.000526869954
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WK2U8
        
          
        
        123929.48000000
        PA
        USD
        135643.49000000
        0.027061820520
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Phillips 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AK0
        
          
        
        60000.00000000
        PA
        USD
        68710.20000000
        0.013708163217
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-11-15
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215794  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR215794  IRS NOK P F  2.00000 2 CCPVANILLA
        000000000
        
          
        
        27120000.00000000
        OU
        Notional Amount
        
        -33339.92000000
        -0.00665154613
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-16
            0.00000000
            NOK
            -423202.05000000
            NOK
            27120000.00000000
            NOK
            15919.21000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        325.55000000
        0.000064949491
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            450689.70000000
            USD
            384356.33000000
            EUR
            2021-04-30
            325.55000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A2K28
        
          
        
        225475.23000000
        PA
        USD
        42918.42000000
        0.008562523561
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.44100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAR2
        
          
        
        75000.00000000
        PA
        USD
        78382.50000000
        0.015637854400
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CF4
        
          
        
        200000.00000000
        PA
        USD
        233230.00000000
        0.046531008602
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-03-31
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XEROX HOLDINGS CORP
        5493000Y33XDVO2CXC18
        Xerox Holdings Corp
        98421MAA4
        
          
        
        970000.00000000
        PA
        USD
        1003950.00000000
        0.200295013876
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Erste Group Bank AG
        PQOH26KWDF7CG10L6792
        Erste Group Bank AG
        000000000
        
          
        
        400000.00000000
        PA
        
        526364.06000000
        0.105013294189
        Long
        DBT
        CORP
        AT
        N
        
        2
        
          2024-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03352A SWAPTION EUR006M JUN21 0.325 PUT
        000000000
        
          
        
        600000.00000000
        NC
        
        39480.26000000
        0.007876586707
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    600000.00000000
                    OU
                    Notional Amount
                    N/A
                    39480.26000000
                    0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-06-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  600000.00000000
                  EUR
                
              
            
            1.00000000
            0.32500000
            EUR
            2021-06-01
            XXXX
            12958.26000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPA4
        
          
        
        1708608.33000000
        PA
        USD
        1833381.67000000
        0.365772406029
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BW9
        
          
        
        40000.00000000
        PA
        USD
        49175.20000000
        0.009810794727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-02-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAP0
        
          
        
        25000.00000000
        PA
        USD
        26411.25000000
        0.005269228233
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215793  IRS NOK R F  1.50000 2 CCPVANILLA / Short: SR215793  IRS NOK P V 06MNIBOR 1 CCPVANILLA
        000000000
        
          
        
        153480000.00000000
        OU
        Notional Amount
        
        -17718.17000000
        -0.00353489825
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            0.00000000
            NOK
            -103990.80000000
            NOK
            153480000.00000000
            NOK
            7988.45000000
          
        
        
          N
          N
          N
        
      
      
        Cimarex Energy Co
        11KYOFXPU1C4CQL1CL44
        Cimarex Energy Co
        171798AE1
        
          
        
        30000.00000000
        PA
        USD
        33248.10000000
        0.006633227402
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS03382A SWAPTION US0003M JUN21 1.025 PUT
        000000000
        
          
        
        -4060000.00000000
        NC
        USD
        -34292.79000000
        -0.00684165033
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    4060000.00000000
                    OU
                    Notional Amount
                    N/A
                    -34292.79000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-06-09
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4060000.00000000
                  USD
                
              
            
            1.00000000
            1.02500000
            USD
            2021-06-07
            XXXX
            -9831.29000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BDB6
        
          
        
        1340564.67000000
        PA
        USD
        136955.17000000
        0.027323509811
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CG4
        
          
        
        310000.00000000
        PA
        USD
        332475.00000000
        0.066331076984
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417MFB4
        
          
        
        6443.56000000
        PA
        USD
        7166.82000000
        0.001429830480
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215096  IRS AUD R F  1.24000 2 CCPVANILLA / Short: SR215096  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        10500000.00000000
        OU
        Notional Amount
        
        -565478.91000000
        -0.11281697905
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-10-28
            0.00000000
            AUD
            -196816.30000000
            AUD
            10500000.00000000
            AUD
            -44215.48000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: CS005471  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005471  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        10000.00000000
        OU
        Notional Amount
        USD
        -21.07000000
        -0.00000420361
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            4.22000000
            USD
            0.00000000
            USD
            10000.00000000
            USD
            -25.29000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215707  IRS AUD R F   .50000 2 CCPVANILLA / Short: SR215707  IRS AUD P V 03MBBSW 1 CCPVANILLA
        000000000
        
          
        
        24470000.00000000
        OU
        Notional Amount
        
        20439.23000000
        0.004077768670
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-02-24
            76058.59000000
            AUD
            0.00000000
            AUD
            24470000.00000000
            AUD
            -40145.25000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBJ9
        
          
        
        650000.00000000
        PA
        USD
        622706.50000000
        0.124234281646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        5819.66000000
        0.001161062682
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3785963.90000000
            NOK
            448441.09000000
            USD
            2021-06-16
            5819.66000000
          
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAX8
        
          
        
        650000.00000000
        PA
        USD
        674901.50000000
        0.134647547495
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4024.89000000
        -0.00080299357
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            672751.00000000
            USD
            569310.19000000
            EUR
            2021-06-16
            -4024.89000000
          
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        000000000
        
          
        
        200000.00000000
        PA
        USD
        218500.00000000
        0.043592271061
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2024-06-18
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DD8
        
          
        
        475000.00000000
        PA
        USD
        527900.75000000
        0.105319874542
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-16
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        PTDEUUSSG2021040101334 PUT USD SGD 1.334 APR21
        000000000
        
          
        
        8924000.00000000
        OU
        Notional Amount
        USD
        8.92000000
        0.000001779602
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    8.92000000
                    0.00000000
                    DFE
                    
                    US
                  
                  11904616.00000000
                  SGD
                  8924000.00000000
                  USD
                  2021-04-01
                
              
            
            1.00000000
            1.33400000
            USD
            2021-04-01
            XXXX
            -10441.08000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10483.72000000
        -0.00209157512
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            457526.70000000
            USD
            12699111.09000000
            TWD
            2021-04-19
            -10483.72000000
          
        
        
          N
          N
          N
        
      
      
        FED REPUBLIC OF BRAZIL
        254900ZFY40OYEADAP90
        Brazilian Government International Bond
        105756CC2
        
          
        
        200000.00000000
        PA
        USD
        193875.00000000
        0.038679412137
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2030-06-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2019-GS2
        59981TAG0
        
          
        
        720000.00000000
        PA
        USD
        748247.90000000
        0.149280664887
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-08-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELL CANADA
        549300O5ZKB2MUUSKB97
        Bell Canada
        0778FPAA7
        
          
        
        55000.00000000
        PA
        USD
        63557.45000000
        0.012680153722
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2048-04-01
          Fixed
          4.46400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAB2
        
          
        
        100000.00000000
        PA
        USD
        112393.00000000
        0.022423185910
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        N/A
        Mountain View CLO 2016-1 LLC
        62432FAM6
        
          
        
        1200000.00000000
        PA
        USD
        1200379.20000000
        0.239484006694
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-14
          Floating
          1.59400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET CORP
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BN2
        
          
        
        25000.00000000
        PA
        USD
        26526.00000000
        0.005292121657
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-30
          Fixed
          3.15200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAD2
        
          
        
        1150000.00000000
        PA
        USD
        1114844.50000000
        0.222419238605
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        187916.52000000
        0.037490653898
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            59025772.99000000
            SEK
            6951364.40000000
            USD
            2021-06-16
            187916.52000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VHT0
        
          
        
        1999999.56000000
        PA
        USD
        2109725.26000000
        0.420904875967
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Orix Credit Alliance Owner Trust
        N/A
        Orec 2018-CRE1 Ltd
        685785AA5
        
          
        
        1475000.00000000
        PA
        USD
        1476646.69000000
        0.294601294152
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-06-15
          Floating
          1.28600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -24102.14000000
        -0.00480854471
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1511952.12000000
            USD
            164632535.00000000
            JPY
            2021-06-10
            -24102.14000000
          
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300T32RO3I7BJ4V26
        Midocean Credit Clo VIII
        000000000
        
          
        
        500000.00000000
        PA
        USD
        498661.00000000
        0.099486340868
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-20
          Floating
          1.48200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        CTHSBEUUS202104280119 CALL EUR USD 1.19 APR21
        000000000
        
          
        
        15162000.00000000
        OU
        Notional Amount
        
        29231.11000000
        0.005831809933
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            Call
            Purchased
            
              
                
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                  
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    
                    29231.11000000
                    0.01000000
                    DFE
                    
                    XX
                  
                  18042780.00000000
                  USD
                  15162000.00000000
                  EUR
                  2021-04-28
                
              
            
            1.00000000
            1.19000000
            EUR
            2021-04-28
            XXXX
            -31390.49000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHF9
        
          
        
        65000.00000000
        PA
        USD
        68582.15000000
        0.013682616351
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-05
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2019-3 Trust
        949831AA9
        
          
        
        128873.94000000
        PA
        USD
        130705.01000000
        0.026076559382
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BM8
        
          
        
        75000.00000000
        PA
        USD
        105038.25000000
        0.020955862086
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAQ7
        
          
        
        150000.00000000
        PA
        USD
        151408.50000000
        0.030207049761
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.72200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215654  IRS EUR R F   .50000 2 CCPVANILLA / Short: SR215654  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        14390000.00000000
        OU
        Notional Amount
        
        59873.05000000
        0.011945090273
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-02-12
            174550.31000000
            EUR
            0.00000000
            EUR
            14390000.00000000
            EUR
            -151837.69000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CC1
        
          
        
        300000.00000000
        PA
        USD
        307530.00000000
        0.061354375832
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -21744.85000000
        -0.00433824894
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1026166.81000000
            USD
            947319.23000000
            CHF
            2021-06-16
            -21744.85000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376VHU4
        
          
        
        554057.02000000
        PA
        USD
        109416.57000000
        0.021829367405
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-02-20
          Floating
          6.13900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDH1
        
          
        
        75000.00000000
        PA
        USD
        82353.75000000
        0.016430146420
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215679  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215679  IRS GBP P F  1.10000 2 CCPOIS
        000000000
        
          
        
        4870000.00000000
        OU
        Notional Amount
        
        54560.19000000
        0.010885137719
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2036-02-17
            6589.25000000
            GBP
            0.00000000
            GBP
            4870000.00000000
            GBP
            45230.14000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGH1
        
          
        
        1865000.00000000
        PA
        USD
        1871042.60000000
        0.373286023736
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-22
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walmart Inc
        Y87794H0US1R65VBXU25
        Walmart Inc
        931142DP5
        
          
        
        65000.00000000
        PA
        USD
        70053.10000000
        0.013976081116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-22
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        51256.03000000
        PA
        USD
        55166.24000000
        0.011006048913
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBL8
        
          
        
        825000.00000000
        PA
        USD
        862933.50000000
        0.172161240457
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-07
          Fixed
          2.85200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215818  IRS AUD R F   .50000 2 CCPVANILLA / Short: SR215818  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        17610000.00000000
        OU
        Notional Amount
        
        -334474.82000000
        -0.06673005499
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            0.00000000
            AUD
            -389379.02000000
            AUD
            17610000.00000000
            AUD
            -32199.92000000
          
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAD0
        
          
        
        275000.00000000
        PA
        USD
        290048.00000000
        0.057866595134
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVN49
        
          
        
        26646.49000000
        PA
        USD
        28712.60000000
        0.005728363579
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NAVIENT CORP
        54930067J0ZNOEBRW338
        Navient Corp
        63938CAL2
        
          
        
        15000.00000000
        PA
        USD
        14681.25000000
        0.002929011576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX002968  CDS USD R F  3.00000 2 CMBX / Short: CX002968  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        600000.00000000
        OU
        Notional Amount
        USD
        -75468.72000000
        -0.01505653500
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -112767.02000000
            USD
            600000.00000000
            USD
            37298.30000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        6357.13000000
        0.001268291689
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5842646.51000000
            CNY
            891177.15000000
            USD
            2021-06-16
            6357.13000000
          
        
        
          N
          N
          N
        
      
      
        Ameren Corp
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AJ1
        
          
        
        125000.00000000
        PA
        USD
        132920.00000000
        0.026518465306
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215752  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215752  IRS USD P F  2.50286 2 CCPVANILLA
        000000000
        
          
        
        9130000.00000000
        OU
        Notional Amount
        USD
        64498.88000000
        0.012867975561
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2036-03-10
            48077.66000000
            USD
            0.00000000
            USD
            9130000.00000000
            USD
            16421.22000000
          
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CP2
        
          
        
        200000.00000000
        PA
        USD
        222308.00000000
        0.044351993570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-04
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST HORIZON CORP
        TF3RXI1ZB1TQ30H9JV10
        First Horizon Corp
        320517AD7
        
          
        
        700000.00000000
        PA
        USD
        768796.00000000
        0.153380153880
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-26
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABE4
        
          
        
        800000.00000000
        PA
        USD
        868080.00000000
        0.173188003033
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        3981.41000000
        0.000794319011
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            15038878.78000000
            RUB
            201793.72000000
            USD
            2021-05-19
            3981.41000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCS3
        
          
        
        125000.00000000
        PA
        USD
        148972.50000000
        0.029721050804
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-17
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM PJSC (GAZ FN)
        213800UNP9N6BPNYMQ45
        Gazprom PJSC via Gaz Finance PLC
        000000000
        
          
        
        280000.00000000
        PA
        USD
        267925.00000000
        0.053452902627
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2030-02-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond - When Issued
        91282CBT7
        
          
        
        15500000.00000000
        PA
        USD
        15363164.14000000
        3.065058194739
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-03-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10115.93000000
        -0.00201819845
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1431210.59000000
            USD
            1211588.39000000
            EUR
            2021-04-09
            -10115.93000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        491680.05000000
        0.098093592746
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11983628.60000000
            EUR
            14547501.97000000
            USD
            2021-04-09
            491680.05000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16856.80000000
        -0.00336304894
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            454554.43000000
            USD
            6412853915.51000000
            IDR
            2021-05-10
            -16856.80000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XAH3
        
          
        
        295000.00000000
        PA
        USD
        297159.40000000
        0.059285368939
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          3.85900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCELORMITTAL
        2EULGUTUI56JI9SAL165
        ArcelorMittal SA
        03938LBC7
        
          
        
        325000.00000000
        PA
        USD
        348536.50000000
        0.069535458044
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-07-16
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        8810.98000000
        0.001757851846
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1596170990.57000000
            COP
            444560.15000000
            USD
            2021-04-27
            8810.98000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPGT5
        
          
        
        14522.78000000
        PA
        USD
        15630.69000000
        0.003118431466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -38536.62000000
        -0.00768832395
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1587564.75000000
            USD
            2038724.23000000
            AUD
            2021-06-16
            -38536.62000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SSU4
        
          
        
        13754.60000000
        PA
        USD
        15445.38000000
        0.003081460831
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harben Finance
        213800J7WLPUU61CJY65
        Harben Finance 2017-1 PLC
        000000000
        
          
        
        687478.27000000
        PA
        
        949264.86000000
        0.189384947762
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-08-20
          Floating
          0.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VBJ8
        
          
        
        940388.93000000
        PA
        USD
        1015407.70000000
        0.202580904787
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBH7
        
          
        
        30000.00000000
        PA
        USD
        31766.10000000
        0.006337558085
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EML8
        
          
        
        1029151.55000000
        PA
        USD
        186593.20000000
        0.037226642346
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        000000000
        
          
        
        200000.00000000
        PA
        USD
        196010.00000000
        0.039105359499
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2024-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JW97
        
          
        
        200000.00000000
        PA
        USD
        204500.00000000
        0.040799173602
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2023-11-20
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAG8
        
          
        
        550000.00000000
        PA
        USD
        626945.00000000
        0.125079891901
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215758  IRS CAD R F   .75000 2 CCPVANILLA / Short: SR215758  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        9500000.00000000
        OU
        Notional Amount
        
        -61557.61000000
        -0.01228117172
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-16
            0.00000000
            CAD
            -63283.08000000
            CAD
            9500000.00000000
            CAD
            -11408.55000000
          
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AR0
        
          
        
        350000.00000000
        PA
        USD
        369089.00000000
        0.073635824868
        Long
        DBT
        
        US
        N
        
        2
        
          2031-08-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AM46
        
          
        
        573.64000000
        PA
        USD
        580.50000000
        0.000115813791
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBF5
        
          
        
        585000.00000000
        PA
        USD
        654363.45000000
        0.130550063547
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215760  IRS CAD R F  1.25000 2 CCPVANILLA / Short: SR215760  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        3570000.00000000
        OU
        Notional Amount
        
        -231839.77000000
        -0.04625364803
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-06-16
            0.00000000
            CAD
            -273225.72000000
            CAD
            3570000.00000000
            CAD
            -14881.60000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200N3F6
        
          
        
        117235.59000000
        PA
        USD
        132348.55000000
        0.026404457053
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        12351.10000000
        0.002464130430
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2217440.39000000
            EUR
            2614362.21000000
            USD
            2021-04-30
            12351.10000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        8574.32000000
        0.001710636529
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1597037882.86000000
            COP
            444560.15000000
            USD
            2021-04-27
            8574.32000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -975.32000000
        -0.00019458312
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            171775.00000000
            USD
            214622.21000000
            CAD
            2021-06-16
            -975.32000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300L7X3DWAOC00Z83
        SLM Student Loan Trust 2005-4
        78442GPG5
        
          
        
        139246.03000000
        PA
        USD
        138093.76000000
        0.027550666443
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-25
          Floating
          0.33800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALVOLINE INC
        549300CMHPBEY6VPOT75
        Valvoline Inc
        92047WAG6
        
          
        
        315000.00000000
        PA
        USD
        304762.50000000
        0.060802240317
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7069.54000000
        -0.00141042244
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            427448.73000000
            USD
            396480.07000000
            CHF
            2021-06-16
            -7069.54000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        CTBNPUSIL202104200337 CALL USD ILS 3.37 APR21
        000000000
        
          
        
        -1785000.00000000
        OU
        Notional Amount
        USD
        -5833.38000000
        -0.00116379991
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            Call
            Written
            
              
                
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -5833.38000000
                    0.00000000
                    DFE
                    
                    IL
                  
                  1785000.00000000
                  USD
                  6015450.00000000
                  ILS
                  2021-04-20
                
              
            
            1.00000000
            3.37000000
            USD
            2021-04-20
            XXXX
            -2513.28000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215795  IRS NZD R F  1.25000 2 CCPVANILLA / Short: SR215795  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        8090000.00000000
        OU
        Notional Amount
        
        11844.78000000
        0.002363116066
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            0.00000000
            NZD
            -10816.32000000
            NZD
            8090000.00000000
            NZD
            19609.80000000
          
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBE4
        
          
        
        1275000.00000000
        PA
        USD
        1317228.00000000
        0.262796155723
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-02-15
          Fixed
          4.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAE8
        
          
        
        200000.00000000
        PA
        USD
        176510.00000000
        0.035214973753
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2051-02-08
          Fixed
          3.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -32398.92000000
        -0.00646381008
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1797974.82000000
            USD
            1503097.21000000
            EUR
            2021-06-16
            -32398.92000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQC3
        
          
        
        448132.55000000
        PA
        USD
        71963.54000000
        0.014357227195
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          6.03900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPK94
        
          
        
        1584597.97000000
        PA
        USD
        1792512.28000000
        0.357618678217
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215701  IRS USD R F  2.20900 2 CCPVANILLA / Short: SR215701  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        6950000.00000000
        OU
        Notional Amount
        USD
        -108780.01000000
        -0.02170236925
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-02-25
            0.00000000
            USD
            -33993.76000000
            USD
            6950000.00000000
            USD
            -74786.25000000
          
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135AN6
        
          
        
        20000.00000000
        PA
        USD
        22149.80000000
        0.004419039293
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8G58
        
          
        
        749572.48000000
        PA
        USD
        817846.61000000
        0.163166092035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BUQ4
        
          
        
        2090544.11000000
        PA
        USD
        316398.00000000
        0.063123603566
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005864  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005864  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        825000.00000000
        OU
        Notional Amount
        USD
        17371.78000000
        0.003465791041
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Prudential Financial Inc
                Prudential Financial Inc
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            8968.10000000
            USD
            0.00000000
            USD
            825000.00000000
            USD
            8403.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B5SN6
        
          
        
        621785.63000000
        PA
        USD
        127262.79000000
        0.025389812529
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Floating
          5.94100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -7677.96000000
        -0.00153180646
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4086037.12000000
            MXN
            190544.54000000
            USD
            2021-06-16
            -7677.96000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCA5
        
          
        
        650000.00000000
        PA
        USD
        724594.00000000
        0.144561547173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-11-21
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        2701.50000000
        0.000538968056
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            140981.39000000
            CHF
            152181.00000000
            USD
            2021-06-16
            2701.50000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WBD3
        
          
        
        705000.00000000
        PA
        USD
        725664.54000000
        0.144775127355
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.20900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAG5
        
          
        
        225000.00000000
        PA
        USD
        245126.25000000
        0.048904393291
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        4902.17000000
        0.000978017040
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            307619.05000000
            GBP
            429087.05000000
            USD
            2021-06-16
            4902.17000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B8QW0
        
          
        
        2596567.73000000
        PA
        USD
        473927.10000000
        0.094551755636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-15
          Floating
          5.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AC1
        
          
        
        225000.00000000
        PA
        USD
        235093.50000000
        0.046902789824
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLY FINANCIAL INC
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        02005NBJ8
        
          
        
        55000.00000000
        PA
        USD
        63813.20000000
        0.012731177627
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L5TH6
        
          
        
        10988.45000000
        PA
        USD
        12110.05000000
        0.002416039277
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LBF2
        
          
        
        1122000.00000000
        PA
        USD
        1231638.47000000
        0.245720448667
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AD8
        
          
        
        300000.00000000
        PA
        USD
        325434.00000000
        0.064926348469
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMWQ0
        
          
        
        61458.13000000
        PA
        USD
        66146.64000000
        0.013196715151
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAM6
        
          
        
        35000.00000000
        PA
        USD
        38194.80000000
        0.007620128488
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-04
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEE4
        
          
        
        200000.00000000
        PA
        USD
        190687.50000000
        0.038043483697
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2060-01-30
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAC3
        
          
        
        105000.00000000
        PA
        USD
        113959.65000000
        0.022735743491
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REGENCY CENTERS LP
        5493008PTR2GAOYBXW28
        Regency Centers LP
        75884RAZ6
        
          
        
        700000.00000000
        PA
        USD
        712684.00000000
        0.142185419263
        Long
        DBT
        
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MAY6
        
          
        
        3853.35000000
        PA
        USD
        4259.08000000
        0.000849716109
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        000000000
        
          
        
        200000.00000000
        PA
        USD
        205687.50000000
        0.041036088118
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2024-03-28
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215739  IRS CAD R F   .80400 2 CCPVANILLA / Short: SR215739  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        107340000.00000000
        OU
        Notional Amount
        
        70201.91000000
        0.014005769747
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-02-28
            19987.89000000
            CAD
            0.00000000
            CAD
            107340000.00000000
            CAD
            54529.10000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JVL0
        
          
        
        1050000.00000000
        PA
        USD
        1150149.00000000
        0.229462732123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBB3
        
          
        
        625000.00000000
        PA
        USD
        704843.75000000
        0.140621234809
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687CR5
        
          
        
        1125000.00000000
        PA
        USD
        1218903.75000000
        0.243179783376
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61746BEC6
        
          
        
        1550000.00000000
        PA
        USD
        1577667.50000000
        0.314755648991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-24
          Floating
          1.61800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382DJV2
        
          
        
        1084223.77000000
        PA
        USD
        194177.86000000
        0.038739834815
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29273RBD0
        
          
        
        65000.00000000
        PA
        USD
        70166.20000000
        0.013998645353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967EW7
        
          
        
        15000.00000000
        PA
        USD
        24618.15000000
        0.004911492301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-07-15
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25169.39000000
        -0.00502146851
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            957252.94000000
            USD
            26477616.32000000
            TWD
            2021-04-19
            -25169.39000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        14432.87000000
        0.002879458037
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            778950.63000000
            CHF
            840337.27000000
            USD
            2021-06-16
            14432.87000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
        
        240000.00000000
        PA
        USD
        254328.00000000
        0.050740206473
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRYKER CORP
        5493002F0SC4JTBU5137
        Stryker Corp
        863667AY7
        
          
        
        850000.00000000
        PA
        USD
        821525.00000000
        0.163899956446
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397YQ0
        
          
        
        330000.00000000
        PA
        USD
        334974.09000000
        0.066829662836
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-03
          Fixed
          2.97900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215629  IRS CNY R V 03MLIBOR CCPVANILLA / Short: BR215629  IRS CNY P F  2.75000 CCPVANILLA
        000000000
        
          
        
        3130000.00000000
        OU
        Notional Amount
        
        -1196.47000000
        -0.00023870409
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-06-16
            0.00000000
            CNY
            -1025.94000000
            CNY
            3130000.00000000
            CNY
            -1038.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1942.80000000
        -0.00038760212
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            193198.26000000
            USD
            2802147563.04000000
            IDR
            2021-05-10
            -1942.80000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BR9
        
          
        
        450000.00000000
        PA
        USD
        454779.00000000
        0.090731576389
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-18
          Floating
          1.18900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC SERVICES INC
        NKNQHM6BLECKVOQP7O46
        Republic Services Inc
        760759AZ3
        
          
        
        675000.00000000
        PA
        USD
        627608.25000000
        0.125212214893
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H020659
        
          
        
        25000000.00000000
        PA
        USD
        25188957.50000000
        5.025372371132
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-05-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAY7
        
          
        
        50000.00000000
        PA
        USD
        59958.50000000
        0.011962138143
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS03348A SWAPTION US0003M JUN21 1.095 PUT
        000000000
        
          
        
        -17800000.00000000
        NC
        USD
        -109948.82000000
        -0.02193555498
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    17800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -109948.82000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-06-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  17800000.00000000
                  USD
                
              
            
            1.00000000
            1.09500000
            USD
            2021-06-01
            XXXX
            -34614.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -47617.05000000
        -0.00949993295
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            449514.43000000
            USD
            3496494.05000000
            TRY
            2021-06-16
            -47617.05000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
        
        350000.00000000
        PA
        USD
        358837.50000000
        0.071590579253
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.21900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3652.14000000
        0.000728627353
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            656799.05000000
            USD
            479000.00000000
            GBP
            2021-05-20
            3652.14000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AF5
        
          
        
        525000.00000000
        PA
        USD
        561261.75000000
        0.111975626280
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2029-01-12
          Fixed
          3.86900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BJ7
        
          
        
        625000.00000000
        PA
        USD
        640681.25000000
        0.127820369400
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-03-13
          Fixed
          3.26200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        853.12000000
        0.000170203378
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179472.30000000
            USD
            1015310.70000000
            BRL
            2021-04-05
            853.12000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BV4
        
          
        
        125000.00000000
        PA
        USD
        135751.25000000
        0.027083319390
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAN1
        
          
        
        2331000.00000000
        PA
        USD
        2502538.29000000
        0.499273809972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.45900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264AAW5
        
          
        
        60000.00000000
        PA
        USD
        66348.00000000
        0.013236887873
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAV5
        
          
        
        227000.00000000
        PA
        USD
        264738.75000000
        0.052817223571
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS03346A SWAPTION US0003M JUN21 0.925 PUT
        000000000
        
          
        
        17800000.00000000
        NC
        USD
        200557.94000000
        0.040012705189
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    17800000.00000000
                    OU
                    Notional Amount
                    N/A
                    200557.94000000
                    0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-06-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  17800000.00000000
                  USD
                
              
            
            1.00000000
            0.92500000
            USD
            2021-06-01
            XXXX
            80022.98000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040644
        
          
        
        -7000000.00000000
        PA
        USD
        -7512421.00000000
        -1.49878028631
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17307GP77
        
          
        
        500000.00000000
        PA
        USD
        493106.35000000
        0.098378149525
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          0.78400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WWKV0
        
          
        
        18108.34000000
        PA
        USD
        19512.42000000
        0.003892863623
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        375000.00000000
        PA
        USD
        365396.25000000
        0.072899095536
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAK6
        
          
        
        30000.00000000
        PA
        USD
        38891.10000000
        0.007759045185
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE REALTY LP
        2549009GZDBNY1KE9O81
        Duke Realty LP
        26441YBE6
        
          
        
        300000.00000000
        PA
        USD
        280095.00000000
        0.055880902347
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UMM1
        
          
        
        2818424.21000000
        PA
        USD
        3047847.04000000
        0.608066701698
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        513.51000000
        0.000102448819
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            341362.36000000
            EUR
            378661.32000000
            CHF
            2021-06-16
            513.51000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215655  IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR215655  IRS GBP P F  1.00000 2 CCPVANILLA
        000000000
        
          
        
        10790000.00000000
        OU
        Notional Amount
        
        308287.63000000
        0.061505528292
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-02-10
            78063.93000000
            GBP
            0.00000000
            GBP
            10790000.00000000
            GBP
            198380.80000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377DKS4
        
          
        
        239453.45000000
        PA
        USD
        45195.88000000
        0.009016892685
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-08-20
          Floating
          5.88900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EAST OHIO GAS CO/THE
        BC95Y6MXLT75BGO7UM71
        East Ohio Gas Co/The
        27409LAC7
        
          
        
        125000.00000000
        PA
        USD
        120410.00000000
        0.024022633219
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CN8
        
          
        
        150000.00000000
        PA
        USD
        184366.50000000
        0.036782400195
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-20
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DAZ8
        
          
        
        840000.00000000
        PA
        USD
        895179.60000000
        0.178594561884
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-15
          Fixed
          3.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        41260000.00000000
        OU
        Notional Amount
        USD
        3795.92000000
        0.000757312464
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            13847.94000000
            USD
            0.00000000
            USD
            41260000.00000000
            USD
            -10052.02000000
          
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        635400C9RW3TYNTIJP57
        AccessLex Institute
        00432CBN0
        
          
        
        487232.57000000
        PA
        USD
        475795.52000000
        0.094924518432
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-09-26
          Floating
          0.41100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        82.77000000
        0.000016513191
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179016.27000000
            USD
            128990173.00000000
            CLP
            2021-05-17
            82.77000000
          
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BP4
        
          
        
        65000.00000000
        PA
        USD
        70800.60000000
        0.014125212569
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-25
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS03437A SWAPTION US0003M JUN21 0.465 PUT
        000000000
        
          
        
        650000.00000000
        NC
        
        26410.15000000
        0.005269008776
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    650000.00000000
                    OU
                    Notional Amount
                    N/A
                    26410.15000000
                    0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-06-29
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  650000.00000000
                  EUR
                
              
            
            1.00000000
            0.46500000
            EUR
            2021-06-25
            XXXX
            7001.89000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -704.27000000
        -0.00014050676
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            238824.05000000
            USD
            4908455.17000000
            MXN
            2021-06-16
            -704.27000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2412.34000000
        -0.00048127862
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            190237.35000000
            USD
            688012400.01000000
            COP
            2021-04-27
            -2412.34000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2139.02000000
        0.000426749380
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446718.51000000
            USD
            3839304.37000000
            NOK
            2021-06-16
            2139.02000000
          
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164QNA2
        
          
        
        250000.00000000
        PA
        USD
        286090.00000000
        0.057076946580
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.41800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
        
        400000.00000000
        PA
        USD
        435100.00000000
        0.086805478896
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703DBB6
        
          
        
        275000.00000000
        PA
        USD
        320680.25000000
        0.063977942251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AstraZeneca PLC
        PY6ZZQWO2IZFZC3IOL08
        AstraZeneca PLC
        046353AD0
        
          
        
        45000.00000000
        PA
        USD
        64153.35000000
        0.012799039920
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2037-09-15
          Fixed
          6.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215839  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215839  IRS GBP P F  1.10000 2 CCPOIS
        000000000
        
          
        
        3100000.00000000
        OU
        Notional Amount
        
        42352.80000000
        0.008449678433
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2041-03-24
            18450.64000000
            GBP
            0.00000000
            GBP
            3100000.00000000
            GBP
            17003.23000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WLA60
        
          
        
        687909.03000000
        PA
        USD
        763551.16000000
        0.152333771789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H022655
        
          
        
        19000000.00000000
        PA
        USD
        19559696.30000000
        3.902295574310
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-05-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BJ9
        
          
        
        850000.00000000
        PA
        USD
        918450.50000000
        0.183237268432
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.51900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MID-AMERICA APARTMENTS
        549300FXWGE3QSYCUJ38
        Mid-America Apartments LP
        59523UAS6
        
          
        
        325000.00000000
        PA
        USD
        298808.25000000
        0.059614325992
        Long
        DBT
        
        US
        N
        
        2
        
          2031-02-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BGL8
        
          
        
        600000.00000000
        PA
        USD
        678366.00000000
        0.135338739362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RAZ2
        
          
        
        351723.25000000
        PA
        USD
        29195.91000000
        0.005824787288
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          3.67900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2R3
        
          
        
        70000.00000000
        PA
        USD
        71549.10000000
        0.014274543530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-02
          Fixed
          1.65400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAB7
        
          
        
        375000.00000000
        PA
        USD
        369168.75000000
        0.073651735548
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JF5
        
          
        
        250000.00000000
        PA
        USD
        244727.50000000
        0.048824839890
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STERIS PLC
        N/A
        STERIS Irish FinCo UnLtd Co
        85917PAA5
        
          
        
        525000.00000000
        PA
        USD
        520716.00000000
        0.103886466901
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2031-03-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379QCY9
        
          
        
        278258.76000000
        PA
        USD
        53120.24000000
        0.010597857670
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Floating
          6.13900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        20000.00000000
        PA
        
        25931.33000000
        0.005173480852
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2029-03-11
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GULV7
        
          
        
        289986.59000000
        PA
        USD
        321601.51000000
        0.064161740035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASCO CORP
        5GCSNMQXHEYA1JO8QN11
        Masco Corp
        574599BS4
        
          
        
        325000.00000000
        PA
        USD
        312617.50000000
        0.062369367498
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBQ3
        
          
        
        15330000.00000000
        PA
        USD
        15028190.63000000
        2.998228647617
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-02-28
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAY4
        
          
        
        500000.00000000
        PA
        USD
        544295.00000000
        0.108590641543
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAB1
        
          
        
        600000.00000000
        PA
        USD
        668556.00000000
        0.133381576071
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-04-11
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416MVP6
        
          
        
        4874.76000000
        PA
        USD
        5424.06000000
        0.001082137728
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arch Capital Finance LLC
        549300XG4URFY0200M65
        Arch Capital Finance LLC
        03939CAA1
        
          
        
        1000000.00000000
        PA
        USD
        1128720.00000000
        0.225187497447
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.01100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2190.86000000
        0.000437091821
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            61583715.00000000
            JPY
            475711.56000000
            EUR
            2021-06-16
            2190.86000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        603.72000000
        0.000120446342
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            611474.01000000
            AUD
            465203.31000000
            USD
            2021-06-16
            603.72000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -846.38000000
        -0.00016885870
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            553907.66000000
            CAD
            439961.92000000
            USD
            2021-06-16
            -846.38000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GQY6
        
          
        
        191492.84000000
        PA
        USD
        32594.25000000
        0.006502779775
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-09-20
          Floating
          5.48900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4AP6
        
          
        
        12556.00000000
        PA
        USD
        13529.56000000
        0.002699241404
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EFG2
        
          
        
        40000.00000000
        PA
        USD
        54831.60000000
        0.010939285903
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2033-09-18
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31394EZ35
        
          
        
        36454.72000000
        PA
        USD
        41458.19000000
        0.008271197511
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JX62
        
          
        
        620000.00000000
        PA
        USD
        632787.50000000
        0.126245511323
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2050-05-29
          Fixed
          8.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAM4
        
          
        
        100000.00000000
        PA
        USD
        99692.00000000
        0.019889247993
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        Long: CS005484  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005484  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        460000.00000000
        OU
        Notional Amount
        USD
        -969.22000000
        -0.00019336613
        N/A
        DCR
        
        DE
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            235.51000000
            USD
            0.00000000
            USD
            460000.00000000
            USD
            -1204.73000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAH3
        
          
        
        130000.00000000
        PA
        USD
        130121.88000000
        0.025960220887
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-02-14
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -7535.97000000
        -0.00150347847
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9236449.91000000
            MXN
            440544.21000000
            USD
            2021-06-16
            -7535.97000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -1059.49000000
        -0.00021137563
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            638975.56000000
            NZD
            445116.76000000
            USD
            2021-06-16
            -1059.49000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABG9
        
          
        
        375000.00000000
        PA
        USD
        371426.25000000
        0.074102122513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2139.22000000
        -0.00042678928
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            194494.75000000
            USD
            2806559242.50000000
            IDR
            2021-04-12
            -2139.22000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        12361.12000000
        0.002466129490
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            18967860000.00000000
            IDR
            1314747.35000000
            USD
            2021-04-05
            12361.12000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215527  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215527  IRS USD P F   .75000 2 CCPVANILLA
        000000000
        
          
        
        6450000.00000000
        OU
        Notional Amount
        USD
        649302.15000000
        0.129540298963
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-16
            595213.81000000
            USD
            0.00000000
            USD
            6450000.00000000
            USD
            54088.34000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQHG1
        
          
        
        12251.32000000
        PA
        USD
        13185.95000000
        0.002630688817
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAH4
        
          
        
        675000.00000000
        PA
        USD
        675580.50000000
        0.134783012721
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR213540  IRS AUD R F  1.75000 2 CCPVANILLA / Short: SR213540  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        7400000.00000000
        OU
        Notional Amount
        
        -233008.25000000
        -0.04648676793
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-03-19
            16665.27000000
            AUD
            0.00000000
            AUD
            7400000.00000000
            AUD
            -163983.54000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005922  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005922  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        475000.00000000
        OU
        Notional Amount
        USD
        6781.10000000
        0.001352876655
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                General Electric Co
                General Electric Co
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            USD
            -5628.52000000
            USD
            475000.00000000
            USD
            12409.62000000
          
        
        
          N
          N
          N
        
      
      
        CIT BANK NA
        FVPV0TNOIM6NUIE59530
        CIT Bank NA
        12556LBJ4
        
          
        
        600000.00000000
        PA
        USD
        630378.00000000
        0.125764799300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-27
          Fixed
          2.96900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCA7
        
          
        
        350000.00000000
        PA
        USD
        377867.00000000
        0.075387096975
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HONDA FINANCE
        B6Q2VFHD1797Q7NZ3E43
        American Honda Finance Corp
        02665WDL2
        
          
        
        50000.00000000
        PA
        USD
        49834.50000000
        0.009942329666
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-08
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2018-R07
        20753QAE9
        
          
        
        293007.32000000
        PA
        USD
        293346.04000000
        0.058524577072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-25
          Floating
          2.50900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2605.95000000
        -0.00051990516
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356914.73000000
            USD
            5284086.89000000
            ZAR
            2021-06-17
            -2605.95000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -49.85000000
        -0.00000994542
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            404536.74000000
            EUR
            448117.48000000
            CHF
            2021-06-16
            -49.85000000
          
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962G4B7
        
          
        
        55000.00000000
        PA
        USD
        77301.40000000
        0.015422167424
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-01-10
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LABORATORY CORP OF AMER
        OZ7UA8IXAIFILY2VZH07
        Laboratory Corp of America Holdings
        50540RAQ5
        
          
        
        65000.00000000
        PA
        USD
        70309.85000000
        0.014027304528
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CU9
        
          
        
        150000.00000000
        PA
        USD
        157494.00000000
        0.031421149375
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVH46
        
          
        
        18004.29000000
        PA
        USD
        19400.30000000
        0.003870494902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        5612.67000000
        0.001119766736
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            622806.14000000
            NZD
            440498.33000000
            USD
            2021-06-16
            5612.67000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EQP5
        
          
        
        1575873.04000000
        PA
        USD
        217368.68000000
        0.043366564845
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY51
        
          
        
        1183.86000000
        PA
        USD
        1224.91000000
        0.000244378072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAE2
        
          
        
        50000.00000000
        PA
        USD
        50256.50000000
        0.010026521604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378UYD3
        
          
        
        231072.15000000
        PA
        USD
        44887.71000000
        0.008955410625
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-06-20
          Floating
          6.03900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YRQ0
        
          
        
        256085.87000000
        PA
        USD
        41350.39000000
        0.008249690660
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Floating
          6.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UDR INC
        P3CH2EG5X6Z1XWU1OO74
        UDR Inc
        90265EAT7
        
          
        
        150000.00000000
        PA
        USD
        139699.50000000
        0.027871022751
        Long
        DBT
        
        US
        N
        
        2
        
          2032-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418QAH6
        
          
        
        86020.01000000
        PA
        USD
        96046.66000000
        0.019161977287
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AL5
        
          
        
        3000.00000000
        PA
        USD
        2992.50000000
        0.000597024581
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WPX ENERGY INC
        ZXZE9GCS2BB547GJW219
        WPX Energy Inc
        98212BAM5
        
          
        
        221000.00000000
        PA
        USD
        243652.50000000
        0.048610369907
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GROUP 1 AUTOMOTIVE INC
        549300US8QAZJLWYAF63
        Group 1 Automotive Inc
        398905AN9
        
          
        
        115000.00000000
        PA
        USD
        114137.50000000
        0.022771225804
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200KFF9
        
          
        
        7628.94000000
        PA
        USD
        8252.58000000
        0.001646447159
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bacardi Ltd
        549300R32WTQNHNN5055
        Bacardi Ltd
        067316AH2
        
          
        
        600000.00000000
        PA
        USD
        737178.00000000
        0.147072142775
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2048-05-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP Inc
        WHKXQACZ14C5XRO8LW03
        HP Inc
        428236BR3
        
          
        
        30000.00000000
        PA
        USD
        37781.10000000
        0.007537592458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-09-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3544.77000000
        0.000707206291
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            189953.57000000
            USD
            2885793.63000000
            ZAR
            2021-06-17
            3544.77000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03276A SWAPTION US0003M AUG21 1.006 PUT
        000000000
        
          
        
        -18970000.00000000
        NC
        USD
        -255778.20000000
        -0.05102953146
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    18970000.00000000
                    OU
                    Notional Amount
                    N/A
                    -255778.20000000
                    -0.05000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-08-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  18970000.00000000
                  USD
                
              
            
            1.00000000
            1.00600000
            USD
            2021-08-10
            XXXX
            -217838.20000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X7AV1
        
          
        
        22283.90000000
        PA
        USD
        24189.32000000
        0.004825937731
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
        
        523722.80000000
        PA
        
        722831.24000000
        0.144209864282
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.90200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YG9
        
          
        
        60000.00000000
        PA
        USD
        61795.31000000
        0.012328594525
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-09-30
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200AGF0
        
          
        
        10436.86000000
        PA
        USD
        11487.75000000
        0.002291886095
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1468.11000000
        -0.00029289816
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            357326.25000000
            USD
            1303526160.00000000
            COP
            2021-04-27
            -1468.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6686.26000000
        -0.00133395541
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            436753.30000000
            USD
            405617.16000000
            CHF
            2021-06-16
            -6686.26000000
          
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833AZ3
        
          
        
        65000.00000000
        PA
        USD
        68807.05000000
        0.013727485466
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-09
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6074.93000000
        -0.00121199082
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            355424.39000000
            USD
            1966989.66000000
            BRL
            2021-04-05
            -6074.93000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -6638.12000000
        -0.00132435115
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5041284.46000000
            MXN
            237925.50000000
            USD
            2021-06-16
            -6638.12000000
          
        
        
          N
          N
          N
        
      
      
        MOLSON COORS BEVERAGE
        54930073LBBH6ZCBE225
        Molson Coors Beverage Co
        60871RAD2
        
          
        
        20000.00000000
        PA
        USD
        23098.40000000
        0.004608291596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348AW6
        
          
        
        500000.00000000
        PA
        USD
        545070.00000000
        0.108745259438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        8037.60000000
        0.001603557152
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            405727.29000000
            CHF
            438221.41000000
            USD
            2021-06-16
            8037.60000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAG6
        
          
        
        800000.00000000
        PA
        USD
        808312.00000000
        0.161263870966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        05565AHN6
        
          
        
        200000.00000000
        PA
        USD
        218098.00000000
        0.043512069262
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-03-25
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Reynolds American Inc
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713BG0
        
          
        
        65000.00000000
        PA
        USD
        72147.40000000
        0.014393908545
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-06-12
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LOGISTICS PARTNER
        5493006LL0CKP8WQW329
        Sunoco Logistics Partners Operations LP
        86765BAU3
        
          
        
        35000.00000000
        PA
        USD
        37617.65000000
        0.007504983045
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6P76
        
          
        
        10775.41000000
        PA
        USD
        11597.44000000
        0.002313770014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS03383A SWAPTION EUR006M JUN21 0.428 PUT
        000000000
        
          
        
        640000.00000000
        NC
        
        27426.62000000
        0.005471801617
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    640000.00000000
                    OU
                    Notional Amount
                    N/A
                    27426.62000000
                    0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-06-09
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  640000.00000000
                  EUR
                
              
            
            1.00000000
            0.42800000
            EUR
            2021-06-07
            XXXX
            2409.40000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -3702.33000000
        -0.00073864060
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            539630.75000000
            CAD
            425744.18000000
            USD
            2021-06-16
            -3702.33000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE II
        549300BHVD63HE2GHX17
        Huarong Finance II Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        219374.04000000
        0.043766648125
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2025-01-16
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BQ6
        
          
        
        1012000.00000000
        PA
        USD
        1107289.92000000
        0.220912047304
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BE6
        
          
        
        166000.00000000
        PA
        USD
        175545.00000000
        0.035022449535
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        194062.50000000
        0.038716819692
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2030-02-24
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIELSEN FINANCE LLC/CO
        N/A
        Nielsen Finance LLC / Nielsen Finance Co
        65409QBF8
        
          
        
        83000.00000000
        PA
        USD
        89951.25000000
        0.017945900559
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        38968.81000000
        0.007774548871
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2251000.00000000
            EUR
            2683050.19000000
            USD
            2021-06-16
            38968.81000000
          
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XCE3
        
          
        
        775000.00000000
        PA
        USD
        788965.50000000
        0.157404109537
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-25
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3951.59000000
        0.000788369713
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            186892.99000000
            USD
            699073229.09000000
            COP
            2021-04-27
            3951.59000000
          
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAD1
        
          
        
        800000.00000000
        PA
        USD
        903360.00000000
        0.180226608631
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRB HOLDING CORP
        549300HVW4WNWYBXN830
        IRB Holding Corp
        44988MAC9
        
          
        
        254000.00000000
        PA
        USD
        274320.00000000
        0.054728749645
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215782  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215782  IRS GBP P F   .25000 2 CCPOIS
        000000000
        
          
        
        13390000.00000000
        OU
        Notional Amount
        
        1042940.07000000
        0.208073804266
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-16
            649585.09000000
            GBP
            0.00000000
            GBP
            13390000.00000000
            GBP
            135883.36000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        348.80000000
        0.000069588028
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            182514.18000000
            USD
            1564119.15000000
            NOK
            2021-06-16
            348.80000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRXV8
        
          
        
        13796.25000000
        PA
        USD
        14848.74000000
        0.002962426997
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RC1
        95001FAC9
        
          
        
        150000.00000000
        PA
        USD
        134496.15000000
        0.026832918203
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FQJA2
        
          
        
        160155.55000000
        PA
        USD
        26169.42000000
        0.005220981465
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Floating
          5.89100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BBWT5
        
          
        
        884658.97000000
        PA
        USD
        164124.23000000
        0.032743926415
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MTQ7
        
          
        
        1151195.62000000
        PA
        USD
        191320.54000000
        0.038169779584
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          5.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAB6
        
          
        
        425000.00000000
        PA
        USD
        461367.25000000
        0.092045978127
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISOURCE INC
        549300D8GOWWH0SJB189
        NiSource Inc
        65473PAJ4
        
          
        
        100000.00000000
        PA
        USD
        108408.00000000
        0.021628150669
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215605  IRS AUD R F   .50000 2 CCPVANILLA / Short: SR215605  IRS AUD P V 03MBBSW 1 CCPVANILLA
        000000000
        
          
        
        74230000.00000000
        OU
        Notional Amount
        
        -53703.27000000
        -0.01071417621
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-25
            142340.20000000
            AUD
            0.00000000
            AUD
            74230000.00000000
            AUD
            -162847.31000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        1504.11000000
        0.000300080415
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            635475.36000000
            NZD
            445236.28000000
            USD
            2021-06-16
            1504.11000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAH3
        
          
        
        355000.00000000
        PA
        USD
        416297.85000000
        0.083054319082
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kilroy Realty LP
        5493008CT3N3JR7P1552
        Kilroy Realty LP
        49427RAN2
        
          
        
        500000.00000000
        PA
        USD
        565625.00000000
        0.112846125030
        Long
        DBT
        
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
        
        1900000.00000000
        PA
        USD
        2156253.00000000
        0.430187483994
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -6.48000000
        -0.00000129280
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            172096.11000000
            AUD
            130745.72000000
            USD
            2021-06-01
            -6.48000000
          
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Trust
        N/A
        Soundview Home Loan Trust 2007-NS1
        83612QAC2
        
          
        
        516733.05000000
        PA
        USD
        508893.95000000
        0.101527885628
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.30900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        American Campus Communities Operating Partnership LP
        024836AA6
        
          
        
        800000.00000000
        PA
        USD
        845600.00000000
        0.168703086542
        Long
        DBT
        
        US
        N
        
        2
        
          2023-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215537  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215537  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        130000.00000000
        OU
        Notional Amount
        
        6814.76000000
        0.001359592060
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2041-06-16
            3356.14000000
            EUR
            0.00000000
            EUR
            130000.00000000
            EUR
            2811.89000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -1948.56000000
        -0.00038875128
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3718483.18000000
            MXN
            178443.11000000
            USD
            2021-06-16
            -1948.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -3066.94000000
        -0.00061187588
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9213900.00000000
            MXN
            443919.29000000
            USD
            2021-06-16
            -3066.94000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WN5M7
        
          
        
        52362.96000000
        PA
        USD
        56423.07000000
        0.011256795247
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AZ7
        
          
        
        200000.00000000
        PA
        USD
        197990.00000000
        0.039500383283
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGG8
        
          
        
        5000.00000000
        PA
        USD
        5841.45000000
        0.001165409939
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-01-20
          Fixed
          4.44300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJ3P3
        
          
        
        847290.56000000
        PA
        USD
        913658.82000000
        0.182281294915
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EW52
        
          
        
        933086.17000000
        PA
        USD
        142957.29000000
        0.028520974534
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FWBW9
        
          
        
        1341001.05000000
        PA
        USD
        159451.86000000
        0.031811756074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8062.66000000
        0.001608556797
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            449060.52000000
            USD
            9422856.93000000
            MXN
            2021-06-16
            8062.66000000
          
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DE7
        
          
        
        195000.00000000
        PA
        USD
        205738.65000000
        0.041046292899
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
        
        250000.00000000
        PA
        USD
        253359.38000000
        0.050546960040
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1908.13000000
        -0.00038068521
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446696.78000000
            USD
            379050.00000000
            EUR
            2021-04-30
            -1908.13000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        8346.25000000
        0.001665134976
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            403701.37000000
            CHF
            436382.02000000
            USD
            2021-06-16
            8346.25000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -602.58000000
        -0.00012021890
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2599139630.40000000
            IDR
            177536.86000000
            USD
            2021-04-12
            -602.58000000
          
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAH8
        
          
        
        275000.00000000
        PA
        USD
        281006.00000000
        0.056062653189
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2029-11-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03350A SWAPTION US0003M JUN21 0.98 PUT
        000000000
        
          
        
        -4190000.00000000
        NC
        USD
        -39330.27000000
        -0.00784666265
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    4190000.00000000
                    OU
                    Notional Amount
                    N/A
                    -39330.27000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-06-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4190000.00000000
                  USD
                
              
            
            1.00000000
            0.98000000
            USD
            2021-06-01
            XXXX
            -16285.27000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215524  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215524  IRS USD P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        8260000.00000000
        OU
        Notional Amount
        USD
        82880.84000000
        0.016535304544
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-16
            62979.50000000
            USD
            0.00000000
            USD
            8260000.00000000
            USD
            19901.34000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAJ9
        
          
        
        1625000.00000000
        PA
        USD
        1931263.75000000
        0.385300562384
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        11854.53000000
        0.002365061258
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            426110.50000000
            EUR
            511647.50000000
            USD
            2021-04-09
            11854.53000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        15499.97000000
        0.003092351916
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            14739108.25000000
            NOK
            1738666.22000000
            USD
            2021-06-16
            15499.97000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03436A SWAPTION US0003M JUN21 1.1 PUT
        000000000
        
          
        
        -4110000.00000000
        NC
        USD
        -32312.82000000
        -0.00644663253
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    4110000.00000000
                    OU
                    Notional Amount
                    N/A
                    -32312.82000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-06-29
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4110000.00000000
                  USD
                
              
            
            1.00000000
            1.10000000
            USD
            2021-06-25
            XXXX
            -13509.57000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        Credit Suisse First Boston Mortgage Securities Corp
        22540A7A0
        
          
        
        779.04000000
        PA
        USD
        750.13000000
        0.000149656156
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-01-25
          Floating
          0.72900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7400.18000000
        0.001476387425
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            357048.09000000
            USD
            7512513.18000000
            MXN
            2021-06-16
            7400.18000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030658
        
          
        
        13000000.00000000
        PA
        USD
        13541314.80000000
        2.701586568825
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-05-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applied Materials Inc
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222AM7
        
          
        
        15000.00000000
        PA
        USD
        17945.40000000
        0.003580232224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-04-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -33546.64000000
        -0.00669278821
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2355166.48000000
            USD
            3055717.14000000
            AUD
            2021-06-01
            -33546.64000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3009.17000000
        0.000600350362
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            74432960.00000000
            JPY
            575274.76000000
            EUR
            2021-06-16
            3009.17000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7LA2
        
          
        
        453.43000000
        PA
        USD
        514.31000000
        0.000102608425
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOOKING HOLDINGS INC
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        09857LAP3
        
          
        
        205000.00000000
        PA
        USD
        228780.00000000
        0.045643202624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-13
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -138.08000000
        -0.00002754792
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3664705.62000000
            AUD
            2784168.48000000
            USD
            2021-06-01
            -138.08000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132DVLL7
        
          
        
        3845246.89000000
        PA
        USD
        4064691.67000000
        0.810934284024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHX0
        
          
        
        525000.00000000
        PA
        USD
        539742.00000000
        0.107682286348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-22
          Fixed
          2.88400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        903724BY7
        
          
        
        430000.00000000
        PA
        USD
        427581.25000000
        0.085305435930
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2033-03-15
          Fixed
          7.25300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAB0
        
          
        
        83072.09000000
        PA
        USD
        85540.54000000
        0.017065933210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-25
          Floating
          5.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        10001.42000000
        0.001995352913
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            410638.65000000
            CHF
            445392.64000000
            USD
            2021-06-16
            10001.42000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
        
        300000.00000000
        PA
        USD
        317556.00000000
        0.063354632627
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH TELECOMMUNICATIO
        549300OWFMSO9NYV4H90
        British Telecommunications PLC
        111021AE1
        
          
        
        25000.00000000
        PA
        USD
        38649.75000000
        0.007710894180
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-12-15
          Fixed
          9.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297KFM9
        
          
        
        88879.35000000
        PA
        USD
        101461.29000000
        0.020242233665
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAN3
        
          
        
        175000.00000000
        PA
        USD
        256471.25000000
        0.051167799768
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          8.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominion Energy Inc
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDG1
        
          
        
        225000.00000000
        PA
        USD
        239690.25000000
        0.047819873449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Duke Energy Corp
        I1BZKREC126H0VB1BL91
        Duke Energy Corp
        26441CAN5
        
          
        
        65000.00000000
        PA
        USD
        70092.10000000
        0.013983861887
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215682  IRS AUD R F   .75000 2 CCPVANILLA / Short: SR215682  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        8930000.00000000
        OU
        Notional Amount
        
        -330788.80000000
        -0.06599466834
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-06-16
            0.00000000
            AUD
            -390401.44000000
            AUD
            8930000.00000000
            AUD
            -27720.21000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMKE0
        
          
        
        12833.52000000
        PA
        USD
        13812.56000000
        0.002755701874
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDC3
        
          
        
        400000.00000000
        PA
        USD
        439392.00000000
        0.087661762774
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Reynolds American Inc
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713AY2
        
          
        
        700000.00000000
        PA
        USD
        769580.00000000
        0.153536567338
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-09-15
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -9865.79000000
        -0.00196829378
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3299623476.00000000
            KRW
            2916201.33000000
            USD
            2021-06-15
            -9865.79000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -21399.55000000
        -0.00426935919
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7788259.28000000
            MXN
            356425.76000000
            USD
            2021-06-16
            -21399.55000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QWF4
        
          
        
        75572.44000000
        PA
        USD
        83198.98000000
        0.016598775689
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAG4
        
          
        
        400000.00000000
        PA
        USD
        387716.00000000
        0.077352041038
        Long
        DBT
        
        US
        N
        
        2
        
          2032-12-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        91159HHR4
        
          
        
        60000.00000000
        PA
        USD
        64964.40000000
        0.012960850041
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-27
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CF5
        
          
        
        950000.00000000
        PA
        USD
        1022361.50000000
        0.203968236295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-12
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB Group PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        00135TAA2
        
          
        
        1300000.00000000
        PA
        USD
        1420562.00000000
        0.283412008070
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-10-12
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
        
        550000.00000000
        PA
        USD
        590353.50000000
        0.117779632924
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1863.10000000
        -0.00037170141
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            758111.18000000
            CHF
            682724.72000000
            EUR
            2021-06-16
            -1863.10000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KA8
        
          
        
        1125000.00000000
        PA
        USD
        1265287.50000000
        0.252433664395
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-29
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWCREST FINANCE PTY LTD
        549300I0XDZ4K7PDSS04
        Newcrest Finance Pty Ltd
        65120FAD6
        
          
        
        150000.00000000
        PA
        USD
        157305.00000000
        0.031383442559
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-05-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Target Corp
        8WDDFXB5T1Z6J0XC1L66
        Target Corp
        87612EBD7
        
          
        
        65000.00000000
        PA
        USD
        71097.00000000
        0.014184346433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cathedral Lake LTD
        N/A
        Cathedral Lake VII Ltd
        14919HAG8
        
          
        
        1000000.00000000
        PA
        USD
        979096.00000000
        0.195336467858
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          2.76200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -7010.49000000
        -0.00139864155
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8928703.59000000
            MXN
            426140.25000000
            USD
            2021-06-16
            -7010.49000000
          
        
        
          N
          N
          N
        
      
      
        NETAPP INC
        QTX3D84DZDD5JYOCYH15
        NetApp Inc
        64110DAJ3
        
          
        
        35000.00000000
        PA
        USD
        35705.60000000
        0.007123515760
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-22
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIS NORTH AMERICA INC
        5493004KVU1HWZCP0C66
        Willis North America Inc
        970648AJ0
        
          
        
        205000.00000000
        PA
        USD
        212771.55000000
        0.042449405408
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        2996.96000000
        0.000597914382
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            417748.59000000
            CHF
            445926.70000000
            USD
            2021-06-16
            2996.96000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3888.13000000
        0.000775709001
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            716433.10000000
            USD
            522421.45000000
            GBP
            2021-05-20
            3888.13000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABC8
        
          
        
        1050000.00000000
        PA
        USD
        1146978.00000000
        0.228830095548
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -42403.62000000
        -0.00845981737
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2387302.74000000
            USD
            259449675.00000000
            JPY
            2021-06-16
            -42403.62000000
          
        
        
          N
          N
          N
        
      
      
        GFL ENVIRONMENTAL INC
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        36168QAK0
        
          
        
        150000.00000000
        PA
        USD
        152250.00000000
        0.030374934869
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-08-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AG3
        
          
        
        525000.00000000
        PA
        USD
        579642.00000000
        0.115642614107
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAB8
        
          
        
        225000.00000000
        PA
        USD
        236929.50000000
        0.047269084606
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q92W2
        
          
        
        1716400.54000000
        PA
        USD
        1861152.32000000
        0.371312844026
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        7386.74000000
        0.001473706051
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            369391.74000000
            CHF
            399044.76000000
            USD
            2021-06-16
            7386.74000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -1096.45000000
        -0.00021874940
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            385753.91000000
            CAD
            305883.94000000
            USD
            2021-06-01
            -1096.45000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AU8
        
          
        
        375000.00000000
        PA
        USD
        397571.25000000
        0.079318232019
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12522.43000000
        -0.00249831195
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            735100.60000000
            USD
            2646839983.05000000
            COP
            2021-04-27
            -12522.43000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023BS3
        
          
        
        25000.00000000
        PA
        USD
        22557.75000000
        0.004500428158
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-06-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BX003037  CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX003037  CDS EUR P F  1.00000 2 CCPCDX
        000000000
        
          
        
        7875000.00000000
        OU
        Notional Amount
        
        -231462.66000000
        -0.04617841196
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S35.V1
                2I666VCY9
              
            
            Y
            buy protection
            
            2026-06-20
            0.00000000
            EUR
            -187223.48000000
            EUR
            7875000.00000000
            EUR
            -10282.90000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03349A SWAPTION EUR006M JUN21 0.39 PUT
        000000000
        
          
        
        650000.00000000
        NC
        
        32265.57000000
        0.006437205827
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    650000.00000000
                    OU
                    Notional Amount
                    N/A
                    32265.57000000
                    0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-06-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  650000.00000000
                  EUR
                
              
            
            1.00000000
            0.39000000
            EUR
            2021-06-01
            XXXX
            8309.05000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03366A SWAPTION US0003M JUN21 0.963 PUT
        000000000
        
          
        
        -4080000.00000000
        NC
        USD
        -41993.81000000
        -0.00837805742
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    4080000.00000000
                    OU
                    Notional Amount
                    N/A
                    -41993.81000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-06-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4080000.00000000
                  USD
                
              
            
            1.00000000
            0.96300000
            USD
            2021-06-04
            XXXX
            -18329.81000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380Y2Z7
        
          
        
        653341.34000000
        PA
        USD
        114055.56000000
        0.022754878203
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          6.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJF7
        
          
        
        600000.00000000
        PA
        USD
        564438.00000000
        0.112609310266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-07-23
          Fixed
          1.89800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBS9
        
          
        
        15250000.00000000
        PA
        USD
        15090351.56000000
        3.010630185877
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-03-31
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALGREENS BOOTS ALLIANCE
        549300RPTUOIXG4LIH86
        Walgreens Boots Alliance Inc
        931427AT5
        
          
        
        275000.00000000
        PA
        USD
        279881.25000000
        0.055838257734
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FVA93
        
          
        
        1677132.30000000
        PA
        USD
        294253.20000000
        0.058705561808
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002967  CDS USD R F  1.00000 2 CCPCDX / Short: SX002967  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        7575000.00000000
        OU
        Notional Amount
        USD
        115155.15000000
        0.022974254063
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S34.V1
                2I65BYDW2
              
            
            Y
            
            sell protection
            2023-06-20
            71944.53000000
            USD
            0.00000000
            USD
            7575000.00000000
            USD
            43210.62000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FQHS5
        
          
        
        439849.86000000
        PA
        USD
        66637.52000000
        0.013294649129
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Floating
          5.89100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300IZGFDRVV7YTH38
        SLM Student Loan Trust 2007-7
        78444EAD1
        
          
        
        636406.91000000
        PA
        USD
        629762.44000000
        0.125641990795
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-01-25
          Floating
          0.54800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        7416.18000000
        0.001479579536
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            400255.72000000
            CHF
            431798.61000000
            USD
            2021-06-16
            7416.18000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN21 XCBT 20210621
        000000000
        
          
        
        224.00000000
        NC
        USD
        -1429179.74000000
        -0.28513130719
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Ultra Long Bond
                WNM1 Comdty
              
            
            2021-06-21
            42169179.74000000
            USD
            -1429179.74000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300EQOYJZL2D96G46
        SLM Student Loan Trust 2008-4
        78445AAD8
        
          
        
        412950.30000000
        PA
        USD
        418865.48000000
        0.083566579141
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-07-25
          Floating
          1.86800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005871  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005871  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        2430000.00000000
        OU
        Notional Amount
        USD
        37907.27000000
        0.007562764251
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            4828.13000000
            USD
            0.00000000
            USD
            2430000.00000000
            USD
            33079.14000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JH1
        
          
        
        125000.00000000
        PA
        USD
        112706.25000000
        0.022485681465
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBK5
        
          
        
        60000.00000000
        PA
        USD
        65728.80000000
        0.013113353163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-06
          Fixed
          3.54300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DAT6
        
          
        
        50000.00000000
        PA
        USD
        58749.00000000
        0.011720834474
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-09-20
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        4505.81000000
        0.000898940461
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            375146.09000000
            GBP
            521805.70000000
            USD
            2021-06-16
            4505.81000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BD2
        
          
        
        826000.00000000
        PA
        USD
        885802.40000000
        0.176723745206
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBF1
        
          
        
        300000.00000000
        PA
        USD
        295680.00000000
        0.058990218340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        4280000.00000000
        PA
        USD
        149800.00000000
        0.029886142814
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2022-10-28
          Fixed
          6.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -13107.09000000
        -0.00261495569
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5271339.56000000
            MXN
            242617.00000000
            USD
            2021-06-16
            -13107.09000000
          
        
        
          N
          N
          N
        
      
      
        TRUIST BANK
        JJKC32MCHWDI71265Z06
        Truist Bank
        89788KAA4
        
          
        
        350000.00000000
        PA
        USD
        341617.50000000
        0.068155069378
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-11
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2700.67000000
        0.000538802465
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            801846.39000000
            USD
            1011000.00000000
            CAD
            2021-06-01
            2700.67000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25833.93000000
        -0.00515404887
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1813689.94000000
            USD
            2353176.93000000
            AUD
            2021-06-01
            -25833.93000000
          
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAB9
        
          
        
        425000.00000000
        PA
        USD
        417260.75000000
        0.083246424335
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-09-02
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215132  IRS USD R V 03MLIBOR CCP / Short: BR215132  IRS USD P V 03MSOFR CCP +24.125BPS
        000000000
        
          
        
        24480000.00000000
        OU
        Notional Amount
        USD
        761.33000000
        0.000151890634
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-11-10
            23.22000000
            USD
            0.00000000
            USD
            24480000.00000000
            USD
            738.11000000
          
        
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851AV1
        
          
        
        35000.00000000
        PA
        USD
        37687.30000000
        0.007518878705
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -46380.35000000
        -0.00925320269
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            355265.85000000
            USD
            2687293.77000000
            TRY
            2021-06-16
            -46380.35000000
          
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BQ8
        
          
        
        1025000.00000000
        PA
        USD
        1087791.50000000
        0.217021976779
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300SRMXHPGI3BJ386
        SLM Student Loan Trust 2008-5
        78444YAD7
        
          
        
        694474.69000000
        PA
        USD
        699617.69000000
        0.139578599458
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-07-25
          Floating
          1.91800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBA3
        
          
        
        1000000.00000000
        PA
        USD
        1105550.00000000
        0.220564921152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-29
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        90015WAK9
        
          
        
        200000.00000000
        PA
        USD
        191000.00000000
        0.038105829623
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2026-01-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FY67
        
          
        
        7224.25000000
        PA
        USD
        7984.91000000
        0.001593045130
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDK4
        
          
        
        550000.00000000
        PA
        USD
        600275.50000000
        0.119759140995
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAJ1
        
          
        
        475000.00000000
        PA
        USD
        458161.25000000
        0.091406358809
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-01-20
          Fixed
          2.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXELON GENERATION CO LLC
        S2PEWKCZFFECR4533P43
        Exelon Generation Co LLC
        30161MAS2
        
          
        
        35000.00000000
        PA
        USD
        37386.65000000
        0.007458896937
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNK6
        
          
        
        493312.43000000
        PA
        USD
        63993.82000000
        0.012767212575
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215745  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215745  IRS BRL P F  5.80000 CCPNDFPREDISWAP
        000000000
        
          
        
        9300000.00000000
        OU
        Notional Amount
        
        9958.41000000
        0.001986772119
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-01-02
            53017.47000000
            BRL
            0.00000000
            BRL
            9300000.00000000
            BRL
            315.32000000
          
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDB2
        
          
        
        675000.00000000
        PA
        USD
        720258.75000000
        0.143696634619
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Variable
          3.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GN7
        
          
        
        725000.00000000
        PA
        USD
        792381.50000000
        0.158085625318
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JG3
        
          
        
        425000.00000000
        PA
        USD
        400826.00000000
        0.079967577301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687EH5
        
          
        
        45000.00000000
        PA
        USD
        65835.90000000
        0.013134720358
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          6.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEV56
        
          
        
        2366.73000000
        PA
        USD
        2725.24000000
        0.000543704351
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPALACHIAN POWER CO
        3SCHO1ABYYIG382BEI70
        Appalachian Power Co
        037735CY1
        
          
        
        30000.00000000
        PA
        USD
        30509.40000000
        0.006086837687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452151LF8
        
          
        
        530000.00000000
        PA
        USD
        596707.44000000
        0.119047288186
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2334.34000000
        0.000465717080
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            190333.62000000
            USD
            2873409.56000000
            ZAR
            2021-06-17
            2334.34000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416A6T2
        
          
        
        7346.46000000
        PA
        USD
        8236.45000000
        0.001643229112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        CTBNPUSTW2021042802880 CALL USD TWD 28.80 APR21
        000000000
        
          
        
        -1778000.00000000
        OU
        Notional Amount
        USD
        -2780.79000000
        -0.00055478696
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            Call
            Written
            
              
                
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -2780.79000000
                    0.00000000
                    DFE
                    
                    TW
                  
                  1778000.00000000
                  USD
                  51206400.00000000
                  TWD
                  2021-04-28
                
              
            
            1.00000000
            28.80000000
            USD
            2021-04-28
            XXXX
            1436.55000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCY3
        
          
        
        30000.00000000
        PA
        USD
        34952.70000000
        0.006973306968
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-03-15
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FP67
        
          
        
        4624.98000000
        PA
        USD
        5064.36000000
        0.001010375074
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2021-BNK32
        06542BBH9
        
          
        
        1000000.00000000
        PA
        USD
        1017577.65000000
        0.203013824918
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-04-15
          Fixed
          2.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        03523TBU1
        
          
        
        55000.00000000
        PA
        USD
        68694.45000000
        0.013705020983
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2039-01-23
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAJ9
        
          
        
        230000.00000000
        PA
        USD
        221878.13000000
        0.044266231512
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2051-02-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRF SA
        254900MTXR9LUVQFU480
        BRF SA
        000000000
        
          
        
        210000.00000000
        PA
        USD
        213995.25000000
        0.042693542077
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2030-01-24
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        1602405.58000000
        PA
        USD
        1749144.11000000
        0.348966426400
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933AN4
        
          
        
        4353.19000000
        PA
        USD
        4960.42000000
        0.000989638321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1330.95000000
        0.000265533790
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            419962.34000000
            USD
            529385.63000000
            CAD
            2021-06-16
            1330.95000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN21 XCBT 20210621
        000000000
        
          
        
        -108.00000000
        NC
        USD
        512237.09000000
        0.102194865331
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US 10 Year Ultra Bond
                UXYM1 Comdty
              
            
            2021-06-21
            -16050737.09000000
            USD
            512237.09000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAN3
        
          
        
        725000.00000000
        PA
        USD
        836309.25000000
        0.166849517240
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022642
        
          
        
        2000000.00000000
        PA
        USD
        2052109.20000000
        0.409410070910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        6045.90000000
        0.001206199137
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            565046.29000000
            GBP
            785204.71000000
            USD
            2021-06-16
            6045.90000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX002999  CDS USD R F  3.00000 2 CMBX / Short: CX002999  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        USD
        -110250.00000000
        -0.02199564249
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -190948.37000000
            USD
            700000.00000000
            USD
            80698.37000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703DBA8
        
          
        
        50000.00000000
        PA
        USD
        58465.50000000
        0.011664274250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGM5
        
          
        
        30000.00000000
        PA
        USD
        34007.70000000
        0.006784772890
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-24
          Fixed
          4.24400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -34367.18000000
        -0.00685649165
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            13592855.48000000
            TRY
            1528035.87000000
            USD
            2021-06-16
            -34367.18000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002829  CDS USD R F  1.00000 2I65BYDN2 / Short: SX002829  CDS USD P V 03MEVENT 2I65BYDN2
        000000000
        
          
        
        11100000.00000000
        OU
        Notional Amount
        USD
        98823.30000000
        0.019715936296
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S28.V1
                2I65BYDN2
              
            
            Y
            
            sell protection
            2022-06-20
            93569.74000000
            USD
            0.00000000
            USD
            11100000.00000000
            USD
            5253.56000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAR4
        
          
        
        100000.00000000
        PA
        USD
        152215.00000000
        0.030367952126
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-07-15
          Fixed
          8.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMAC Mortgage Corporation Loan Trust
        N/A
        GMACM Home Equity Loan Trust 2007-HE3
        36186MAC5
        
          
        
        16226.99000000
        PA
        USD
        16455.82000000
        0.003283050645
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEB4
        
          
        
        2811038.74000000
        PA
        USD
        3070213.42000000
        0.612528950209
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36202SBG2
        
          
        
        11578.28000000
        PA
        USD
        12799.51000000
        0.002553591347
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215709  IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR215709  IRS AUD P F  2.75000 2 CCPVANILLA
        000000000
        
          
        
        3750000.00000000
        OU
        Notional Amount
        
        54715.80000000
        0.010916182997
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2041-02-24
            17350.99000000
            AUD
            0.00000000
            AUD
            3750000.00000000
            AUD
            40903.18000000
          
        
        
          N
          N
          N
        
      
      
        HOST HOTELS & RESORTS LP
        FXB7X4WXVA8QPMNOGS12
        Host Hotels & Resorts LP
        44107TAY2
        
          
        
        55000.00000000
        PA
        USD
        54611.15000000
        0.010895304593
        Long
        DBT
        
        US
        N
        
        2
        
          2029-12-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        2981629.25000000
        PA
        USD
        3239478.16000000
        0.646298444155
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        25152R2Y8
        
          
        
        65000.00000000
        PA
        USD
        70632.90000000
        0.014091755252
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-01-13
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        3133936.34000000
        PA
        USD
        3419943.76000000
        0.682302587645
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RXE4
        
          
        
        454557.38000000
        PA
        USD
        498157.11000000
        0.099385811305
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215692  IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR215692  IRS JPY P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        288680000.00000000
        OU
        Notional Amount
        
        54242.90000000
        0.010821836155
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-06-16
            5253288.00000000
            JPY
            0.00000000
            JPY
            288680000.00000000
            JPY
            5800.94000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215749  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215749  IRS USD P F  1.59750 2 CCPVANILLA
        000000000
        
          
        
        8090000.00000000
        OU
        Notional Amount
        USD
        37349.10000000
        0.007451405451
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-03-11
            16439.87000000
            USD
            0.00000000
            USD
            8090000.00000000
            USD
            20909.23000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03428A V1 SWAPTIONEUR006M APR21 0.091 CALL
        000000000
        
          
        
        -3350000.00000000
        NC
        
        -19006.70000000
        -0.00379196896
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3350000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19006.70000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3350000.00000000
                  EUR
                
              
            
            1.00000000
            0.09100000
            EUR
            2021-04-19
            XXXX
            2345.27000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215575  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215575  IRS BRL P F  6.32000 CCPNDFPREDISWAP
        000000000
        
          
        
        9161005.00000000
        OU
        Notional Amount
        
        61571.05000000
        0.012283853094
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-01-02
            81443.28000000
            BRL
            0.00000000
            BRL
            9161005.00000000
            BRL
            96032.04000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGF0
        
          
        
        525000.00000000
        PA
        USD
        577683.75000000
        0.115251929600
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-20
          Fixed
          3.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        874060AX4
        
          
        
        680000.00000000
        PA
        USD
        654241.60000000
        0.130525753623
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-03-31
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        5312.11000000
        0.001059802924
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            285690.97000000
            NZD
            204801.00000000
            USD
            2021-06-16
            5312.11000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS03395A SWAPTION US0003M APR21 1.6375 CALL
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -1812.13000000
        -0.00036153254
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1812.13000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            1.63750000
            USD
            2021-04-06
            XXXX
            35609.87000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3884.95000000
        0.000775074569
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            190021.23000000
            USD
            2891876.09000000
            ZAR
            2021-06-17
            3884.95000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHM4
        
          
        
        750000.00000000
        PA
        USD
        845520.00000000
        0.168687125985
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-23
          Fixed
          4.27100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -765.67000000
        -0.00015275649
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179290.89000000
            USD
            2662487.65000000
            ZAR
            2021-06-17
            -765.67000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        9305.13000000
        0.001856438211
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            426551.84000000
            EUR
            510343.68000000
            USD
            2021-06-16
            9305.13000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02949A SWAPTION US0003M NOV22 1.06 CALL
        000000000
        
          
        
        -2000000.00000000
        NC
        USD
        -24782.20000000
        -0.00494422141
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    2000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -24782.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2000000.00000000
                  USD
                
              
            
            1.00000000
            1.06000000
            USD
            2022-11-14
            XXXX
            79102.17000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382ET64
        
          
        
        364568.74000000
        PA
        USD
        72663.62000000
        0.014496898029
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-07-20
          Floating
          6.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        8274.47000000
        0.001650814366
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            523631.08000000
            CHF
            408628.03000000
            GBP
            2021-06-16
            8274.47000000
          
        
        
          N
          N
          N
        
      
      
        GLENCORE FINANCE CANADA
        5493005TTO0UJ33KCK70
        Glencore Finance Canada Ltd
        98417EAT7
        
          
        
        650000.00000000
        PA
        USD
        684469.50000000
        0.136556430101
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-10-25
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFE9
        
          
        
        575000.00000000
        PA
        USD
        605866.00000000
        0.120874484662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-22
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -50919.16000000
        -0.01015872688
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1773744.55000000
            USD
            48990824.48000000
            TWD
            2021-04-08
            -50919.16000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBY6
        
          
        
        256000.00000000
        PA
        USD
        279180.80000000
        0.055698513083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR COMPANY
        20S05OYHG0MQM4VUIC57
        Ford Motor Co
        345370CW8
        
          
        
        27000.00000000
        PA
        USD
        32642.11000000
        0.006512328179
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-22
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TICP CLO Ltd
        N/A
        TICP CLO VIII Ltd
        87248WAA6
        
          
        
        2000000.00000000
        PA
        USD
        2000084.00000000
        0.399030681342
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-20
          Floating
          1.45400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        9145.67000000
        0.001824624831
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            710970570.00000000
            KRW
            639000.00000000
            USD
            2021-04-05
            9145.67000000
          
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        N/A
        Home Equity Asset Trust
        22541NAD1
        
          
        
        256.60000000
        PA
        USD
        221.17000000
        0.000044124954
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-25
          Floating
          0.70900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DK0
        
          
        
        375000.00000000
        PA
        USD
        421590.00000000
        0.084110139847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAQ7
        
          
        
        450000.00000000
        PA
        USD
        487723.50000000
        0.097304233478
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CK4
        
          
        
        475000.00000000
        PA
        USD
        470150.25000000
        0.093798247769
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BB2
        
          
        
        575000.00000000
        PA
        USD
        594406.25000000
        0.118588184762
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4411.85000000
        -0.00088019478
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            177896.03000000
            USD
            976791.52000000
            BRL
            2021-04-05
            -4411.85000000
          
        
        
          N
          N
          N
        
      
      
        Starbucks Corp
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244AQ2
        
          
        
        850000.00000000
        PA
        USD
        937983.50000000
        0.187134237908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128P7FQ1
        
          
        
        87704.71000000
        PA
        USD
        97420.52000000
        0.019436071921
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGA1
        
          
        
        1300000.00000000
        PA
        USD
        1397877.00000000
        0.278886192651
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-21
          Fixed
          3.24800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        8061.34000000
        0.001608293448
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            369366.66000000
            EUR
            441928.74000000
            USD
            2021-06-16
            8061.34000000
          
        
        
          N
          N
          N
        
      
      
        PROCTER & GAMBLE CO/THE
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        742718FG9
        
          
        
        45000.00000000
        PA
        USD
        48535.65000000
        0.009683200050
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-25
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDC5
        
          
        
        50000.00000000
        PA
        USD
        55002.00000000
        0.010973281889
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RAZ5
        
          
        
        600000.00000000
        PA
        USD
        614358.00000000
        0.122568697778
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        925524AX8
        
          
        
        10000.00000000
        PA
        USD
        13805.10000000
        0.002754213552
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-04-30
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SJ8
        
          
        
        3510000.00000000
        PA
        USD
        3398667.19000000
        0.678057763815
        Long
        DBT
        UST
        US
        N
        
        1
        
          2049-08-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        20000000.00000000
        PA
        USD
        19953002.00000000
        3.980762799411
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -4270.32000000
        -0.00085195856
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1805188.07000000
            CAD
            1432326.32000000
            USD
            2021-06-16
            -4270.32000000
          
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAL5
        
          
        
        175000.00000000
        PA
        USD
        183074.50000000
        0.036524637200
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SSM2
        
          
        
        18069.68000000
        PA
        USD
        20281.24000000
        0.004046248565
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9312.66000000
        -0.00185794049
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            409727.72000000
            USD
            11386333.34000000
            TWD
            2021-04-08
            -9312.66000000
          
        
        
          N
          N
          N
        
      
      
        ALLISON TRANSMISSION INC
        MWKQ3I0U1GXP2YDSZW75
        Allison Transmission Inc
        019736AG2
        
          
        
        696000.00000000
        PA
        USD
        673380.00000000
        0.134343997653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-30
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DC9
        
          
        
        634000.00000000
        PA
        USD
        704716.36000000
        0.140595819617
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Steele Creek CLO Ltd
        N/A
        Steele Creek CLO 2019-1 LTD
        85817BAJ8
        
          
        
        1350000.00000000
        PA
        USD
        1339606.35000000
        0.267260792332
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-15
          Floating
          4.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Oil Corp
        1FRVQX2CRLGC1XLP5727
        Marathon Oil Corp
        565849AE6
        
          
        
        40000.00000000
        PA
        USD
        49557.20000000
        0.009887006386
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-10-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005905  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005905  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        USD
        2438.69000000
        0.000486535631
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Qatar Government International Bond
                Qatar Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            1570.65000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            868.04000000
          
        
        
          N
          N
          N
        
      
      
        EAST OHIO GAS CO/THE
        BC95Y6MXLT75BGO7UM71
        East Ohio Gas Co/The
        27409LAA1
        
          
        
        150000.00000000
        PA
        USD
        149583.00000000
        0.029842849803
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291NPZ8
        
          
        
        19714.40000000
        PA
        USD
        22186.91000000
        0.004426442996
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAU0
        
          
        
        220000.00000000
        PA
        USD
        235622.20000000
        0.047008269155
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW US Capital LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EBJ3
        
          
        
        30000.00000000
        PA
        USD
        32836.80000000
        0.006551170189
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-04-18
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        1846.12000000
        0.000368313791
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            339934.78000000
            GBP
            470592.11000000
            USD
            2021-06-16
            1846.12000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03278A SWAPTION US0003M AUG21 0.878 PUT
        000000000
        
          
        
        -18970000.00000000
        NC
        USD
        -339972.75000000
        -0.06782693030
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    18970000.00000000
                    OU
                    Notional Amount
                    N/A
                    -339972.75000000
                    -0.07000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-08-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  18970000.00000000
                  USD
                
              
            
            1.00000000
            0.87800000
            USD
            2021-08-10
            XXXX
            -281165.75000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -9898.33000000
        -0.00197478574
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2868298.15000000
            ZAR
            182426.90000000
            USD
            2021-06-17
            -9898.33000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03151A SWAPTION EUR006M APR21 NEG0.04 CALL
        000000000
        
          
        
        -480000.00000000
        NC
        
        -0.06000000
        -0.00000001197
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    480000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.06000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  480000.00000000
                  EUR
                
              
            
            1.00000000
            -0.04000000
            EUR
            2021-04-06
            XXXX
            15991.57000000
          
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAA0
        
          
        
        375000.00000000
        PA
        USD
        393960.00000000
        0.078597762504
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TNR2
        
          
        
        2714524.67000000
        PA
        USD
        2890111.58000000
        0.576597379372
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297KC91
        
          
        
        39276.44000000
        PA
        USD
        44836.49000000
        0.008945191878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        145.00000000
        NC
        USD
        -1950.39000000
        -0.00038911638
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                2 Year US Treasury Note
                TUM1 Comdty
              
            
            2021-06-30
            32008434.91000000
            USD
            -1950.39000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -7224.32000000
        -0.00144130213
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2773771.74000000
            ZAR
            178762.72000000
            USD
            2021-06-17
            -7224.32000000
          
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BX6
        
          
        
        200000.00000000
        PA
        USD
        239012.00000000
        0.047684557853
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-06
          Fixed
          4.66900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2039.59000000
        -0.00040691240
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3824791.53000000
            NOK
            3884649.52000000
            SEK
            2021-06-16
            -2039.59000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJZ6
        
          
        
        450000.00000000
        PA
        USD
        444757.50000000
        0.088732217375
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AP3
        
          
        
        55000.00000000
        PA
        USD
        60451.60000000
        0.012060515026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -4046.75000000
        -0.00080735479
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            349838.53000000
            GBP
            407241.22000000
            EUR
            2021-06-16
            -4046.75000000
          
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK CORP
        MP3J6QPYPGN75NVW2S34
        Kimberly-Clark Corp
        494368CB7
        
          
        
        100000.00000000
        PA
        USD
        107756.00000000
        0.021498072130
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-26
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132ADWF1
        
          
        
        237872.33000000
        PA
        USD
        258286.27000000
        0.051529908893
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3163.74000000
        -0.00063118815
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            443819.38000000
            USD
            12525914.36000000
            TWD
            2021-04-12
            -3163.74000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        129.68000000
        0.000025872062
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            424440.21000000
            USD
            307898.26000000
            GBP
            2021-06-16
            129.68000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4890.21000000
        0.000975630937
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            244424.21000000
            USD
            5139214.55000000
            MXN
            2021-06-16
            4890.21000000
          
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CK6
        
          
        
        675000.00000000
        PA
        USD
        723235.50000000
        0.144290516966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLY FINANCIAL INC
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        02005NBL3
        
          
        
        275000.00000000
        PA
        USD
        279081.00000000
        0.055678602288
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR215672  IRS BRL R F  3.39000 CCPNDFPREDISWAP / Short: SR215672  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        12550000.00000000
        OU
        Notional Amount
        
        -15857.49000000
        -0.00316367964
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            0.00000000
            BRL
            0.00000000
            BRL
            12550000.00000000
            BRL
            -15857.49000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MUL4
        
          
        
        87129.27000000
        PA
        USD
        96865.82000000
        0.019325405409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCS8
        
          
        
        550000.00000000
        PA
        USD
        614471.00000000
        0.122591242065
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        43990.41000000
        0.008776393028
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1081608.00000000
            EUR
            1312628.65000000
            USD
            2021-04-09
            43990.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        399.38000000
        0.000079679090
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7752402.96000000
            SEK
            888705.81000000
            USD
            2021-06-16
            399.38000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215788  IRS CHF R V 06MLIBOR CCPVANILLA / Short: BR215788  IRS CHF P F   .00000 CCPVANILLA
        000000000
        
          
        
        2950000.00000000
        OU
        Notional Amount
        
        18035.21000000
        0.003598149944
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-06-16
            16232.32000000
            CHF
            0.00000000
            CHF
            2950000.00000000
            CHF
            504.20000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        34740.00000000
        PA
        USD
        20322.90000000
        0.004054560025
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2030-07-31
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        400000.00000000
        PA
        USD
        422125.00000000
        0.084216876072
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-10-31
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAG4
        
          
        
        400000.00000000
        PA
        USD
        380284.00000000
        0.075869305301
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-12-03
          Fixed
          2.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
        
        425000.00000000
        PA
        USD
        444205.75000000
        0.088622139409
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -3564.68000000
        -0.00071117847
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            25458895.78000000
            TWD
            891730.15000000
            USD
            2021-04-08
            -3564.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        2525371.98000000
        PA
        USD
        2868960.20000000
        0.572377531819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS03405A SWAPTION EUR006M APR21 0.039 PUT
        000000000
        
          
        
        -3350000.00000000
        NC
        
        -19392.48000000
        -0.00386893475
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3350000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19392.48000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-04-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3350000.00000000
                  EUR
                
              
            
            1.00000000
            0.03900000
            EUR
            2021-04-12
            XXXX
            142.13000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -20940.88000000
        -0.00417785133
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1470099.43000000
            USD
            1233719.93000000
            EUR
            2021-06-16
            -20940.88000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200NXX4
        
          
        
        138583.00000000
        PA
        USD
        156459.84000000
        0.031214827256
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -383.08000000
        -0.00007642712
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3985442.44000000
            ZAR
            266848.95000000
            USD
            2021-06-17
            -383.08000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CG2
        
          
        
        165000.00000000
        PA
        USD
        174390.15000000
        0.034792048920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        250000.00000000
        PA
        
        310582.27000000
        0.061963324945
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-07-18
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AN2A4
        
          
        
        599500.85000000
        PA
        USD
        127263.00000000
        0.025389854425
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-25
          Floating
          5.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAG8
        
          
        
        1150000.00000000
        PA
        USD
        1172011.00000000
        0.233824353312
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        64781.48000000
        0.012924356228
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5032943.44000000
            GBP
            7004266.86000000
            USD
            2021-05-20
            64781.48000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468U6
        
          
        
        750000.00000000
        PA
        USD
        700170.00000000
        0.139688789148
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-13
          Fixed
          1.79400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX003038  CDS EUR R F  5.00000 2 CCPCDX / Short: SX003038  CDS EUR P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        2400000.00000000
        OU
        Notional Amount
        
        334385.84000000
        0.066712302866
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S35.V1
                2I667KJN9
              
            
            Y
            
            sell protection
            2026-06-20
            260405.72000000
            EUR
            0.00000000
            EUR
            2400000.00000000
            EUR
            26750.96000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        2006297.94000000
        PA
        USD
        2187481.29000000
        0.436417745241
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03432A SWAPTION US0003M APR21 1.719 PUT
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -42924.17000000
        -0.00856367072
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -42924.17000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-04-26
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            1.71900000
            USD
            2021-04-22
            XXXX
            -8053.67000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        1999380.08000000
        PA
        USD
        2165502.05000000
        0.432032733855
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AH9
        
          
        
        800000.00000000
        PA
        USD
        830688.00000000
        0.165728038734
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NBCUniversal Media LLC
        VTBDOQJ6KOGQ6K786R46
        NBCUniversal Media LLC
        63946BAJ9
        
          
        
        458000.00000000
        PA
        USD
        542097.96000000
        0.108152316769
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        480000.00000000
        PA
        USD
        505650.00000000
        0.100880695021
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-29
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2C6
        
          
        
        315000.00000000
        PA
        USD
        340606.35000000
        0.067953337914
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        MET TRANSPRTN AUTH NY REVENUE
        59261AG76
        
          
        
        800000.00000000
        PA
        USD
        990953.84000000
        0.197702189485
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-11-15
          Fixed
          5.17500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8DN2
        
          
        
        1055212.53000000
        PA
        USD
        1159899.22000000
        0.231407968888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS03394A SWAPTION US0003M APR21 1.6375 PUT
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -49690.37000000
        -0.00991357472
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -49690.37000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            1.63750000
            USD
            2021-04-06
            XXXX
            -12268.37000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397UTT6
        
          
        
        71940.02000000
        PA
        USD
        72767.09000000
        0.014517541014
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-25
          Floating
          0.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        7458485.43000000
        NS
        USD
        7458485.43000000
        1.488019764629
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215683  IRS AUD R F  1.00000 2 CCPVANILLA / Short: SR215683  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        5760000.00000000
        OU
        Notional Amount
        
        -377102.95000000
        -0.07523466368
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-06-16
            0.00000000
            AUD
            -451094.58000000
            AUD
            5760000.00000000
            AUD
            -26918.30000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4516.19000000
        0.000901011343
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            424219.26000000
            USD
            538737.25000000
            CAD
            2021-06-16
            4516.19000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJX1
        
          
        
        2175000.00000000
        PA
        USD
        2217456.00000000
        0.442397908551
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        75551.33000000
        0.015073016276
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            302219960.00000000
            JPY
            2807007.13000000
            USD
            2021-06-16
            75551.33000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFH7
        
          
        
        425000.00000000
        PA
        USD
        468515.75000000
        0.093472153640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-26
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YJG0
        
          
        
        537791.20000000
        PA
        USD
        87164.44000000
        0.017389912564
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03440A SWAPTION US0003M APR21 1.715 PUT
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -49413.29000000
        -0.00985829533
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -49413.29000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  N/A
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            1.71500000
            USD
            2021-04-29
            XXXX
            -15109.79000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W3FS7
        
          
        
        34828.20000000
        PA
        USD
        37485.17000000
        0.007478552363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        17554.32000000
        PA
        USD
        19377.32000000
        0.003865910232
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Southern Power Co
        5LADC78JBG2BMZD5XF57
        Southern Power Co
        843646AU4
        
          
        
        60000.00000000
        PA
        USD
        67662.60000000
        0.013499159725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-12-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CYN8
        
          
        
        894333.40000000
        PA
        USD
        971153.96000000
        0.193751975590
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382B5X7
        
          
        
        405904.04000000
        PA
        USD
        71676.04000000
        0.014299868944
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR214655  IRS BRL R F  4.93000 2 CCPNDFPREDISWAP / Short: SR214655  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
        000000000
        
          
        
        1840000.00000000
        OU
        Notional Amount
        
        -11551.95000000
        -0.00230469444
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-02
            238.73000000
            BRL
            0.00000000
            BRL
            1840000.00000000
            BRL
            -10751.17000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS03446A SWAPTION EUR006M APR21 0.031 PUT
        000000000
        
          
        
        -3350000.00000000
        NC
        
        -30875.62000000
        -0.00615990112
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3350000.00000000
                    OU
                    Notional Amount
                    N/A
                    -30875.62000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-05-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3350000.00000000
                  EUR
                
              
            
            1.00000000
            0.03100000
            EUR
            2021-04-29
            XXXX
            -11342.45000000
          
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647AZ0
        
          
        
        50000.00000000
        PA
        USD
        51062.50000000
        0.010187324215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUST F/1401
        N/A
        Trust Fibra Uno
        898324AA6
        
          
        
        300000.00000000
        PA
        USD
        330187.50000000
        0.065874704810
        Long
        DBT
        
        MX
        N
        
        2
        
          2024-12-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAS9
        
          
        
        225000.00000000
        PA
        USD
        257544.00000000
        0.051381820861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1169.48000000
        -0.00023331940
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            197412.45000000
            USD
            718847824.81000000
            COP
            2021-04-27
            -1169.48000000
          
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAP9
        
          
        
        1125000.00000000
        PA
        USD
        1164228.75000000
        0.232271740262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215741  IRS CAD R F   .75000 2 CCPVANILLA / Short: SR215741  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        166350000.00000000
        OU
        Notional Amount
        
        36097.44000000
        0.007201690567
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-03-01
            0.00000000
            CAD
            -58024.28000000
            CAD
            166350000.00000000
            CAD
            82046.66000000
          
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JAY4
        
          
        
        30000.00000000
        PA
        USD
        37270.50000000
        0.007435724204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379LKS4
        
          
        
        992979.64000000
        PA
        USD
        159102.05000000
        0.031741966544
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-04-20
          Floating
          5.48900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBE0
        
          
        
        200000.00000000
        PA
        USD
        232000.00000000
        0.046285615039
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2050-04-16
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2017-2
        59980AAQ0
        
          
        
        268362.13000000
        PA
        USD
        278043.51000000
        0.055471615811
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          2.94700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -5445.36000000
        -0.00108638722
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9274584.90000000
            MXN
            444484.83000000
            USD
            2021-06-16
            -5445.36000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        Southern Co/The
        842587CV7
        
          
        
        1050000.00000000
        PA
        USD
        1124235.00000000
        0.224292708726
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005852  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005852  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        USD
        3664.30000000
        0.000731053358
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Boeing Co/The
                Boeing Co/The
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            6988.90000000
            USD
            0.00000000
            USD
            500000.00000000
            USD
            -3324.60000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2055.63000000
        -0.00041011249
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            427745.27000000
            USD
            609636.38000000
            NZD
            2021-06-16
            -2055.63000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        6908.64000000
        0.001378321773
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            369842.66000000
            CHF
            399044.76000000
            USD
            2021-06-16
            6908.64000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2554.65000000
        0.000509670458
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            447243.07000000
            USD
            9271854.23000000
            MXN
            2021-06-16
            2554.65000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382J3Q7
        
          
        
        983194.66000000
        PA
        USD
        132745.14000000
        0.026483579519
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BN6
        
          
        
        275000.00000000
        PA
        USD
        398208.25000000
        0.079445317953
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AD9
        
          
        
        450000.00000000
        PA
        USD
        480541.50000000
        0.095871374481
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-05-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBP9
        
          
        
        30000.00000000
        PA
        USD
        31179.30000000
        0.006220487400
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        20708.30000000
        0.004131450008
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1990164.83000000
            AUD
            1532840.87000000
            USD
            2021-06-16
            20708.30000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12332.98000000
        -0.00246051536
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2317550.95000000
            USD
            15221822.95000000
            CNY
            2021-06-16
            -12332.98000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGC7
        
          
        
        925000.00000000
        PA
        USD
        1028960.75000000
        0.205284832610
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-25
          Fixed
          4.18300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABH7
        
          
        
        1175000.00000000
        PA
        USD
        1152557.50000000
        0.229943244639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AH6P0
        
          
        
        285884.93000000
        PA
        USD
        56036.33000000
        0.011179637925
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-25
          Floating
          6.49100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MN5G1
        
          
        
        23826.19000000
        PA
        USD
        25643.84000000
        0.005116124596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Securities (Europe) Limited
        DL6FFRRLF74S01HE2M14
        Long: SR214327  IRS BRL R F  4.12000 CCPNDFPREDISWAP / Short: SR214327  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        6500000.00000000
        OU
        Notional Amount
        
        16135.81000000
        0.003219206422
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Credit Suisse Securities (Europe) Limited
              DL6FFRRLF74S01HE2M14
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-01-03
            118432.21000000
            BRL
            0.00000000
            BRL
            6500000.00000000
            BRL
            -5771.33000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GQ0
        
          
        
        450000.00000000
        PA
        USD
        501403.50000000
        0.100033488709
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AF8
        
          
        
        969000.00000000
        PA
        USD
        1028351.25000000
        0.205163233117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAE9
        
          
        
        800000.00000000
        PA
        USD
        836856.00000000
        0.166958597671
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-05-28
          Fixed
          2.74600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pfizer Inc
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081ET6
        
          
        
        750000.00000000
        PA
        USD
        823140.00000000
        0.164222160189
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DQ2
        
          
        
        20000.00000000
        PA
        USD
        16481.25000000
        0.003288124107
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2060-12-01
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063A5G5
        
          
        
        210000.00000000
        PA
        USD
        339244.33000000
        0.067681605443
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-04-01
          Fixed
          7.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1382.63000000
        -0.00027584431
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            178558.76000000
            USD
            2585084447.90000000
            IDR
            2021-04-12
            -1382.63000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USU7
        
          
        
        1268276.89000000
        PA
        USD
        1359408.16000000
        0.271211391275
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2697.28000000
        0.000538126136
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            436075.87000000
            USD
            551350.35000000
            CAD
            2021-06-16
            2697.28000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R01
        20754CAB5
        
          
        
        50000.00000000
        PA
        USD
        49892.64000000
        0.009953929001
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.15900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468G7
        
          
        
        200000.00000000
        PA
        USD
        229012.00000000
        0.045689488239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-23
          Fixed
          4.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WXWH6
        
          
        
        14543.44000000
        PA
        USD
        15671.11000000
        0.003126495537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAX9
        
          
        
        325000.00000000
        PA
        USD
        361387.00000000
        0.072099222251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BA1
        
          
        
        25000.00000000
        PA
        USD
        32769.75000000
        0.006537793247
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-23
          Fixed
          6.48400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CE7
        
          
        
        450000.00000000
        PA
        USD
        450868.50000000
        0.089951404416
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A3B75
        
          
        
        334865.86000000
        PA
        USD
        60168.03000000
        0.012003940837
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Floating
          5.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBC4
        
          
        
        1200000.00000000
        PA
        USD
        1352952.00000000
        0.269923342411
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382LNX5
        
          
        
        1280413.89000000
        PA
        USD
        133039.61000000
        0.026542328334
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XBD1
        
          
        
        740000.00000000
        PA
        USD
        777188.03000000
        0.155054422285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          6.10900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9CT8
        
          
        
        521331.39000000
        PA
        USD
        572563.46000000
        0.114230396101
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAN1
        
          
        
        65000.00000000
        PA
        USD
        67039.70000000
        0.013374886838
        Long
        DBT
        
        US
        N
        
        2
        
          2029-11-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BV0
        
          
        
        40000.00000000
        PA
        USD
        49781.20000000
        0.009931695945
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XAZ9
        
          
        
        300000.00000000
        PA
        USD
        329922.00000000
        0.065821735712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAN0
        
          
        
        624000.00000000
        PA
        USD
        549705.00000000
        0.109669974204
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2061-05-24
          Fixed
          3.77100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAG2
        
          
        
        375000.00000000
        PA
        USD
        380377.50000000
        0.075887959201
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBK0
        
          
        
        25000.00000000
        PA
        USD
        25829.00000000
        0.005153065305
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2049-09-06
          Fixed
          4.75800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBP5
        
          
        
        14980000.00000000
        PA
        USD
        14717850.00000000
        2.936313531533
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-02-29
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214650  IRS PLN R F   .75000 2 CCPVANILLA / Short: SR214650  IRS PLN P V 06MWIBOR 1 CCPVANILLA
        000000000
        
          
        
        3690000.00000000
        OU
        Notional Amount
        
        -21126.91000000
        -0.00421496561
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            0.00000000
            PLN
            -2731.82000000
            PLN
            3690000.00000000
            PLN
            -20392.04000000
          
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAE7
        
          
        
        400000.00000000
        PA
        USD
        437628.00000000
        0.087309832494
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-18
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAD6
        
          
        
        310000.00000000
        PA
        USD
        305443.00000000
        0.060938004804
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        6756.08000000
        0.001347884991
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            359814.19000000
            CHF
            388259.23000000
            USD
            2021-06-16
            6756.08000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR214976  IRS BRL R F  4.23000 2 CCPNDFPREDISWAP / Short: SR214976  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
        000000000
        
          
        
        4200000.00000000
        OU
        Notional Amount
        
        -16715.96000000
        -0.00333495038
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-01-02
            0.00000000
            BRL
            -28699.65000000
            BRL
            4200000.00000000
            BRL
            20822.95000000
          
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CG5
        
          
        
        250000.00000000
        PA
        USD
        291760.00000000
        0.058208151051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          4.49700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DR3
        
          
        
        230000.00000000
        PA
        USD
        224753.13000000
        0.044839814026
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2030-01-30
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        9277.71000000
        0.001850967730
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            406199.24000000
            CHF
            439961.92000000
            USD
            2021-06-16
            9277.71000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215189  IRS PLN R F   .34500 2 CCPVANILLA / Short: SR215189  IRS PLN P V 06MWIBOR 1 CCPVANILLA
        000000000
        
          
        
        1750000.00000000
        OU
        Notional Amount
        
        -2350.34000000
        -0.00046890919
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-06-16
            9.19000000
            PLN
            0.00000000
            PLN
            1750000.00000000
            PLN
            -431.55000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123DA5
        
          
        
        200000.00000000
        PA
        USD
        181000.00000000
        0.036110760009
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2031-01-15
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BAC36
        
          
        
        624583.93000000
        PA
        USD
        127838.53000000
        0.025504676667
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Floating
          5.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-ELEVEN INC
        549300K23JPL0SS3LB18
        7-Eleven Inc
        817826AD2
        
          
        
        700000.00000000
        PA
        USD
        669655.00000000
        0.133600834222
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-10
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215612  IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR215612  IRS GBP P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        14250000.00000000
        OU
        Notional Amount
        
        871734.81000000
        0.173917163071
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-01-26
            304545.63000000
            GBP
            0.00000000
            GBP
            14250000.00000000
            GBP
            451645.06000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BZG2
        
          
        
        164333.83000000
        PA
        USD
        26329.68000000
        0.005252954450
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312946ZH2
        
          
        
        747.99000000
        PA
        USD
        861.35000000
        0.000171845321
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        258768.22000000
        PA
        USD
        282141.17000000
        0.056289127506
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        000000000
        
          
        
        350000.00000000
        PA
        
        502282.07000000
        0.100208769540
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-01-11
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10635.57000000
        -0.00212187025
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            455253.02000000
            USD
            12643286.87000000
            TWD
            2021-04-08
            -10635.57000000
          
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 Ltd
        549300BTYXZYFTGVBO58
        Zais Clo 15 Ltd
        98888DAA0
        
          
        
        1275000.00000000
        PA
        USD
        1281093.23000000
        0.255587017560
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-28
          Floating
          2.77400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2D4
        
          
        
        75000.00000000
        PA
        USD
        84489.00000000
        0.016856143659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-24
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BD4
        
          
        
        75000.00000000
        PA
        USD
        77594.25000000
        0.015480593037
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-09
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSX Corp
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408HH9
        
          
        
        65000.00000000
        PA
        USD
        70569.85000000
        0.014079176338
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215820  IRS CAD R F  1.00000 2 CCPVANILLA / Short: SR215820  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        3870000.00000000
        OU
        Notional Amount
        
        -79597.83000000
        -0.01588032119
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            0.00000000
            CAD
            -81999.61000000
            CAD
            3870000.00000000
            CAD
            -14108.98000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468J1
        
          
        
        800000.00000000
        PA
        USD
        843736.00000000
        0.168331205566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-22
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA FINANCE PLC
        2138001LVYC87DDHT482
        Virgin Media Finance PLC
        92769VAJ8
        
          
        
        950000.00000000
        PA
        USD
        942875.00000000
        0.188110126210
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZIMMER BIOMET HOLDINGS
        2P2YLDVPES3BXQ1FRB91
        Zimmer Biomet Holdings Inc
        98956PAT9
        
          
        
        800000.00000000
        PA
        USD
        856336.00000000
        0.170844993279
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-20
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tower Bridge Funding
        21380047RBYCB9KTR712
        Tower Bridge Funding NO 2 PLC
        000000000
        
          
        
        663879.70000000
        PA
        
        915595.60000000
        0.182667696008
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-03-20
          Floating
          0.98400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Money Management Corporation
        549300D0GYBG49KJD582
        AMMC CLO 15 Ltd
        00175MBK5
        
          
        
        750000.00000000
        PA
        USD
        746703.75000000
        0.148972596212
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          3.64100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR215830  IRS MXN R F  5.55000 2 CCPVANILLA / Short: SR215830  IRS MXN P V 01MTIIE 1 CCPVANILLA
        000000000
        
          
        
        3790000.00000000
        OU
        Notional Amount
        
        -5231.27000000
        -0.00104367478
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-10
            36.00000000
            MXN
            0.00000000
            MXN
            3790000.00000000
            MXN
            -5233.01000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -83418.44000000
        -0.01664255948
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            968467.20000000
            USD
            7699895.31000000
            TRY
            2021-06-16
            -83418.44000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMF6
        
          
        
        694000.00000000
        PA
        USD
        658737.86000000
        0.131422788793
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005911  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005911  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1125000.00000000
        OU
        Notional Amount
        USD
        17470.58000000
        0.003485502329
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                General Electric Co
                General Electric Co
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -12380.74000000
            USD
            1125000.00000000
            USD
            29851.32000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AM3
        
          
        
        225000.00000000
        PA
        USD
        243337.50000000
        0.048547525214
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        17010.12000000
        0.003393637353
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            981413.31000000
            USD
            719081530.00000000
            CLP
            2021-05-17
            17010.12000000
          
        
        
          N
          N
          N
        
      
      
        Phillips 66 Partners LP
        549300TL5L4IG0H4FX64
        Phillips 66 Partners LP
        718549AF5
        
          
        
        30000.00000000
        PA
        USD
        32146.50000000
        0.006413450533
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAF6
        
          
        
        425000.00000000
        PA
        USD
        458124.50000000
        0.091399026928
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2618.87000000
        0.000522482795
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179578.51000000
            USD
            3755704.96000000
            MXN
            2021-06-16
            2618.87000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        N/A
        Morgan Stanley Mortgage Loan Trust 2007-7AX
        61754HAA0
        
          
        
        2725950.69000000
        PA
        USD
        976305.78000000
        0.194779799544
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        7312.33000000
        0.001458860738
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            37756955.72000000
            TWD
            1335583.86000000
            USD
            2021-04-12
            7312.33000000
          
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO II, Ltd.
        549300RT6H1EOIYTDV62
        Halseypoint Clo 2 Ltd
        40638TAA0
        
          
        
        2350000.00000000
        PA
        USD
        2362990.80000000
        0.471433114274
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          2.08400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        5421.33000000
        0.001081593074
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            874339890.27000000
            COP
            244113.10000000
            USD
            2021-04-27
            5421.33000000
          
        
        
          N
          N
          N
        
      
      
        ADOBE INC
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724PAD1
        
          
        
        600000.00000000
        PA
        USD
        607980.00000000
        0.121296242379
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2710.85000000
        0.000540833446
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            834408.11000000
            CHF
            755488.29000000
            EUR
            2021-06-16
            2710.85000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005468  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005468  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        310000.00000000
        OU
        Notional Amount
        USD
        -653.17000000
        -0.00013031196
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            127.52000000
            USD
            0.00000000
            USD
            310000.00000000
            USD
            -780.69000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380ABR7
        
          
        
        696805.82000000
        PA
        USD
        89969.83000000
        0.017949607399
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        2132008.10000000
        PA
        USD
        2314383.70000000
        0.461735659452
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        Marsh & McLennan Cos Inc
        571748BG6
        
          
        
        575000.00000000
        PA
        USD
        659835.50000000
        0.131641775615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BN9
        
          
        
        275000.00000000
        PA
        USD
        269612.75000000
        0.053789620501
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SASOL Financing USA LLC
        549300XRB1PFMESFEL85
        SASOL Financing USA LLC
        80386WAA3
        
          
        
        310000.00000000
        PA
        USD
        327429.75000000
        0.065324514487
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-27
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        59022CAJ2
        
          
        
        100000.00000000
        PA
        USD
        132218.00000000
        0.026378411419
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-01-29
          Fixed
          6.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        Long: CS005589  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005589  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        690000.00000000
        OU
        Notional Amount
        USD
        -4696.62000000
        -0.00093700838
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Barclays Capital Securities Limited
              K9WDOH4D2PYBSLSOB484
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-12-20
            0.00000000
            USD
            -395.76000000
            USD
            690000.00000000
            USD
            -4300.86000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAK9
        
          
        
        325000.00000000
        PA
        USD
        384562.75000000
        0.076722945712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        Galaxy Pipeline Assets Bidco Ltd
        36321PAB6
        
          
        
        200000.00000000
        PA
        USD
        191000.00000000
        0.038105829623
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2036-03-31
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBC4
        
          
        
        13490000.00000000
        PA
        USD
        13173828.13000000
        2.628270419946
        Long
        DBT
        UST
        US
        N
        
        1
        
          2025-12-31
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC/DELAWA
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        28368EAE6
        
          
        
        500.00000000
        PA
        USD
        701.50000000
        0.000139954133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        6465.58000000
        0.001289928219
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            37923873.11000000
            TWD
            1341488.26000000
            USD
            2021-04-19
            6465.58000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAD7
        
          
        
        450000.00000000
        PA
        USD
        466222.50000000
        0.093014634301
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-01-23
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030652
        
          
        
        -4000000.00000000
        PA
        USD
        -4167345.60000000
        -0.83141445767
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AR2
        
          
        
        20000.00000000
        PA
        USD
        23504.80000000
        0.004689371225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-01-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FMW24
        
          
        
        604642.52000000
        PA
        USD
        116415.63000000
        0.023225728598
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Floating
          5.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGK2
        
          
        
        69567.35000000
        PA
        USD
        75543.98000000
        0.015071549900
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX003009  CDS USD R F  3.00000 2 CMBX / Short: CX003009  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        900000.00000000
        OU
        Notional Amount
        USD
        -54562.50000000
        -0.01088559858
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -139466.82000000
            USD
            900000.00000000
            USD
            84904.32000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KK0
        
          
        
        400858.79000000
        PA
        USD
        437370.65000000
        0.087258489377
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215774  IRS EUR R V 12MESTRO CCPVANILLA / Short: BR215774  IRS EUR P F   .00000 CCPVANILLA/FIXED -0.5
        000000000
        
          
        
        10170000.00000000
        OU
        Notional Amount
        
        188169.32000000
        0.037541089257
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-06-16
            142100.72000000
            EUR
            0.00000000
            EUR
            10170000.00000000
            EUR
            17797.65000000
          
        
        
          N
          N
          N
        
      
      
        HUNTSMAN INTERNATIONAL L
        3YTEJFW18LGIUQ2N5J61
        Huntsman International LLC
        44701QBE1
        
          
        
        350000.00000000
        PA
        USD
        386272.60000000
        0.077064072690
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215213  IRS CAD R F   .70000 2 CCPVANILLA / Short: SR215213  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        27520000.00000000
        OU
        Notional Amount
        
        -95979.48000000
        -0.01914857440
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-11-18
            660.38000000
            CAD
            0.00000000
            CAD
            27520000.00000000
            CAD
            406645.15000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8985.80000000
        -0.00179272965
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            431356.40000000
            USD
            359579.03000000
            EUR
            2021-06-16
            -8985.80000000
          
        
        
          N
          N
          N
        
      
      
        APPLIED MATERIALS INC
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222AN5
        
          
        
        275000.00000000
        PA
        USD
        264321.75000000
        0.052734029168
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03412A SWAPTION US0003M APR21 1.65 PUT
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -55177.79000000
        -0.01100835321
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -55177.79000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-04-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            1.65000000
            USD
            2021-04-16
            XXXX
            -19551.29000000
          
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AD6
        
          
        
        6000.00000000
        PA
        USD
        6150.00000000
        0.001226967812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JC6
        
          
        
        125000.00000000
        PA
        USD
        139910.00000000
        0.027913018966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-20
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAB8
        
          
        
        875000.00000000
        PA
        USD
        934543.75000000
        0.186447983838
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AV6
        
          
        
        100000.00000000
        PA
        USD
        109522.00000000
        0.021850401424
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-09
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -20358.25000000
        -0.00406161259
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2201162.89000000
            USD
            1581654.23000000
            GBP
            2021-05-20
            -20358.25000000
          
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
        
        230000.00000000
        PA
        USD
        251921.88000000
        0.050260168783
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-02-11
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        10797.82000000
        0.002154240257
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            242643.03000000
            USD
            5224274.29000000
            MXN
            2021-06-16
            10797.82000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AV3
        
          
        
        400000.00000000
        PA
        USD
        443256.00000000
        0.088432657673
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        500000.00000000
        PA
        
        674009.33000000
        0.134469553369
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2030-05-26
          Fixed
          3.62400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JJ7
        
          
        
        275000.00000000
        PA
        USD
        239329.75000000
        0.047747951190
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292MYM8
        
          
        
        462.62000000
        PA
        USD
        506.62000000
        0.000101074216
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03150A SWAPTION EUR006M APR21 NEG0.04 CALL
        000000000
        
          
        
        -840000.00000000
        NC
        
        -0.09000000
        -0.00000001795
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    840000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.09000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  840000.00000000
                  EUR
                
              
            
            1.00000000
            -0.04000000
            EUR
            2021-04-06
            XXXX
            28808.36000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -21368.11000000
        -0.00426308669
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            913591.36000000
            USD
            25345308.30000000
            TWD
            2021-04-19
            -21368.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        11874.70000000
        0.002369085314
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11541415.76000000
            TWD
            417743.44000000
            USD
            2021-04-08
            11874.70000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        366.55000000
        0.000073129276
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            584064.99000000
            AUD
            378112.68000000
            EUR
            2021-06-16
            366.55000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1518.18000000
        0.000302887478
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            181090.62000000
            USD
            3764185.85000000
            MXN
            2021-06-16
            1518.18000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ATA61
        
          
        
        1588582.94000000
        PA
        USD
        289756.42000000
        0.057808422894
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-25
          Floating
          5.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN21 XCBT 20210621
        000000000
        
          
        
        88.00000000
        NC
        USD
        -401073.31000000
        -0.08001691736
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Long Bond
                USM1 Comdty
              
            
            2021-06-21
            14027323.31000000
            USD
            -401073.31000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GT2
        
          
        
        780000.00000000
        PA
        USD
        825606.60000000
        0.164714264060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030645
        
          
        
        8000000.00000000
        PA
        USD
        8333128.80000000
        1.662517205668
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABA2
        
          
        
        625000.00000000
        PA
        USD
        674150.00000000
        0.134497618013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -6361.10000000
        -0.00126908373
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            67642304.29000000
            INR
            913591.36000000
            USD
            2021-04-27
            -6361.10000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31329PTF0
        
          
        
        863250.78000000
        PA
        USD
        936794.48000000
        0.186897020141
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wyeth LLC
        549300Q9GR3WRH4N4836
        Wyeth LLC
        983024AN0
        
          
        
        45000.00000000
        PA
        USD
        62633.25000000
        0.012495769388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-04-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468C6
        
          
        
        50000.00000000
        PA
        USD
        55495.00000000
        0.011071638821
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6431.79000000
        -0.00128318687
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            213309.03000000
            USD
            757801659.98000000
            COP
            2021-04-27
            -6431.79000000
          
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DY0
        
          
        
        650000.00000000
        PA
        USD
        608211.50000000
        0.121342428240
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAR9
        
          
        
        35000.00000000
        PA
        USD
        41069.00000000
        0.008193551396
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-04-22
          Fixed
          4.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTERCARD INC
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636QAR5
        
          
        
        250000.00000000
        PA
        USD
        274900.00000000
        0.054844463683
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-26
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3372.09000000
        0.000672755429
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            444515.74000000
            USD
            562803.60000000
            CAD
            2021-06-16
            3372.09000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        31318.82000000
        0.006248322612
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            887266.30000000
            USD
            18935150.18000000
            MXN
            2021-06-16
            31318.82000000
          
        
        
          N
          N
          N
        
      
      
        RAYMOND JAMES FINANCIAL
        RGUZHJ05YTITL6D76949
        Raymond James Financial Inc
        754730AG4
        
          
        
        75000.00000000
        PA
        USD
        87560.25000000
        0.017468879415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAQ5
        
          
        
        225000.00000000
        PA
        USD
        259299.00000000
        0.051731955578
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290XLG3
        
          
        
        14340.18000000
        PA
        USD
        15900.98000000
        0.003172356202
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONSPIRIT HEALTH
        4SXHN5XW08IBO0UG2V58
        CommonSpirit Health
        20268JAG8
        
          
        
        635000.00000000
        PA
        USD
        646877.38000000
        0.129056540468
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-01
          Fixed
          3.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
        
        275000.00000000
        PA
        USD
        279895.00000000
        0.055841000955
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8QW8
        
          
        
        930792.09000000
        PA
        USD
        1014990.70000000
        0.202497710385
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382NCT2
        
          
        
        3494.76000000
        PA
        USD
        411.07000000
        0.000082011326
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-02-20
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566ABD0
        
          
        
        713000.00000000
        PA
        USD
        740441.30000000
        0.147723193842
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          4.81700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAW9
        
          
        
        909000.00000000
        PA
        USD
        1036150.92000000
        0.206719321579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBD3
        
          
        
        425000.00000000
        PA
        USD
        450087.75000000
        0.089795639356
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBJ4
        
          
        
        75000.00000000
        PA
        USD
        86515.50000000
        0.017260444517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-24
          Fixed
          4.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        968.22000000
        0.000193166630
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179658.95000000
            USD
            1544995.11000000
            NOK
            2021-06-16
            968.22000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        18550.73000000
        0.003700999773
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            683361.99000000
            USD
            3959091.88000000
            BRL
            2021-05-04
            18550.73000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDJ8
        
          
        
        25000.00000000
        PA
        USD
        27435.75000000
        0.005473623115
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-09
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIEMAC STRIP
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325UP26
        
          
        
        143383.36000000
        PA
        USD
        7951.85000000
        0.001586449430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        064159TF3
        
          
        
        70000.00000000
        PA
        USD
        72737.00000000
        0.014511537849
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-02-03
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123DC1
        
          
        
        200000.00000000
        PA
        USD
        180750.00000000
        0.036060883269
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2031-06-26
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1819.68000000
        -0.00036303882
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445298.52000000
            USD
            3793297.71000000
            NOK
            2021-06-16
            -1819.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CAY0
        
          
        
        19347.63000000
        PA
        USD
        21009.81000000
        0.004191603352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11938.09000000
        -0.00238173206
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445767.96000000
            USD
            3786107.88000000
            SEK
            2021-06-16
            -11938.09000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DR5
        
          
        
        250000.00000000
        PA
        USD
        265980.00000000
        0.053064861587
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-30
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152BM2
        
          
        
        115000.00000000
        PA
        USD
        137697.98000000
        0.027471705577
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-02-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREAT-WEST LIFECO FIN 18
        N/A
        Great-West Lifeco Finance 2018 LP
        39138QAA3
        
          
        
        325000.00000000
        PA
        USD
        365638.00000000
        0.072947326344
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-05-17
          Fixed
          4.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1387.06000000
        -0.00027672812
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            365292.33000000
            EUR
            403379.53000000
            CHF
            2021-06-16
            -1387.06000000
          
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AU7
        
          
        
        950000.00000000
        PA
        USD
        945250.00000000
        0.188583955243
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -27864.53000000
        -0.00555916771
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1037331.67000000
            USD
            860645.46000000
            EUR
            2021-04-09
            -27864.53000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAN5
        
          
        
        295000.00000000
        PA
        USD
        344061.45000000
        0.068642654417
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382AES0
        
          
        
        921018.88000000
        PA
        USD
        132662.82000000
        0.026467156106
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JAR9
        
          
        
        450000.00000000
        PA
        USD
        441468.00000000
        0.088075939226
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2027-01-12
          Fixed
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -4677.25000000
        -0.00093314393
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7413501.04000000
            MXN
            354967.73000000
            USD
            2021-06-16
            -4677.25000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493003FQV7GR462GO02
        Freddie Mac Stacr Remic Trust 2020-DNA1
        35565HAH8
        
          
        
        966056.73000000
        PA
        USD
        961721.36000000
        0.191870106226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-25
          Floating
          1.80900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQTN3
        
          
        
        19186.85000000
        PA
        USD
        20650.57000000
        0.004119932471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13648TAA5
        
          
        
        200000.00000000
        PA
        USD
        193344.00000000
        0.038573473940
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-03-05
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        549300GL0Y86051URC66
        BANK 2018-BNK10
        065404AA3
        
          
        
        200000.00000000
        PA
        USD
        171504.71000000
        0.034216383554
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-02-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABK0
        
          
        
        325000.00000000
        PA
        USD
        302448.25000000
        0.060340531331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2E3
        
          
        
        1750000.00000000
        PA
        USD
        1845497.50000000
        0.368189598457
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AT5
        
          
        
        750000.00000000
        PA
        USD
        808792.50000000
        0.161359734061
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -32802.70000000
        -0.00654436700
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1034516.20000000
            USD
            1434568.61000000
            NZD
            2021-06-16
            -32802.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAD6
        
          
        
        447053.29000000
        PA
        USD
        457624.67000000
        0.091299307363
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.50900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201U5P5
        
          
        
        20068.29000000
        PA
        USD
        22566.13000000
        0.004502100026
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213583  IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR213583  IRS JPY P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        371600000.00000000
        OU
        Notional Amount
        
        -4515.24000000
        -0.00090082181
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-03-19
            0.00000000
            JPY
            -1914077.00000000
            JPY
            371600000.00000000
            JPY
            26757.19000000
          
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAK3
        
          
        
        1275000.00000000
        PA
        USD
        1283657.25000000
        0.256098557399
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.56500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2981.40000000
        -0.00059481005
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            407565.19000000
            USD
            2671549.06000000
            CNY
            2021-06-16
            -2981.40000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EWUP8
        
          
        
        57126.13000000
        PA
        USD
        62033.92000000
        0.012376198881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H022648
        
          
        
        5000000.00000000
        PA
        USD
        5157249.50000000
        1.028907176818
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-04-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA CO/THE
        UWJKFUJFZ02DKWI3RY53
        Coca-Cola Co/The
        191216CN8
        
          
        
        65000.00000000
        PA
        USD
        70059.60000000
        0.013977377911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-25
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2478.19000000
        -0.00049441615
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            434150.98000000
            USD
            542428.23000000
            CAD
            2021-06-16
            -2478.19000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        2585.23000000
        0.000515771381
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1355400.61000000
            SGD
            1010136.10000000
            USD
            2021-04-06
            2585.23000000
          
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAJ0
        
          
        
        1275000.00000000
        PA
        USD
        1346629.50000000
        0.268661959648
        Long
        DBT
        
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GDE7
        
          
        
        150000.00000000
        PA
        USD
        161250.00000000
        0.032170497522
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -79871.36000000
        -0.01593489233
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2955038.01000000
            USD
            2447731.06000000
            EUR
            2021-06-16
            -79871.36000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBF2
        
          
        
        550000.00000000
        PA
        USD
        573468.50000000
        0.114410957881
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.30100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9ME0
        
          
        
        707172.84000000
        PA
        USD
        770259.09000000
        0.153672050520
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300YUUBR2C1GYW366
        MidOcean Credit CLO VI
        59802XBA0
        
          
        
        800000.00000000
        PA
        USD
        787917.60000000
        0.157195046193
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-20
          Floating
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HKK5
        
          
        
        1710000.00000000
        PA
        USD
        1711077.30000000
        0.341371832807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-01
          Variable
          4.00500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICENOW INC
        549300HJTQM36M0E1G39
        ServiceNow Inc
        81762PAE2
        
          
        
        975000.00000000
        PA
        USD
        881419.50000000
        0.175849326145
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348BJ4
        
          
        
        475000.00000000
        PA
        USD
        494650.75000000
        0.098686268076
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QUALCOMM Inc
        H1J8DDZKZP6H7RWC0H53
        QUALCOMM Inc
        747525AK9
        
          
        
        25000.00000000
        PA
        USD
        31225.00000000
        0.006229604869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215592  IRS AUD R F  1.71000 2 CCPVANILLA / Short: SR215592  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        23340000.00000000
        OU
        Notional Amount
        
        -911772.34000000
        -0.18190492902
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-01-21
            0.00000000
            AUD
            -345692.06000000
            AUD
            23340000.00000000
            AUD
            -396375.59000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        6943.93000000
        0.001385362374
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            731563.65000000
            NZD
            517771.49000000
            USD
            2021-06-16
            6943.93000000
          
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCR0
        
          
        
        550000.00000000
        PA
        USD
        600132.50000000
        0.119730611499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAW0
        
          
        
        425000.00000000
        PA
        USD
        471061.50000000
        0.093980048487
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -366730.73000000
        -0.07316533358
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10850584.84000000
            USD
            8938261.64000000
            EUR
            2021-04-09
            -366730.73000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        19168.88000000
        PA
        USD
        20631.23000000
        0.004116074006
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31329PMG5
        
          
        
        894673.25000000
        PA
        USD
        971732.71000000
        0.193867440244
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2017-2
        63939RAA2
        
          
        
        3175970.00000000
        PA
        USD
        3215971.34000000
        0.641608669925
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.15900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEN0
        
          
        
        990000.00000000
        PA
        USD
        1073843.10000000
        0.214239173878
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.37600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COSTAR GROUP INC
        N/A
        CoStar Group Inc
        22160NAA7
        
          
        
        625000.00000000
        PA
        USD
        608495.63000000
        0.121399114153
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LP/FINANCE CORP
        N/A
        Sunoco LP / Sunoco Finance Corp
        86765LAR8
        
          
        
        630000.00000000
        PA
        USD
        626850.00000000
        0.125060938740
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        1634451.38000000
        PA
        USD
        1785146.00000000
        0.356149054078
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1184.79000000
        -0.00023637385
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            183313.99000000
            USD
            2716236.72000000
            ZAR
            2021-06-17
            -1184.79000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215530  IRS EUR R F   .00000 CCPVANILLA / Short: SR215530  IRS EUR P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        3310000.00000000
        OU
        Notional Amount
        
        -844.25000000
        -0.00016843375
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-06-16
            0.00000000
            EUR
            -2300.88000000
            EUR
            3310000.00000000
            EUR
            1900.00000000
          
        
        
          N
          N
          N
        
      
      
        Credit Agricole SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        225313AL9
        
          
        
        250000.00000000
        PA
        USD
        277730.00000000
        0.055409068383
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-09-23
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBD6
        
          
        
        325000.00000000
        PA
        USD
        345676.50000000
        0.068964868135
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CP1
        
          
        
        60000.00000000
        PA
        USD
        65541.60000000
        0.013076005459
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-26
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Abbott Laboratories
        HQD377W2YR662HK5JX27
        Abbott Laboratories
        002824BG4
        
          
        
        50000.00000000
        PA
        USD
        62046.00000000
        0.012378608925
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-11-30
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        324.11000000
        0.000064662201
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5877927.12000000
            CNY
            890487.08000000
            USD
            2021-06-16
            324.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -730.28000000
        -0.00014569594
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            451745.53000000
            USD
            384356.33000000
            EUR
            2021-04-30
            -730.28000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380WG86
        
          
        
        377657.32000000
        PA
        USD
        56687.04000000
        0.011309459099
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CL2
        
          
        
        450000.00000000
        PA
        USD
        497349.00000000
        0.099224587734
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-20
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1809.52000000
        -0.00036101183
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            177815.26000000
            USD
            2568007984.92000000
            IDR
            2021-04-12
            -1809.52000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3434.82000000
        -0.00068527050
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            435413.24000000
            USD
            542812.27000000
            CAD
            2021-06-16
            -3434.82000000
          
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAJ6
        
          
        
        175000.00000000
        PA
        USD
        179656.75000000
        0.035842772283
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-05
          Fixed
          2.29300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -239681.01000000
        -0.04781803000
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4796774.64000000
            USD
            39781000.00000000
            SEK
            2021-05-19
            -239681.01000000
          
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164Q6M5
        
          
        
        1600000.00000000
        PA
        USD
        1733856.00000000
        0.345916342028
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2025-11-15
          Fixed
          3.37300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H040640
        
          
        
        -3000000.00000000
        PA
        USD
        -3202716.30000000
        -0.63896419717
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-04-21
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Mexican States
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAF7
        
          
        
        200000.00000000
        PA
        USD
        221125.00000000
        0.044115976834
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2029-04-22
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL DYNAMICS CORP
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BK3
        
          
        
        65000.00000000
        PA
        USD
        70395.65000000
        0.014044422225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TBD0
        
          
        
        161000.00000000
        PA
        USD
        165340.83000000
        0.032986646585
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Floating
          4.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN ELEC POWER
        R64UBJHEC74EB3HGQ410
        Southwestern Electric Power Co
        845437BP6
        
          
        
        35000.00000000
        PA
        USD
        36835.75000000
        0.007348988552
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        23074.29000000
        0.004603481483
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            575191.14000000
            USD
            8922405.16000000
            ZAR
            2021-06-17
            23074.29000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BBF9
        
          
        
        1757875.45000000
        PA
        USD
        227461.17000000
        0.045380086858
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5R6J7JCQRIPQR1EEP713
        Long: BR215535  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215535  IRS EUR P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        4790000.00000000
        OU
        Notional Amount
        
        53274.96000000
        0.010628725387
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5R6J7JCQRIPQR1EEP713
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-16
            54687.35000000
            EUR
            0.00000000
            EUR
            4790000.00000000
            EUR
            -10818.65000000
          
        
        
          N
          N
          N
        
      
      
        CAMDEN PROPERTY TRUST
        5493002MYX22OHYJBD89
        Camden Property Trust
        133131AX0
        
          
        
        65000.00000000
        PA
        USD
        68630.90000000
        0.013692342315
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215538  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215538  IRS EUR P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        380000.00000000
        OU
        Notional Amount
        
        63075.01000000
        0.012583903584
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-06-16
            43616.96000000
            EUR
            0.00000000
            EUR
            380000.00000000
            EUR
            11053.08000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2506.46000000
        0.000500056218
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            720334.00000000
            USD
            908301.56000000
            CAD
            2021-06-16
            2506.46000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CY1
        
          
        
        100000.00000000
        PA
        USD
        109499.00000000
        0.021845812764
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382ET31
        
          
        
        1266751.42000000
        PA
        USD
        161073.14000000
        0.032135212721
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAT7
        
          
        
        925000.00000000
        PA
        USD
        991757.25000000
        0.197862475373
        Long
        DBT
        
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAE4
        
          
        
        1485000.00000000
        PA
        USD
        1486722.60000000
        0.296611508339
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2021-04-23
          Fixed
          3.93300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EH2
        
          
        
        65000.00000000
        PA
        USD
        67991.95000000
        0.013564867342
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2025-02-19
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214839  IRS PLN R V 03MWIBOR 1 CCPZERO / Short: BR214839  IRS PLN P F   .25000 2 CCPZERO
        000000000
        
          
        
        18330000.00000000
        OU
        Notional Amount
        
        -3708.16000000
        -0.00073980373
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2021-12-16
            0.00000000
            PLN
            -2418.65000000
            PLN
            18330000.00000000
            PLN
            -3056.89000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042640
        
          
        
        5000000.00000000
        PA
        USD
        5444530.50000000
        1.086221736190
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BW2
        
          
        
        175000.00000000
        PA
        USD
        188391.00000000
        0.037585315961
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RE0
        
          
        
        1100000.00000000
        PA
        USD
        1353343.75000000
        0.270001499263
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-02-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -13661.30000000
        -0.00272552445
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            893512.80000000
            USD
            1158000.00000000
            AUD
            2021-06-16
            -13661.30000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290QX75
        
          
        
        17598.24000000
        PA
        USD
        19930.55000000
        0.003976283469
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAR0
        
          
        
        53000.00000000
        PA
        USD
        56270.63000000
        0.011226382406
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2028-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARATHON PETROLEUM CORP
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABG6
        
          
        
        625000.00000000
        PA
        USD
        670487.50000000
        0.133766923767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XDE3
        
          
        
        500000.00000000
        PA
        USD
        477635.00000000
        0.095291507498
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-08
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03379A SWAPTION EUR006M APR21 0.0228 PUT
        000000000
        
          
        
        -3350000.00000000
        NC
        
        -20222.98000000
        -0.00403462528
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3350000.00000000
                    OU
                    Notional Amount
                    N/A
                    -20222.98000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3350000.00000000
                  EUR
                
              
            
            1.00000000
            0.02280000
            EUR
            2021-04-06
            XXXX
            2233.68000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        70000.00000000
        PA
        
        85731.70000000
        0.017104070960
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1418.82000000
        0.000283064466
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179179.18000000
            USD
            130069750.00000000
            CLP
            2021-05-17
            1418.82000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FV84
        
          
        
        2363849.03000000
        PA
        USD
        337295.73000000
        0.067292846178
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AN4
        
          
        
        525000.00000000
        PA
        USD
        528031.35000000
        0.105345930151
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-01
          Fixed
          3.92200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        5267.03000000
        0.001050809150
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            326185.97000000
            AUD
            253104.00000000
            USD
            2021-06-16
            5267.03000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBD0
        
          
        
        25000.00000000
        PA
        USD
        30565.50000000
        0.006098030028
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-14
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03427A SWAPTION EUR006M APR21 0.091 PUT
        000000000
        
          
        
        -3350000.00000000
        NC
        
        -12478.24000000
        -0.00248949574
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3350000.00000000
                    OU
                    Notional Amount
                    N/A
                    -12478.24000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3350000.00000000
                  EUR
                
              
            
            1.00000000
            0.09100000
            EUR
            2021-04-19
            XXXX
            8873.73000000
          
        
        
          N
          N
          N
        
      
      
        CSC HOLDINGS LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307BF3
        
          
        
        243000.00000000
        PA
        USD
        228420.00000000
        0.045571380118
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VER1
        
          
        
        630000.00000000
        PA
        USD
        721343.70000000
        0.143913089696
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017BS7
        
          
        
        10000.00000000
        PA
        USD
        13267.80000000
        0.002647018462
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        908.14000000
        0.000181180251
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            232036.64000000
            USD
            1992493.99000000
            NOK
            2021-06-16
            908.14000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EP2E3
        
          
        
        185066.64000000
        PA
        USD
        209464.81000000
        0.041789687758
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAJ1
        
          
        
        475000.00000000
        PA
        USD
        491620.25000000
        0.098081662229
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -623.64000000
        -0.00012442052
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            444403.40000000
            USD
            3795871.64000000
            NOK
            2021-06-16
            -623.64000000
          
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BB9
        
          
        
        30000.00000000
        PA
        USD
        34188.90000000
        0.006820923551
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2038-07-26
          Fixed
          4.28600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QDZ1
        
          
        
        4657.01000000
        PA
        USD
        5135.71000000
        0.001024609896
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BZ2
        
          
        
        1875000.00000000
        PA
        USD
        1977000.00000000
        0.394425262646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-04
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005631  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005631  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        80000.00000000
        OU
        Notional Amount
        USD
        -906.58000000
        -0.00018086902
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2022-06-20
            0.00000000
            USD
            -294.62000000
            USD
            80000.00000000
            USD
            -611.96000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NAK7
        
          
        
        25000.00000000
        PA
        USD
        35359.75000000
        0.007054516277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8060.88000000
        0.001608201674
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445259.82000000
            USD
            6760729.82000000
            ZAR
            2021-06-17
            8060.88000000
          
        
        
          N
          N
          N
        
      
      
        Hyundai Capital America
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891CAK9
        
          
        
        70000.00000000
        PA
        USD
        72254.70000000
        0.014415315642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-27
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SENSATA TECHNOLOGIES INC
        N/A
        Sensata Technologies Inc
        81728UAB0
        
          
        
        276000.00000000
        PA
        USD
        272205.00000000
        0.054306792422
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA6
        35566CBD6
        
          
        
        612000.00000000
        PA
        USD
        602268.22000000
        0.120156702507
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-25
          Floating
          3.01700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        1244465.98000000
        PA
        USD
        1253542.49000000
        0.250090453139
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.25900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBA COMMUNICATIONS CORP
        5299001HX8ZN8Y8QIT49
        SBA Communications Corp
        78410GAE4
        
          
        
        1194000.00000000
        PA
        USD
        1146240.00000000
        0.228682859411
        Long
        DBT
        
        US
        N
        
        2
        
          2029-02-01
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152GS4
        
          
        
        730000.00000000
        PA
        USD
        906461.73000000
        0.180845425358
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-07-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG ENERGY INC
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CQ3
        
          
        
        319000.00000000
        PA
        USD
        311025.00000000
        0.062051652662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5727.71000000
        -0.00114271801
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            435347.72000000
            USD
            405195.54000000
            CHF
            2021-06-16
            -5727.71000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202F2M7
        
          
        
        1203.55000000
        PA
        USD
        1330.27000000
        0.000265398125
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PED6
        
          
        
        150000.00000000
        PA
        USD
        150703.13000000
        0.030066323536
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2030-01-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAD4
        
          
        
        550000.00000000
        PA
        USD
        564646.50000000
        0.112650907468
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -53644.90000000
        -0.01070253099
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3575000.00000000
            USD
            389617800.00000000
            JPY
            2021-06-16
            -53644.90000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1273.03000000
        -0.00025397834
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            250938.27000000
            USD
            833745.41000000
            ILS
            2021-06-16
            -1273.03000000
          
        
        
          N
          N
          N
        
      
      
        UBER TECHNOLOGIES INC
        549300B2FTG34FILDR98
        Uber Technologies Inc
        90353TAF7
        
          
        
        650000.00000000
        PA
        USD
        698750.00000000
        0.139405489263
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215616  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215616  IRS USD P F  1.50000 2 CCPVANILLA
        000000000
        
          
        
        2120000.00000000
        OU
        Notional Amount
        USD
        100860.48000000
        0.020122367888
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-02-02
            20966.47000000
            USD
            0.00000000
            USD
            2120000.00000000
            USD
            79894.01000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        41572.00000000
        PA
        USD
        16836.66000000
        0.003359030876
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2030-07-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030645
        
          
        
        -10000000.00000000
        PA
        USD
        -10416411.00000000
        -2.07814650708
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7113.43000000
        -0.00141917880
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            184931.51000000
            USD
            651356517.95000000
            COP
            2021-04-27
            -7113.43000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -3702.84000000
        -0.00073874235
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1633435.59000000
            TRY
            184049.08000000
            USD
            2021-06-16
            -3702.84000000
          
        
        
          N
          N
          N
        
      
      
        Valero Energy Corp
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAL4
        
          
        
        30000.00000000
        PA
        USD
        38988.30000000
        0.007778437262
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-06-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215754  IRS KRW R V 03MLIBOR CCPNDF / Short: BR215754  IRS KRW P F  1.00000 CCPNDF
        000000000
        
          
        
        9514270000.00000000
        OU
        Notional Amount
        
        26518.06000000
        0.005290537572
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-06-16
            36163590.00000000
            KRW
            0.00000000
            KRW
            9514270000.00000000
            KRW
            -5255.80000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDR0
        
          
        
        40000.00000000
        PA
        USD
        48317.20000000
        0.009639617754
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JLY81
        
          
        
        341944.30000000
        PA
        USD
        371807.83000000
        0.074178250380
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZB2
        
          
        
        650000.00000000
        PA
        USD
        671849.75000000
        0.134038702125
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          4.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 10Y BOND FUT JUN21 XSFE 20210615
        000000000
        
          
        
        38.00000000
        NC
        
        -19108.84000000
        -0.00381234660
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                10 Year Commonwealth Treasury Bond
                XMM1 Comdty
              
            
            2021-06-15
            5265124.79000000
            AUD
            -19108.84000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        7955.28000000
        0.001587133739
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            88032565.00000000
            JPY
            803591.21000000
            USD
            2021-06-16
            7955.28000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XRXN4
        
          
        
        21756.75000000
        PA
        USD
        24404.86000000
        0.004868939461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAD2
        
          
        
        50000.00000000
        PA
        USD
        62686.50000000
        0.012506393134
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-05-25
          Fixed
          5.08500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225433AR2
        
          
        
        307000.00000000
        PA
        USD
        343680.36000000
        0.068566624309
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-04-17
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6A9
        
          
        
        832202.18000000
        PA
        USD
        928869.86000000
        0.185316003285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -34895.64000000
        -0.00696192310
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            18421480.00000000
            MXN
            858770.22000000
            USD
            2021-06-16
            -34895.64000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4496.04000000
        -0.00089699127
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            206683.00000000
            USD
            1764520.36000000
            SEK
            2021-06-16
            -4496.04000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005472  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005472  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        250000.00000000
        OU
        Notional Amount
        USD
        -526.75000000
        -0.00010509029
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            102.74000000
            USD
            0.00000000
            USD
            250000.00000000
            USD
            -629.49000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215695  IRS AUD R F   .19000 2 CCPVANILLA / Short: SR215695  IRS AUD P V 03MBBSW 1 CCPVANILLA
        000000000
        
          
        
        132640000.00000000
        OU
        Notional Amount
        
        -56246.89000000
        -0.01122164611
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-02-22
            0.00000000
            AUD
            -60352.14000000
            AUD
            132640000.00000000
            AUD
            -9270.96000000
          
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773CY4
        
          
        
        375000.00000000
        PA
        USD
        391102.50000000
        0.078027671362
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-28
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAQ1
        
          
        
        415000.00000000
        PA
        USD
        441032.95000000
        0.087989143722
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-24
          Fixed
          3.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJY9
        
          
        
        500000.00000000
        PA
        USD
        498110.00000000
        0.099376412532
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate Lending
        N/A
        Cantor Commercial Real Estate Lending 2019-CF2
        12528YAV5
        
          
        
        500000.00000000
        PA
        USD
        387323.75000000
        0.077273784432
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-11-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        956.52000000
        0.000190832398
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1528065.77000000
            NOK
            179604.46000000
            USD
            2021-06-16
            956.52000000
          
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFH2
        
          
        
        75000.00000000
        PA
        USD
        87403.50000000
        0.017437606698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CJ6
        
          
        
        1050000.00000000
        PA
        USD
        1050997.50000000
        0.209681317642
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-18
          Fixed
          1.64500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JM SMUCKER CO
        5493000WDH6A0LHDJD55
        J M Smucker Co/The
        832696AS7
        
          
        
        225000.00000000
        PA
        USD
        221883.75000000
        0.044267352741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DE5
        
          
        
        300000.00000000
        PA
        USD
        336804.00000000
        0.067194742620
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-20
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AQ7
        
          
        
        625000.00000000
        PA
        USD
        651650.00000000
        0.130008711382
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BBVP4
        
          
        
        1257377.92000000
        PA
        USD
        149508.65000000
        0.029828016461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DENTSPLY SIRONA INC
        9NHEHR1SOZCYXDO8HO28
        DENTSPLY SIRONA Inc
        24906PAA7
        
          
        
        350000.00000000
        PA
        USD
        365620.50000000
        0.072943834972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAM RESEARCH CORP
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AV0
        
          
        
        375000.00000000
        PA
        USD
        364117.50000000
        0.072643976009
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03365A SWAPTION EUR006M JUN21 0.415 PUT
        000000000
        
          
        
        640000.00000000
        NC
        
        28928.88000000
        0.005771512944
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    640000.00000000
                    OU
                    Notional Amount
                    N/A
                    28928.88000000
                    0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2051-06-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  640000.00000000
                  EUR
                
              
            
            1.00000000
            0.41500000
            EUR
            2021-06-04
            XXXX
            5256.02000000
          
        
        
          N
          N
          N
        
      
      
        XLIT Ltd
        635400XCGXK8NVDIVE95
        XLIT Ltd
        98420EAC9
        
          
        
        775000.00000000
        PA
        USD
        864032.00000000
        0.172380398854
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-03-31
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YEC4
        
          
        
        608760.56000000
        PA
        USD
        99228.95000000
        0.019796866295
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BORGWARNER INC
        549300DSFX2IE88NSX47
        BorgWarner Inc
        099724AM8
        
          
        
        60000.00000000
        PA
        USD
        69252.60000000
        0.013816375793
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GV20
        
          
        
        169093.34000000
        PA
        USD
        28031.13000000
        0.005592405570
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Floating
          5.48900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -3057.60000000
        -0.00061001248
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5336789.20000000
            ZAR
            354784.98000000
            USD
            2021-06-17
            -3057.60000000
          
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076BW1
        
          
        
        275000.00000000
        PA
        USD
        314905.25000000
        0.062825789549
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-06
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        4169.01000000
        0.000831746517
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3639073.59000000
            NOK
            429617.33000000
            USD
            2021-06-16
            4169.01000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10257.48000000
        -0.00204643866
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            790717.71000000
            USD
            11366567014.95000000
            IDR
            2021-04-05
            -10257.48000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        7868.92000000
        0.001569904318
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            359808.36000000
            EUR
            430508.90000000
            USD
            2021-06-16
            7868.92000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4026.31000000
        -0.00080327687
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            453762.79000000
            USD
            2969701.40000000
            CNY
            2021-06-16
            -4026.31000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX003033  CDS USD R F  1.00000 2 CCPCDX / Short: SX003033  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        7930000.00000000
        OU
        Notional Amount
        USD
        -330675.45000000
        -0.06597205423
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.EM.S35.V1
                2I65BZEA6
              
            
            Y
            
            sell protection
            2026-06-20
            0.00000000
            USD
            -310832.60000000
            USD
            7930000.00000000
            USD
            -19842.85000000
          
        
        
          N
          N
          N
        
      
      
        Simon Property Group LP
        MR92GTD0MJTTTTQDVG45
        Simon Property Group LP
        828807CV7
        
          
        
        65000.00000000
        PA
        USD
        70544.50000000
        0.014074118837
        Long
        DBT
        
        US
        N
        
        2
        
          2025-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        7577.03000000
        0.001511670231
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            375197.47000000
            EUR
            448293.44000000
            USD
            2021-06-16
            7577.03000000
          
        
        
          N
          N
          N
        
      
      
        Halliburton Co
        ENYF8GB5SMQZ25S06U51
        Halliburton Co
        406216BG5
        
          
        
        2000.00000000
        PA
        USD
        2200.94000000
        0.000439102851
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
        
        1300000.00000000
        PA
        USD
        1413282.00000000
        0.281959597391
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS03347A SWAPTION US0003M JUN21 1.265 PUT
        000000000
        
          
        
        -17800000.00000000
        NC
        USD
        -56381.50000000
        -0.01124850174
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    17800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -56381.50000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-06-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  17800000.00000000
                  USD
                
              
            
            1.00000000
            1.26500000
            USD
            2021-06-01
            XXXX
            -11180.89000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -1467.67000000
        -0.00029281038
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            128941766.00000000
            CLP
            177564.16000000
            USD
            2021-05-17
            -1467.67000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        17308CC53
        
          
        
        550000.00000000
        PA
        USD
        568848.50000000
        0.113489235720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-05
          Fixed
          2.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215680  IRS GBP R F   .90000 2 CCPOIS / Short: SR215680  IRS GBP P V 00MSONIA 1 CCPOIS
        000000000
        
          
        
        4230000.00000000
        OU
        Notional Amount
        
        -72232.72000000
        -0.01441093047
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-02-17
            0.00000000
            GBP
            -9515.85000000
            GBP
            4230000.00000000
            GBP
            -58811.89000000
          
        
        
          N
          N
          N
        
      
      
        COMMERZBANK AG
        851WYGNLUQLFZBSYGB56
        Commerzbank AG
        000000000
        
          
        
        400000.00000000
        PA
        
        501329.26000000
        0.100018677313
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-10-09
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AN0
        
          
        
        925000.00000000
        PA
        USD
        1060503.25000000
        0.211577780940
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2048-04-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CJ4
        
          
        
        30000.00000000
        PA
        USD
        32549.70000000
        0.006493891740
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8MQ3
        
          
        
        638630.23000000
        PA
        USD
        701988.16000000
        0.140051524725
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AYTL7
        
          
        
        540645.26000000
        PA
        USD
        107062.20000000
        0.021359654200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-25
          Floating
          6.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EKB2
        
          
        
        631380.59000000
        PA
        USD
        78142.44000000
        0.015589960759
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS03277A SWAPTION US0003M AUG21 0.75 PUT
        000000000
        
          
        
        18970000.00000000
        NC
        USD
        437562.02000000
        0.087296669025
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    18970000.00000000
                    OU
                    Notional Amount
                    N/A
                    437562.02000000
                    0.09000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-08-12
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  18970000.00000000
                  USD
                
              
            
            1.00000000
            0.75000000
            USD
            2021-08-10
            XXXX
            340815.02000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215703  IRS AUD R F  2.50000 2 CCPVANILLA / Short: SR215703  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        11880000.00000000
        OU
        Notional Amount
        
        -148920.38000000
        -0.02971065250
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-02-24
            0.00000000
            AUD
            -107317.80000000
            AUD
            11880000.00000000
            AUD
            -64887.25000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FWXZ8
        
          
        
        1270485.88000000
        PA
        USD
        187774.13000000
        0.037462246101
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -226.61000000
        -0.00004521027
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            624084.38000000
            NZD
            435551.61000000
            USD
            2021-06-16
            -226.61000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        7001.17000000
        0.001396782152
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            372110.16000000
            EUR
            444091.15000000
            USD
            2021-06-16
            7001.17000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1641.41000000
        0.000327472721
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179578.51000000
            USD
            3735556.25000000
            MXN
            2021-06-16
            1641.41000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C6A7
        
          
        
        2317280.37000000
        PA
        USD
        2514879.50000000
        0.501735967279
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CP8
        
          
        
        50000.00000000
        PA
        USD
        48358.00000000
        0.009647757638
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-02-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAIXABANK SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        400000.00000000
        PA
        
        528301.36000000
        0.105399799026
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-10-09
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BF2
        
          
        
        410000.00000000
        PA
        USD
        467851.00000000
        0.093339531388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-22
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Loan Trust
        N/A
        Home Equity Loan Trust
        43710XAD0
        
          
        
        1051744.48000000
        PA
        USD
        1012065.95000000
        0.201914202399
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.33900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LKE0
        
          
        
        531.15000000
        PA
        USD
        602.46000000
        0.000120194963
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKG6
        
          
        
        100000.00000000
        PA
        USD
        96806.00000000
        0.019313470903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
        
        240000.00000000
        PA
        USD
        313875.00000000
        0.062620247502
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2037-08-16
          Fixed
          7.28800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -1797.79000000
        -0.00035867162
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            673007.01000000
            CAD
            533776.70000000
            USD
            2021-06-01
            -1797.79000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN21 XCBT 20210621
        000000000
        
          
        
        502.00000000
        NC
        USD
        -1352044.37000000
        -0.26974226390
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYM1 Comdty
              
            
            2021-06-21
            67137575.62000000
            USD
            -1352044.37000000
          
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAT7
        
          
        
        50000.00000000
        PA
        USD
        63510.00000000
        0.012670687117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ON SEMICONDUCTOR CORP
        ZV20P4CNJVT8V1ZGJ064
        ON Semiconductor Corp
        682189AQ8
        
          
        
        860000.00000000
        PA
        USD
        885800.00000000
        0.176723266389
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        1011778 BC / NEW RED FIN
        N/A
        1011778 BC ULC / New Red Finance Inc
        68245XAM1
        
          
        
        192000.00000000
        PA
        USD
        185280.00000000
        0.036964649804
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-10-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RJF7
        
          
        
        80956.97000000
        PA
        USD
        88873.91000000
        0.017730963729
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAD0
        
          
        
        200000.00000000
        PA
        USD
        182000.00000000
        0.036310266970
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-08-03
          Fixed
          4.02700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215840  IRS GBP R F  1.05000 2 CCPOIS / Short: SR215840  IRS GBP P V 00MSONIA 1 CCPOIS
        000000000
        
          
        
        4840000.00000000
        OU
        Notional Amount
        
        -37488.33000000
        -0.00747918280
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-03-24
            0.00000000
            GBP
            -15622.09000000
            GBP
            4840000.00000000
            GBP
            -16028.65000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9553.51000000
        0.001905991750
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3469615.02000000
            USD
            3923336581.00000000
            KRW
            2021-06-15
            9553.51000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3047.20000000
        -0.00060793761
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            183313.99000000
            USD
            1541912.63000000
            NOK
            2021-06-16
            -3047.20000000
          
        
        
          N
          N
          N
        
      
      
        FREEPORT-MCMORAN INC
        549300IRDTHJQ1PVET45
        Freeport-McMoRan Inc
        35671DCH6
        
          
        
        950000.00000000
        PA
        USD
        1029562.50000000
        0.205404885924
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        N/A
        CSAIL 2018-C14 Commercial Mortgage Trust
        12596GAG4
        
          
        
        250000.00000000
        PA
        USD
        255470.41000000
        0.050968125221
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-15
          Variable
          4.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2K8
        
          
        
        45000.00000000
        PA
        USD
        46417.50000000
        0.009260614379
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-11
          Fixed
          2.16400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NTT FINANCE CORP
        3538007PR116187GD960
        NTT Finance Corp
        62954WAE5
        
          
        
        475000.00000000
        PA
        USD
        468791.75000000
        0.093527217562
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2031-04-03
          Fixed
          2.06500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN21 XCBT 20210630
        000000000
        
          
        
        -422.00000000
        NC
        USD
        495502.23000000
        0.098856144263
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVM1 Comdty
              
            
            2021-06-30
            -52592720.98000000
            USD
            495502.23000000
          
        
        
          N
          N
          N
        
      
      
        UNITED PARCEL SERVICE
        D01LMJZU09ULLNCY6Z23
        United Parcel Service Inc
        911312BX3
        
          
        
        65000.00000000
        PA
        USD
        71984.25000000
        0.014361358984
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
        
        300000.00000000
        PA
        USD
        324780.00000000
        0.064795870916
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BM3
        
          
        
        750000.00000000
        PA
        USD
        798630.00000000
        0.159332244566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE BANK LTD
        4ZHCHI4KYZG2WVRT8631
        Macquarie Bank Ltd
        556079AD3
        
          
        
        625000.00000000
        PA
        USD
        598331.25000000
        0.119371249585
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2036-03-03
          Fixed
          3.05200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214470  IRS EUR R F   .05000 2 CCPVANILLA / Short: SR214470  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        26300000.00000000
        OU
        Notional Amount
        
        -427556.62000000
        -0.08530052207
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            89765.80000000
            EUR
            0.00000000
            EUR
            26300000.00000000
            EUR
            -476106.33000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS03378A SWAPTION EUR006M APR21 0.0228 CALL
        000000000
        
          
        
        -3350000.00000000
        NC
        
        -1302.71000000
        -0.00025989971
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3350000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1302.71000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3350000.00000000
                  EUR
                
              
            
            1.00000000
            0.02280000
            EUR
            2021-04-06
            XXXX
            21153.95000000
          
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAE0
        
          
        
        55000.00000000
        PA
        USD
        69025.55000000
        0.013771077738
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-11-15
          Fixed
          5.31900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BM1
        
          
        
        1325000.00000000
        PA
        USD
        1361689.25000000
        0.271666484610
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-01-20
          Fixed
          4.24700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BPDJ5
        
          
        
        952253.62000000
        PA
        USD
        177328.48000000
        0.035378266210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-15
          Floating
          5.89400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5800.89000000
        -0.00115731793
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1223403.32000000
            USD
            17821316196.20000000
            IDR
            2021-05-03
            -5800.89000000
          
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAE9
        
          
        
        1000000.00000000
        PA
        USD
        998950.00000000
        0.199297479069
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          3.25400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BM2
        
          
        
        200000.00000000
        PA
        USD
        212500.00000000
        0.042395229293
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-11-01
          Fixed
          3.75400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        4574.92000000
        0.000912728387
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1549522.73000000
            SEK
            182126.45000000
            USD
            2021-06-16
            4574.92000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -8422.56000000
        -0.00168035935
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5078067.74000000
            MXN
            237925.50000000
            USD
            2021-06-16
            -8422.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3603.68000000
        -0.00071895924
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            444338.90000000
            USD
            2910264.28000000
            CNY
            2021-06-16
            -3603.68000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3533.21000000
        0.000704899991
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            429070.12000000
            USD
            543597.52000000
            CAD
            2021-06-16
            3533.21000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -11739.36000000
        -0.00234208404
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            329234247.00000000
            CLP
            445392.65000000
            USD
            2021-05-17
            -11739.36000000
          
        
        
          N
          N
          N
        
      
      
        HONEYWELL INTERNATIONAL
        ISRPG12PN4EIEOEMW547
        Honeywell International Inc
        438516CB0
        
          
        
        35000.00000000
        PA
        USD
        35508.20000000
        0.007084133086
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YWG5
        
          
        
        331164.20000000
        PA
        USD
        62951.93000000
        0.012559348267
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        4601.81000000
        0.000918093129
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            208153.45000000
            EUR
            249104.10000000
            USD
            2021-06-16
            4601.81000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YR64
        
          
        
        761498.60000000
        PA
        USD
        136249.16000000
        0.027182655902
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          6.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687FN1
        
          
        
        35000.00000000
        PA
        USD
        37947.35000000
        0.007570760490
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-24
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378W2X0
        
          
        
        74460.55000000
        PA
        USD
        14395.32000000
        0.002871966551
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-09-20
          Floating
          5.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215821  IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR215821  IRS GBP P F  1.25000 2 CCPVANILLA
        000000000
        
          
        
        2180000.00000000
        OU
        Notional Amount
        
        51521.26000000
        0.010278850029
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2051-03-11
            12384.75000000
            GBP
            0.00000000
            GBP
            2180000.00000000
            GBP
            34277.45000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BTA2
        
          
        
        658215.83000000
        PA
        USD
        107691.75000000
        0.021485253808
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YDZ28
        
          
        
        16602.72000000
        PA
        USD
        17776.64000000
        0.003546563429
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOTAL CAPITAL INTL SA
        549300U37G2I8G4RUG09
        Total Capital International SA
        89153VAV1
        
          
        
        45000.00000000
        PA
        USD
        42572.25000000
        0.008493460236
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2050-05-29
          Fixed
          3.12700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAL7
        
          
        
        195000.00000000
        PA
        USD
        225441.45000000
        0.044977138658
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-07-15
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        2079.16000000
        0.000414806893
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            18967860000.00000000
            IDR
            1287693.91000000
            USD
            2021-07-01
            2079.16000000
          
        
        
          N
          N
          N
        
      
      
        McKesson Corp
        549300WZWOM80UCFSF54
        McKesson Corp
        581557BE4
        
          
        
        65000.00000000
        PA
        USD
        70543.20000000
        0.014073859477
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.79600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JZN2
        
          
        
        425000.00000000
        PA
        USD
        469047.00000000
        0.093578141713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-23
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E0EH4
        
          
        
        391331.33000000
        PA
        USD
        427897.88000000
        0.085368605819
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        80000.00000000
        PA
        
        97979.09000000
        0.019547510524
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703DBC4
        
          
        
        35000.00000000
        PA
        USD
        42083.65000000
        0.008395981135
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          6.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CB9
        
          
        
        25000.00000000
        PA
        USD
        24163.00000000
        0.004820686707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Ltd
        N/A
        Benefit Street Partners CLO V-B Ltd
        08181JAA0
        
          
        
        2009000.00000000
        PA
        USD
        2005568.63000000
        0.400124903208
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.31400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CG0
        
          
        
        50000.00000000
        PA
        USD
        53896.50000000
        0.010752726943
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1786.02000000
        -0.00035632342
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            183828.57000000
            USD
            1557101.52000000
            NOK
            2021-06-16
            -1786.02000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FTLA3
        
          
        
        4829321.56000000
        PA
        USD
        843510.07000000
        0.168286130958
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAF1
        
          
        
        30000.00000000
        PA
        USD
        38685.60000000
        0.007718046505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          6.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BH6
        
          
        
        60000.00000000
        PA
        USD
        65466.60000000
        0.013061042437
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2029-03-07
          Fixed
          3.74100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Union Pacific Corp
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818EM6
        
          
        
        35000.00000000
        PA
        USD
        37528.40000000
        0.007487177049
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-10-01
          Fixed
          3.79900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        1059.75000000
        0.000211427502
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1488065.25000000
            ILS
            446250.00000000
            USD
            2021-04-22
            1059.75000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MVJ0
        
          
        
        231095.23000000
        PA
        USD
        42671.69000000
        0.008513299208
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          6.13900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        19406.37000000
        0.003871705910
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            132557571.00000000
            JPY
            1217382.09000000
            USD
            2021-06-10
            19406.37000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -22289.06000000
        -0.00444682263
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4231599.26000000
            CAD
            3345283.20000000
            USD
            2021-06-16
            -22289.06000000
          
        
        
          N
          N
          N
        
      
      
        AGREE LP
        549300DXY3G299V1BO77
        Agree LP
        008513AA1
        
          
        
        175000.00000000
        PA
        USD
        176645.00000000
        0.035241907192
        Long
        DBT
        
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust 2016-UBS10
        06054MAW3
        
          
        
        500000.00000000
        PA
        USD
        438854.01000000
        0.087554430024
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EF6
        
          
        
        300000.00000000
        PA
        USD
        320562.00000000
        0.063954350553
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2034-07-24
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAE3
        
          
        
        950000.00000000
        PA
        USD
        1024081.00000000
        0.204311288516
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -2268.45000000
        -0.00045257156
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            130330323.00000000
            CLP
            178691.35000000
            USD
            2021-05-17
            -2268.45000000
          
        
        
          N
          N
          N
        
      
      
        LUKOIL SECURITIES BV
        724500IVNQ6LF8OFIO42
        Lukoil Securities BV
        54988LAB2
        
          
        
        210000.00000000
        PA
        USD
        216640.20000000
        0.043221228014
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-06
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALE OVERSEAS LIMITED
        254900BA3U6G5DNV5V04
        Vale Overseas Ltd
        91911TAP8
        
          
        
        134000.00000000
        PA
        USD
        158890.50000000
        0.031699760847
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-08-10
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON BANCSHARES
        549300XTVCVV9I7B5T19
        Huntington Bancshares Inc/OH
        446150AM6
        
          
        
        825000.00000000
        PA
        USD
        914364.00000000
        0.182421983234
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -1437.54000000
        -0.00028679923
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            130200774.00000000
            CLP
            179342.38000000
            USD
            2021-05-17
            -1437.54000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MQ1
        
          
        
        45000.00000000
        PA
        USD
        48060.45000000
        0.009588394342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Fixed
          3.10600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382KVX8
        
          
        
        2077455.01000000
        PA
        USD
        257975.25000000
        0.051467858238
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBJ8
        
          
        
        35000.00000000
        PA
        USD
        37678.90000000
        0.007517202847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-06
          Fixed
          3.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS03404A SWAPTION EUR006M APR21 0.039 CALL
        000000000
        
          
        
        -3350000.00000000
        NC
        
        -6034.64000000
        -0.00120395268
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3350000.00000000
                    OU
                    Notional Amount
                    N/A
                    -6034.64000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Sterling Overnight Index Average
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-04-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3350000.00000000
                  EUR
                
              
            
            1.00000000
            0.03900000
            EUR
            2021-04-12
            XXXX
            13499.97000000
          
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAM6
        
          
        
        2000.00000000
        PA
        USD
        1961.36000000
        0.000391304973
        Long
        DBT
        
        US
        N
        
        2
        
          2031-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7141.05000000
        0.001424689186
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2916020.92000000
            USD
            3299623476.00000000
            KRW
            2021-04-05
            7141.05000000
          
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBB0
        
          
        
        125000.00000000
        PA
        USD
        138952.50000000
        0.027721991051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379VUJ1
        
          
        
        317950.56000000
        PA
        USD
        34101.06000000
        0.006803398860
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DAL3
        
          
        
        15000.00000000
        PA
        USD
        17091.75000000
        0.003409923107
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-11
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO 3, Ltd.
        N/A
        HalseyPoint CLO 3 Ltd
        40638UAA7
        
          
        
        1675000.00000000
        PA
        USD
        1681671.53000000
        0.335505176988
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-11-30
          Floating
          1.62900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CS3
        
          
        
        200000.00000000
        PA
        USD
        219312.50000000
        0.043754370467
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2030-10-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGL CLO 3 Ltd.
        549300LS0REDUXQSHW18
        AGL CLO 3 LTD
        00119MAA7
        
          
        
        1300000.00000000
        PA
        USD
        1305259.80000000
        0.260408416508
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.54100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BZ1
        
          
        
        600000.00000000
        PA
        USD
        646926.00000000
        0.129066240497
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-11
          Fixed
          3.80300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H042646
        
          
        
        -1000000.00000000
        PA
        USD
        -1081710.40000000
        -0.21580875499
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-04-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST BANK
        JJKC32MCHWDI71265Z06
        Truist Bank
        86787EBC0
        
          
        
        50000.00000000
        PA
        USD
        53657.00000000
        0.010704945026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTHCARE REALTY TRUST
        549300CB86LH2IOKHH22
        Healthcare Realty Trust Inc
        421946AM6
        
          
        
        175000.00000000
        PA
        USD
        164456.25000000
        0.032810166717
        Long
        DBT
        
        US
        N
        
        2
        
          2031-03-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KU4
        
          
        
        1200000.00000000
        PA
        USD
        1324452.00000000
        0.264237394012
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-25
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CW3
        
          
        
        1025000.00000000
        PA
        USD
        1296573.75000000
        0.258675489066
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.80500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7R98
        
          
        
        365875.98000000
        PA
        USD
        402745.89000000
        0.080350608721
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAG0
        
          
        
        300000.00000000
        PA
        USD
        325821.00000000
        0.065003557663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300P6T1S83Z2MDF55
        Magnetite XXIV Ltd
        55954WAA7
        
          
        
        2000000.00000000
        PA
        USD
        2003066.00000000
        0.399625611101
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.57100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03411A SWAPTION US0003M APR21 1.65 CALL
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -8830.46000000
        -0.00176173824
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -8830.46000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-04-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            1.65000000
            USD
            2021-04-16
            XXXX
            26796.04000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215689  IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR215689  IRS JPY P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        1082270000.00000000
        OU
        Notional Amount
        
        9305.23000000
        0.001856458162
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-06-16
            966024.00000000
            JPY
            0.00000000
            JPY
            1082270000.00000000
            JPY
            397.27000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY36
        
          
        
        658.06000000
        PA
        USD
        679.77000000
        0.000135618847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WSM1
        
          
        
        845464.12000000
        PA
        USD
        144241.00000000
        0.028777083616
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAE0
        
          
        
        225000.00000000
        PA
        USD
        255240.00000000
        0.050922156822
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-06
          Fixed
          4.23400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBQ7
        
          
        
        100000.00000000
        PA
        USD
        110805.00000000
        0.022106368855
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2050-04-02
          Fixed
          5.28200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215750  IRS USD R F  2.37750 2 CCPVANILLA / Short: SR215750  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        11600000.00000000
        OU
        Notional Amount
        USD
        -94731.40000000
        -0.01889957376
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-03-09
            0.00000000
            USD
            -57539.39000000
            USD
            11600000.00000000
            USD
            -37192.01000000
          
        
        
          N
          N
          N
        
      
      
        Cathedral Lake LTD
        N/A
        Cathedral Lake VII Ltd
        14919HAJ2
        
          
        
        1000000.00000000
        PA
        USD
        973015.00000000
        0.194123266026
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          4.47200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HRX0
        
          
        
        425000.00000000
        PA
        USD
        461630.75000000
        0.092098548211
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358WXQ2
        
          
        
        375000.00000000
        PA
        USD
        483123.64000000
        0.096386529386
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2065-10-15
          Fixed
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAD4
        
          
        
        1210000.00000000
        PA
        USD
        1267475.00000000
        0.252870085873
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YR23
        
          
        
        537735.71000000
        PA
        USD
        85800.57000000
        0.017117811005
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          6.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31329PHP1
        
          
        
        877340.28000000
        PA
        USD
        952632.66000000
        0.190056847307
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LOGISTICS PARTNER
        5493006LL0CKP8WQW329
        Sunoco Logistics Partners Operations LP
        86765BAV1
        
          
        
        75000.00000000
        PA
        USD
        80244.75000000
        0.016009386239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK PLC
        PTCQB104N23FMNK2RZ28
        Santander UK PLC
        80283LAX1
        
          
        
        499000.00000000
        PA
        USD
        531395.08000000
        0.106017017702
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-18
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        N/A
        Level 3 Financing Inc
        527298BR3
        
          
        
        645000.00000000
        PA
        USD
        651450.00000000
        0.129968809990
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128QJ4T0
        
          
        
        23050.04000000
        PA
        USD
        24295.98000000
        0.004847217143
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          2.29700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZQ6
        
          
        
        40000.00000000
        PA
        USD
        36412.50000000
        0.007264547231
        Long
        DBT
        UST
        US
        N
        
        1
        
          2030-05-15
          Fixed
          0.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215740  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215740  IRS USD P F   .27500 2 CCPVANILLA
        000000000
        
          
        
        129720000.00000000
        OU
        Notional Amount
        USD
        80776.64000000
        0.016115501996
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-03-03
            27450.17000000
            USD
            0.00000000
            USD
            129720000.00000000
            USD
            53326.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        658.69000000
        0.000131413240
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2631162.96000000
            NOK
            308271.00000000
            USD
            2021-06-16
            658.69000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        36801.12000000
        0.007342079626
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11102604.14000000
            SEK
            1308989.19000000
            USD
            2021-06-16
            36801.12000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSUSSG2021040101335 PUT USD SGD 1.335 APR21
        000000000
        
          
        
        3553000.00000000
        OU
        Notional Amount
        USD
        3.55000000
        0.000000708249
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    3.55000000
                    0.00000000
                    DFE
                    
                    US
                  
                  4743255.00000000
                  SGD
                  3553000.00000000
                  USD
                  2021-04-01
                
              
            
            1.00000000
            1.33500000
            USD
            2021-04-01
            XXXX
            -5706.12000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1479.87000000
        -0.00029524436
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1488046.02000000
            NOK
            146846.26000000
            EUR
            2021-06-16
            -1479.87000000
          
        
        
          N
          N
          N
        
      
      
        CONSTELLATION BRANDS INC
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBE7
        
          
        
        625000.00000000
        PA
        USD
        654712.50000000
        0.130619701451
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379EW73
        
          
        
        334584.10000000
        PA
        USD
        45021.87000000
        0.008982176479
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-10-20
          Floating
          5.98900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        66973.28000000
        PA
        USD
        81986.68000000
        0.016356913400
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXBH2
        
          
        
        3375.93000000
        PA
        USD
        3853.83000000
        0.000768865912
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        28173.44000000
        0.005620797405
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1501000.00000000
            EUR
            1791285.90000000
            USD
            2021-06-16
            28173.44000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY28
        
          
        
        1092.96000000
        PA
        USD
        1130.84000000
        0.000225610452
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        2289.75000000
        PA
        USD
        2597.16000000
        0.000518151499
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAZ8
        
          
        
        300000.00000000
        PA
        USD
        318555.00000000
        0.063553940082
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9TW3
        
          
        
        553808.34000000
        PA
        USD
        617473.87000000
        0.123190335534
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -11255.44000000
        -0.00224553863
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3709021.74000000
            NOK
            359579.03000000
            EUR
            2021-06-16
            -11255.44000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -959.23000000
        -0.00019137306
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            423438.10000000
            USD
            306381.85000000
            GBP
            2021-06-16
            -959.23000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHR3
        
          
        
        65000.00000000
        PA
        USD
        69797.65000000
        0.013925117062
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBL9
        
          
        
        25000.00000000
        PA
        USD
        24921.25000000
        0.004971962861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-22
          Fixed
          2.52200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1743.04000000
        -0.00034774861
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            183828.57000000
            USD
            1557469.18000000
            NOK
            2021-06-16
            -1743.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -0.23000000
        -0.00000004588
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            535661.12000000
            USD
            705000.00000000
            AUD
            2021-06-16
            -0.23000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03433A SWAPTION US0003M APR21 1.719 CALL
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -19688.51000000
        -0.00392799480
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19688.51000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      Sterling Overnight Index Average
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-04-26
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            1.71900000
            USD
            2021-04-22
            XXXX
            15181.99000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y1WP9
        
          
        
        2056142.52000000
        PA
        USD
        2293419.11000000
        0.457553077804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918BB9
        
          
        
        35000.00000000
        PA
        USD
        37363.55000000
        0.007454288326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-12
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300WCW8E0MUEMAH47
        SLM Student Loan Trust 2005-5
        78442GPQ3
        
          
        
        823415.86000000
        PA
        USD
        819020.14000000
        0.163400219439
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-10-25
          Floating
          0.35800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTHPEAK PROPERTIES
        PZ9HF5U52KPF0MH0QN75
        Healthpeak Properties Inc
        40414LAR0
        
          
        
        65000.00000000
        PA
        USD
        69778.80000000
        0.013921356356
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KG9
        
          
        
        239686.58000000
        PA
        USD
        264439.40000000
        0.052757501162
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telefonica Emisiones SAU
        549300Y5MFC4SW5Z3K71
        Telefonica Emisiones SA
        87938WAR4
        
          
        
        325000.00000000
        PA
        USD
        350730.25000000
        0.069973126441
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-04-27
          Fixed
          4.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02950A SWAPTION US0003M NOV22 0.7 CALL
        000000000
        
          
        
        10200000.00000000
        NC
        USD
        23110.14000000
        0.004610633808
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    10200000.00000000
                    OU
                    Notional Amount
                    N/A
                    23110.14000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10200000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2022-11-14
            XXXX
            -80128.73000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W0FU8
        
          
        
        16199.03000000
        PA
        USD
        17434.82000000
        0.003478367960
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OC8
        232434AE0
        
          
        
        1806404.82000000
        PA
        USD
        1634267.45000000
        0.326047733030
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.60900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO BANK NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        000000000
        
          
        
        400000.00000000
        PA
        
        499781.29000000
        0.099709846522
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-09-22
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRONOX INC
        549300EPZ4YXC7E5P181
        Tronox Inc
        897051AC2
        
          
        
        990000.00000000
        PA
        USD
        990000.00000000
        0.197511891765
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        3678.73000000
        0.000733932244
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1476379.98000000
            TRY
            178535.32000000
            USD
            2021-04-29
            3678.73000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        35061.91000000
        0.006995095124
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12708970.85000000
            NOK
            1520915.16000000
            USD
            2021-05-21
            35061.91000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2N3
        
          
        
        725000.00000000
        PA
        USD
        709709.75000000
        0.141592035683
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-13
          Fixed
          1.32300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        33441.29000000
        PA
        USD
        37588.75000000
        0.007499217294
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UDR INC
        P3CH2EG5X6Z1XWU1OO74
        UDR Inc
        90265EAU4
        
          
        
        775000.00000000
        PA
        USD
        701940.75000000
        0.140042066100
        Long
        DBT
        
        US
        N
        
        2
        
          2033-03-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030641
        
          
        
        3000000.00000000
        PA
        USD
        3123395.40000000
        0.623139125439
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-04-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S2P1
        
          
        
        2753767.96000000
        PA
        USD
        2929593.29000000
        0.584474255364
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BA4U5
        
          
        
        690610.25000000
        PA
        USD
        113518.02000000
        0.022647635231
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215829  IRS MXN R V 01MTIIE 1 CCPVANILLA / Short: BR215829  IRS MXN P F  6.40000 2 CCPVANILLA
        000000000
        
          
        
        37015000.00000000
        OU
        Notional Amount
        
        74585.24000000
        0.014880274596
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-06-04
            118166.40000000
            MXN
            0.00000000
            MXN
            37015000.00000000
            MXN
            69301.39000000
          
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BL3
        
          
        
        150000.00000000
        PA
        USD
        156475.50000000
        0.031217951535
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Corp
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BD4
        
          
        
        60000.00000000
        PA
        USD
        68428.80000000
        0.013652021958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-03
          Fixed
          4.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XZSV4
        
          
        
        548333.37000000
        PA
        USD
        581254.10000000
        0.115964239280
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Visa Inc
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAE2
        
          
        
        15000.00000000
        PA
        USD
        17762.40000000
        0.003543722450
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-12-14
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BX0
        
          
        
        200000.00000000
        PA
        USD
        215500.00000000
        0.042993750177
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-09-17
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CX5
        
          
        
        100000.00000000
        PA
        USD
        120989.00000000
        0.024138147750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-16
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5R6J7JCQRIPQR1EEP713
        Long: SS005888  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005888  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        210000.00000000
        OU
        Notional Amount
        USD
        4792.22000000
        0.000956081250
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5R6J7JCQRIPQR1EEP713
            
            
              
                Qatar Government International Bond
                Qatar Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            2957.32000000
            USD
            0.00000000
            USD
            210000.00000000
            USD
            1834.90000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas
        R0MUWSFPU8MPRO8K5P83
        PTBNPUSTW2021042802820 PUT USD TWD 28.20 APR21
        000000000
        
          
        
        1778000.00000000
        OU
        Notional Amount
        USD
        4937.51000000
        0.000985067616
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas
              R0MUWSFPU8MPRO8K5P83
            
            Put
            Purchased
            
              
                
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP Paribas
                    R0MUWSFPU8MPRO8K5P83
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    4937.51000000
                    0.00000000
                    DFE
                    
                    US
                  
                  50139600.00000000
                  TWD
                  1778000.00000000
                  USD
                  2021-04-28
                
              
            
            1.00000000
            28.20000000
            USD
            2021-04-28
            XXXX
            533.48000000
          
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAQ1
        
          
        
        225000.00000000
        PA
        USD
        247104.00000000
        0.049298968184
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B9HA6
        
          
        
        487965.91000000
        PA
        USD
        82398.27000000
        0.016439028470
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          5.94400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM GROWTH/MGM FINANCE
        N/A
        MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
        55303XAL9
        
          
        
        813000.00000000
        PA
        USD
        807918.75000000
        0.161185414853
        Long
        DBT
        
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381Y7J7
        
          
        
        507843.85000000
        PA
        USD
        70566.38000000
        0.014078484049
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5735.30000000
        -0.00114423227
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            244145.04000000
            USD
            873306808.08000000
            COP
            2021-04-27
            -5735.30000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1900.49000000
        -0.00037916098
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            185223.51000000
            USD
            1568054.08000000
            NOK
            2021-06-16
            -1900.49000000
          
        
        
          N
          N
          N
        
      
      
        Marble Point CLO Ltd.
        254900N4UCG37B1HFL93
        Marble Point CLO XIV Ltd
        56608KAN3
        
          
        
        2900000.00000000
        PA
        USD
        2901606.60000000
        0.578890715883
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          1.50400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96949LAA3
        
          
        
        915000.00000000
        PA
        USD
        936859.35000000
        0.186909962158
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAA4
        
          
        
        375000.00000000
        PA
        USD
        398610.00000000
        0.079525469875
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A7NR9
        
          
        
        241000.48000000
        PA
        USD
        41548.51000000
        0.008289216979
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Floating
          6.56100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941Z42
        
          
        
        2603.95000000
        PA
        USD
        3000.94000000
        0.000598708420
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGINIA ELEC & POWER CO
        CQKUMNNZVDJLRYV2PT43
        Virginia Electric and Power Co
        927804GD0
        
          
        
        500000.00000000
        PA
        USD
        429665.00000000
        0.085721158560
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-12-15
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        9501.26000000
        0.001895567511
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            408019.67000000
            CHF
            442115.63000000
            USD
            2021-06-16
            9501.26000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215525  IRS USD R F   .50000 2 CCPVANILLA / Short: SR215525  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        20050000.00000000
        OU
        Notional Amount
        USD
        -616569.58000000
        -0.12300992338
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-06-16
            0.00000000
            USD
            -464637.22000000
            USD
            20050000.00000000
            USD
            -151932.36000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VCK8
        
          
        
        925000.00000000
        PA
        USD
        1114467.75000000
        0.222344074357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-21
          Fixed
          4.86200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AC2
        
          
        
        875000.00000000
        PA
        USD
        962657.50000000
        0.192056872673
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2028-01-09
          Fixed
          4.28200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NDL8
        
          
        
        1551.92000000
        PA
        USD
        1760.27000000
        0.000351186118
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215533  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215533  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        7000000.00000000
        OU
        Notional Amount
        
        -17273.99000000
        -0.00344628125
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-06-16
            0.00000000
            EUR
            -12761.46000000
            EUR
            7000000.00000000
            EUR
            -2053.38000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2094.04000000
        0.000417775557
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179783.24000000
            USD
            2712479.63000000
            ZAR
            2021-06-17
            2094.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        80347.23000000
        0.016029831712
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2080303798.00000000
            KRW
            1923304.46000000
            USD
            2021-04-05
            80347.23000000
          
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BW8
        
          
        
        580000.00000000
        PA
        USD
        639276.00000000
        0.127540012242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAD5
        
          
        
        1175000.00000000
        PA
        USD
        1243584.75000000
        0.248103814689
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3774.81000000
        -0.00075310087
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            711133.72000000
            USD
            6050396.80000000
            NOK
            2021-06-16
            -3774.81000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX002964  CDS USD R F  3.00000 2 CMBX / Short: CX002964  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        -60625.00000000
        -0.01209510953
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -280600.65000000
            USD
            1000000.00000000
            USD
            219975.65000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7EV4
        
          
        
        28039.41000000
        PA
        USD
        31950.47000000
        0.006374341184
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDS8
        
          
        
        225000.00000000
        PA
        USD
        281380.50000000
        0.056137368546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        22104.19000000
        0.004409939780
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            564523.51000000
            CHF
            620234.87000000
            USD
            2021-05-21
            22104.19000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410BHN7
        
          
        
        200.38000000
        PA
        USD
        200.76000000
        0.000040053017
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAC4
        
          
        
        650000.00000000
        PA
        USD
        636031.50000000
        0.126892711906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7M1
        
          
        
        374244.25000000
        PA
        USD
        408924.60000000
        0.081583304379
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -4707.17000000
        -0.00093911318
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            25510460.27000000
            TWD
            892400.99000000
            USD
            2021-04-08
            -4707.17000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        239.39000000
        0.000047759971
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1725813.06000000
            USD
            2322702.76000000
            SGD
            2021-06-16
            239.39000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R02
        20753KAB8
        
          
        
        494610.71000000
        PA
        USD
        494935.92000000
        0.098743161476
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-25
          Floating
          2.40900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        4607.61000000
        0.000919250270
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12111842.97000000
            TWD
            430536.15000000
            USD
            2021-04-08
            4607.61000000
          
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AG1
        
          
        
        235000.00000000
        PA
        USD
        255341.60000000
        0.050942426729
        Long
        DBT
        
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BP6
        
          
        
        25000.00000000
        PA
        USD
        27724.50000000
        0.005531230750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-15
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS03441A SWAPTION US0003M APR21 1.715 CALL
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -22730.65000000
        -0.00453492291
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -22730.65000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  N/A
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            1.71500000
            USD
            2021-04-29
            XXXX
            11572.85000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215759  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR215759  IRS CAD P F  1.00000 2 CCPVANILLA
        000000000
        
          
        
        8320000.00000000
        OU
        Notional Amount
        
        366632.14000000
        0.073145664195
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-06-16
            363680.57000000
            CAD
            0.00000000
            CAD
            8320000.00000000
            CAD
            76268.40000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7761.02000000
        -0.00154837751
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            435347.72000000
            USD
            403277.83000000
            CHF
            2021-06-16
            -7761.02000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BE0
        
          
        
        1160000.00000000
        PA
        USD
        1195380.00000000
        0.238486631493
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-05-15
          Fixed
          3.49800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456BAS0
        
          
        
        40000.00000000
        PA
        USD
        35466.40000000
        0.007075793695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2264.30000000
        -0.00045174361
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            150986.00000000
            USD
            126612.04000000
            EUR
            2021-06-16
            -2264.30000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCD2
        
          
        
        312479.41000000
        PA
        USD
        341387.32000000
        0.068109146866
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRACTOR SUPPLY CO
        549300OJ9VZHZRO6I137
        Tractor Supply Co
        892356AA4
        
          
        
        400000.00000000
        PA
        USD
        370856.00000000
        0.073988353669
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FUKH6
        
          
        
        460663.55000000
        PA
        USD
        80005.14000000
        0.015961582376
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAF9
        
          
        
        1025000.00000000
        PA
        USD
        1105852.00000000
        0.220625172254
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lear Corp
        549300UPNBTXA1SYTQ33
        Lear Corp
        521865AZ8
        
          
        
        30000.00000000
        PA
        USD
        35291.70000000
        0.007040939828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-05-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Municipal Power Inc
        EARKGGZJJEMVD66XQ486
        AMERICAN MUNI PWR-OHIO INC OH REVENUE
        02765UEQ3
        
          
        
        250000.00000000
        PA
        USD
        340147.05000000
        0.067861704367
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-02-15
          Fixed
          6.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BA5V2
        
          
        
        529521.85000000
        PA
        USD
        99474.49000000
        0.019845853234
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBN9
        
          
        
        50000.00000000
        PA
        USD
        56048.00000000
        0.011181966171
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742BG9
        
          
        
        250000.00000000
        PA
        USD
        261112.50000000
        0.052093761453
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-07-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADOBE INC
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724PAC3
        
          
        
        450000.00000000
        PA
        USD
        464692.50000000
        0.092709388650
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BG65
        
          
        
        167985.70000000
        PA
        USD
        28201.66000000
        0.005626427492
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBF8
        
          
        
        45000.00000000
        PA
        USD
        50623.20000000
        0.010099680807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-03-19
          Fixed
          4.22700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MF5
        
          
        
        65000.00000000
        PA
        USD
        69525.95000000
        0.013870911021
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-24
          Fixed
          3.35200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        19128.79000000
        0.003816326767
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1046038.11000000
            NZD
            749543.84000000
            USD
            2021-06-16
            19128.79000000
          
        
        
          N
          N
          N
        
      
      
        CITIZENS FINANCIAL GROUP
        2138004JDDA4ZQUPFW65
        Citizens Financial Group Inc
        174610AR6
        
          
        
        65000.00000000
        PA
        USD
        68927.30000000
        0.013751476179
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-27
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -18846.23000000
        -0.00375995408
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3959091.88000000
            BRL
            684312.83000000
            USD
            2021-04-05
            -18846.23000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        3577.52000000
        0.000713740144
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            748828.34000000
            ILS
            227607.40000000
            USD
            2021-04-22
            3577.52000000
          
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAA7
        
          
        
        155000.00000000
        PA
        USD
        170538.75000000
        0.034023667809
        Long
        DBT
        
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAY6
        
          
        
        350000.00000000
        PA
        USD
        365736.00000000
        0.072966878026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        148.33000000
        0.000029592867
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            182639.03000000
            USD
            1563472.28000000
            NOK
            2021-06-16
            148.33000000
          
        
        
          N
          N
          N
        
      
      
        FIRST HORIZON CORP
        TF3RXI1ZB1TQ30H9JV10
        First Horizon Corp
        320517AC9
        
          
        
        700000.00000000
        PA
        USD
        738955.00000000
        0.147426666645
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-26
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215639  IRS USD R F  2.00000 2 CCPVANILLA / Short: SR215639  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        3250000.00000000
        OU
        Notional Amount
        USD
        -213907.52000000
        -0.04267603933
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-02-10
            0.00000000
            USD
            -173006.43000000
            USD
            3250000.00000000
            USD
            -40901.09000000
          
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAG0
        
          
        
        700000.00000000
        PA
        USD
        729953.00000000
        0.145630704979
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDS0
        
          
        
        18000.00000000
        PA
        USD
        22231.26000000
        0.004435291130
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          5.01200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        11804.75000000
        0.002355129802
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3615889.12000000
            SEK
            426130.16000000
            USD
            2021-06-16
            11804.75000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FY45
        
          
        
        127273.65000000
        PA
        USD
        25070.89000000
        0.005001817082
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Floating
          6.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2352.59000000
        -0.00046935808
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            561069.75000000
            CAD
            378125.21000000
            EUR
            2021-06-16
            -2352.59000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAP4
        
          
        
        500000.00000000
        PA
        USD
        532615.00000000
        0.106260400234
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-01-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179NLE6
        
          
        
        650131.82000000
        PA
        USD
        718382.27000000
        0.143322263796
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AWKF3
        
          
        
        720082.50000000
        PA
        USD
        144738.17000000
        0.028876272492
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Floating
          5.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        3487547.53000000
        PA
        USD
        3772527.59000000
        0.752645516199
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5647.24000000
        -0.00112666369
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            447625.17000000
            USD
            3857217.42000000
            SEK
            2021-06-16
            -5647.24000000
          
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962G3P7
        
          
        
        30000.00000000
        PA
        USD
        38816.70000000
        0.007744201867
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-01-14
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR215789  IRS CHF R F   .00000 CCPVANILLA / Short: SR215789  IRS CHF P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        11430000.00000000
        OU
        Notional Amount
        
        -45770.79000000
        -0.00913159123
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-06-16
            0.00000000
            CHF
            -782.58000000
            CHF
            11430000.00000000
            CHF
            -44955.96000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214050  IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR214050  IRS SEK P F   .75000 2 CCPVANILLA
        000000000
        
          
        
        10730000.00000000
        OU
        Notional Amount
        
        24383.35000000
        0.004864648066
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-18
            0.00000000
            SEK
            -40983.84000000
            SEK
            10730000.00000000
            SEK
            46096.24000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9ZE6
        
          
        
        899194.49000000
        PA
        USD
        977486.37000000
        0.195015335468
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022659
        
          
        
        14000000.00000000
        PA
        USD
        14334686.80000000
        2.859869805789
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-05-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        74057.63000000
        PA
        USD
        80062.86000000
        0.015973097917
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        627.96000000
        0.000125282391
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8019160.11000000
            NOK
            938157.27000000
            USD
            2021-06-16
            627.96000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SS8
        
          
        
        960000.00000000
        PA
        USD
        800850.00000000
        0.159775150020
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-11-15
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KREF 2018--FL1 Ltd.
        549300N45646UZ8P3S07
        KREF 2018-FL1 Ltd
        48275PAA9
        
          
        
        1939216.59000000
        PA
        USD
        1939204.37000000
        0.386884771351
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-06-15
          Floating
          1.20800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DH7
        
          
        
        1090000.00000000
        PA
        USD
        1203196.50000000
        0.240046077656
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAJ9
        
          
        
        480000.00000000
        PA
        USD
        521550.00000000
        0.104052855707
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2050-04-16
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BH4
        
          
        
        225000.00000000
        PA
        USD
        271719.00000000
        0.054209832038
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAM2
        
          
        
        200000.00000000
        PA
        USD
        218470.00000000
        0.043586285852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LZ2
        
          
        
        535000.00000000
        PA
        USD
        573552.10000000
        0.114427636663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          4.04400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER HLDGS CORP
        529900IKZG65COT1D505
        Schlumberger Holdings Corp
        806851AH4
        
          
        
        30000.00000000
        PA
        USD
        33319.20000000
        0.006647412347
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: CS005629  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005629  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        140000.00000000
        OU
        Notional Amount
        USD
        -1586.52000000
        -0.00031652178
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2022-06-20
            0.00000000
            USD
            -373.75000000
            USD
            140000.00000000
            USD
            -1212.77000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        251251.96000000
        0.050126515080
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            41701485.07000000
            SEK
            5028345.85000000
            USD
            2021-05-19
            251251.96000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR215746  IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR215746  IRS AUD P F  1.55000 2 CCPVANILLA
        000000000
        
          
        
        12160000.00000000
        OU
        Notional Amount
        
        19039.35000000
        0.003798482865
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-02-23
            11853.97000000
            AUD
            0.00000000
            AUD
            12160000.00000000
            AUD
            9866.42000000
          
        
        
          N
          N
          N
        
      
    
    
      
      
      
    
    
      2021-04-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
    
  





Serious News for Serious Traders! Try StreetInsider.com Premium Free!

You May Also Be Interested In





Related Categories

SEC Filings

Related Entities

Goldman Sachs