Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

May 25, 2022 12:37 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000036259
        C000110984
        C000202046
        C000161296
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      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Short Duration Bond Fund
      S000036259
      5K6BNCLRUJN03ZJ21072
      2022-03-31
      2022-03-31
      N
    
    
      2648040315.15
      181662125.83
      2466378189.32
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      58421719.33000000
      0.00000000
      0.00000000
      36435663.31000000
      
        
          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CHF
          
          
        
        
          CLP
          
          
        
        
          CNY
          
          
        
        
          COP
          
          
        
        
          CZK
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          HUF
          
          
        
        
          IDR
          
          
        
        
          ILS
          
          
        
        
          INR
          
          
        
        
          JPY
          
          
        
        
          KRW
          
          
        
        
          MXN
          
          
        
        
          NOK
          
          
        
        
          NZD
          
          
        
        
          PLN
          
          
        
        
          RUB
          
          
        
        
          SEK
          
          
        
        
          SGD
          
          
        
        
          TRY
          
          
        
        
          TWD
          
          
        
        
          USD
          
          
        
        
          ZAR
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217291  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217291  IRS USD P F  1.73000 2 CCPOIS
        000000000
        
          
        
        300120000.00000000
        OU
        Notional Amount
        USD
        3866415.95000000
        0.156764926268
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-02-08
            588501.24000000
            USD
            0.00000000
            USD
            300120000.00000000
            USD
            3277914.71000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4003.64000000
        0.000162328714
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            780655.59000000
            USD
            11283595897.86000000
            IDR
            2022-06-15
            4003.64000000
          
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        00831TAC5
        
          
        
        1130000.00000000
        PA
        USD
        1042278.10000000
        0.042259459823
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2031-05-17
          Fixed
          3.79800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bausch Health Cos Inc
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        91831AAC5
        
          
        
        599000.00000000
        PA
        USD
        603492.50000000
        0.024468773792
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2025-04-15
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANK CORP MKTS/NY
        213800MBWEIJDM5CU638
        Lloyds Bank Corporate Markets PLC/New York NY
        53947BF70
        
          
        
        4285000.00000000
        PA
        USD
        4260802.26000000
        0.172755430551
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-01-31
          Floating
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -73648.63000000
        -0.00298610449
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4147310.26000000
            EUR
            4527975.28000000
            USD
            2022-06-15
            -73648.63000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WTZ1
        
          
        
        4921136.15000000
        PA
        USD
        4869755.01000000
        0.197445591721
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-12-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of Huntington Beach CA
        N/A
        HUNTINGTON BEACH CA PENSN OBLIG
        446201AB1
        
          
        
        560000.00000000
        PA
        USD
        547335.38000000
        0.022191867507
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-06-15
          Fixed
          0.38100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217241  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217241  IRS USD P F  1.50000 2 CCPOIS
        000000000
        
          
        
        43620000.00000000
        OU
        Notional Amount
        USD
        901315.70000000
        0.036544099518
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-17
            441926.14000000
            USD
            0.00000000
            USD
            43620000.00000000
            USD
            459389.56000000
          
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAB9
        
          
        
        5500000.00000000
        PA
        USD
        5498130.00000000
        0.222923233095
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.52800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLARIOS GLOBAL LP
        549300474L1ZLXZY2P98
        Clarios Global LP
        18060TAA3
        
          
        
        2538000.00000000
        PA
        USD
        2626830.00000000
        0.106505563963
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2025-05-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERGY CORP
        4XM3TW50JULSLG8BNC79
        Entergy Corp
        29364GAM5
        
          
        
        2800000.00000000
        PA
        USD
        2575076.00000000
        0.104407183421
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-15
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        23692.02000000
        0.000960599639
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            766646.00000000
            USD
            6961341.17000000
            NOK
            2022-06-15
            23692.02000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9DM2
        
          
        
        1553385.42000000
        PA
        USD
        1619985.42000000
        0.065682766212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SKYWORKS SOLUTIONS INC
        549300WZ3ORQ2BVKBD96
        Skyworks Solutions Inc
        83088MAK8
        
          
        
        2425000.00000000
        PA
        USD
        2258911.75000000
        0.091588214645
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BK6
        
          
        
        1175000.00000000
        PA
        USD
        1189088.25000000
        0.048211918802
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          4.26900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AA9
        
          
        
        110000.00000000
        PA
        USD
        116325.00000000
        0.004716429966
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217076  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR217076  IRS NOK P F  2.00000 2 CCPVANILLA
        000000000
        
          
        
        11750000.00000000
        OU
        Notional Amount
        
        52217.12000000
        0.002117157872
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            76509.55000000
            NOK
            0.00000000
            NOK
            11750000.00000000
            NOK
            85401.28000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -498460.94000000
        -0.02021023953
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1532000.00000000
            USD
            16059956.00000000
            TRY
            2022-06-14
            -498460.94000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2144.76000000
        -0.00008695989
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            774311.99000000
            USD
            11090470632.77000000
            IDR
            2022-05-13
            -2144.76000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -413.12000000
        -0.00001675006
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            168784.29000000
            GBP
            221247.00000000
            USD
            2022-06-15
            -413.12000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WG44
        
          
        
        439387.26000000
        PA
        USD
        434799.66000000
        0.017629074968
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-06-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        1233.00000000
        NC
        USD
        -3915573.52000000
        -0.15875803382
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            155208526.65000000
            USD
            -3915573.52000000
          
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAN4
        
          
        
        15325000.00000000
        PA
        USD
        14891455.75000000
        0.603778277576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.24200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAD9
        
          
        
        2075000.00000000
        PA
        USD
        2097368.50000000
        0.085038397966
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-04-26
          Fixed
          3.62200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XBW5
        
          
        
        1100000.00000000
        PA
        USD
        1116962.00000000
        0.045287539633
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-13
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03962A SWAPTION SONIO
        000000000
        
          
        
        -3680000.00000000
        NC
        
        -6644.16000000
        -0.00026938934
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3680000.00000000
                    OU
                    Notional Amount
                    N/A
                    -6644.16000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3680000.00000000
                  GBP
                
              
            
            1.00000000
            0.37900000
            GBP
            2022-10-10
            XXXX
            70641.22000000
          
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397WK5
        
          
        
        285000.00000000
        PA
        USD
        288138.99000000
        0.011682676697
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-06
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BAA87
        
          
        
        432420.26000000
        PA
        USD
        79222.20000000
        0.003212086465
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -283.19000000
        -0.00001148201
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            847769.60000000
            USD
            3217853637.63000000
            COP
            2022-05-16
            -283.19000000
          
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAM7
        
          
        
        1790000.00000000
        PA
        USD
        1871069.10000000
        0.075863024904
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        59049.72000000
        0.002394187568
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            249438854.00000000
            JPY
            2112232.82000000
            USD
            2022-06-15
            59049.72000000
          
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAN5
        
          
        
        9700000.00000000
        PA
        USD
        9222857.00000000
        0.373943340884
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-15
          Fixed
          1.08900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAJ8
        
          
        
        2500000.00000000
        PA
        USD
        2466432.50000000
        0.100002202041
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.44400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATIONAL INFORM
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        31620MBR6
        
          
        
        4025000.00000000
        PA
        USD
        3698653.00000000
        0.149962930097
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BV1
        
          
        
        3175000.00000000
        PA
        USD
        3144837.50000000
        0.127508324295
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-10-14
          Fixed
          1.31900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B06N1
        
          
        
        2060228.78000000
        PA
        USD
        89923.22000000
        0.003645962342
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-25
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 LTD
        549300BTYXZYFTGVBO58
        ZAIS CLO 15 LTD
        98888DAN2
        
          
        
        2625000.00000000
        PA
        USD
        2619490.13000000
        0.106207966861
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-28
          Floating
          1.62800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        County of Pima AZ
        N/A
        PIMA CNTY AZ PLEDGED REVENUE OBLIGS
        72178JAC7
        
          
        
        865000.00000000
        PA
        USD
        828191.14000000
        0.033579243588
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-05-01
          Fixed
          0.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Transocean Sentry Ltd
        N/A
        Transocean Sentry Ltd
        89385AAA3
        
          
        
        1583001.73000000
        PA
        USD
        1535511.68000000
        0.062257754575
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-05-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Credit Floorplan Master Owner Trust
        5493001DTG5N7T8BG747
        Ford Credit Floorplan Master Owner Trust A
        34528QHF4
        
          
        
        3750000.00000000
        PA
        USD
        3692221.73000000
        0.149702172440
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          2.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAH5
        
          
        
        1100000.00000000
        PA
        USD
        1085414.00000000
        0.044008417066
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -6941.50000000
        -0.00028144507
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            799679.38000000
            CHF
            859193.11000000
            USD
            2022-04-25
            -6941.50000000
          
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER FIN CA
        549300P4EXZFF0LRNF59
        Schlumberger Finance Canada Ltd
        80685XAB7
        
          
        
        1507000.00000000
        PA
        USD
        1512395.06000000
        0.061320484690
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-11-20
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Methanex Corp
        549300TSJHRXT9QXRD13
        Methanex Corp
        59151KAK4
        
          
        
        3500000.00000000
        PA
        USD
        3500000.00000000
        0.141908488128
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-12-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA1
        35564KCN7
        
          
        
        3530000.00000000
        PA
        USD
        3060066.99000000
        0.124071280035
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-25
          Floating
          3.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-C38
        95001MAP5
        
          
        
        1000000.00000000
        PA
        USD
        818616.36000000
        0.033191031430
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396VGA0
        
          
        
        9645.06000000
        PA
        USD
        9667.36000000
        0.000391965840
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.80700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        11461.86000000
        0.000464724349
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            722912.68000000
            EUR
            7634391.65000000
            SEK
            2022-06-15
            11461.86000000
          
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN PENERBIT SBSN
        254900G208H6Q0L5B953
        Perusahaan Penerbit SBSN Indonesia III
        71567RAN6
        
          
        
        4310000.00000000
        PA
        USD
        4245824.10000000
        0.172148136826
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-06-23
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Iowa Board of Regents
        N/A
        IOWA ST BRD REGENTS HOSP REVENUE
        46256QLX2
        
          
        
        7520000.00000000
        PA
        USD
        7486693.92000000
        0.303550118648
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-10-01
          Fixed
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404121AG0
        
          
        
        3384000.00000000
        PA
        USD
        3489750.00000000
        0.141492898984
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3137.51000000
        -0.00012721122
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            712151.55000000
            USD
            6245034.98000000
            NOK
            2022-06-15
            -3137.51000000
          
        
        
          N
          N
          N
        
      
      
        TELEDYNE TECHNOLOGIES IN
        549300VSMO9KYQWDND94
        Teledyne Technologies Inc
        879360AC9
        
          
        
        9375000.00000000
        PA
        USD
        8746593.75000000
        0.354633112953
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002921  CDS USD R F  1.00000 2 CCPCDX / Short: SX002921  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        1650000.00000000
        OU
        Notional Amount
        USD
        22091.69000000
        0.000895713808
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S33
                2I65BYDV4
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            USD
            -4392.35000000
            USD
            1650000.00000000
            USD
            26484.04000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378WUZ4
        
          
        
        286374.28000000
        PA
        USD
        47357.00000000
        0.001920102934
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DCP MIDSTREAM OPERATING
        549300Y6CTBSE0QIPL28
        DCP Midstream Operating LP
        23311VAG2
        
          
        
        4645000.00000000
        PA
        USD
        4795962.50000000
        0.194453653570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KND7
        
          
        
        1888000.00000000
        PA
        USD
        1782103.78000000
        0.072255900888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NETAPP INC
        QTX3D84DZDD5JYOCYH15
        NetApp Inc
        64110DAL8
        
          
        
        1300000.00000000
        PA
        USD
        1243697.00000000
        0.050426045988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-22
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KAH1
        
          
        
        1166428.25000000
        PA
        USD
        1164154.76000000
        0.047200983411
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          2.30700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2848.36000000
        -0.00011548756
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            599307.00000000
            USD
            5253640.83000000
            NOK
            2022-06-15
            -2848.36000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5410.67000000
        -0.00021937714
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            753506.80000000
            USD
            21346922.99000000
            TWD
            2022-06-15
            -5410.67000000
          
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Securities Trust
        N/A
        JPMDB Commercial Mortgage Securities Trust 2017-C7
        46648KAC0
        
          
        
        980000.00000000
        PA
        USD
        796458.04000000
        0.032292616089
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X6ZR5
        
          
        
        1384398.36000000
        PA
        USD
        1442671.56000000
        0.058493525698
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BS7
        
          
        
        6000000.00000000
        PA
        USD
        6360000.00000000
        0.257867995571
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -3518.71000000
        -0.00014266709
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            676003.50000000
            EUR
            746537.03000000
            USD
            2022-06-15
            -3518.71000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378UYN1
        
          
        
        105406.39000000
        PA
        USD
        15754.48000000
        0.000638769839
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-06-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132AD6P8
        
          
        
        6959143.08000000
        PA
        USD
        7219451.91000000
        0.292714715904
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        1160895.61000000
        0.047068840254
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            29556418.50000000
            TRY
            3063000.00000000
            USD
            2022-06-14
            1160895.61000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03898A SWAPTION SONIO SEP22 0.281 CALL
        000000000
        
          
        
        30480000.00000000
        NC
        
        3011.02000000
        0.000122082655
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    30480000.00000000
                    OU
                    Notional Amount
                    N/A
                    3011.02000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  30480000.00000000
                  GBP
                
              
            
            1.00000000
            0.28100000
            GBP
            2022-09-08
            XXXX
            -55219.86000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5056.41000000
        0.000205013570
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1614604.54000000
            USD
            2195203.42000000
            SGD
            2022-06-15
            5056.41000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217013  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR217013  IRS CAD P F  1.00000 2 CCPVANILLA
        000000000
        
          
        
        11560000.00000000
        OU
        Notional Amount
        
        301552.19000000
        0.012226518678
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            235716.14000000
            CAD
            0.00000000
            CAD
            11560000.00000000
            CAD
            116438.57000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2801.13000000
        0.000113572606
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            681636.73000000
            EUR
            7123362.85000000
            SEK
            2022-06-15
            2801.13000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -3572.31000000
        -0.00014484031
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4776374.64000000
            CNY
            744731.80000000
            USD
            2022-06-15
            -3572.31000000
          
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2022-1
        92538WAA5
        
          
        
        4939904.62000000
        PA
        USD
        4816286.96000000
        0.195277714539
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-01-25
          Variable
          2.72400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RAH6
        
          
        
        366861.58000000
        PA
        USD
        367267.00000000
        0.014890944202
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gulf Stream Meridian 1 Ltd.
        N/A
        Gulf Stream Meridian 3 Ltd
        402512AC1
        
          
        
        3000000.00000000
        PA
        USD
        2982930.00000000
        0.120943738998
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          1.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -40738.55000000
        -0.00165175601
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            21577878.00000000
            ZAR
            1431037.63000000
            USD
            2022-04-26
            -40738.55000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -6673.10000000
        -0.00027056272
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9614785.20000000
            CNY
            1499654.16000000
            USD
            2022-06-15
            -6673.10000000
          
        
        
          N
          N
          N
        
      
      
        B&G Foods Inc
        549300TRW1LZMDJZAQ78
        B&G Foods Inc
        05508RAE6
        
          
        
        2050000.00000000
        PA
        USD
        2003875.00000000
        0.081247677613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        DBJPM 17-C6 Mortgage Trust
        23312JAQ6
        
          
        
        1000000.00000000
        PA
        USD
        865349.40000000
        0.035085835730
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-06-10
          Variable
          3.21800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217685  IRS EUR R F  1.48900 2 CCPVANILLA / Short: SR217685  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        6230000.00000000
        OU
        Notional Amount
        
        525.17000000
        0.000021293165
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-29
            69.78000000
            EUR
            0.00000000
            EUR
            6230000.00000000
            EUR
            62435.79000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        12940.06000000
        PA
        USD
        14079.12000000
        0.000570841895
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CWU4
        
          
        
        4230673.96000000
        PA
        USD
        4412060.30000000
        0.178888230487
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TIME WARNER ENT
        N/A
        Time Warner Entertainment Co LP
        88731EAF7
        
          
        
        9179000.00000000
        PA
        USD
        9682927.10000000
        0.392597012977
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-15
          Fixed
          8.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYUNDAI CAPITAL AMERICA
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891ABQ9
        
          
        
        4000000.00000000
        PA
        USD
        3973680.00000000
        0.161113977459
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-10
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -19751.80000000
        -0.00080084230
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5091111.33000000
            TRY
            307620.02000000
            USD
            2022-06-15
            -19751.80000000
          
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN PENERBIT SBSN
        254900G208H6Q0L5B953
        Perusahaan Penerbit SBSN Indonesia III
        71567PAR1
        
          
        
        7550000.00000000
        PA
        USD
        7126143.00000000
        0.288931479805
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2026-06-09
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAR2
        
          
        
        1900000.00000000
        PA
        USD
        1907315.00000000
        0.077332625152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH AMERICAS
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAV6
        
          
        
        110000.00000000
        PA
        USD
        113025.00000000
        0.004582630534
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023BP9
        
          
        
        5400000.00000000
        PA
        USD
        5213268.00000000
        0.211373422882
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-30
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2015-P1
        17324DAY0
        
          
        
        1949000.00000000
        PA
        USD
        1881438.64000000
        0.076283460831
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-09-15
          Variable
          4.36900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABR5
        
          
        
        2614000.00000000
        PA
        USD
        2459434.18000000
        0.099718453181
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA2
        35564KFV6
        
          
        
        2510000.00000000
        PA
        USD
        2370491.44000000
        0.096112244677
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-25
          Floating
          2.14900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BN0
        
          
        
        1325000.00000000
        PA
        USD
        1314519.25000000
        0.053297554109
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-22
          Fixed
          2.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BY5
        
          
        
        2275000.00000000
        PA
        USD
        2174399.50000000
        0.088161641609
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-01-12
          Fixed
          0.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAK6
        
          
        
        5820000.00000000
        PA
        USD
        5645400.00000000
        0.228894336823
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2027-02-27
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISOURCE INC
        549300D8GOWWH0SJB189
        NiSource Inc
        65473PAK1
        
          
        
        11050000.00000000
        PA
        USD
        10163458.50000000
        0.412080294255
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SL GREEN OPERATING PARTN
        2K1OXW4LY7IS2U150Y32
        SL Green Operating Partnership LP
        78444FAF3
        
          
        
        2575000.00000000
        PA
        USD
        2575643.75000000
        0.104430203005
        Long
        DBT
        
        US
        N
        
        2
        
          2022-10-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217031  IRS AUD R F  2.00000 2 CCPVANILLA / Short: SR217031  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        6960000.00000000
        OU
        Notional Amount
        
        -487626.86000000
        -0.01977096870
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            7258.50000000
            AUD
            0.00000000
            AUD
            6960000.00000000
            AUD
            -492741.06000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EPY7
        
          
        
        853256.85000000
        PA
        USD
        125308.45000000
        0.005080666482
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217521  IRS SEK R F   .75000 2 CCPVANILLA / Short: SR217521  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        135040000.00000000
        OU
        Notional Amount
        
        -231818.86000000
        -0.00939916112
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-15
            0.00000000
            SEK
            -2325144.44000000
            SEK
            135040000.00000000
            SEK
            17515.71000000
          
        
        
          N
          N
          N
        
      
      
        City of Worcester MA
        5493006DO0NOILRNNH68
        WORCESTER MA
        981306A52
        
          
        
        230000.00000000
        PA
        USD
        228520.23000000
        0.009265417241
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-11-15
          Fixed
          0.27500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAH2
        
          
        
        2625000.00000000
        PA
        USD
        2769375.00000000
        0.112285091231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        15805.09000000
        0.000640821836
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            652730.28000000
            USD
            528580981.00000000
            CLP
            2022-04-27
            15805.09000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFP9
        
          
        
        23950000.00000000
        PA
        USD
        24391159.00000000
        0.988946427827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-21
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Town of West Hartford CT
        N/A
        WEST HARTFORD CT
        953107AB5
        
          
        
        235000.00000000
        PA
        USD
        231107.51000000
        0.009370319239
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          0.46600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XEROX HOLDINGS CORP
        5493000Y33XDVO2CXC18
        Xerox Holdings Corp
        98421MAA4
        
          
        
        4495000.00000000
        PA
        USD
        4517475.00000000
        0.183162299259
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -30590.26000000
        -0.00124029072
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1526387.75000000
            CAD
            1190137.12000000
            USD
            2022-06-15
            -30590.26000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23
        61690QAS8
        
          
        
        550000.00000000
        PA
        USD
        511938.44000000
        0.020756688581
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-07-15
          Variable
          4.14400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MBC6
        
          
        
        120000.00000000
        PA
        USD
        125419.20000000
        0.005085156872
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -8828.05000000
        -0.00035793577
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            631287.46000000
            CHF
            676616.00000000
            USD
            2022-06-15
            -8828.05000000
          
        
        
          N
          N
          N
        
      
      
        RELIANCE STAND LIFE II
        N/A
        Reliance Standard Life Global Funding II
        75951AAM0
        
          
        
        1025000.00000000
        PA
        USD
        1026260.75000000
        0.041610031845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-21
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -8921.02000000
        -0.00036170527
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2877028.15000000
            NOK
            317715.00000000
            USD
            2022-06-15
            -8921.02000000
          
        
        
          N
          N
          N
        
      
      
        Spectrum Brands Inc
        549300VU3EH2E73C1Q04
        Spectrum Brands Inc
        84762LAU9
        
          
        
        114000.00000000
        PA
        USD
        116137.50000000
        0.004708827725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        9168.84000000
        0.000371753206
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            725351.83000000
            CHF
            718084.81000000
            EUR
            2022-06-15
            9168.84000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BDB6
        
          
        
        1606597.02000000
        PA
        USD
        195612.18000000
        0.007931151063
        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
        
          
        
        2040000.00000000
        PA
        USD
        2111400.00000000
        0.085607309095
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1637.28000000
        -0.00006638397
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            751705.57000000
            USD
            10773068376.46000000
            IDR
            2022-05-13
            -1637.28000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABZ7
        
          
        
        5450000.00000000
        PA
        USD
        5082997.00000000
        0.206091548409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YXM1
        
          
        
        436033.51000000
        PA
        USD
        51898.19000000
        0.002104226765
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERFORMANCE FOOD GROUP I
        549300OMUOGBYK0FFO76
        Performance Food Group Inc
        71376LAD2
        
          
        
        3020000.00000000
        PA
        USD
        3110600.00000000
        0.126120155192
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003022  CDS USD R F  3.00000 2 CMBX / Short: CX003022  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1350000.00000000
        OU
        Notional Amount
        USD
        -176343.75000000
        -0.00714990712
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -208438.35000000
            USD
            1350000.00000000
            USD
            32094.60000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DAS1
        
          
        
        1776169.86000000
        PA
        USD
        1844273.19000000
        0.074776577168
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORDSTROM INC
        549300S3IZB5P35KNV16
        Nordstrom Inc
        655664AX8
        
          
        
        3000000.00000000
        PA
        USD
        2895000.00000000
        0.117378592323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-08
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES PARTNERS
        N/A
        Targa Resources Partners LP / Targa Resources Partners Finance Corp
        87612BBJ0
        
          
        
        7740000.00000000
        PA
        USD
        7962912.00000000
        0.322858515149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oregon Education Districts
        N/A
        OREGON EDU DISTS FULL FAITH & CREDIT PENSN OBLIGS
        68587FAS3
        
          
        
        25000.00000000
        PA
        USD
        24964.39000000
        0.001012188240
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-06-30
          Fixed
          0.18200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003021  CDS USD R F  3.00000 2 CMBX / Short: CX003021  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1300000.00000000
        OU
        Notional Amount
        USD
        -141781.25000000
        -0.00574856080
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -166194.12000000
            USD
            1300000.00000000
            USD
            24412.87000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN22
        000000000
        
          
        
        -83.00000000
        NC
        USD
        322768.20000000
        0.013086727793
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            -12772768.20000000
            USD
            322768.20000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2110.67000000
        0.000085577711
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            674661.26000000
            EUR
            7044256.28000000
            SEK
            2022-06-15
            2110.67000000
          
        
        
          N
          N
          N
        
      
      
        State of Maryland Department of Transportation
        N/A
        MARYLAND ST DEPT OF TRANSPRTN
        57421FAB3
        
          
        
        1240000.00000000
        PA
        USD
        1177674.50000000
        0.047749145086
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-08-01
          Fixed
          0.52600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AX6
        
          
        
        4200000.00000000
        PA
        USD
        3927000.00000000
        0.159221323680
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-09-01
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XAW4
        
          
        
        5000000.00000000
        PA
        USD
        5008300.00000000
        0.203062937455
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMMIT MATERIALS LLC/FIN
        N/A
        Summit Materials LLC / Summit Materials Finance Corp
        86614RAM9
        
          
        
        115000.00000000
        PA
        USD
        117012.50000000
        0.004744304847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371M4U8
        
          
        
        7108.07000000
        PA
        USD
        7506.42000000
        0.000304349918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CC1
        
          
        
        1525000.00000000
        PA
        USD
        1492639.50000000
        0.060519489933
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1024.85000000
        0.000041552832
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            307342.00000000
            USD
            234807.59000000
            GBP
            2022-06-15
            1024.85000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KBD9
        
          
        
        1130000.00000000
        PA
        USD
        1063206.15000000
        0.043107993518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          2.95700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2016-GC36
        17324TAM1
        
          
        
        1200000.00000000
        PA
        USD
        1138564.81000000
        0.046163431663
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBK5
        
          
        
        2050000.00000000
        PA
        USD
        2068040.00000000
        0.083849265654
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        000000000
        
          
        
        870000.00000000
        PA
        USD
        873153.75000000
        0.035402265304
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2022-10-11
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MANITOWOC COMPANY INC
        2RTSLGQ89VMY18RHX631
        Manitowoc Co Inc/The
        563571AL2
        
          
        
        125000.00000000
        PA
        USD
        130000.00000000
        0.005270886701
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBL8
        
          
        
        3600000.00000000
        PA
        USD
        3500028.00000000
        0.141909623396
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-07
          Fixed
          2.85200000
          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
        
          
        
        1300000.00000000
        OU
        Notional Amount
        USD
        -141781.25000000
        -0.00574856080
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -238007.75000000
            USD
            1300000.00000000
            USD
            96226.50000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -47240.23000000
        -0.00191536846
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9790301.85000000
            SEK
            996071.58000000
            USD
            2022-06-15
            -47240.23000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005994  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005994  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        10000000.00000000
        OU
        Notional Amount
        USD
        102847.00000000
        0.004169960651
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                AT&T INC
                AT&T INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            79917.64000000
            USD
            0.00000000
            USD
            10000000.00000000
            USD
            22929.36000000
          
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AF8
        
          
        
        3630000.00000000
        PA
        USD
        3425812.50000000
        0.138900534996
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST HORIZON CORP
        TF3RXI1ZB1TQ30H9JV10
        First Horizon Corp
        320517AD7
        
          
        
        1500000.00000000
        PA
        USD
        1518855.00000000
        0.061582404781
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-26
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04768A SWAPTION SOFRRATE
        000000000
        
          
        
        -99200000.00000000
        NC
        USD
        -33331.20000000
        -0.00135142291
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    99200000.00000000
                    OU
                    Notional Amount
                    N/A
                    -33331.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  99200000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-11-16
            XXXX
            85708.80000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHL6
        
          
        
        1175000.00000000
        PA
        USD
        1189006.00000000
        0.048208583953
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.86400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Los Angeles Department of Water & Power Water System Revenue
        N/A
        LOS ANGELES CA DEPT OF WTR & PWR WTRWKS REVENUE
        544525NX2
        
          
        
        745000.00000000
        PA
        USD
        773954.43000000
        0.031380200869
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          5.28100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAV0
        
          
        
        2440000.00000000
        PA
        USD
        2476331.60000000
        0.100403563846
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2023-06-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XAH3
        
          
        
        283258.60000000
        PA
        USD
        284526.21000000
        0.011536195512
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          4.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A2U4
        
          
        
        1725000.00000000
        PA
        USD
        1600368.75000000
        0.064887402788
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-08
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAP4
        
          
        
        4209000.00000000
        PA
        USD
        4238883.90000000
        0.171866744457
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-06
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ball Corp
        0BGI85ALH27ZJP15DY16
        Ball Corp
        058498AS5
        
          
        
        5413000.00000000
        PA
        USD
        5494195.00000000
        0.222763687409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREENKO DUTCH BV
        724500PT585P4JPVRP08
        Greenko Dutch BV
        39530LAD2
        
          
        
        194000.00000000
        PA
        USD
        183087.50000000
        0.007423334377
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-03-29
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN UNION CO/THE
        28ID94QU1140NC23S047
        Western Union Co/The
        959802AY5
        
          
        
        1025000.00000000
        PA
        USD
        1012812.75000000
        0.041064778888
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-10
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBG9
        
          
        
        6050000.00000000
        PA
        USD
        6059256.50000000
        0.245674265456
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-05
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03951A SWAPTION SONIO
        000000000
        
          
        
        -3340000.00000000
        NC
        
        -6835.86000000
        -0.00027716187
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3340000.00000000
                    OU
                    Notional Amount
                    N/A
                    -6835.86000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3340000.00000000
                  GBP
                
              
            
            1.00000000
            0.42450000
            GBP
            2022-10-10
            XXXX
            64535.34000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Colombia
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325BQ7
        
          
        
        5690000.00000000
        PA
        USD
        5698179.38000000
        0.231034291686
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2024-02-26
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EML8
        
          
        
        9685850.83000000
        PA
        USD
        1446029.73000000
        0.058629683649
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS Corp
        N/A
        DISH DBS Corp
        25470XAJ4
        
          
        
        410000.00000000
        PA
        USD
        411537.50000000
        0.016685904123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        00831TAB7
        
          
        
        1050000.00000000
        PA
        USD
        977035.50000000
        0.039614180186
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2026-05-17
          Fixed
          2.63400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EBAY INC
        OML71K8X303XQONU6T67
        eBay Inc
        278642AX1
        
          
        
        4825000.00000000
        PA
        USD
        4488456.25000000
        0.181985725848
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-10
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCRIPPS ESCROW INC
        N/A
        Scripps Escrow Inc
        81104PAA7
        
          
        
        120000.00000000
        PA
        USD
        120300.00000000
        0.004877597463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MCA6
        
          
        
        1925000.00000000
        PA
        USD
        1809596.25000000
        0.073370590845
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-07-08
          Fixed
          1.47400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04769A SWAPTION SOFRRATE
        000000000
        
          
        
        99200000.00000000
        NC
        USD
        98932.16000000
        0.004011232357
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    99200000.00000000
                    OU
                    Notional Amount
                    N/A
                    98932.16000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  99200000.00000000
                  USD
                
              
            
            1.00000000
            1.80000000
            USD
            2022-11-16
            XXXX
            -223467.84000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        65326.10000000
        0.002648665167
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            48869631.61000000
            RUB
            633485.84000000
            USD
            2022-05-04
            65326.10000000
          
        
        
          N
          N
          N
        
      
      
        SMBC AVIATION CAPITAL FI
        549300OD7VKRVNWB2J98
        SMBC Aviation Capital Finance DAC
        78448TAE2
        
          
        
        1200000.00000000
        PA
        USD
        1192656.00000000
        0.048356574233
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-04-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PPM Clo, Ltd.
        5493006KUFG82AH4TB78
        PPM CLO 4 Ltd
        69356AAL6
        
          
        
        7000000.00000000
        PA
        USD
        6901902.00000000
        0.279839565152
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2034-10-18
          Floating
          1.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P8
        17326DAM4
        
          
        
        1500000.00000000
        PA
        USD
        1211746.61000000
        0.049130608405
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -18961.42000000
        -0.00076879612
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            677190.61000000
            EUR
            6451120.91000000
            NOK
            2022-06-15
            -18961.42000000
          
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-8
        92538GAA0
        
          
        
        655256.74000000
        PA
        USD
        618521.54000000
        0.025078130461
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-11-25
          Variable
          1.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE JUN22
        000000000
        
          
        
        -12.00000000
        NC
        
        8477.68000000
        0.000343729929
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 5 Year Euro BOBL Future
                OEM2 COMDTY
              
            
            2022-06-08
            -1554823.44000000
            EUR
            8477.68000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MT5
        
          
        
        3700000.00000000
        PA
        USD
        3575162.00000000
        0.144955952638
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          0.77600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KLU1
        
          
        
        3716000.00000000
        PA
        USD
        3511028.78000000
        0.142355653127
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          3.49900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQC3
        
          
        
        396286.55000000
        PA
        USD
        46120.82000000
        0.001869981667
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AZ7
        
          
        
        1800000.00000000
        PA
        USD
        1794852.00000000
        0.072772781067
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -14705.03000000
        -0.00059621959
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            676971.79000000
            EUR
            6486472.90000000
            NOK
            2022-06-15
            -14705.03000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BUQ4
        
          
        
        13867259.85000000
        PA
        USD
        2067045.43000000
        0.083808940532
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -3433.73000000
        -0.00013922155
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            687547.85000000
            EUR
            759430.98000000
            USD
            2022-06-15
            -3433.73000000
          
        
        
          N
          N
          N
        
      
      
        SUMITOMO MITSUI FINL GRP
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        86562MCD0
        
          
        
        4275000.00000000
        PA
        USD
        3908076.75000000
        0.158454075166
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2026-01-12
          Fixed
          0.94800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -7107.39000000
        -0.00028817113
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9466047.66000000
            CNY
            1475917.48000000
            USD
            2022-06-15
            -7107.39000000
          
        
        
          N
          N
          N
        
      
      
        Arizona Board of Regents
        N/A
        ARIZONA BRD OF RGTS COPS
        04048PLM0
        
          
        
        455000.00000000
        PA
        USD
        437910.15000000
        0.017755190663
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-06-01
          Fixed
          0.76900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WBD3
        
          
        
        588343.53000000
        PA
        USD
        602702.11000000
        0.024436727206
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -3592.89000000
        -0.00014567473
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            281257.50000000
            CHF
            301793.00000000
            USD
            2022-06-15
            -3592.89000000
          
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AC1
        
          
        
        3375000.00000000
        PA
        USD
        3382492.50000000
        0.137144113366
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Educational Services of America Inc
        N/A
        Edsouth Indenture No 2 LLC
        281380AA3
        
          
        
        11161.94000000
        PA
        USD
        11161.94000000
        0.000452564008
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2040-09-25
          Floating
          1.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBK1
        
          
        
        6360000.00000000
        PA
        USD
        6130213.20000000
        0.248551224891
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-22
          Fixed
          2.08300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217016  IRS CAD R F  1.75000 2 CCPVANILLA / Short: SR217016  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        470000.00000000
        OU
        Notional Amount
        
        -18262.46000000
        -0.00074045659
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            CAD
            -20910.15000000
            CAD
            470000.00000000
            CAD
            -1625.87000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217580  IRS EUR R V 03MEURIB 1 CCPVANILLA / Short: BR217580  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        26120000.00000000
        OU
        Notional Amount
        
        161345.27000000
        0.006541789523
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            118116.07000000
            EUR
            0.00000000
            EUR
            26120000.00000000
            EUR
            30670.32000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4094.78000000
        0.000166024011
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            741602.60000000
            USD
            21352963.55000000
            TWD
            2022-04-15
            4094.78000000
          
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AD8
        
          
        
        225000.00000000
        PA
        USD
        230343.75000000
        0.009339352374
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2016-LC25
        95000JAC2
        
          
        
        2319000.00000000
        PA
        USD
        1930809.21000000
        0.078285204530
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-12-15
          Variable
          3.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Securities Trust
        N/A
        JPMDB Commercial Mortgage Securities Trust 2016-C4
        46646RAB9
        
          
        
        1545000.00000000
        PA
        USD
        1300154.09000000
        0.052715114641
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Variable
          3.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAC3
        
          
        
        230000.00000000
        PA
        USD
        235055.40000000
        0.009530387554
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        000000000
        
          
        
        200000.00000000
        PA
        USD
        203537.50000000
        0.008252485400
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2024-03-28
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        90015WAJ2
        
          
        
        380000.00000000
        PA
        USD
        359290.00000000
        0.014567514485
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2025-02-05
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382DJV2
        
          
        
        1578219.07000000
        PA
        USD
        237374.09000000
        0.009624399495
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216977  IRS EUR R F   .00000 CCPVANILLA / Short: SR216977  IRS EUR P V 06MEURIB CCPVANILLA
        000000000
        
          
        
        340000.00000000
        OU
        Notional Amount
        
        -7365.77000000
        -0.00029864722
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            EUR
            -5191.93000000
            EUR
            340000.00000000
            EUR
            -1702.07000000
          
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CE9
        
          
        
        3511000.00000000
        PA
        USD
        3581220.00000000
        0.145201575958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AQ1
        
          
        
        9600000.00000000
        PA
        USD
        9026880.00000000
        0.365997398091
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-06-05
          Fixed
          2.19300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217233  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR217233  IRS CAD P F  1.96000 2 CCPVANILLA
        000000000
        
          
        
        21860000.00000000
        OU
        Notional Amount
        
        719203.88000000
        0.029160324362
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-12-18
            298387.21000000
            CAD
            0.00000000
            CAD
            21860000.00000000
            CAD
            538728.94000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
        
        11590000.00000000
        PA
        USD
        11707754.40000000
        0.474694207510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397YQ0
        
          
        
        4105000.00000000
        PA
        USD
        4104880.96000000
        0.166433557423
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-03
          Fixed
          2.97900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        387.03000000
        0.000015692240
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            884731016.00000000
            KRW
            728443.47000000
            USD
            2022-04-11
            387.03000000
          
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN PENERBIT SBSN
        254900G208H6Q0L5B953
        Perusahaan Penerbit SBSN Indonesia III
        71567PAN0
        
          
        
        3530000.00000000
        PA
        USD
        3477438.30000000
        0.140993717632
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-06-23
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BR9
        
          
        
        1300000.00000000
        PA
        USD
        1300949.00000000
        0.052747344492
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-18
          Floating
          1.48800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04780A SWAPTION SOFRRATE
        000000000
        
          
        
        -99100000.00000000
        NC
        USD
        -39273.33000000
        -0.00159234825
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    99100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -39273.33000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  99100000.00000000
                  USD
                
              
            
            1.00000000
            1.34750000
            USD
            2022-11-22
            XXXX
            79799.36000000
          
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BD5
        
          
        
        3425000.00000000
        PA
        USD
        3457160.75000000
        0.140171558642
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-03-07
          Fixed
          3.40700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -11109.63000000
        -0.00045044308
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            717483.41000000
            EUR
            784969.90000000
            USD
            2022-06-15
            -11109.63000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217061  IRS SEK R F   .50000 2 CCPVANILLA / Short: SR217061  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        278940000.00000000
        OU
        Notional Amount
        
        -470353.76000000
        -0.01907062599
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            SEK
            -3546389.32000000
            SEK
            278940000.00000000
            SEK
            854885.13000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
        
        3275000.00000000
        PA
        USD
        3112003.25000000
        0.126177050359
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.21900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM GROWTH/MGM FINANCE
        N/A
        MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
        55303XAC9
        
          
        
        4830000.00000000
        PA
        USD
        4962825.00000000
        0.201219140742
        Long
        DBT
        
        US
        N
        
        2
        
          2024-05-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YND2
        
          
        
        2079827.75000000
        PA
        USD
        236256.16000000
        0.009579072707
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        1725000.00000000
        PA
        USD
        1587189.75000000
        0.064353056513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners XIV LTD
        549300QEN35HTPJ3BX33
        Octagon Investment Partners XIV Ltd
        67590ABX9
        
          
        
        3700000.00000000
        PA
        USD
        3646250.10000000
        0.147838239722
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-15
          Floating
          4.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04508A SWAPTION US0003M
        000000000
        
          
        
        -48000000.00000000
        NC
        USD
        -817382.40000000
        -0.03314100017
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    48000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -817382.40000000
                    -0.03000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  48000000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            -663782.40000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -56.94000000
        -0.00000230864
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            677190.61000000
            EUR
            939439.45000000
            CAD
            2022-06-15
            -56.94000000
          
        
        
          N
          N
          N
        
      
      
        PRIME SECSRVC BRW/FINANC
        N/A
        Prime Security Services Borrower LLC / Prime Finance Inc
        74166MAB2
        
          
        
        7400000.00000000
        PA
        USD
        7557250.00000000
        0.306410834831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAM0
        
          
        
        7875000.00000000
        PA
        USD
        7239093.75000000
        0.293511099852
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-07-12
          Fixed
          1.37500000
          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
        
          
        
        28720000.00000000
        OU
        Notional Amount
        USD
        7949.70000000
        0.000322322830
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            9642.68000000
            USD
            0.00000000
            USD
            28720000.00000000
            USD
            -1692.98000000
          
        
        
          N
          N
          N
        
      
      
        LLOYDS BANKING GROUP PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        53944YAM5
        
          
        
        3275000.00000000
        PA
        USD
        3267303.75000000
        0.132473752977
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-06-15
          Fixed
          1.32600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAH0
        
          
        
        4000000.00000000
        PA
        USD
        3897240.00000000
        0.158014696078
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-05
          Fixed
          2.05600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04070A SWAPTION SONIO
        000000000
        
          
        
        32940000.00000000
        NC
        
        9255.80000000
        0.000375279024
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    32940000.00000000
                    OU
                    Notional Amount
                    N/A
                    9255.80000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  32940000.00000000
                  GBP
                
              
            
            1.00000000
            0.54400000
            GBP
            2022-11-16
            XXXX
            -68317.36000000
          
        
        
          N
          N
          N
        
      
      
        Zais CLO 13, Limited
        549300GODB02F7ODZK39
        Zais Clo 13 Ltd
        98876NAA2
        
          
        
        3000000.00000000
        PA
        USD
        2983377.00000000
        0.120961862739
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-15
          Floating
          1.73100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZHENRO PROPERTIES GROUP
        549300I66TVJEL841P38
        Zhenro Properties Group Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        19000.00000000
        0.000770360364
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-08-04
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBJ7
        
          
        
        3100000.00000000
        PA
        USD
        3009759.00000000
        0.122031528377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        9859.96000000
        0.000399774861
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            702368.18000000
            EUR
            7405454.02000000
            SEK
            2022-06-15
            9859.96000000
          
        
        
          N
          N
          N
        
      
      
        Newark BSL CLO 1 Ltd.
        549300R0C043JWD1XY94
        Newark BSL CLO 1 Ltd
        65023TAJ1
        
          
        
        3000000.00000000
        PA
        USD
        2984073.00000000
        0.120990082255
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-12-21
          Floating
          1.36800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BJ9
        
          
        
        2525000.00000000
        PA
        USD
        2564364.75000000
        0.103972892766
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.51900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RAZ2
        
          
        
        865633.55000000
        PA
        USD
        44213.88000000
        0.001792664247
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          3.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        371.70000000
        0.000015070681
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            739766.19000000
            USD
            10630440150.30000000
            IDR
            2022-05-13
            371.70000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2780.11000000
        0.000112720344
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            671973.23000000
            EUR
            689236.22000000
            CHF
            2022-06-15
            2780.11000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003007  CDS USD R F  3.00000 2 CMBX / Short: CX003007  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        4500000.00000000
        OU
        Notional Amount
        USD
        -359297.10000000
        -0.01456780235
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -669893.15000000
            USD
            4500000.00000000
            USD
            310596.05000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379QCY9
        
          
        
        188023.07000000
        PA
        USD
        29702.83000000
        0.001204309628
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Floating
          5.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBE8
        
          
        
        475000.00000000
        PA
        USD
        474482.25000000
        0.019238016783
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9N66
        
          
        
        252331.24000000
        PA
        USD
        263149.71000000
        0.010669479285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174467X1
        
          
        
        5000000.00000000
        PA
        USD
        5270550.00000000
        0.213695937744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-24
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse AG
        ANGGYXNX0JLX3X63JN86
        Credit Suisse AG
        22546DAA4
        
          
        
        9400000.00000000
        PA
        USD
        9638572.00000000
        0.390798622925
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2023-08-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMSCOPE TECH LLC
        M4TWC4QDOKW45N7T6Y12
        CommScope Technologies LLC
        20337YAA5
        
          
        
        112000.00000000
        PA
        USD
        106400.00000000
        0.004314018039
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBZ1
        
          
        
        16250000.00000000
        PA
        USD
        16137225.00000000
        0.654288343526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAG8
        
          
        
        3700000.00000000
        PA
        USD
        3596474.00000000
        0.145820053695
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-09-02
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERBALIFE/HLF FINANCING
        N/A
        Herbalife Nutrition Ltd / HLF Financing Inc
        42704MAA0
        
          
        
        7435000.00000000
        PA
        USD
        7592993.75000000
        0.307860075266
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-09-01
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        459506AM3
        
          
        
        1075000.00000000
        PA
        USD
        1070538.75000000
        0.043405295855
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          0.69700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tenet Healthcare Corp
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GCN8
        
          
        
        500000.00000000
        PA
        USD
        521250.00000000
        0.021134228410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPBZ5
        
          
        
        4575000.00000000
        PA
        USD
        4569281.25000000
        0.185262798292
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -3645.87000000
        -0.00014782282
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            798450.20000000
            CHF
            863301.40000000
            USD
            2022-06-15
            -3645.87000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -16014.06000000
        -0.00064929458
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            498517791.00000000
            CLP
            614498.18000000
            USD
            2022-04-27
            -16014.06000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        74.00000000
        NC
        USD
        -203713.32000000
        -0.00825961407
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            13273963.32000000
            USD
            -203713.32000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217088  IRS NZD R F  2.75000 2 CCPVANILLA / Short: SR217088  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        20110000.00000000
        OU
        Notional Amount
        
        -403672.61000000
        -0.01636701993
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            NZD
            -50811.60000000
            NZD
            20110000.00000000
            NZD
            -295515.72000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAB2
        
          
        
        4775000.00000000
        PA
        USD
        4877423.75000000
        0.197756522950
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAL2
        
          
        
        8181000.00000000
        PA
        USD
        8334393.75000000
        0.337920347580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NCL CORPORATION LTD
        UNZWILHE4KMRP9K2L524
        NCL Corp Ltd
        62886HBE0
        
          
        
        2245000.00000000
        PA
        USD
        2211325.00000000
        0.089658796431
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2027-02-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        2310000.00000000
        PA
        USD
        1016400.00000000
        0.041210224952
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2024-02-01
          Fixed
          8.99400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003003  CDS USD R F  3.00000 2 CMBX / Short: CX003003  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        6350000.00000000
        OU
        Notional Amount
        USD
        -507008.13000000
        -0.02055678777
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -1339798.57000000
            USD
            6350000.00000000
            USD
            832790.44000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03895A SWAPTION SONIO SEP22 0.300 CALL
        000000000
        
          
        
        39810000.00000000
        NC
        
        4058.21000000
        0.000164541270
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    39810000.00000000
                    OU
                    Notional Amount
                    N/A
                    4058.21000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  39810000.00000000
                  GBP
                
              
            
            1.00000000
            0.30000000
            GBP
            2022-09-08
            XXXX
            -73424.01000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        23555.75000000
        0.000955074534
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            90743156.00000000
            JPY
            770481.55000000
            USD
            2022-06-15
            23555.75000000
          
        
        
          N
          N
          N
        
      
      
        Atlas Senior Loan Fund LTD
        N/A
        Atlas Senior Loan Fund XVII Ltd
        04942FAA7
        
          
        
        8200000.00000000
        PA
        USD
        8093842.80000000
        0.328167141399
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-20
          Floating
          1.38700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Lease Owner Trust
        5493006AB33TXC4NJ781
        Toyota Lease Owner Trust 2021-B
        89239CAC3
        
          
        
        2250000.00000000
        PA
        USD
        2184201.00000000
        0.088559046194
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-10-21
          Fixed
          0.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAH4
        
          
        
        2075000.00000000
        PA
        USD
        1993120.50000000
        0.080811633375
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Western Digital Corp
        549300QQXOOYEF89IC56
        Western Digital Corp
        958102AM7
        
          
        
        2770000.00000000
        PA
        USD
        2815012.50000000
        0.114135476553
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST-CITIZENS BANK/TRST
        L9VVX1KT5TFTKS0MLF66
        First-Citizens Bank & Trust Co
        12556LBJ4
        
          
        
        1050000.00000000
        PA
        USD
        1040550.00000000
        0.042189393520
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-27
          Fixed
          2.96900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        City of San Francisco CA Public Utilities Commission Water Revenue
        N/A
        SAN FRANCISCO CITY & CNTY CA PUBLIC UTILITIES COMMISSION WTR
        79765RTD1
        
          
        
        1435000.00000000
        PA
        USD
        1463787.54000000
        0.059349679069
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-11-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876AAB9
        
          
        
        1400000.00000000
        PA
        USD
        1363173.14000000
        0.055270239815
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-06-25
          Floating
          1.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING INT
        N/A
        Sasol Financing International Ltd
        803865AA2
        
          
        
        400000.00000000
        PA
        USD
        401000.00000000
        0.016258658211
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2022-11-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Beam Suntory Inc
        EWRDABCN7XBHM37LIA98
        Beam Suntory Inc
        073730AE3
        
          
        
        4014000.00000000
        PA
        USD
        4020783.66000000
        0.163023808652
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-05-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Educational Services of America Inc
        N/A
        Edsouth Indenture No 5 LLC
        28137RAA5
        
          
        
        325118.89000000
        PA
        USD
        321989.85000000
        0.013055169373
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2039-02-25
          Floating
          1.15700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN GROUP AMERICA
        5493002SQ1AVQBY41K40
        Volkswagen Group of America Finance LLC
        928668BG6
        
          
        
        3775000.00000000
        PA
        USD
        3745064.25000000
        0.151844687332
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-11-23
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAG5
        
          
        
        9900000.00000000
        PA
        USD
        10125522.00000000
        0.410542148152
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-02-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217101  IRS USD R F  1.00000 2 CCPOIS / Short: SR217101  IRS USD P V 00MSOFR 1 CCPOIS
        000000000
        
          
        
        710000.00000000
        OU
        Notional Amount
        USD
        -41326.26000000
        -0.00167558487
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            USD
            -1897.48000000
            USD
            710000.00000000
            USD
            -39428.78000000
          
        
        
          N
          N
          N
        
      
      
        HOWMET AEROSPACE INC
        549300HO5WFZUT5N2T22
        Howmet Aerospace Inc
        013817AW1
        
          
        
        1491000.00000000
        PA
        USD
        1543185.00000000
        0.062568871500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YXT6
        
          
        
        429276.67000000
        PA
        USD
        49873.02000000
        0.002022115676
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CCH2
        
          
        
        59980000.00000000
        PA
        USD
        55795458.11000000
        2.262242601382
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-06-30
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUITABLE FINANCIAL LIFE
        635400B4JJBON4TCHF02
        Equitable Financial Life Global Funding
        29449WAA5
        
          
        
        1550000.00000000
        PA
        USD
        1456535.00000000
        0.059055622787
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-07
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McKesson Corp
        549300WZWOM80UCFSF54
        McKesson Corp
        581557AZ8
        
          
        
        675000.00000000
        PA
        USD
        676768.50000000
        0.027439769899
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital CLO LTD
        549300H5Q0HJ2EHSSX26
        Anchorage Capital CLO 15 Ltd
        03329FAN4
        
          
        
        7600000.00000000
        PA
        USD
        7544839.20000000
        0.305907635441
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.45400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hoover City Board of Education
        N/A
        HOOVER AL BRD OF EDU PUB SCH W
        43923EAC7
        
          
        
        1180000.00000000
        PA
        USD
        1134593.60000000
        0.046002417833
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.55500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MATTEL INC
        549300VELLG24KHTJ564
        Mattel Inc
        577081BD3
        
          
        
        2815000.00000000
        PA
        USD
        2948712.50000000
        0.119556380800
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAC0
        
          
        
        10665000.00000000
        PA
        USD
        11405470.95000000
        0.462438039688
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X5UB7
        
          
        
        446572.45000000
        PA
        USD
        464497.73000000
        0.018833191601
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBR0
        
          
        
        8300000.00000000
        PA
        USD
        7789135.00000000
        0.315812677622
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023DD4
        
          
        
        5375000.00000000
        PA
        USD
        5313510.00000000
        0.215437763073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-04
          Fixed
          1.16700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700BA3
        
          
        
        1005000.00000000
        PA
        USD
        1057762.50000000
        0.042887279192
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BK/NY
        RILFO74KP1CM8P6PCT96
        Standard Chartered Bank/New York
        85325VW89
        
          
        
        8016000.00000000
        PA
        USD
        7994807.86000000
        0.324151741797
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-07-28
          Floating
          0.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BBVK5
        
          
        
        721742.69000000
        PA
        USD
        134521.22000000
        0.005454200843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CBW0
        
          
        
        241330000.00000000
        PA
        USD
        224795125.43000000
        9.114381825277
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-04-30
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -50682.41000000
        -0.00205493262
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            22867259.39000000
            ZAR
            1509039.44000000
            USD
            2022-04-26
            -50682.41000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        33649.47000000
        0.001364327261
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            753506.80000000
            USD
            15873419.46000000
            MXN
            2022-06-15
            33649.47000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE II
        549300BHVD63HE2GHX17
        Huarong Finance II Co Ltd
        000000000
        
          
        
        270000.00000000
        PA
        USD
        274590.00000000
        0.011133329072
        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
        
          
        
        2900000.00000000
        PA
        USD
        2971253.00000000
        0.120470291736
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAA4
        
          
        
        2887000.00000000
        PA
        USD
        2974071.92000000
        0.120584585643
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2237.92000000
        0.000090737098
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            779848.93000000
            USD
            11232943987.72000000
            IDR
            2022-05-13
            2237.92000000
          
        
        
          N
          N
          N
        
      
      
        Tesla Auto Lease Trust
        N/A
        Tesla Auto Lease Trust 2021-A
        88161FAD8
        
          
        
        5400000.00000000
        PA
        USD
        5198656.95000000
        0.210781013735
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          0.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Montana Higher Education Student Assistance Corp
        N/A
        Montana Higher Education Student Assistance Corp
        61205PAK5
        
          
        
        450835.52000000
        PA
        USD
        450831.73000000
        0.018279099772
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2030-05-20
          Floating
          1.44900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROCKETMTGE CO-ISSUER INC
        N/A
        Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc
        77313LAA1
        
          
        
        10460000.00000000
        PA
        USD
        9552312.58000000
        0.387301210388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLC Student Loan Trust
        N/A
        SLC Student Loan Trust 2005-3
        784420AP6
        
          
        
        286454.17000000
        PA
        USD
        285139.75000000
        0.011561071665
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-06-15
          Floating
          0.94600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania State University/The
        549300QDK4O4XCJ47X56
        PENNSYLVANIA ST UNIV
        709235S22
        
          
        
        1070000.00000000
        PA
        USD
        1058477.49000000
        0.042916268664
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-09-01
          Fixed
          1.35300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -6287.36000000
        -0.00025492278
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2375739.49000000
            ILS
            739967.45000000
            USD
            2022-06-15
            -6287.36000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR217001  IRS GBP R F   .25000 2 CCPOIS / Short: SR217001  IRS GBP P V 00MSONIA 1 CCPOIS
        000000000
        
          
        
        12870000.00000000
        OU
        Notional Amount
        
        -562141.72000000
        -0.02279219474
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            GBP
            -415755.19000000
            GBP
            12870000.00000000
            GBP
            273061.72000000
          
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAM4
        
          
        
        5175000.00000000
        PA
        USD
        4774041.00000000
        0.193564840164
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217064  IRS SEK R F   .75000 2 CCPVANILLA / Short: SR217064  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        298640000.00000000
        OU
        Notional Amount
        
        -1579145.07000000
        -0.06402688269
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            SEK
            -3736447.31000000
            SEK
            298640000.00000000
            SEK
            -817037.25000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2593.63000000
        -0.00010515946
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            738000.00000000
            USD
            56394270.00000000
            INR
            2022-06-15
            -2593.63000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        39725.77000000
        0.001610692560
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3558286199.00000000
            KRW
            2967884.86000000
            USD
            2022-04-11
            39725.77000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RC1
        95001FAC9
        
          
        
        900000.00000000
        PA
        USD
        746298.81000000
        0.030258895948
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217055  IRS CHF R F   .00000 CCPVANILLA / Short: SR217055  IRS CHF P V 12MLIBOR CCPVANILLA
        000000000
        
          
        
        24430000.00000000
        OU
        Notional Amount
        
        -1587330.02000000
        -0.06435874379
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            CHF
            -799413.43000000
            CHF
            24430000.00000000
            CHF
            -728746.21000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BBWT5
        
          
        
        3451145.86000000
        PA
        USD
        642357.98000000
        0.026044585651
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TUD5
        
          
        
        275410.14000000
        PA
        USD
        291314.90000000
        0.011811444865
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216980  IRS EUR R F   .00000 CCPVANILLA / Short: SR216980  IRS EUR P V 06MEURIB CCPVANILLA
        000000000
        
          
        
        13090000.00000000
        OU
        Notional Amount
        
        -861670.42000000
        -0.03493667044
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            EUR
            -347914.41000000
            EUR
            13090000.00000000
            EUR
            -356965.80000000
          
        
        
          N
          N
          N
        
      
      
        CAESARS RESORT / FINCO
        N/A
        Caesars Resort Collection LLC / CRC Finco Inc
        12770RAA1
        
          
        
        6300000.00000000
        PA
        USD
        6449625.00000000
        0.261501866499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Mills Inc
        2TGYMUGI08PO8X8L6150
        General Mills Inc
        370334CC6
        
          
        
        2175000.00000000
        PA
        USD
        2199664.50000000
        0.089186018167
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-17
          Floating
          1.24900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BS2
        
          
        
        3025000.00000000
        PA
        USD
        2833396.50000000
        0.114880861024
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-07-17
          Fixed
          1.41200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566AAH2
        
          
        
        1104490.99000000
        PA
        USD
        1108517.96000000
        0.044945173647
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          2.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11167.64000000
        -0.00045279511
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            749715.00000000
            USD
            6505166.10000000
            NOK
            2022-06-15
            -11167.64000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAL3
        
          
        
        2963000.00000000
        PA
        USD
        2982881.73000000
        0.120941781877
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-06
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
        
        8925000.00000000
        PA
        USD
        9241569.75000000
        0.374702054616
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAX6
        
          
        
        800000.00000000
        PA
        USD
        805312.00000000
        0.032651602397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICG US CLO Ltd
        635400A7LQADQPBLJB50
        ICG US CLO 2016-1 Ltd
        44931NAW1
        
          
        
        2000000.00000000
        PA
        USD
        1970934.00000000
        0.079912075468
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-29
          Floating
          3.94900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        9128284V9
        
          
        
        850000.00000000
        PA
        USD
        870785.16000000
        0.035306230154
        Long
        DBT
        UST
        US
        N
        
        1
        
          2028-08-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        42535.94000000
        0.001724631696
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1923493.03000000
            USD
            17316892.29000000
            NOK
            2022-06-15
            42535.94000000
          
        
        
          N
          N
          N
        
      
      
        BAT INTL FINANCE PLC
        21380041YBGOQDFAC823
        BAT International Finance PLC
        05530QAN0
        
          
        
        8000000.00000000
        PA
        USD
        7353920.00000000
        0.298166762576
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-25
          Fixed
          1.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHILDRENS HOSPITAL
        549300SA6PBAGP0RMQ32
        Children's Hospital of Orange County
        16877EAC9
        
          
        
        934000.00000000
        PA
        USD
        902716.73000000
        0.036600904675
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-01
          Fixed
          0.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -91575.15000000
        -0.00371294031
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            656764369.86000000
            HUF
            1864915.36000000
            USD
            2022-06-15
            -91575.15000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -3557.46000000
        -0.00014423822
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            371174951.00000000
            KRW
            301780.52000000
            USD
            2022-06-15
            -3557.46000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216992  IRS EUR R F   .00000 CCPVANILLA / Short: SR216992  IRS EUR P V 12MLIBOR CCPVANILLA
        000000000
        
          
        
        7180000.00000000
        OU
        Notional Amount
        
        -376427.05000000
        -0.01526234101
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            EUR
            -43093.42000000
            EUR
            7180000.00000000
            EUR
            -327673.66000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EW52
        
          
        
        2560674.05000000
        PA
        USD
        295187.33000000
        0.011968453632
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006064  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006064  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        5225000.00000000
        OU
        Notional Amount
        USD
        54983.72000000
        0.002229330450
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-06-20
            60101.28000000
            USD
            0.00000000
            USD
            5225000.00000000
            USD
            -5117.56000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217647  IRS CAD R F  2.50000 2 CCPVANILLA / Short: SR217647  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        37050000.00000000
        OU
        Notional Amount
        
        -119194.81000000
        -0.00483278722
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-22
            0.00000000
            CAD
            -39973.17000000
            CAD
            37050000.00000000
            CAD
            -87392.08000000
          
        
        
          N
          N
          N
        
      
      
        Oregon Education Districts
        N/A
        OREGON EDU DISTS FULL FAITH & CREDIT PENSN OBLIGS
        68587FAT1
        
          
        
        40000.00000000
        PA
        USD
        39119.74000000
        0.001586120902
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-06-30
          Fixed
          0.31200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        35429.81000000
        0.001436511649
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            998302.00000000
            USD
            1379603.79000000
            AUD
            2022-06-15
            35429.81000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AQC57
        
          
        
        403697.02000000
        PA
        USD
        63783.81000000
        0.002586132584
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-02-25
          Floating
          5.69300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAYERISCHE LANDESBANK NY
        549300DJ6F1V4GISFC11
        Bayerische Landesbank/New York
        0727MCQW0
        
          
        
        10000000.00000000
        PA
        USD
        9926448.20000000
        0.402470644728
        Long
        STIV
        CORP
        DE
        N
        
        2
        
          2023-06-27
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jeld-Wen Inc
        549300XWE6NM0N1HFW16
        Jeld-Wen Inc
        475795AD2
        
          
        
        125000.00000000
        PA
        USD
        119375.00000000
        0.004840093077
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED HUF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5493.41000000
        0.000222731859
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            303133.21000000
            USD
            103601303.67000000
            HUF
            2022-06-15
            5493.41000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1367.68000000
        0.000055452971
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            605732.00000000
            USD
            559133.04000000
            CHF
            2022-06-15
            1367.68000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217108  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217108  IRS USD P F  1.75000 2 CCPOIS
        000000000
        
          
        
        1430000.00000000
        OU
        Notional Amount
        USD
        74225.15000000
        0.003009479662
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-03-16
            0.00000000
            USD
            -135149.16000000
            USD
            1430000.00000000
            USD
            209374.31000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        470.13000000
        0.000019061553
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            117399.96000000
            USD
            159754.93000000
            SGD
            2022-06-15
            470.13000000
          
        
        
          N
          N
          N
        
      
      
        Tesla Auto Lease Trust
        N/A
        Tesla Auto Lease Trust 2021-B
        88161KAC9
        
          
        
        10200000.00000000
        PA
        USD
        9710169.17000000
        0.393701550396
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-09-22
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ATHENE GLOBAL FUNDING
        549300LM1QSI4MSIL320
        Athene Global Funding
        04685A2S9
        
          
        
        1875000.00000000
        PA
        USD
        1806393.75000000
        0.073240744579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-08
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04066A SWAPTION SONIO
        000000000
        
          
        
        36190000.00000000
        NC
        
        9641.31000000
        0.000390909635
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    36190000.00000000
                    OU
                    Notional Amount
                    N/A
                    9641.31000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  36190000.00000000
                  GBP
                
              
            
            1.00000000
            0.51600000
            GBP
            2022-11-15
            XXXX
            -75341.38000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
        
        675000.00000000
        PA
        USD
        667953.00000000
        0.027082342963
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUSTAR LOGISTICS LP
        N62BF2PKP51FIIOIUN20
        NuStar Logistics LP
        67059TAG0
        
          
        
        6820000.00000000
        PA
        USD
        6939350.00000000
        0.281357904884
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Residential Mortgage Loan Trust
        549300RCJSGOC0A85G53
        New Residential Mortgage Loan Trust 2015-1
        64829CAA6
        
          
        
        113657.50000000
        PA
        USD
        114577.23000000
        0.004645566138
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-28
          Variable
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        64593.58000000
        0.002618964937
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            292865.39000000
            USD
            29096176.26000000
            RUB
            2022-04-01
            64593.58000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QC6X9
        
          
        
        68281.86000000
        PA
        USD
        71116.04000000
        0.002883419919
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        78016EYM3
        
          
        
        6250000.00000000
        PA
        USD
        6024187.50000000
        0.244252382951
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-01-21
          Fixed
          1.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -3986.97000000
        -0.00016165282
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            57419984.40000000
            INR
            744795.18000000
            USD
            2022-06-15
            -3986.97000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDC3
        
          
        
        1850000.00000000
        PA
        USD
        1904926.50000000
        0.077235782746
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCU8
        
          
        
        6500000.00000000
        PA
        USD
        6536205.00000000
        0.265012277042
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-08
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BR9
        
          
        
        8810000.00000000
        PA
        USD
        9151387.50000000
        0.371045589829
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        60002.39000000
        0.002432813842
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4148698.57000000
            USD
            6080737.32000000
            NZD
            2022-06-15
            60002.39000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -6057.34000000
        -0.00024559656
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            702368.18000000
            EUR
            773251.18000000
            USD
            2022-06-15
            -6057.34000000
          
        
        
          N
          N
          N
        
      
      
        SAUDI INTERNATIONAL BOND
        635400FMICXSM3SI3H65
        Saudi Government International Bond
        80413TAS8
        
          
        
        800000.00000000
        PA
        USD
        804976.00000000
        0.032637979182
        Long
        DBT
        NUSS
        SA
        N
        
        2
        
          2025-10-22
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAG9
        
          
        
        7785000.00000000
        PA
        USD
        7968492.45000000
        0.323084776069
        Long
        DBT
        
        US
        N
        
        2
        
          2026-08-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        20878.80000000
        0.000846536840
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            89018754.00000000
            JPY
            753610.68000000
            USD
            2022-06-15
            20878.80000000
          
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAG0
        
          
        
        1800000.00000000
        PA
        USD
        1824426.00000000
        0.073971867246
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-04-12
          Fixed
          3.84800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -28654.55000000
        -0.00116180681
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1649700.85000000
            USD
            123327511.29000000
            INR
            2022-04-13
            -28654.55000000
          
        
        
          N
          N
          N
        
      
      
        Cathedral Lake LTD
        N/A
        Cathedral Lake VII Ltd
        14919HAG8
        
          
        
        1825000.00000000
        PA
        USD
        1757369.15000000
        0.071253028331
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          2.81100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Access To Loans For Learning Student Loan Corp.
        N/A
        Access to Loans for Learning Student Loan Corp
        00432MCU1
        
          
        
        1603735.64000000
        PA
        USD
        1601734.02000000
        0.064942758046
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          1.05800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        73574.86000000
        0.002983113470
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            156311.90000000
            USD
            19773455.35000000
            RUB
            2022-05-04
            73574.86000000
          
        
        
          N
          N
          N
        
      
      
        GFL ENVIRONMENTAL INC
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        36168QAK0
        
          
        
        3880000.00000000
        PA
        USD
        3792700.00000000
        0.153776092264
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-08-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF MONTREAL
        NQQ6HPCNCCU6TUTQYE16
        Bank of Montreal
        06373LAD1
        
          
        
        4256000.00000000
        PA
        USD
        4247300.74000000
        0.172208007611
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2023-01-09
          Floating
          0.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04781A SWAPTION SOFRRATE
        000000000
        
          
        
        99100000.00000000
        NC
        USD
        109852.35000000
        0.004453994544
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    99100000.00000000
                    OU
                    Notional Amount
                    N/A
                    109852.35000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  99100000.00000000
                  USD
                
              
            
            1.00000000
            1.85000000
            USD
            2022-11-22
            XXXX
            -226352.90000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217613  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217613  IRS USD P F  2.50000 2 CCPOIS
        000000000
        
          
        
        14740000.00000000
        OU
        Notional Amount
        USD
        50913.43000000
        0.002064299393
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-14
            29149.81000000
            USD
            0.00000000
            USD
            14740000.00000000
            USD
            21763.62000000
          
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZJ5
        
          
        
        250000.00000000
        PA
        USD
        251036.25000000
        0.010178335629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-09
          Fixed
          4.68700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INFOR INC
        549300Q3IIYBYI4RHD64
        Infor Inc
        45674CAB9
        
          
        
        1025000.00000000
        PA
        USD
        1005156.00000000
        0.040754333798
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217648  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217648  IRS USD P F  2.00000 2 CCPOIS
        000000000
        
          
        
        22540000.00000000
        OU
        Notional Amount
        USD
        107186.72000000
        0.004345915823
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-24
            60997.18000000
            USD
            0.00000000
            USD
            22540000.00000000
            USD
            46189.54000000
          
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBH4
        
          
        
        1850000.00000000
        PA
        USD
        1860045.50000000
        0.075416069930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-19
          Fixed
          2.99200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329KCM4
        
          
        
        8522.23000000
        PA
        USD
        8955.16000000
        0.000363089490
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJG5
        
          
        
        20250000.00000000
        PA
        USD
        19214212.50000000
        0.779045670416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-25
          Fixed
          0.98100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AN1
        
          
        
        6800000.00000000
        PA
        USD
        6817000.00000000
        0.276397189592
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Delta Air Lines Inc
        Q2CCMS6R0AS67HJMBN42
        Delta Air Lines Inc
        247361ZP6
        
          
        
        1960000.00000000
        PA
        USD
        1974700.00000000
        0.080064769002
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-19
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVA93
        
          
        
        3904422.48000000
        PA
        USD
        720661.51000000
        0.029219424381
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITC Holdings Corp
        549300HTO5U9D3SLE207
        ITC Holdings Corp
        465685AM7
        
          
        
        4050000.00000000
        PA
        USD
        4062757.50000000
        0.164725649845
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300AZL7IWJJ04HD37
        Venture 36 Clo Ltd
        92332LAF6
        
          
        
        2500000.00000000
        PA
        USD
        2500785.00000000
        0.101395033852
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-20
          Floating
          4.40400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300EQOYJZL2D96G46
        SLM Student Loan Trust 2008-4
        78445AAD8
        
          
        
        129625.02000000
        PA
        USD
        129970.43000000
        0.005269687777
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-07-25
          Floating
          1.90800000
          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
        
          
        
        120000.00000000
        OU
        Notional Amount
        USD
        1808.71000000
        0.000073334657
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -121.14000000
            USD
            120000.00000000
            USD
            1929.85000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273RAS8
        
          
        
        10075000.00000000
        PA
        USD
        10133535.75000000
        0.410867067908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -820.55000000
        -0.00003326943
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            674661.26000000
            EUR
            6586187.60000000
            NOK
            2022-06-15
            -820.55000000
          
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358W4V3
        
          
        
        7450000.00000000
        PA
        USD
        7361352.45000000
        0.298468113360
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-01
          Fixed
          1.08600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F050643
        
          
        
        7000000.00000000
        PA
        USD
        7359335.90000000
        0.298386351771
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KJ9
        
          
        
        1800000.00000000
        PA
        USD
        1868166.00000000
        0.075745317895
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-09
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AT8
        
          
        
        1225000.00000000
        PA
        USD
        1262142.00000000
        0.051173903721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        239.51000000
        0.000009711000
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            486960.31000000
            AUD
            365117.00000000
            USD
            2022-06-15
            239.51000000
          
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAA9
        
          
        
        3925000.00000000
        PA
        USD
        3984228.25000000
        0.161541659233
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHC6
        
          
        
        11000000.00000000
        PA
        USD
        11027940.00000000
        0.447130940735
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-20
          Fixed
          3.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        75401.85000000
        0.003057189295
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            989542.57000000
            USD
            5076521.61000000
            BRL
            2022-04-04
            75401.85000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -5193.88000000
        -0.00021058733
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1088039.13000000
            NZD
            747877.84000000
            USD
            2022-06-15
            -5193.88000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BJ8
        
          
        
        4050000.00000000
        PA
        USD
        4078390.50000000
        0.165359494243
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-03-15
          Fixed
          3.88500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        1490.86000000
        0.000060447339
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            764503.66000000
            NZD
            530957.73000000
            USD
            2022-05-12
            1490.86000000
          
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        90015WAK9
        
          
        
        530000.00000000
        PA
        USD
        503500.00000000
        0.020414549649
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2026-01-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tesla Auto Lease Trust
        N/A
        Tesla Auto Lease Trust 2021-A
        88161FAC0
        
          
        
        2200000.00000000
        PA
        USD
        2131836.78000000
        0.086435924110
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-03-20
          Fixed
          0.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREAT-WEST LIFECO US FI
        N/A
        Great-West Lifeco US Finance 2020 LP
        391399AA0
        
          
        
        2000000.00000000
        PA
        USD
        1859860.00000000
        0.075408548780
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-08-12
          Fixed
          0.90400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03950A SWAPTION SONIO
        000000000
        
          
        
        32630000.00000000
        NC
        
        5795.27000000
        0.000234970858
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    32630000.00000000
                    OU
                    Notional Amount
                    N/A
                    5795.27000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  32630000.00000000
                  GBP
                
              
            
            1.00000000
            0.45900000
            GBP
            2022-10-10
            XXXX
            -65534.24000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNK6
        
          
        
        335999.91000000
        PA
        USD
        45562.13000000
        0.001847329424
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust 2021-LTV2
        46654VAA1
        
          
        
        5262794.85000000
        PA
        USD
        4854227.24000000
        0.196816013903
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329J5P8
        
          
        
        3684.14000000
        PA
        USD
        3705.63000000
        0.000150245814
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418C7F5
        
          
        
        330605.91000000
        PA
        USD
        343282.27000000
        0.013918476553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -27653.57000000
        -0.00112122180
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            935311.85000000
            AUD
            673172.00000000
            USD
            2022-06-15
            -27653.57000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        605.95000000
        0.000024568413
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            151318.64000000
            USD
            205910.62000000
            SGD
            2022-06-15
            605.95000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        2181.02000000
        0.000088430071
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3446515.99000000
            BRL
            725185.52000000
            USD
            2022-04-04
            2181.02000000
          
        
        
          N
          N
          N
        
      
      
        AVANGRID INC
        549300OX0Q38NLSKPB49
        Avangrid Inc
        05351WAC7
        
          
        
        1375000.00000000
        PA
        USD
        1371892.50000000
        0.055623768728
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FW6P0
        
          
        
        777150.54000000
        PA
        USD
        145181.90000000
        0.005886441123
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QBUK2
        
          
        
        51941.49000000
        PA
        USD
        53896.55000000
        0.002185250835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAD1
        
          
        
        2600000.00000000
        PA
        USD
        2576028.00000000
        0.104445782530
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-06-27
          Fixed
          2.70600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAE2
        
          
        
        3175000.00000000
        PA
        USD
        2929128.00000000
        0.118762321718
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-01
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBJ3
        
          
        
        14850000.00000000
        PA
        USD
        14948158.50000000
        0.606077306583
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        11062.57000000
        0.000448535023
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            309947.88000000
            USD
            4736902.46000000
            ZAR
            2022-06-15
            11062.57000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217085  IRS NZD R F  2.75000 2 CCPVANILLA / Short: SR217085  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        81090000.00000000
        OU
        Notional Amount
        
        -570873.89000000
        -0.02314624304
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            258694.21000000
            NZD
            0.00000000
            NZD
            81090000.00000000
            NZD
            -743181.40000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        2722520.35000000
        PA
        USD
        2836608.65000000
        0.115011098552
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -7065.66000000
        -0.00028647917
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            59975838.94000000
            INR
            781271.11000000
            USD
            2022-04-13
            -7065.66000000
          
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2018-BNK15
        06036FAJ0
        
          
        
        1170000.00000000
        PA
        USD
        920084.97000000
        0.037305104869
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -10622.60000000
        -0.00043069631
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4745174.55000000
            TRY
            294504.57000000
            USD
            2022-06-15
            -10622.60000000
          
        
        
          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
        
          
        
        21975000.00000000
        OU
        Notional Amount
        USD
        38289.24000000
        0.001552448045
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S28
                2I65BYDN2
              
            
            Y
            
            sell protection
            2022-06-20
            33326.45000000
            USD
            0.00000000
            USD
            21975000.00000000
            USD
            4962.79000000
          
        
        
          N
          N
          N
        
      
      
        CAESARS ENTERTAIN INC
        549300FA4CTCW903Y781
        Caesars Entertainment Inc
        28470RAH5
        
          
        
        1895000.00000000
        PA
        USD
        1956587.50000000
        0.079330392576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216983  IRS EUR R F   .25000 2 CCPVANILLA / Short: SR216983  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        25480000.00000000
        OU
        Notional Amount
        
        -2515068.84000000
        -0.10197417617
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            EUR
            -1508068.84000000
            EUR
            25480000.00000000
            EUR
            -645794.93000000
          
        
        
          N
          N
          N
        
      
      
        TELECOM ITALIA SPA
        549300W384M3RI3VXU42
        Telecom Italia SpA/Milano
        87927YAA0
        
          
        
        5615000.00000000
        PA
        USD
        5657112.50000000
        0.229369223442
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2024-05-30
          Fixed
          5.30300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -1777.02000000
        -0.00007204977
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            716173.13000000
            CHF
            775834.83000000
            USD
            2022-06-15
            -1777.02000000
          
        
        
          N
          N
          N
        
      
      
        ENRGY TRANS LP/REG FIN
        N/A
        Energy Transfer LP / Regency Energy Finance Corp
        75886AAJ7
        
          
        
        150000.00000000
        PA
        USD
        152349.00000000
        0.006177033216
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        3540783.28000000
        PA
        USD
        3688331.26000000
        0.149544432235
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        -487.00000000
        NC
        USD
        2151297.76000000
        0.087224975038
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            -68071313.39000000
            USD
            2151297.76000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12389.99000000
        0.000502355642
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            653281.00000000
            USD
            6246569.70000000
            SEK
            2022-06-15
            12389.99000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2922.78000000
        -0.00011850494
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            781388.01000000
            USD
            701608.15000000
            EUR
            2022-06-15
            -2922.78000000
          
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        49456BAB7
        
          
        
        4550000.00000000
        PA
        USD
        4696601.00000000
        0.190425013501
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217258  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217258  IRS USD P F  1.29000 2 CCPOIS
        000000000
        
          
        
        92880000.00000000
        OU
        Notional Amount
        USD
        1365410.30000000
        0.055360946099
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-01-12
            295126.81000000
            USD
            0.00000000
            USD
            92880000.00000000
            USD
            1070283.49000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217091  IRS NZD R V 03MNZDBB 1 CCPVANILLA / Short: BR217091  IRS NZD P F  2.75000 2 CCPVANILLA
        000000000
        
          
        
        7460000.00000000
        OU
        Notional Amount
        
        272484.19000000
        0.011047948411
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.00000000
            NZD
            -81577.11000000
            NZD
            7460000.00000000
            NZD
            335125.00000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217007  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR217007  IRS GBP P F   .75000 2 CCPOIS
        000000000
        
          
        
        31200000.00000000
        OU
        Notional Amount
        
        3385887.62000000
        0.137281769465
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            933525.37000000
            GBP
            0.00000000
            GBP
            31200000.00000000
            GBP
            2561980.50000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        232.38000000
        0.000009421912
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            451994.96000000
            USD
            4243642.37000000
            SEK
            2022-06-15
            232.38000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006063  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006063  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        3475000.00000000
        OU
        Notional Amount
        USD
        35954.78000000
        0.001457796705
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                AT&T INC
                AT&T INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-06-20
            54430.83000000
            USD
            0.00000000
            USD
            3475000.00000000
            USD
            -18476.05000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217533  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR217533  IRS NOK P F  2.00000 2 CCPVANILLA
        000000000
        
          
        
        117710000.00000000
        OU
        Notional Amount
        
        178851.65000000
        0.007251590643
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            1365391.22000000
            NOK
            0.00000000
            NOK
            117710000.00000000
            NOK
            22973.52000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -460.99000000
        -0.00001869096
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2274442.40000000
            NOK
            257762.00000000
            USD
            2022-06-15
            -460.99000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDD1
        
          
        
        11320000.00000000
        PA
        USD
        11611490.00000000
        0.470791140234
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PENNYMAC FIN SVCS INC
        549300W1D516HBDEU871
        PennyMac Financial Services Inc
        70932MAA5
        
          
        
        2160000.00000000
        PA
        USD
        2133000.00000000
        0.086483087193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        4044.24000000
        0.000163974852
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            21197086.03000000
            TWD
            744298.00000000
            USD
            2022-04-15
            4044.24000000
          
        
        
          N
          N
          N
        
      
      
        EQM MIDSTREAM PARTNERS L
        549300NELT611CL6XM83
        EQM Midstream Partners LP
        26885BAD2
        
          
        
        1265000.00000000
        PA
        USD
        1274487.50000000
        0.051674455503
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS Corp
        N/A
        DISH DBS Corp
        25470XAW5
        
          
        
        5065000.00000000
        PA
        USD
        5058668.75000000
        0.205105152644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NGPL PipeCo LLC
        549300K3NT1HSQFEM073
        NGPL PipeCo LLC
        62912XAF1
        
          
        
        410000.00000000
        PA
        USD
        426896.10000000
        0.017308622896
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ally Financial Inc
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        02005NBC3
        
          
        
        1300000.00000000
        PA
        USD
        1305655.00000000
        0.052938150590
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-05-19
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -9403.41000000
        -0.00038126391
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            458778.09000000
            CAD
            357504.00000000
            USD
            2022-06-15
            -9403.41000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        17731.84000000
        0.000718942458
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1544152.72000000
            USD
            1897995321.00000000
            KRW
            2022-04-11
            17731.84000000
          
        
        
          N
          N
          N
        
      
      
        SILGAN HOLDINGS INC
        KAF673KJXD92C8KSLU49
        Silgan Holdings Inc
        827048AX7
        
          
        
        1925000.00000000
        PA
        USD
        1757833.00000000
        0.071271835260
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8K87
        
          
        
        655722.19000000
        PA
        USD
        680746.58000000
        0.027601062276
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arizona Board of Regents
        N/A
        ARIZONA BRD OF RGTS COPS
        04048PLL2
        
          
        
        750000.00000000
        PA
        USD
        737595.30000000
        0.029906009678
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-06-01
          Fixed
          0.49200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Steele Creek CLO Ltd
        N/A
        Steele Creek CLO 2019-1 LTD
        85817BAJ8
        
          
        
        5150000.00000000
        PA
        USD
        5051660.75000000
        0.204821011306
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-15
          Floating
          4.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM8
        12659FAA3
        
          
        
        900327.63000000
        PA
        USD
        860956.39000000
        0.034907719899
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAU0
        
          
        
        350000.00000000
        PA
        USD
        354039.00000000
        0.014354611208
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCI NV
        549300NCMRGIBJYUOE57
        OCI NV
        67091GAE3
        
          
        
        1043000.00000000
        PA
        USD
        1049518.75000000
        0.042553034021
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-10-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217600  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217600  IRS USD P F  1.75000 2 CCPOIS
        000000000
        
          
        
        43200000.00000000
        OU
        Notional Amount
        USD
        518123.52000000
        0.021007464396
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            132807.38000000
            USD
            0.00000000
            USD
            43200000.00000000
            USD
            385316.14000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BJMU4
        
          
        
        443016.52000000
        PA
        USD
        72750.31000000
        0.002949681857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-15
          Floating
          5.70300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        4702.99000000
        0.000190684057
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            239778000.00000000
            INR
            3156402.37000000
            USD
            2022-04-13
            4702.99000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217684  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR217684  IRS EUR P F  1.31100 2 CCPVANILLA
        000000000
        
          
        
        18350000.00000000
        OU
        Notional Amount
        
        -4472.03000000
        -0.00018131971
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-03-30
            140.37000000
            EUR
            0.00000000
            EUR
            18350000.00000000
            EUR
            177952.62000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03896A SWAPTION SONIO SEP22 0.401 CALL
        000000000
        
          
        
        -4110000.00000000
        NC
        
        -5376.96000000
        -0.00021801036
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    4110000.00000000
                    OU
                    Notional Amount
                    N/A
                    -5376.96000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4110000.00000000
                  GBP
                
              
            
            1.00000000
            0.40100000
            GBP
            2022-09-08
            XXXX
            72140.39000000
          
        
        
          N
          N
          N
        
      
      
        Toyota Auto Receivables Owner Trust
        N/A
        Toyota Auto Receivables 2021-D Owner Trust
        89238JAC9
        
          
        
        9600000.00000000
        PA
        USD
        9210150.43000000
        0.373428149416
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          0.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CK6
        
          
        
        4525000.00000000
        PA
        USD
        4506266.50000000
        0.182707847462
        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
        
          
        
        12175000.00000000
        PA
        USD
        11889009.25000000
        0.482043236575
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILLENBRAND INC
        U246OE781574J2BUD366
        Hillenbrand Inc
        431571AD0
        
          
        
        890000.00000000
        PA
        USD
        913362.50000000
        0.037032540425
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217040  IRS JPY R V 12MLIBOR CCPVANILLA / Short: BR217040  IRS JPY P F   .00000 CCPVANILLA
        000000000
        
          
        
        393870000.00000000
        OU
        Notional Amount
        
        16467.22000000
        0.000667668083
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            560795.00000000
            JPY
            0.00000000
            JPY
            393870000.00000000
            JPY
            74232.81000000
          
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP NY
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp/NY
        96130ALU0
        
          
        
        10874000.00000000
        PA
        USD
        10867229.63000000
        0.440614893411
        Long
        STIV
        CORP
        AU
        N
        
        2
        
          2022-08-02
          Floating
          0.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2937.35000000
        0.000119095685
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            299864.93000000
            USD
            239412202.00000000
            CLP
            2022-04-27
            2937.35000000
          
        
        
          N
          N
          N
        
      
      
        MUELLER WATER PRODUCTS
        549300F7ZU4P1F8V8L60
        Mueller Water Products Inc
        624758AF5
        
          
        
        2985000.00000000
        PA
        USD
        2828287.50000000
        0.114673715176
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217104  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217104  IRS USD P F  1.50000 2 CCPOIS
        000000000
        
          
        
        30450000.00000000
        OU
        Notional Amount
        USD
        1684923.34000000
        0.068315692512
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            807937.95000000
            USD
            0.00000000
            USD
            30450000.00000000
            USD
            876985.39000000
          
        
        
          N
          N
          N
        
      
      
        Long Island Power Authority
        1R46U5SYJ63KQXF39168
        LONG ISLAND NY PWR AUTH ELEC SYS REVENUE
        542691EY2
        
          
        
        1265000.00000000
        PA
        USD
        1247105.94000000
        0.050564262423
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-03-01
          Fixed
          0.35900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
        
        1075000.00000000
        PA
        USD
        1069936.75000000
        0.043380887595
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JNAD2
        
          
        
        272069.91000000
        PA
        USD
        282346.85000000
        0.011447832746
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBB7
        
          
        
        4125000.00000000
        PA
        USD
        4131930.00000000
        0.167530268386
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-31
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        250000.00000000
        PA
        
        281022.01000000
        0.011394116734
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-07-18
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2328.36000000
        -0.00009440401
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            719559.83000000
            USD
            3446515.99000000
            BRL
            2022-05-03
            -2328.36000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        696263.46000000
        PA
        USD
        723079.00000000
        0.029317442196
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWELL BRANDS INC
        549300LWGYFM1TVO1Z12
        Newell Brands Inc
        651229BB1
        
          
        
        2770000.00000000
        PA
        USD
        2853100.00000000
        0.115679744994
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AECOM
        0EEB8GF0W0NPCIHZX097
        AECOM
        00774CAB3
        
          
        
        2750000.00000000
        PA
        USD
        2811875.00000000
        0.114008265730
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRONOX INC
        549300EPZ4YXC7E5P181
        Tronox Inc
        897051AB4
        
          
        
        4400000.00000000
        PA
        USD
        4554000.00000000
        0.184643215696
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        380000.00000000
        PA
        USD
        372400.00000000
        0.015099063136
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-29
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R01
        20754RAF3
        
          
        
        4622000.00000000
        PA
        USD
        4258887.36000000
        0.172677790390
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          3.19900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        24359.72000000
        0.000987671724
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            750988.14000000
            USD
            15635296.71000000
            MXN
            2022-06-15
            24359.72000000
          
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAS0
        
          
        
        1750000.00000000
        PA
        USD
        1635060.00000000
        0.066293969314
        Long
        DBT
        
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        192259.99000000
        0.007795235573
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7167052.49000000
            USD
            9821633.87000000
            AUD
            2022-06-15
            192259.99000000
          
        
        
          N
          N
          N
        
      
      
        DTE ENERGY CO
        549300IX8SD6XXD71I78
        DTE Energy Co
        233331BG1
        
          
        
        3375000.00000000
        PA
        USD
        3160147.50000000
        0.128129072568
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCZ7
        
          
        
        2450000.00000000
        PA
        USD
        2423589.00000000
        0.098265100238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-18
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jamestown CLO Ltd
        N/A
        Jamestown CLO XVI Ltd
        47048RAC9
        
          
        
        3000000.00000000
        PA
        USD
        2982765.00000000
        0.120937049026
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-25
          Floating
          1.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -18679.79000000
        -0.00075737735
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7499541.00000000
            SEK
            703455.68000000
            EUR
            2022-06-15
            -18679.79000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217132  IRS EUR R F   .50000 2 CCPVANILLA / Short: SR217132  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        38980000.00000000
        OU
        Notional Amount
        
        -1830189.17000000
        -0.07420553660
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            EUR
            -878626.25000000
            EUR
            38980000.00000000
            EUR
            -643016.01000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        211725.00000000
        0.008584449899
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-01-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFH7
        
          
        
        4345000.00000000
        PA
        USD
        4452669.10000000
        0.180534725748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-26
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York City Transitional Finance Authority Building Aid Revenue
        N/A
        NEW YORK CITY NY TRANSITIONAL FIN AUTH BLDG AID REVENUE
        64972H5C2
        
          
        
        12925000.00000000
        PA
        USD
        12630549.11000000
        0.512109179552
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-07-15
          Fixed
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFTBANK GROUP CORP
        5493003BZYYYCDIO0R13
        SoftBank Group Corp
        000000000
        
          
        
        200000.00000000
        PA
        USD
        186500.00000000
        0.007561695153
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-09-19
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFS8
        
          
        
        2650000.00000000
        PA
        USD
        2453529.00000000
        0.099479025991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-20
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2012-1
        69338YAA1
        
          
        
        25448.94000000
        PA
        USD
        25092.95000000
        0.001017400742
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-05-25
          Floating
          1.00700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DCP MIDSTREAM OPERATING
        549300Y6CTBSE0QIPL28
        DCP Midstream Operating LP
        23311VAJ6
        
          
        
        2690000.00000000
        PA
        USD
        2804325.00000000
        0.113702148849
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -6504.42000000
        -0.00026372354
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            93249650.00000000
            TWD
            3250000.00000000
            USD
            2022-04-15
            -6504.42000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CYN8
        
          
        
        413238.98000000
        PA
        USD
        430633.37000000
        0.017460151564
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -44276.06000000
        -0.00179518535
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            18752481.91000000
            CZK
            719081.55000000
            EUR
            2022-06-15
            -44276.06000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WVB1
        
          
        
        197159.01000000
        PA
        USD
        22898.34000000
        0.000928419660
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA1
        35564KAH2
        
          
        
        270000.00000000
        PA
        USD
        264947.71000000
        0.010742379702
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-25
          Floating
          1.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382J3Q7
        
          
        
        7958457.36000000
        PA
        USD
        1029195.66000000
        0.041729028599
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FYD0
        
          
        
        207406.52000000
        PA
        USD
        29026.04000000
        0.001176868986
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217004  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR217004  IRS GBP P F   .50000 2 CCPOIS
        000000000
        
          
        
        19190000.00000000
        OU
        Notional Amount
        
        1645175.49000000
        0.066704104712
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            368138.21000000
            GBP
            0.00000000
            GBP
            19190000.00000000
            GBP
            1419151.74000000
          
        
        
          N
          N
          N
        
      
      
        NORTHSTAR EDUCATION FINANCE, INC.
        25490059JOHYRUHEXW19
        Northstar Education Finance Inc
        66705EAA6
        
          
        
        33307.64000000
        PA
        USD
        33066.30000000
        0.001340682468
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-12-26
          Floating
          1.15700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6848.98000000
        0.000277693827
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            749313.82000000
            USD
            945499.91000000
            CAD
            2022-06-15
            6848.98000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        259.45000000
        0.000010519473
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            299440.30000000
            USD
            2812343.30000000
            SEK
            2022-06-15
            259.45000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        21447.28000000
        0.000869586022
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3680252.37000000
            AUD
            4015170.06000000
            NZD
            2022-06-15
            21447.28000000
          
        
        
          N
          N
          N
        
      
      
        County of Palm Beach FL
        N/A
        PALM BEACH CNTY FL PUBLIC IMPT REVENUE
        696543UA3
        
          
        
        5625000.00000000
        PA
        USD
        5267296.69000000
        0.213564031372
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-12-01
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002901  CDS USD R F  1.00000 2 CCPCDX / Short: SX002901  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        225000.00000000
        OU
        Notional Amount
        USD
        2858.54000000
        0.000115900311
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S32
                2I65BYBE4
              
            
            Y
            
            sell protection
            2024-06-20
            1879.27000000
            USD
            0.00000000
            USD
            225000.00000000
            USD
            979.27000000
          
        
        
          N
          N
          N
        
      
      
        GOODYEAR TIRE & RUBBER
        5493002BI0S2ZQUY3437
        Goodyear Tire & Rubber Co/The
        382550BH3
        
          
        
        3235000.00000000
        PA
        USD
        3416968.75000000
        0.138541962655
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-31
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        3673.00000000
        NC
        USD
        -10870667.79000000
        -0.44075429457
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            788771892.52000000
            USD
            -10870667.79000000
          
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBC8
        
          
        
        2550000.00000000
        PA
        USD
        2568105.00000000
        0.104124542258
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-16
          Floating
          1.83900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intesa Sanpaolo SpA
        2W8N8UU78PMDQKZENC08
        Intesa Sanpaolo SpA
        46115HAZ0
        
          
        
        2517000.00000000
        PA
        USD
        2521077.54000000
        0.102217800616
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2022-07-14
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAE9
        
          
        
        1600000.00000000
        PA
        USD
        1560192.00000000
        0.063258425117
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-05-28
          Fixed
          2.74600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADT SEC CORP
        5493009JEEDYLVRA0J13
        ADT Security Corp/The
        00101JAH9
        
          
        
        2050000.00000000
        PA
        USD
        2070500.00000000
        0.083949007048
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JE8
        
          
        
        5575000.00000000
        PA
        USD
        5568087.00000000
        0.225759659411
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-16
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8517.49000000
        0.000345344036
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            552938.93000000
            USD
            506024.40000000
            EUR
            2022-06-15
            8517.49000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04507A SWAPTION US0003M
        000000000
        
          
        
        -48000000.00000000
        NC
        USD
        -9566.40000000
        -0.00038787238
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    48000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9566.40000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  48000000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            144033.60000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UQ70
        
          
        
        33366.37000000
        PA
        USD
        34759.39000000
        0.001409329280
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-04-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAJ4
        
          
        
        1675000.00000000
        PA
        USD
        1716506.50000000
        0.069596240650
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        38454.43000000
        0.001559145720
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            177659395.00000000
            JPY
            1500805.87000000
            USD
            2022-06-15
            38454.43000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        54728.40000000
        0.002218978429
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            913127.19000000
            USD
            9082230.53000000
            SEK
            2022-06-15
            54728.40000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBC4
        
          
        
        6625000.00000000
        PA
        USD
        6869065.00000000
        0.278508179716
        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
        
          
        
        1114942.14000000
        PA
        USD
        119556.03000000
        0.004847432989
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PARKER-HANNIFIN CORP
        5493002CONDB4N2HKI23
        Parker-Hannifin Corp
        701094AM6
        
          
        
        625000.00000000
        PA
        USD
        621243.75000000
        0.025188503234
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-14
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lloyds Banking Group PLC
        549300PPXHEU2JF0AM85
        Lloyds Banking Group PLC
        539439AS8
        
          
        
        4400000.00000000
        PA
        USD
        4477352.00000000
        0.181535500897
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-08-16
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QDH2
        
          
        
        210000.00000000
        PA
        USD
        219639.00000000
        0.008905325264
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2025-10-16
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        89489.13000000
        0.003628362040
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2707773.92000000
            USD
            41277043.01000000
            ZAR
            2022-06-15
            89489.13000000
          
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES PARTNERS
        N/A
        Targa Resources Partners LP / Targa Resources Partners Finance Corp
        87612BBN1
        
          
        
        2720000.00000000
        PA
        USD
        2913800.00000000
        0.118140843631
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL CARIBBEAN CRUISES
        K2NEH8QNVW44JIWK7Z55
        Royal Caribbean Cruises Ltd
        780153AZ5
        
          
        
        4880000.00000000
        PA
        USD
        5343600.00000000
        0.216657770618
        Long
        DBT
        CORP
        LR
        
        N
        
        2
        
          2025-06-01
          Fixed
          11.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22552G3C2
        
          
        
        10678000.00000000
        PA
        USD
        10570048.52000000
        0.428565601405
        Long
        STIV
        CORP
        CH
        N
        
        2
        
          2023-03-17
          Fixed
          0.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Toyota Lease Owner Trust
        549300UQ4T5S6MJB6C18
        Toyota Lease Owner Trust 2021-A
        89238EAD8
        
          
        
        1400000.00000000
        PA
        USD
        1360883.86000000
        0.055177420311
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-20
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAH4
        
          
        
        3200000.00000000
        PA
        USD
        2986592.00000000
        0.121092215822
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAC9
        
          
        
        4590000.00000000
        PA
        USD
        4509675.00000000
        0.182846046057
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300WMOGGIXRH33849
        MJX Venture Management II LLC
        60689WAJ0
        
          
        
        4171053.00000000
        PA
        USD
        4131236.13000000
        0.167502135231
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-22
          Floating
          1.53500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNAC CHINA HOLDINGS LTD
        549300OLARYHDXP3WK18
        Sunac China Holdings Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        49000.00000000
        0.001986718833
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-01-10
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -36332.08000000
        -0.00147309444
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7811241.88000000
            SEK
            717483.41000000
            EUR
            2022-06-15
            -36332.08000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -28205.80000000
        -0.00114361212
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1630005.62000000
            BRL
            313734.12000000
            USD
            2022-04-04
            -28205.80000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -22551.53000000
        -0.00091435815
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1589344.62000000
            USD
            1903960156.00000000
            KRW
            2022-04-11
            -22551.53000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        23912.96000000
        0.000969557714
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            90297425.00000000
            JPY
            767169.85000000
            USD
            2022-06-15
            23912.96000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -2254.65000000
        -0.00009141542
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            57693513.85000000
            INR
            750094.44000000
            USD
            2022-06-15
            -2254.65000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217101  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217101  IRS USD P F  1.00000 2 CCPOIS
        000000000
        
          
        
        71030000.00000000
        OU
        Notional Amount
        USD
        4134372.18000000
        0.167629287264
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            2634423.93000000
            USD
            0.00000000
            USD
            71030000.00000000
            USD
            1499948.25000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBB5
        
          
        
        1400000.00000000
        PA
        USD
        1305962.00000000
        0.052950597992
        Long
        DBT
        
        US
        N
        
        2
        
          2025-09-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERRIGO FINANCE UNLIMITD
        549300E86RB6YCTMRM83
        Perrigo Finance Unlimited Co
        714295AC6
        
          
        
        5000000.00000000
        PA
        USD
        5018750.00000000
        0.203486635655
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2024-12-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BAC36
        
          
        
        3240175.20000000
        PA
        USD
        553587.17000000
        0.022445348097
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Floating
          5.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BZG2
        
          
        
        415157.40000000
        PA
        USD
        48387.26000000
        0.001961875117
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        374893.51000000
        PA
        USD
        390544.98000000
        0.015834756473
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCV9
        
          
        
        7800000.00000000
        PA
        USD
        7952724.00000000
        0.322445439812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROPER TECHNOLOGIES INC
        54930003T4SXCIWVXY35
        Roper Technologies Inc
        776743AH9
        
          
        
        975000.00000000
        PA
        USD
        960960.00000000
        0.038962394500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BP8
        
          
        
        1275000.00000000
        PA
        USD
        1299709.50000000
        0.052697088614
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Floating
          1.96700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BD4
        
          
        
        7900000.00000000
        PA
        USD
        7945425.00000000
        0.322149499797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-09
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEB7
        
          
        
        11250000.00000000
        PA
        USD
        10800675.00000000
        0.437916417148
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-22
          Fixed
          0.79100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AG3
        
          
        
        2100000.00000000
        PA
        USD
        2119593.00000000
        0.085939496593
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-06-12
          Fixed
          4.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        158410.44000000
        0.006422796012
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            358737046.00000000
            JPY
            3111249.70000000
            USD
            2022-06-15
            158410.44000000
          
        
        
          N
          N
          N
        
      
      
        Vedanta Resources Ltd
        2138007MYEKPEAZQTW83
        Vedanta Resources Ltd
        000000000
        
          
        
        220000.00000000
        PA
        USD
        207735.00000000
        0.008422674223
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2023-05-31
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217098  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217098  IRS USD P F   .25000 2 CCPOIS
        000000000
        
          
        
        23230000.00000000
        OU
        Notional Amount
        USD
        893579.12000000
        0.036230417697
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            228848.01000000
            USD
            0.00000000
            USD
            23230000.00000000
            USD
            664731.11000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132A5KC8
        
          
        
        54518.07000000
        PA
        USD
        56761.78000000
        0.002301422395
        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 CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        82100.39000000
        0.003328783491
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3193084.34000000
            USD
            4095264.78000000
            CAD
            2022-06-15
            82100.39000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JL6
        
          
        
        1525000.00000000
        PA
        USD
        1544520.00000000
        0.062622999452
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-26
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380ABR7
        
          
        
        894172.38000000
        PA
        USD
        104129.86000000
        0.004221974571
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2N2
        
          
        
        7200000.00000000
        PA
        USD
        6951456.00000000
        0.281848746072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-30
          Fixed
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        15149.58000000
        0.000614243998
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            793000.00000000
            USD
            638967680.00000000
            CLP
            2022-04-27
            15149.58000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        451394.05000000
        PA
        USD
        469554.63000000
        0.019038225039
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SASOL Financing USA LLC
        549300XRB1PFMESFEL85
        Sasol Financing USA LLC
        80386WAA3
        
          
        
        450000.00000000
        PA
        USD
        455625.00000000
        0.018473444258
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-27
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217052  IRS CHF R V 12MSARON CCPVANILLA / Short: BR217052  IRS CHF P F   .00000 CCPVANILLA
        000000000
        
          
        
        3330000.00000000
        OU
        Notional Amount
        
        136358.64000000
        0.005528699555
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            134048.47000000
            CHF
            0.00000000
            CHF
            3330000.00000000
            CHF
            -7654.33000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XBK1
        
          
        
        846000.00000000
        PA
        USD
        854146.98000000
        0.034631630448
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-09
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03961A SWAPTION SONIO
        000000000
        
          
        
        35720000.00000000
        NC
        
        5959.29000000
        0.000241621095
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    35720000.00000000
                    OU
                    Notional Amount
                    N/A
                    5959.29000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  35720000.00000000
                  GBP
                
              
            
            1.00000000
            0.42000000
            GBP
            2022-10-10
            XXXX
            -71366.61000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380TZK5
        
          
        
        184387.07000000
        PA
        USD
        21040.41000000
        0.000853089363
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Floating
          5.21100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2018-L1
        61691QAN8
        
          
        
        2200000.00000000
        PA
        USD
        1721795.09000000
        0.069810668025
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468R3
        
          
        
        2125000.00000000
        PA
        USD
        2004342.50000000
        0.081266632533
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-21
          Fixed
          0.86400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12602.54000000
        0.000510973542
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            455914.56000000
            USD
            625276.27000000
            AUD
            2022-06-15
            12602.54000000
          
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        891906AB5
        
          
        
        3800000.00000000
        PA
        USD
        3837012.00000000
        0.155572734814
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        4721.02000000
        0.000191415088
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            452750.69000000
            GBP
            599307.00000000
            USD
            2022-06-15
            4721.02000000
          
        
        
          N
          N
          N
        
      
      
        OUTFRONT MEDIA CAP LLC/C
        N/A
        Outfront Media Capital LLC / Outfront Media Capital Corp
        69007TAD6
        
          
        
        4405000.00000000
        PA
        USD
        4504112.50000000
        0.182620512924
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        459506AN1
        
          
        
        5225000.00000000
        PA
        USD
        4840596.75000000
        0.196263361838
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AY0
        
          
        
        3200000.00000000
        PA
        USD
        3098176.00000000
        0.125616420604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          0.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687CM6
        
          
        
        8900000.00000000
        PA
        USD
        8968708.00000000
        0.363638797927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        20754BAB7
        
          
        
        1910000.00000000
        PA
        USD
        1864823.92000000
        0.075609812318
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          3.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GT2
        
          
        
        5065000.00000000
        PA
        USD
        5139303.55000000
        0.208374513375
        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
        
          
        
        23000000.00000000
        PA
        USD
        22502266.20000000
        0.912360735974
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAY7
        
          
        
        5250000.00000000
        PA
        USD
        5318460.00000000
        0.215638462220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCA1
        
          
        
        850000.00000000
        PA
        USD
        863846.50000000
        0.035024900225
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-29
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INFOR INC
        549300Q3IIYBYI4RHD64
        Infor Inc
        45674CAA1
        
          
        
        1075000.00000000
        PA
        USD
        1007995.25000000
        0.040869451990
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAN9
        
          
        
        800000.00000000
        PA
        USD
        808128.00000000
        0.032765777912
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WR34
        
          
        
        1955312.80000000
        PA
        USD
        1934897.56000000
        0.078450967835
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Enbridge US Inc
        5493003FRODSVHJWFS32
        Enbridge US Inc
        29251VNK8
        
          
        
        17000000.00000000
        PA
        USD
        16680683.39000000
        0.676323017379
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2023-01-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VBK5
        
          
        
        1383593.52000000
        PA
        USD
        1459552.40000000
        0.059177964122
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WLC27
        
          
        
        116709.48000000
        PA
        USD
        121831.82000000
        0.004939705537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA CORP
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAF9
        
          
        
        2965000.00000000
        PA
        USD
        2901993.75000000
        0.117662155891
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-31
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7070.98000000
        -0.00028669488
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1499805.19000000
            USD
            1345358.08000000
            EUR
            2022-06-15
            -7070.98000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217312  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217312  IRS USD P F  1.85000 2 CCPOIS
        000000000
        
          
        
        12700000.00000000
        OU
        Notional Amount
        USD
        364114.08000000
        0.014763108171
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2033-02-09
            7590.27000000
            USD
            0.00000000
            USD
            12700000.00000000
            USD
            356523.81000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566ABD0
        
          
        
        4308000.00000000
        PA
        USD
        4360916.89000000
        0.176814606489
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          4.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANIJAY ENTERTAINMENT
        969500CE0IE2EZ5VBG13
        Banijay Entertainment SASU
        060335AA4
        
          
        
        930000.00000000
        PA
        USD
        912562.50000000
        0.037000104199
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-03-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217067  IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR217067  IRS SEK P F  1.00000 2 CCPVANILLA
        000000000
        
          
        
        160020000.00000000
        OU
        Notional Amount
        
        1369455.59000000
        0.055524963524
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            10013162.33000000
            SEK
            0.00000000
            SEK
            160020000.00000000
            SEK
            315855.30000000
          
        
        
          N
          N
          N
        
      
      
        Credit Agricole SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        000000000
        
          
        
        5700000.00000000
        PA
        USD
        5766861.00000000
        0.233819007359
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-03-17
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746RE3
        
          
        
        6063000.00000000
        PA
        USD
        6240949.05000000
        0.253041041192
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-16
          Fixed
          4.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRA Health Sciences Inc
        549300R1HR1VWWHIAK47
        PRA Health Sciences Inc
        45569KAA1
        
          
        
        3144000.00000000
        PA
        USD
        2982870.00000000
        0.120941306281
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04503A SWAPTION US0003M
        000000000
        
          
        
        -48000000.00000000
        NC
        USD
        -817382.40000000
        -0.03314100017
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    48000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -817382.40000000
                    -0.03000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  48000000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            -663782.40000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        91282CEF4
        
          
        
        32810000.00000000
        PA
        USD
        32886898.44000000
        1.333408581960
        Long
        DBT
        UST
        US
        N
        
        1
        
          2027-03-31
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        1478.42000000
        0.000059942956
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1071017.33000000
            NZD
            742768.73000000
            USD
            2022-06-15
            1478.42000000
          
        
        
          N
          N
          N
        
      
      
        SPCM SA
        969500F7036FEDYPRV54
        SPCM SA
        7846ELAD9
        
          
        
        1650000.00000000
        PA
        USD
        1515937.50000000
        0.061464113920
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-03-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAF2
        
          
        
        1500000.00000000
        PA
        USD
        1507155.00000000
        0.061108024978
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-07-03
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        064159TF3
        
          
        
        6450000.00000000
        PA
        USD
        6299263.50000000
        0.255405417031
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-02-03
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICG Rhinebeck CLO 2021-4 Ltd
        N/A
        ICG Rhinebeck CLO 2021-4 Ltd
        449272AA1
        
          
        
        8000000.00000000
        PA
        USD
        7931448.00000000
        0.321582798386
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-26
          Floating
          1.34300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Access High Yield Corporate Bond ETF
        549300MBOA0YMWNF0550
        Goldman Sachs Access High Yield Corporate Bond ETF
        381430453
        
          
        
        754343.00000000
        NS
        USD
        35650250.18000000
        1.445449458415
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -5648.75000000
        -0.00022903016
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            712967.51000000
            ILS
            218304.86000000
            USD
            2022-06-15
            -5648.75000000
          
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AU7
        
          
        
        4750000.00000000
        PA
        USD
        4406195.00000000
        0.178650420242
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Connecticut
        5493007GRO6CU0IKP741
        CONNECTICUT ST
        20772KAF6
        
          
        
        3000000.00000000
        PA
        USD
        3032529.00000000
        0.122954744456
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-01-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAN5
        
          
        
        640000.00000000
        PA
        USD
        678739.20000000
        0.027519672487
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JAR9
        
          
        
        2100000.00000000
        PA
        USD
        1910181.00000000
        0.077448827932
        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 NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -66987.50000000
        -0.00271602709
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5794957.71000000
            NZD
            3943914.93000000
            USD
            2022-06-15
            -66987.50000000
          
        
        
          N
          N
          N
        
      
      
        HUSKY III HOLDING LTD
        N/A
        Husky III Holding Ltd
        44810RAA6
        
          
        
        1104000.00000000
        PA
        USD
        1148160.00000000
        0.046552471351
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-02-15
          Fixed
          13.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Park Avenue Institutional Advisers CLO
        N/A
        Park Avenue Institutional Advisers CLO Ltd 2021-1
        70015QAG3
        
          
        
        3000000.00000000
        PA
        USD
        3006414.00000000
        0.121895904408
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-01-20
          Floating
          4.05400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YDU6
        
          
        
        6250000.00000000
        PA
        USD
        6361937.50000000
        0.257946552055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-22
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UXS6
        
          
        
        1545086.97000000
        PA
        USD
        1535914.14000000
        0.062274072429
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NETFLIX INC
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110LAY2
        
          
        
        4000000.00000000
        PA
        USD
        4014520.00000000
        0.162769846789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        San Francisco City & County Airport Comm-San Francisco International Airport
        54930055TIDYHNDP4F84
        SAN FRANCISCO CALIF CITY &CNTY ARPTS COMMN INTL ARPT REV
        79766DLS6
        
          
        
        380000.00000000
        PA
        USD
        386113.71000000
        0.015655089380
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-05-01
          Fixed
          3.14600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -1384.98000000
        -0.00005615440
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7050121.20000000
            SEK
            749917.16000000
            USD
            2022-06-15
            -1384.98000000
          
        
        
          N
          N
          N
        
      
      
        Sprint Corp
        549300ZTTY7CXOLJ6539
        Sprint Corp
        85207UAF2
        
          
        
        2840000.00000000
        PA
        USD
        3021050.00000000
        0.122489325160
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2179.70000000
        0.000088376551
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            397161.00000000
            USD
            359914.20000000
            EUR
            2022-06-15
            2179.70000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -58523.66000000
        -0.00237285831
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5212817610.64000000
            COP
            1314376.60000000
            USD
            2022-05-16
            -58523.66000000
          
        
        
          N
          N
          N
        
      
      
        University of Massachusetts Building Authority
        6ILE2573NPR1XO2TR556
        UNIV OF MASSACHUSETTS MA BLDG AUTH PROJ REVENUE
        914440LB6
        
          
        
        2915000.00000000
        PA
        USD
        3018566.45000000
        0.122388628924
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2024-11-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YUM! BRANDS INC
        549300JE8XHZZ7OHN517
        Yum! Brands Inc
        988498AM3
        
          
        
        1875000.00000000
        PA
        USD
        1947262.50000000
        0.078952307818
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04779A SWAPTION SOFRRATE
        000000000
        
          
        
        -99100000.00000000
        NC
        USD
        -67675.39000000
        -0.00274391779
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    99100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -67675.39000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  99100000.00000000
                  USD
                
              
            
            1.00000000
            1.59875000
            USD
            2022-11-22
            XXXX
            149457.17000000
          
        
        
          N
          N
          N
        
      
      
        General Motors
        N/A
        GMF Floorplan Owner Revolving Trust
        361886CD4
        
          
        
        2785000.00000000
        PA
        USD
        2781311.69000000
        0.112769067697
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3778.66000000
        0.000153206836
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            726811.88000000
            CHF
            714655.59000000
            EUR
            2022-06-15
            3778.66000000
          
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300YUUBR2C1GYW366
        MidOcean Credit CLO VI
        59802XBA0
        
          
        
        3800000.00000000
        PA
        USD
        3637527.20000000
        0.147484567279
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-20
          Floating
          3.77400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAG5
        
          
        
        1225000.00000000
        PA
        USD
        1269565.50000000
        0.051474891624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        -4028.00000000
        NC
        USD
        11880188.98000000
        0.481685616238
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            -473149126.48000000
            USD
            11880188.98000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAW0
        
          
        
        6064000.00000000
        PA
        USD
        6283395.52000000
        0.254762045302
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESCO DISTRIBUTION INC
        549300I2CEZJG9N4AH67
        WESCO Distribution Inc
        95081QAN4
        
          
        
        2845000.00000000
        PA
        USD
        2965912.50000000
        0.120253759656
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X4V94
        
          
        
        107478.22000000
        PA
        USD
        111939.33000000
        0.004538611737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468V4
        
          
        
        4025000.00000000
        PA
        USD
        3701631.50000000
        0.150083694221
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-10
          Fixed
          0.98500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        586409.09000000
        PA
        USD
        610982.80000000
        0.024772470120
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VFT2
        
          
        
        83513.83000000
        PA
        USD
        88336.70000000
        0.003581636440
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBC4
        
          
        
        690000.00000000
        PA
        USD
        701212.50000000
        0.028430858780
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2025-04-16
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Tennessee
        N/A
        TENNESSEE ST
        880541E94
        
          
        
        9865000.00000000
        PA
        USD
        9576178.45000000
        0.388268858825
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-11-01
          Fixed
          0.38600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BTYZ8
        
          
        
        4273071.72000000
        PA
        USD
        4286944.25000000
        0.173815364917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2054-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon CLO LTD
        N/A
        Marathon CLO XIII Ltd
        56579AAS9
        
          
        
        12000000.00000000
        PA
        USD
        11941200.00000000
        0.484159325269
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-15
          Floating
          1.56100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -4053.24000000
        -0.00016433976
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            678985.62000000
            EUR
            1000020.21000000
            AUD
            2022-06-15
            -4053.24000000
          
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AP3
        
          
        
        625000.00000000
        PA
        USD
        627731.25000000
        0.025451540753
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2022-10-27
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RB1
        95000TAC0
        
          
        
        1748000.00000000
        PA
        USD
        1512452.53000000
        0.061322814828
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2844.00000000
        0.000115310782
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            739777.30000000
            USD
            1006509.92000000
            SGD
            2022-06-15
            2844.00000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04767A SWAPTION SOFRRATE
        000000000
        
          
        
        -99200000.00000000
        NC
        USD
        -59351.36000000
        -0.00240641764
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    99200000.00000000
                    OU
                    Notional Amount
                    N/A
                    -59351.36000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  99200000.00000000
                  USD
                
              
            
            1.00000000
            1.54500000
            USD
            2022-11-16
            XXXX
            144008.64000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TBD0
        
          
        
        2728000.00000000
        PA
        USD
        2655904.14000000
        0.107684383177
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Floating
          4.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397B85
        
          
        
        5639000.00000000
        PA
        USD
        5335097.37000000
        0.216313029084
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-10
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Curators of the University of Missouri/The
        G0G4PRB87K0V5MXIV248
        CURATORS OF THE UNIV OF MISSOURI MO SYS FACS REVENUE
        231266ML8
        
          
        
        8385000.00000000
        PA
        USD
        8264727.24000000
        0.335095699264
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2023-11-01
          Fixed
          1.46600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002944  CDS USD R F  1.00000 2 CCPCDX / Short: SX002944  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        105600000.00000000
        OU
        Notional Amount
        USD
        1462834.56000000
        0.059311040226
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S34
                2I65BYDW2
              
            
            Y
            
            sell protection
            2025-06-20
            1079665.58000000
            USD
            0.00000000
            USD
            105600000.00000000
            USD
            383168.98000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAG3
        
          
        
        7030000.00000000
        PA
        USD
        6432450.00000000
        0.260805501275
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-01-19
          Fixed
          3.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26
        61690VAE8
        
          
        
        500000.00000000
        PA
        USD
        449202.93000000
        0.018213059616
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-10-15
          Fixed
          3.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1046.87000000
        -0.00004244563
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            307835.82000000
            USD
            372938786.00000000
            KRW
            2022-06-15
            -1046.87000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TAH2
        
          
        
        3367579.54000000
        PA
        USD
        3375361.68000000
        0.136854992256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Floating
          2.69900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Municipal Improvement Corp of Los Angeles
        549300ZJ0YLTZNSR8F57
        LOS ANGELES CA MUNI IMPT CORPLEASE REVENUE
        5445872Q0
        
          
        
        855000.00000000
        PA
        USD
        849660.10000000
        0.034449708632
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2022-11-01
          Fixed
          0.31900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TE35
        
          
        
        1657710.16000000
        PA
        USD
        1746420.03000000
        0.070809093169
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CY1
        
          
        
        1875000.00000000
        PA
        USD
        1920337.50000000
        0.077860626091
        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
        
          
        
        2695237.68000000
        PA
        USD
        372843.01000000
        0.015117025102
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        31329QH53
        
          
        
        2619321.61000000
        PA
        USD
        2719003.82000000
        0.110242777517
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAT7
        
          
        
        1325000.00000000
        PA
        USD
        1329942.25000000
        0.053922883998
        Long
        DBT
        
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042640
        
          
        
        25000000.00000000
        PA
        USD
        25933600.00000000
        1.051485133638
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X7HL6
        
          
        
        430293.53000000
        PA
        USD
        447598.99000000
        0.018148027416
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5888.32000000
        0.000238743596
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            774198.38000000
            USD
            15730857.91000000
            MXN
            2022-06-15
            5888.32000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        16473.23000000
        0.000667911761
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1892307395.00000000
            KRW
            1573677.12000000
            USD
            2022-04-11
            16473.23000000
          
        
        
          N
          N
          N
        
      
      
        CSC Holdings LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307AH0
        
          
        
        4120000.00000000
        PA
        USD
        4099400.00000000
        0.166211330352
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2017-BNK9
        06540RAU8
        
          
        
        700000.00000000
        PA
        USD
        560905.53000000
        0.022742073070
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-11-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LD HOLDINGS GROUP LLC
        N/A
        LD Holdings Group LLC
        521088AA2
        
          
        
        3610000.00000000
        PA
        USD
        3406937.50000000
        0.138135242792
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468Q5
        
          
        
        10675000.00000000
        PA
        USD
        10326995.00000000
        0.418710927817
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-28
          Fixed
          2.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LM1
        
          
        
        3750000.00000000
        PA
        USD
        3755475.00000000
        0.152266794130
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-24
          Fixed
          2.87600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PAZ4
        
          
        
        1840000.00000000
        PA
        USD
        1868520.00000000
        0.075759670925
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2024-03-14
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FV84
        
          
        
        1817782.38000000
        PA
        USD
        255255.55000000
        0.010349408339
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAZ3
        
          
        
        1150000.00000000
        PA
        USD
        1120410.50000000
        0.045427360039
        Long
        DBT
        
        US
        N
        
        2
        
          2025-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        42034.25000000
        0.001704290533
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            188379134.87000000
            INR
            2518134.65000000
            USD
            2022-04-13
            42034.25000000
          
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PRIVATE CRE
        549300ORP3TTCNXSYO43
        Blackstone Private Credit Fund
        09261HAS6
        
          
        
        6000000.00000000
        PA
        USD
        6010020.00000000
        0.243677957663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-24
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Level 3 Financing Inc
        254900AE5FEFIJOXWL19
        Level 3 Financing Inc
        527298BH5
        
          
        
        1925000.00000000
        PA
        USD
        1934625.00000000
        0.078439916813
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BV0
        
          
        
        544000.00000000
        PA
        USD
        548836.16000000
        0.022252717055
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-06
          Fixed
          3.36300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ORACLE CORP
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBT1