Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

May 25, 2022 12:38 PM EDT

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    NPORT-P
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          0000822977
          XXXXXXXX
        
      
      
      
      
        S000029317
        C000090153
        C000090154
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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 Strategic Income Fund
      S000029317
      MM4EWHH604XFXV8H1O93
      2022-03-31
      2022-03-31
      N
    
    
      1084818619.57
      295381193.23
      789437426.34
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      194823.05000000
      0.00000000
      0.00000000
      26601957.68000000
      
        
          ARS
          
          
        
        
          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CHF
          
          
        
        
          CLP
          
          
        
        
          CNY
          
          
        
        
          COP
          
          
        
        
          CZK
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          HUF
          
          
        
        
          IDR
          
          
        
        
          ILS
          
          
        
        
          INR
          
          
        
        
          JPY
          
          
        
        
          KRW
          
          
        
        
          MXN
          
          
        
        
          MYR
          
          
        
        
          NOK
          
          
        
        
          NZD
          
          
        
        
          PLN
          
          
        
        
          RUB
          
          
        
        
          SEK
          
          
        
        
          SGD
          
          
        
        
          TRY
          
          
        
        
          TWD
          
          
        
        
          USD
          
          
        
        
          ZAR
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        00831TAC5
        
          
        
        850000.00000000
        PA
        USD
        784014.50000000
        0.099313064448
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2031-05-17
          Fixed
          3.79800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12655.94000000
        -0.00160315936
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            829274.59000000
            USD
            992351438.00000000
            KRW
            2022-04-11
            -12655.94000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283HZY4
        
          
        
        368.94000000
        PA
        USD
        394.62000000
        0.000049987495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2017 CO
        5493006V07LYI3HE6G83
        Huarong Finance 2017 Co Ltd
        000000000
        
          
        
        250000.00000000
        PA
        USD
        238125.00000000
        0.030163885325
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2027-11-07
          Fixed
          4.25000000
          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
        
          
        
        84030000.00000000
        OU
        Notional Amount
        USD
        1736303.49000000
        0.219941876590
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-17
            880907.66000000
            USD
            0.00000000
            USD
            84030000.00000000
            USD
            855395.83000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -239048.33000000
        -0.03028084583
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4753042.33000000
            USD
            548399940.00000000
            JPY
            2022-06-15
            -239048.33000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -133.30000000
        -0.00001688544
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            321484.94000000
            USD
            4710767.05000000
            ZAR
            2022-04-25
            -133.30000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04813A SWAPTION SOFRRATE
        000000000
        
          
        
        -24610000.00000000
        NC
        USD
        -10390.34000000
        -0.00131617018
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    24610000.00000000
                    OU
                    Notional Amount
                    N/A
                    -10390.34000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  24610000.00000000
                  USD
                
              
            
            1.00000000
            1.83000000
            USD
            2022-04-11
            XXXX
            261550.16000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        10295.37000000
        0.001304140094
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            733384.44000000
            EUR
            7732475.51000000
            SEK
            2022-06-15
            10295.37000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -10396.49000000
        -0.00131694921
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2805891.86000000
            ILS
            869248.86000000
            USD
            2022-04-26
            -10396.49000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        230000.00000000
        PA
        
        211501.13000000
        0.026791373570
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATION CASINOS LLC
        5493004E7Q60TX54WL62
        Station Casinos LLC
        857691AG4
        
          
        
        2153000.00000000
        PA
        USD
        2034585.00000000
        0.257725936485
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.50000000
          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
        
          
        
        14460000.00000000
        OU
        Notional Amount
        
        64260.39000000
        0.008140023243
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            94155.58000000
            NOK
            0.00000000
            NOK
            14460000.00000000
            NOK
            105098.13000000
          
        
        
          N
          N
          N
        
      
      
        AIB GROUP PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        000000000
        
          
        
        725000.00000000
        PA
        
        829340.23000000
        0.105054587270
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-06-23
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1035.07000000
        -0.00013111488
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            329384.33000000
            USD
            399147931.00000000
            KRW
            2022-06-15
            -1035.07000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396KBZ4
        
          
        
        426991.83000000
        PA
        USD
        429246.65000000
        0.054373739536
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.85700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        41715.91000000
        0.005284257954
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1405995.00000000
            EUR
            1598825.81000000
            USD
            2022-05-05
            41715.91000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE JUN22
        000000000
        
          
        
        -8.00000000
        NC
        
        24579.72000000
        0.003113574195
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 10 Year Euro BUND Future
                RXM2 COMDTY
              
            
            2022-06-08
            -1291498.96000000
            EUR
            24579.72000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04850A SWAPTION SOFRRATE
        000000000
        
          
        
        -24610000.00000000
        NC
        USD
        -195794.70000000
        -0.02480180106
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    24610000.00000000
                    OU
                    Notional Amount
                    N/A
                    -195794.70000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  24610000.00000000
                  USD
                
              
            
            1.00000000
            2.16500000
            USD
            2022-04-25
            XXXX
            93372.80000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R03
        20754AAJ2
        
          
        
        270000.00000000
        PA
        USD
        240880.64000000
        0.030512949090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          5.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        1830.00000000
        NC
        USD
        -5353960.39000000
        -0.67819946348
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            229900679.14000000
            USD
            -5353960.39000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137A7YL8
        
          
        
        283621.31000000
        PA
        USD
        284886.74000000
        0.036087311102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-15
          Floating
          0.76700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNZ INTL FUNDING/LONDON
        549300HVMZ89HDMELW08
        BNZ International Funding Ltd/London
        0556X4HD1
        
          
        
        4013000.00000000
        PA
        USD
        4018401.50000000
        0.509020900950
        Long
        STIV
        CORP
        NZ
        N
        
        2
        
          2022-09-09
          Floating
          0.94800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03962A SWAPTION SONIO
        000000000
        
          
        
        -6500000.00000000
        NC
        
        -11735.62000000
        -0.00148658014
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    6500000.00000000
                    OU
                    Notional Amount
                    N/A
                    -11735.62000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  6500000.00000000
                  GBP
                
              
            
            1.00000000
            0.37900000
            GBP
            2022-10-10
            XXXX
            124773.88000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        168976.80000000
        0.021404711046
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            382665684.00000000
            JPY
            3318777.66000000
            USD
            2022-06-15
            168976.80000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTJPMUSCN202204136420
        000000000
        
          
        
        3207000.00000000
        OU
        Notional Amount
        USD
        1436.74000000
        0.000181995425
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    1436.74000000
                    0.00000000
                    DFE
                    
                    US
                  
                  20588940.00000000
                  CNY
                  3207000.00000000
                  USD
                  2022-04-13
                
              
            
            1.00000000
            6.42000000
            USD
            2022-04-13
            XXXX
            -15499.43000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE II
        549300BHVD63HE2GHX17
        Huarong Finance II Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        196000.00000000
        0.024827806924
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2026-06-03
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006120  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006120  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        5250000.00000000
        OU
        Notional Amount
        USD
        -266391.82000000
        -0.03374451363
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                FED REPUBLIC OF BRAZIL
                FED REPUBLIC OF BRAZIL
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -291643.15000000
            USD
            5250000.00000000
            USD
            25251.33000000
          
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAV8
        
          
        
        3500000.00000000
        PA
        USD
        3495625.00000000
        0.442799502958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        15238.24000000
        0.001930265717
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1038864.00000000
            USD
            1522968.46000000
            NZD
            2022-06-15
            15238.24000000
          
        
        
          N
          N
          N
        
      
      
        TransCanada PipeLines Ltd
        5BV01I6231JPDAPMGH09
        TransCanada PipeLines Ltd
        89355QE93
        
          
        
        6039000.00000000
        PA
        USD
        6032536.28000000
        0.764156357264
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2022-05-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE ENERGY PARTNERS
        5493005UEC8AZ34LDV29
        Cheniere Energy Partners LP
        16411QAK7
        
          
        
        1245000.00000000
        PA
        USD
        1204537.50000000
        0.152581757566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAJ8
        
          
        
        2000000.00000000
        PA
        USD
        1973146.00000000
        0.249943305721
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-20
          Floating
          1.44400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allied Universal
        N/A
        Allied Universal Holdco LLC / Allied Universal Finance Corp
        019576AA5
        
          
        
        1500000.00000000
        PA
        USD
        1515000.00000000
        0.191908813726
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CP9
        
          
        
        1915000.00000000
        PA
        USD
        1761800.00000000
        0.223171582853
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Finance
        635400YBUKZWGENSKR11
        Octagon Finance NO 1 DAC
        000000000
        
          
        
        842509.62000000
        PA
        
        899405.15000000
        0.113929884749
        Long
        ABS-MBS
        CORP
        IE
        N
        
        3
        
          2023-01-17
          Floating
          1.84700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1239.27000000
        0.000156981409
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            706182.98000000
            USD
            958841.13000000
            SGD
            2022-04-06
            1239.27000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        15328.04000000
        0.001941640906
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10638245.86000000
            NOK
            1223310.79000000
            USD
            2022-04-25
            15328.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        149099.23000000
        0.018886769872
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3066913.96000000
            GBP
            4177765.53000000
            USD
            2022-04-05
            149099.23000000
          
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 LTD
        549300BTYXZYFTGVBO58
        ZAIS CLO 15 LTD
        98888DAN2
        
          
        
        6000000.00000000
        PA
        USD
        5987406.00000000
        0.758439592579
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-28
          Floating
          1.62800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XEJD1
        
          
        
        12922.46000000
        PA
        USD
        13723.84000000
        0.001738432907
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACRISURE LLC / FIN INC
        N/A
        Acrisure LLC / Acrisure Finance Inc
        00489LAA1
        
          
        
        2555000.00000000
        PA
        USD
        2539031.25000000
        0.321625396172
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Camelot U.S. Acquisition 1 Co.
        N/A
        Camelot U.S. Acquisition 1 Co. Term Loan B
        000000000
        
          
        
        2845886.08000000
        PA
        USD
        2811507.78000000
        0.356140675143
        Long
        LON
        CORP
        LU
        
        N
        
        2
        
          2026-10-30
          Floating
          3.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006023  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006023  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1200000.00000000
        OU
        Notional Amount
        USD
        23007.48000000
        0.002914414649
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of Chile
                Republic of Chile
                
                  
                  
                
              
            
            Y
            
            sell protection
            2025-12-20
            24164.23000000
            USD
            0.00000000
            USD
            1200000.00000000
            USD
            -1156.75000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTJPMUSCN2022041364850
        000000000
        
          
        
        -3207000.00000000
        OU
        Notional Amount
        USD
        -259.77000000
        -0.00003290571
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -259.77000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -3207000.00000000
                  USD
                  -20797395.00000000
                  CNY
                  2022-04-13
                
              
            
            1.00000000
            6.48500000
            USD
            2022-04-13
            XXXX
            6093.30000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396VGA0
        
          
        
        483955.31000000
        PA
        USD
        485074.26000000
        0.061445561587
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.80700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTCHAUSCN2022042663905
        000000000
        
          
        
        -1061000.00000000
        OU
        Notional Amount
        USD
        -6736.29000000
        -0.00085330258
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -6736.29000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1061000.00000000
                  USD
                  -6780320.50000000
                  CNY
                  2022-04-26
                
              
            
            1.00000000
            6.39050000
            USD
            2022-04-26
            XXXX
            -2471.07000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5743.57000000
        -0.00072755228
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            799476.71000000
            USD
            22649175.19000000
            TWD
            2022-06-15
            -5743.57000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA1
        35564KBE8
        
          
        
        1022000.00000000
        PA
        USD
        882843.15000000
        0.111831935064
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-01-25
          Floating
          4.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2017-COR2 Mortgage Trust
        12595EAN5
        
          
        
        800000.00000000
        PA
        USD
        676081.29000000
        0.085640896598
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRIVIUM PACKAGING FIN
        724500GMZWW3PVYET548
        Trivium Packaging Finance BV
        89686QAA4
        
          
        
        875000.00000000
        PA
        USD
        869531.25000000
        0.110145683620
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        DBJPM 16-C1 Mortgage Trust
        23312LAG3
        
          
        
        1000000.00000000
        PA
        USD
        763610.59000000
        0.096728450479
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-05-10
          Variable
          3.32600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -14989.50000000
        -0.00189875720
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            16259192.43000000
            NOK
            1831256.99000000
            USD
            2022-04-25
            -14989.50000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KND7
        
          
        
        616000.00000000
        PA
        USD
        581449.11000000
        0.073653603262
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -2880.02000000
        -0.00036481928
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5105073.56000000
            CNY
            796920.63000000
            USD
            2022-06-15
            -2880.02000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296M6W4
        
          
        
        832.72000000
        PA
        USD
        879.75000000
        0.000111440118
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMDB Commercial Mortgage Securities Trust
        N/A
        JPMDB Commercial Mortgage Securities Trust 2017-C7
        46648KAC0
        
          
        
        660000.00000000
        PA
        USD
        536390.11000000
        0.067945867791
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -2432.25000000
        -0.00030809914
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            62238130.46000000
            INR
            809180.66000000
            USD
            2022-06-15
            -2432.25000000
          
        
        
          N
          N
          N
        
      
      
        Momentive Performance Materials Inc.
        54930021ZH8MCUXACZ50
        Momentive Performance Materials Inc. Term Loan B
        60877JAB8
        
          
        
        2275650.00000000
        PA
        USD
        2244359.81000000
        0.284298632813
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-05-15
          Floating
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Travelport Finance (Luxembourg) S.a.r.l.
        2221005SGFWYZHL40F77
        Travelport Finance (Luxembourg) S.a.r.l. 2020 Super Priority Term Loan
        000000000
        
          
        
        1955254.77000000
        PA
        USD
        2023962.42000000
        0.256380347886
        Long
        LON
        CORP
        LU
        N
        
        2
        
          2025-02-28
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASB BANK LTD
        549300IBZWZL1KTPF918
        ASB Bank Ltd
        0020NAAC4
        
          
        
        5251000.00000000
        PA
        USD
        5259608.07000000
        0.666247620711
        Long
        STIV
        CORP
        NZ
        N
        
        2
        
          2022-09-15
          Floating
          1.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H020642
        
          
        
        -64000000.00000000
        PA
        USD
        -60853043.20000000
        -7.70840615983
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        CTBOAUSCN2022042064440
        000000000
        
          
        
        -3224000.00000000
        OU
        Notional Amount
        USD
        -1744.18000000
        -0.00022093961
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Written
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1744.18000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -3224000.00000000
                  USD
                  -20775456.00000000
                  CNY
                  2022-04-20
                
              
            
            1.00000000
            6.44400000
            USD
            2022-04-20
            XXXX
            3372.31000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378UYN1
        
          
        
        105406.39000000
        PA
        USD
        15754.48000000
        0.001995659120
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-06-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -1577.81000000
        -0.00019986511
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            642922.19000000
            GBP
            842858.13000000
            USD
            2022-04-25
            -1577.81000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03898A SWAPTION SONIO SEP22 0.281 CALL
        000000000
        
          
        
        52550000.00000000
        NC
        
        5191.23000000
        0.000657586000
        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
                    
                      
                    
                    52550000.00000000
                    OU
                    Notional Amount
                    N/A
                    5191.23000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  52550000.00000000
                  GBP
                
              
            
            1.00000000
            0.28100000
            GBP
            2022-09-08
            XXXX
            -95203.54000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3211.76000000
        -0.00040684161
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            316467.62000000
            USD
            249708776.00000000
            CLP
            2022-06-15
            -3211.76000000
          
        
        
          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
        
          
        
        21500000.00000000
        OU
        Notional Amount
        
        560845.34000000
        0.071043672530
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            438392.38000000
            CAD
            0.00000000
            CAD
            21500000.00000000
            CAD
            216565.45000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YF44
        
          
        
        2869.44000000
        PA
        USD
        2990.91000000
        0.000378866000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIG INTL FIN/DIG INTL HL
        N/A
        Digicel International Finance Ltd/Digicel international Holdings Ltd
        25381XAA1
        
          
        
        1089262.00000000
        PA
        USD
        1081637.17000000
        0.137013667443
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2024-05-25
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3283.32000000
        -0.00041590630
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            500014.00000000
            USD
            60347239.00000000
            JPY
            2022-06-15
            -3283.32000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1848.44000000
        -0.00023414648
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            13026649.18000000
            SEK
            1249474.78000000
            EUR
            2022-06-15
            -1848.44000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        1907.10000000
        0.000241577094
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            608639.07000000
            GBP
            801217.34000000
            USD
            2022-06-15
            1907.10000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4EM1
        
          
        
        742.84000000
        PA
        USD
        799.32000000
        0.000101251850
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RAH6
        
          
        
        59085.88000000
        PA
        USD
        59151.18000000
        0.007492826920
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tencent Holdings Ltd
        254900N4SLUMW4XUYY11
        Tencent Holdings Ltd
        88032XAG9
        
          
        
        200000.00000000
        PA
        USD
        194970.00000000
        0.024697334265
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-01-19
          Fixed
          3.59500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLIUM SE
        724500KRJEMC79KAAU28
        Constellium SE
        21039CAA2
        
          
        
        485000.00000000
        PA
        USD
        486818.75000000
        0.061666540470
        Long
        DBT
        CORP
        FR
        
        N
        
        2
        
          2028-06-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        B&G Foods Inc
        549300TRW1LZMDJZAQ78
        B&G Foods Inc
        05508RAE6
        
          
        
        2005000.00000000
        PA
        USD
        1959887.50000000
        0.248263818588
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -20427.87000000
        -0.00258764904
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            95480979.60000000
            TWD
            3314000.00000000
            USD
            2022-04-15
            -20427.87000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296XPM1
        
          
        
        6493.45000000
        PA
        USD
        6987.13000000
        0.000885077115
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        DBJPM 17-C6 Mortgage Trust
        23312JAQ6
        
          
        
        1100000.00000000
        PA
        USD
        951884.34000000
        0.120577554121
        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
        
          
        
        10040000.00000000
        OU
        Notional Amount
        
        846.34000000
        0.000107207990
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-29
            112.45000000
            EUR
            0.00000000
            EUR
            10040000.00000000
            EUR
            100618.80000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS MORTGAGE TRUST 2017-C1
        07332VAA3
        
          
        
        550000.00000000
        PA
        USD
        470886.61000000
        0.059648376715
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-15
          Variable
          3.49100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -331.31000000
        -0.00004196786
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            102532.61000000
            USD
            147528.93000000
            NZD
            2022-04-28
            -331.31000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M6UY2
        
          
        
        14739.06000000
        PA
        USD
        15765.02000000
        0.001996994248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREENKO POWER II LTD
        254900YYA4B6O2O4JM12
        Greenko Power II Ltd
        39530MAA6
        
          
        
        200000.00000000
        PA
        USD
        188310.00000000
        0.023853695519
        Long
        DBT
        CORP
        MU
        
        N
        
        2
        
          2028-12-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RBD4
        
          
        
        879000.00000000
        PA
        USD
        895408.12000000
        0.113423571029
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          5.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR217655  IRS BRL R F 12.06000 CCPNDFPREDISWAP / Short: SR217655  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        51360000.00000000
        OU
        Notional Amount
        
        137131.27000000
        0.017370758647
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-01-02
            9833.10000000
            BRL
            0.00000000
            BRL
            51360000.00000000
            BRL
            231182.76000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31288JY67
        
          
        
        4618.80000000
        PA
        USD
        4940.31000000
        0.000625801340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        5804.27000000
        0.000735241300
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            243810509.21000000
            INR
            3217864.44000000
            USD
            2022-04-04
            5804.27000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -20443.65000000
        -0.00258964793
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            730127.34000000
            EUR
            6955412.08000000
            NOK
            2022-06-15
            -20443.65000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        26177.30000000
        0.003315943623
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            807061.92000000
            USD
            16802706.35000000
            MXN
            2022-06-15
            26177.30000000
          
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        Lehman XS Trust 2007-3
        525245AD8
        
          
        
        92858.31000000
        PA
        USD
        89658.15000000
        0.011357220598
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          1.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -3753.24000000
        -0.00047543223
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            821964.10000000
            CHF
            888725.13000000
            USD
            2022-06-15
            -3753.24000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        26057.19000000
        0.003300728991
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            788441.92000000
            USD
            12018932.13000000
            ZAR
            2022-06-15
            26057.19000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        CTCITEUPL2022042147230
        000000000
        
          
        
        -963000.00000000
        OU
        Notional Amount
        
        -7609.57000000
        -0.00096392313
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -7609.57000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -963000.00000000
                  EUR
                  -4548249.00000000
                  PLN
                  2022-04-21
                
              
            
            1.00000000
            4.72300000
            EUR
            2022-04-21
            XXXX
            4911.21000000
          
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitization Trust
        N/A
        Residential Asset Securitization Trust 2006-A8
        761119AA4
        
          
        
        667095.23000000
        PA
        USD
        563169.40000000
        0.071338066984
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA2
        35564KFV6
        
          
        
        890000.00000000
        PA
        USD
        840532.82000000
        0.106472380451
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-25
          Floating
          2.14900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRIVIUM PACKAGING FIN
        724500GMZWW3PVYET548
        Trivium Packaging Finance BV
        89686QAB2
        
          
        
        645000.00000000
        PA
        USD
        643387.50000000
        0.081499492997
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-08-15
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAA2
        
          
        
        320000.00000000
        PA
        USD
        316000.00000000
        0.040028505041
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-10-31
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN PENERBIT SBSN
        254900G208H6Q0L5B953
        Perusahaan Penerbit SBSN Indonesia III
        71567PAS9
        
          
        
        1020000.00000000
        PA
        USD
        974212.20000000
        0.123405879616
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2031-06-09
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599ED3
        
          
        
        1100000.00000000
        PA
        USD
        1262250.00000000
        0.159892343317
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Adjustable Rate Mortgages Trust
        N/A
        MASTR Adjustable Rate Mortgages Trust 2006-OA2
        55275NAA9
        
          
        
        1063227.08000000
        PA
        USD
        939339.33000000
        0.118988446539
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-12-25
          Floating
          0.94100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EG GLOBAL FINANCE PLC
        549300TL8Q5207VYET27
        eG Global Finance PLC
        28228PAB7
        
          
        
        1000000.00000000
        PA
        USD
        1021250.00000000
        0.129364274599
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-10-30
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        15799.12000000
        0.002001313780
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            827000.00000000
            USD
            666363520.00000000
            CLP
            2022-04-27
            15799.12000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -80882.76000000
        -0.01024562014
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            40331783.41000000
            MXN
            1942633.88000000
            USD
            2022-04-12
            -80882.76000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -5613.51000000
        -0.00071107725
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2910654.58000000
            GBP
            3816875.24000000
            USD
            2022-06-15
            -5613.51000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -159885.19000000
        -0.02025305422
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3979830.21000000
            AUD
            2818953.54000000
            USD
            2022-04-21
            -159885.19000000
          
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911363AM1
        
          
        
        1070000.00000000
        PA
        USD
        1009812.50000000
        0.127915458060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        22152.57000000
        0.002806121075
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            94449606.00000000
            JPY
            799586.93000000
            USD
            2022-06-15
            22152.57000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF NIGERIA
        549300GSBZD84TNEQ285
        Nigeria Government International Bond
        000000000
        
          
        
        210000.00000000
        PA
        USD
        190680.00000000
        0.024153909307
        Long
        DBT
        NUSS
        NG
        N
        
        2
        
          2033-09-28
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2776.38000000
        -0.00035169095
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            790000.00000000
            USD
            60367850.00000000
            INR
            2022-06-15
            -2776.38000000
          
        
        
          N
          N
          N
        
      
      
        CK HUTCHISON INTNTL 21
        254900E16YL0NL5TFN79
        CK Hutchison International 21 Ltd
        12565WAB7
        
          
        
        230000.00000000
        PA
        USD
        211526.40000000
        0.026794574584
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3131X1AP6
        
          
        
        281.76000000
        PA
        USD
        283.85000000
        0.000035955984
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3234.68000000
        -0.00040974495
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            790000.00000000
            USD
            956073800.00000000
            KRW
            2022-04-11
            -3234.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        20753XAF1
        
          
        
        153000.00000000
        PA
        USD
        156648.55000000
        0.019843060991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          6.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BASF SE
        529900PM64WH8AF1E917
        BASF SE
        05526MJ63
        
          
        
        3951000.00000000
        PA
        USD
        3921421.83000000
        0.496736245224
        Long
        STIV
        CORP
        DE
        N
        
        2
        
          2022-09-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3840.36000000
        -0.00048646794
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            788887.70000000
            USD
            953986118.00000000
            KRW
            2022-04-11
            -3840.36000000
          
        
        
          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
        
          
        
        14430000.00000000
        OU
        Notional Amount
        
        -1010985.01000000
        -0.12806398281
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            15048.87000000
            AUD
            0.00000000
            AUD
            14430000.00000000
            AUD
            -1021588.10000000
          
        
        
          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
        
          
        
        259900000.00000000
        OU
        Notional Amount
        
        -446162.04000000
        -0.05651645401
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-15
            0.00000000
            SEK
            -4475007.71000000
            SEK
            259900000.00000000
            SEK
            33710.95000000
          
        
        
          N
          N
          N
        
      
      
        ARD FINANCE SA
        6354006P6QPGGPVJW880
        ARD Finance SA
        00191AAD8
        
          
        
        1706352.00000000
        PA
        USD
        1561312.08000000
        0.197775279953
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2027-06-30
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        143115.53000000
        0.018128799728
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3694792.00000000
            GBP
            4996555.90000000
            USD
            2022-04-05
            143115.53000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217016  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR217016  IRS CAD P F  1.75000 2 CCPVANILLA
        000000000
        
          
        
        9770000.00000000
        OU
        Notional Amount
        
        379626.02000000
        0.048088171061
        N/A
        DIR
        
        CA
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            42236.80000000
            CAD
            0.00000000
            CAD
            9770000.00000000
            CAD
            525994.45000000
          
        
        
          N
          N
          N
        
      
      
        DIG INTL FIN/DIG INTL HL
        N/A
        Digicel International Finance Ltd/Digicel international Holdings Ltd
        25381XAC7
        
          
        
        434839.00000000
        PA
        USD
        404400.27000000
        0.051226386855
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-12-31
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT Corp
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAF6
        
          
        
        280000.00000000
        PA
        USD
        277200.00000000
        0.035113612650
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAN5
        
          
        
        2550000.00000000
        PA
        USD
        2473789.22000000
        0.313361026151
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.99100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12237.23000000
        0.001550120325
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3199822.94000000
            USD
            243810509.21000000
            INR
            2022-04-04
            12237.23000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380UM67
        
          
        
        1428597.95000000
        PA
        USD
        172647.35000000
        0.021869668733
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Floating
          5.25100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BDB6
        
          
        
        3236211.44000000
        PA
        USD
        394026.87000000
        0.049912362506
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sotera Health Holdings, LLC
        549300OVT7MBXFLOFU20
        Sotera Health Holdings, LLC 2021 Term Loan
        83600VAE1
        
          
        
        850000.00000000
        PA
        USD
        837955.50000000
        0.106145904924
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-12-11
          Floating
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2021-BNK38
        06540EAK9
        
          
        
        1050000.00000000
        PA
        USD
        978898.57000000
        0.123999513747
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-12-15
          Fixed
          2.52100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        18919.96000000
        0.002396638336
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            900773.83000000
            USD
            3877493.55000000
            PLN
            2022-05-05
            18919.96000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        Banc of America Funding 2007-2 Trust
        05951GCH3
        
          
        
        24957.01000000
        PA
        USD
        24233.56000000
        0.003069725248
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-25
          Variable
          3.87800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERFORMANCE FOOD GROUP I
        549300OMUOGBYK0FFO76
        Performance Food Group Inc
        71376LAD2
        
          
        
        358000.00000000
        PA
        USD
        368740.00000000
        0.046709211863
        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
        
          
        
        600000.00000000
        OU
        Notional Amount
        USD
        -78375.00000000
        -0.00992795595
        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
            -92639.27000000
            USD
            600000.00000000
            USD
            14264.27000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140K8YH8
        
          
        
        555872.42000000
        PA
        USD
        576869.48000000
        0.073073490152
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380XEJ2
        
          
        
        551421.84000000
        PA
        USD
        70740.20000000
        0.008960836874
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3093.12000000
        -0.00039181319
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3114598.21000000
            EUR
            3179895.76000000
            CHF
            2022-06-15
            -3093.12000000
          
        
        
          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
        
          
        
        1200000.00000000
        OU
        Notional Amount
        USD
        -130875.00000000
        -0.01657826138
        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
            -153409.97000000
            USD
            1200000.00000000
            USD
            22534.97000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN22
        000000000
        
          
        
        -139.00000000
        NC
        USD
        648864.09000000
        0.082193226258
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            -21498864.09000000
            USD
            648864.09000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04846A SWAPTION EUR006M
        000000000
        
          
        
        -20440000.00000000
        NC
        
        -333674.74000000
        -0.04226740826
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    20440000.00000000
                    OU
                    Notional Amount
                    N/A
                    -333674.74000000
                    -0.04000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20440000.00000000
                  EUR
                
              
            
            1.00000000
            1.09000000
            EUR
            2022-04-25
            XXXX
            -138836.99000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2780.04000000
        -0.00035215457
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            978973.70000000
            EUR
            1080385.59000000
            USD
            2022-04-06
            -2780.04000000
          
        
        
          N
          N
          N
        
      
      
        SUMMIT MATERIALS LLC/FIN
        N/A
        Summit Materials LLC / Summit Materials Finance Corp
        86614RAM9
        
          
        
        520000.00000000
        PA
        USD
        529100.00000000
        0.067022411447
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OUTFRONT MEDIA CAP LLC/C
        N/A
        Outfront Media Capital LLC / Outfront Media Capital Corp
        69007TAB0
        
          
        
        665000.00000000
        PA
        USD
        650037.50000000
        0.082341865018
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KBD9
        
          
        
        495000.00000000
        PA
        USD
        465740.75000000
        0.058996537845
        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
        
          
        
        400000.00000000
        PA
        USD
        379521.60000000
        0.048074943920
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-02-10
          Variable
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12858.55000000
        0.001628824473
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            804091.37000000
            USD
            16474223.99000000
            MXN
            2022-06-15
            12858.55000000
          
        
        
          N
          N
          N
        
      
      
        MANITOWOC COMPANY INC
        2RTSLGQ89VMY18RHX631
        Manitowoc Co Inc/The
        563571AL2
        
          
        
        565000.00000000
        PA
        USD
        587600.00000000
        0.074432751779
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -6324.83000000
        -0.00080118192
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            733384.44000000
            EUR
            807397.60000000
            USD
            2022-06-15
            -6324.83000000
          
        
        
          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
        
          
        
        1950000.00000000
        OU
        Notional Amount
        USD
        -212671.87000000
        -0.02693967411
        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
            -357011.63000000
            USD
            1950000.00000000
            USD
            144339.76000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4362.44000000
        0.000552601112
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            650092.00000000
            USD
            945556.73000000
            NZD
            2022-06-15
            4362.44000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5427.92000000
        0.000687568111
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1509107.75000000
            USD
            9638671.20000000
            CNY
            2022-04-22
            5427.92000000
          
        
        
          N
          N
          N
        
      
      
        Getty Images, Inc.
        N/A
        Getty Images, Inc. 2019 USD Term Loan B
        37427UAJ9
        
          
        
        909076.92000000
        PA
        USD
        901695.22000000
        0.114219973605
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-02-19
          Floating
          5.06300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -51997.50000000
        -0.00658665250
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1758683.12000000
            AUD
            1265777.00000000
            USD
            2022-06-15
            -51997.50000000
          
        
        
          N
          N
          N
        
      
      
        BANCO MERCANTIL DE NORTE
        549300QTVYRPFHS0J362
        Banco Mercantil del Norte SA/Grand Cayman
        05973KAA5
        
          
        
        640000.00000000
        PA
        USD
        589720.00000000
        0.074701297445
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-01-24
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04658A SWAPTION SOFRRATE
        000000000
        
          
        
        51900000.00000000
        NC
        USD
        16431.54000000
        0.002081423992
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    51900000.00000000
                    OU
                    Notional Amount
                    N/A
                    16431.54000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  51900000.00000000
                  USD
                
              
            
            1.00000000
            1.36100000
            USD
            2022-07-12
            XXXX
            -310151.23000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04768A SWAPTION SOFRRATE
        000000000
        
          
        
        -155800000.00000000
        NC
        USD
        -52348.80000000
        -0.00663115254
        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
                    
                      
                    
                    155800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -52348.80000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  155800000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-11-16
            XXXX
            134611.20000000
          
        
        
          N
          N
          N
        
      
      
        DIG INTL FIN/DIG INTL HL
        N/A
        Digicel International Finance Ltd/Digicel international Holdings Ltd
        25381XAB9
        
          
        
        618591.00000000
        PA
        USD
        612134.46000000
        0.077540592778
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-12-31
          Fixed
          13.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296XB38
        
          
        
        736.40000000
        PA
        USD
        792.39000000
        0.000100374009
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0KQ1
        
          
        
        188345.42000000
        PA
        USD
        198140.79000000
        0.025098986111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-12-25
          Floating
          5.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Loan Trust 2007-EQ1
        86363HAA0
        
          
        
        2547659.93000000
        PA
        USD
        1968098.12000000
        0.249303878221
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.88700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XAH3
        
          
        
        92767.20000000
        PA
        USD
        93182.34000000
        0.011803638501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          4.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -3703.90000000
        -0.00046918221
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            641949.97000000
            EUR
            706568.65000000
            USD
            2022-04-06
            -3703.90000000
          
        
        
          N
          N
          N
        
      
      
        GREENKO DUTCH BV
        724500PT585P4JPVRP08
        Greenko Dutch BV
        39530LAD2
        
          
        
        194000.00000000
        PA
        USD
        183087.50000000
        0.023192148470
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-03-29
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03951A SWAPTION SONIO
        000000000
        
          
        
        -5890000.00000000
        NC
        
        -12054.86000000
        -0.00152701906
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    5890000.00000000
                    OU
                    Notional Amount
                    N/A
                    -12054.86000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5890000.00000000
                  GBP
                
              
            
            1.00000000
            0.42450000
            GBP
            2022-10-10
            XXXX
            113806.33000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-64CB
        12668AZX6
        
          
        
        370127.19000000
        PA
        USD
        314204.34000000
        0.039801044328
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          1.25700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Corp
        54930067J0ZNOEBRW338
        Navient Corp
        63938CAH1
        
          
        
        400000.00000000
        PA
        USD
        410000.00000000
        0.051935718566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-25
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SL3
        
          
        
        59500000.00000000
        PA
        USD
        53531406.25000000
        6.780956218174
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-02-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS Corp
        N/A
        DISH DBS Corp
        25470XAJ4
        
          
        
        1540000.00000000
        PA
        USD
        1545775.00000000
        0.195807159430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        000000000
        
          
        
        1550000.00000000
        PA
        USD
        1489550.00000000
        0.188684999000
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2024-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        00831TAB7
        
          
        
        550000.00000000
        PA
        USD
        511780.50000000
        0.064828507355
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2026-05-17
          Fixed
          2.63400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2007-16CB
        02152AAB5
        
          
        
        311196.20000000
        PA
        USD
        235444.57000000
        0.029824348598
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-08-25
          Floating
          0.85700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AM46
        
          
        
        270.94000000
        PA
        USD
        271.06000000
        0.000034335843
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCRIPPS ESCROW INC
        N/A
        Scripps Escrow Inc
        81104PAA7
        
          
        
        1555000.00000000
        PA
        USD
        1558887.50000000
        0.197468152381
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        000000000
        
          
        
        450000.00000000
        PA
        USD
        454500.00000000
        0.057572644117
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-04-06
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04769A SWAPTION SOFRRATE
        000000000
        
          
        
        155800000.00000000
        NC
        USD
        155379.34000000
        0.019682287007
        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
                    
                      
                    
                    155800000.00000000
                    OU
                    Notional Amount
                    N/A
                    155379.34000000
                    0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  155800000.00000000
                  USD
                
              
            
            1.00000000
            1.80000000
            USD
            2022-11-16
            XXXX
            -350970.66000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        1215000.00000000
        PA
        USD
        1073756.25000000
        0.136015371728
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Funding Mtg Sec I
        N/A
        RFMSI Series 2007-S9 Trust
        74958VAA6
        
          
        
        1968892.42000000
        PA
        USD
        1408923.86000000
        0.178471885546
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-10-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P8
        17326DAM4
        
          
        
        1000000.00000000
        PA
        USD
        807831.07000000
        0.102329968537
        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 COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -293.68000000
        -0.00003720117
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            879168.47000000
            USD
            3337033386.52000000
            COP
            2022-05-16
            -293.68000000
          
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-8
        92538GAA0
        
          
        
        202274.91000000
        PA
        USD
        190934.91000000
        0.024186199390
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-11-25
          Variable
          1.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -9477.34000000
        -0.00120051820
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3390050.08000000
            ILS
            1053301.25000000
            USD
            2022-04-26
            -9477.34000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE JUN22
        000000000
        
          
        
        -20.00000000
        NC
        
        13686.96000000
        0.001733761225
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 5 Year Euro BOBL Future
                OEM2 COMDTY
              
            
            2022-06-08
            -2590972.40000000
            EUR
            13686.96000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -5713.22000000
        -0.00072370777
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1401805.94000000
            NZD
            964528.00000000
            USD
            2022-06-15
            -5713.22000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04851A SWAPTION SOFRRATE
        000000000
        
          
        
        -24610000.00000000
        NC
        USD
        -280524.47000000
        -0.03553473152
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    24610000.00000000
                    OU
                    Notional Amount
                    N/A
                    -280524.47000000
                    -0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  24610000.00000000
                  USD
                
              
            
            1.00000000
            2.16500000
            USD
            2022-04-25
            XXXX
            8643.03000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2052.05000000
        0.000259938271
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            706182.98000000
            USD
            959942.77000000
            SGD
            2022-04-06
            2052.05000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KLU1
        
          
        
        257000.00000000
        PA
        USD
        242824.11000000
        0.030759133263
        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
        
          
        
        1299355.85000000
        PA
        USD
        151222.28000000
        0.019155701890
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        CTBOAUSCN2022042063870
        000000000
        
          
        
        3224000.00000000
        OU
        Notional Amount
        USD
        5609.76000000
        0.000710602235
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    5609.76000000
                    0.00000000
                    DFE
                    
                    US
                  
                  20591688.00000000
                  CNY
                  3224000.00000000
                  USD
                  2022-04-20
                
              
            
            1.00000000
            6.38700000
            USD
            2022-04-20
            XXXX
            -9075.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        20880.98000000
        0.002645045611
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1370617.00000000
            USD
            169051489.00000000
            JPY
            2022-06-15
            20880.98000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3763.76000000
        0.000476764829
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            354138.43000000
            USD
            1141636.06000000
            ILS
            2022-04-26
            3763.76000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296XLG8
        
          
        
        992.61000000
        PA
        USD
        1068.08000000
        0.000135296347
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        194822.73000000
        0.024678679208
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4485718.63000000
            USD
            6253363.00000000
            AUD
            2022-04-21
            194822.73000000
          
        
        
          N
          N
          N
        
      
      
        TWITTER INC
        549300I8RX485XMK6836
        Twitter Inc
        90184LAG7
        
          
        
        920000.00000000
        PA
        USD
        890100.00000000
        0.112751178282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04659A SWAPTION SOFRRATE
        000000000
        
          
        
        -16640000.00000000
        NC
        USD
        -68425.34000000
        -0.00866760780
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    16640000.00000000
                    OU
                    Notional Amount
                    N/A
                    -68425.34000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  16640000.00000000
                  USD
                
              
            
            1.00000000
            1.59400000
            USD
            2022-07-12
            XXXX
            258241.33000000
          
        
        
          N
          N
          N
        
      
      
        CHNGE Mortgage Trust 2022-1
        N/A
        CHNGE Mortgage Trust 2022-1
        17030JAA4
        
          
        
        570743.28000000
        PA
        USD
        559066.79000000
        0.070818379183
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2067-01-25
          Variable
          3.00700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MSCI INC
        549300HTIN2PD78UB763
        MSCI Inc
        55354GAM2
        
          
        
        5090000.00000000
        PA
        USD
        4784600.00000000
        0.606077168418
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        35702.36000000
        0.004522506636
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            799476.71000000
            USD
            16841824.34000000
            MXN
            2022-06-15
            35702.36000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        277.61000000
        0.000035165548
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            320401.12000000
            USD
            3009207.32000000
            SEK
            2022-06-15
            277.61000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022042132230
        000000000
        
          
        
        -3230000.00000000
        OU
        Notional Amount
        USD
        -11243.63000000
        -0.00142425854
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -11243.63000000
                    0.00000000
                    DFE
                    
                    IL
                  
                  -3230000.00000000
                  USD
                  -10410290.00000000
                  ILS
                  2022-04-21
                
              
            
            1.00000000
            3.22300000
            USD
            2022-04-21
            XXXX
            18856.74000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216978  IRS EUR R V 06MEURIB CCPVANILLA / Short: BR216978  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        5670000.00000000
        OU
        Notional Amount
        
        189841.55000000
        0.024047700763
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-03-16
            9608.14000000
            EUR
            0.00000000
            EUR
            5670000.00000000
            EUR
            178963.20000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022041432700
        000000000
        
          
        
        -3215000.00000000
        OU
        Notional Amount
        USD
        -2012.59000000
        -0.00025493977
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -2012.59000000
                    0.00000000
                    DFE
                    
                    IL
                  
                  -3215000.00000000
                  USD
                  -10513050.00000000
                  ILS
                  2022-04-14
                
              
            
            1.00000000
            3.27000000
            USD
            2022-04-14
            XXXX
            35895.48000000
          
        
        
          N
          N
          N
        
      
      
        KKR Apple Bidco, LLC
        2549001SCJD3WEYJFM53
        KKR Apple Bidco, LLC 2021 Term Loan
        48254EAB7
        
          
        
        1496250.00000000
        PA
        USD
        1474973.33000000
        0.186838535998
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-09-23
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Birch Grove CLO Ltd.
        N/A
        Birch Grove CLO 4 Ltd
        09077CAJ1
        
          
        
        1400000.00000000
        PA
        USD
        1366839.60000000
        0.173140967782
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-04-15
          Floating
          4.56800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown Point CLO Ltd
        N/A
        Crown Point CLO 9 Ltd
        22846DAJ2
        
          
        
        8900000.00000000
        PA
        USD
        8849403.50000000
        1.120975925986
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-14
          Floating
          1.42800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        549300664283JRAXM588
        BANK 2018-BNK13
        06539LAJ9
        
          
        
        750000.00000000
        PA
        USD
        578646.35000000
        0.073298570690
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sprint Capital Corp
        549300L17W0GQBR1PO80
        Sprint Capital Corp
        852060AT9
        
          
        
        1610000.00000000
        PA
        USD
        2165450.00000000
        0.274302931144
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382DBZ1
        
          
        
        170222.59000000
        PA
        USD
        21681.15000000
        0.002746405133
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CFIP CLO LTD
        635400N9HTJKJSK1AS88
        CFIP CLO 2017-1 Ltd
        12528JAU0
        
          
        
        2200000.00000000
        PA
        USD
        2133428.00000000
        0.270246624851
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-18
          Floating
          4.06100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        16528.42000000
        0.002093696023
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            529781.54000000
            USD
            8061472.70000000
            ZAR
            2022-06-15
            16528.42000000
          
        
        
          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
        
          
        
        49770000.00000000
        OU
        Notional Amount
        
        307433.15000000
        0.038943320869
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            226819.13000000
            EUR
            0.00000000
            EUR
            49770000.00000000
            EUR
            56483.72000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        154.87000000
        0.000019617767
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            642922.19000000
            GBP
            844590.81000000
            USD
            2022-04-25
            154.87000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128KRY73
        
          
        
        22206.06000000
        PA
        USD
        23894.34000000
        0.003026755408
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2016-LC25
        95000JAC2
        
          
        
        817000.00000000
        PA
        USD
        680237.66000000
        0.086167394311
        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
        
          
        
        600000.00000000
        PA
        USD
        504914.21000000
        0.063958737342
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-12-15
          Variable
          3.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CZK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        42062.01000000
        0.005328099301
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            879999.78000000
            USD
            20532425.86000000
            CZK
            2022-06-15
            42062.01000000
          
        
        
          N
          N
          N
        
      
      
        IRB Holding Corp
        549300HVW4WNWYBXN830
        IRB Holding Corp 2020 Term Loan B
        44988LAF4
        
          
        
        1339561.95000000
        PA
        USD
        1327840.78000000
        0.168200890367
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-02-05
          Floating
          3.75600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -5463.53000000
        -0.00069207891
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            669870.51000000
            EUR
            6918221.67000000
            SEK
            2022-04-25
            -5463.53000000
          
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        000000000
        
          
        
        200000.00000000
        PA
        USD
        203537.50000000
        0.025782600774
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2024-03-28
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        11987.33000000
        0.001518464871
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            756054.81000000
            EUR
            7984392.43000000
            SEK
            2022-06-15
            11987.33000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        549300818AKCJ4Q9TD76
        CSMC 2014-USA OA LLC
        12649AAQ2
        
          
        
        1550000.00000000
        PA
        USD
        1304844.06000000
        0.165287838714
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-15
          Fixed
          4.37300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -832.55000000
        -0.00010546117
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            354138.43000000
            USD
            1126974.73000000
            ILS
            2022-04-26
            -832.55000000
          
        
        
          N
          N
          N
        
      
      
        NIELSEN CO LUX SARL/THE
        549300MFMRJBOPHHM352
        Nielsen Co Luxembourg SARL/The
        65410CAC4
        
          
        
        1485000.00000000
        PA
        USD
        1494281.25000000
        0.189284318191
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382DJV2
        
          
        
        3765482.57000000
        PA
        USD
        566352.30000000
        0.071741252834
        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
        
          
        
        840000.00000000
        OU
        Notional Amount
        
        -18197.78000000
        -0.00230515800
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            EUR
            -12827.11000000
            EUR
            840000.00000000
            EUR
            -4205.30000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -70617.07000000
        -0.00894523969
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6401415.37000000
            CAD
            5049243.19000000
            USD
            2022-04-26
            -70617.07000000
          
        
        
          N
          N
          N
        
      
      
        iHeartCommunications Inc
        54930076J6KDZL504O62
        iHeartCommunications Inc
        45174HBD8
        
          
        
        430000.00000000
        PA
        USD
        443975.00000000
        0.056239416220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          8.37500000
          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
        
          
        
        33280000.00000000
        OU
        Notional Amount
        
        1094927.04000000
        0.138697128292
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-12-18
            453724.34000000
            CAD
            0.00000000
            CAD
            33280000.00000000
            CAD
            737001.46000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04780A SWAPTION SOFRRATE
        000000000
        
          
        
        -155100000.00000000
        NC
        USD
        -61466.13000000
        -0.00778606738
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    155100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -61466.13000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  155100000.00000000
                  USD
                
              
            
            1.00000000
            1.34750000
            USD
            2022-11-22
            XXXX
            124892.85000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379M4U5
        
          
        
        1267267.40000000
        PA
        USD
        223069.35000000
        0.028256748737
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        530000.00000000
        PA
        
        514965.49000000
        0.065231957951
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2032-01-30
          Fixed
          4.87500000
          N
          N
          N
        
        
          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
        
          
        
        531550000.00000000
        OU
        Notional Amount
        
        -896309.40000000
        -0.11353773840
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            SEK
            -6800385.18000000
            SEK
            531550000.00000000
            SEK
            1604449.15000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        44548.56000000
        0.005643076767
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1441539.00000000
            USD
            13089541.71000000
            NOK
            2022-06-15
            44548.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -16608.13000000
        -0.00210379308
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12047044.50000000
            GBP
            15804469.49000000
            USD
            2022-06-15
            -16608.13000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -1650.82000000
        -0.00020911347
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            985662962.00000000
            KRW
            809180.66000000
            USD
            2022-06-15
            -1650.82000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8969.92000000
        0.001136242050
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            879131.85000000
            USD
            802695.20000000
            EUR
            2022-04-05
            8969.92000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6080.83000000
        0.000770273842
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            828675.12000000
            USD
            16833292.05000000
            MXN
            2022-06-15
            6080.83000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNM2
        
          
        
        4326650.57000000
        PA
        USD
        656139.59000000
        0.083114831917
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -20708.06000000
        -0.00262314140
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            40720512612.91000000
            IDR
            2812811.71000000
            USD
            2022-05-31
            -20708.06000000
          
        
        
          N
          N
          N
        
      
      
        Merrill Lynch International
        GGDZP1UYGU9STUHRDP48
        Long: SR216672  IRS KRW R F  1.50000 CCPNDF / Short: SR216672  IRS KRW P V 03MLIBOT CCPNDF
        000000000
        
          
        
        1291290000.00000000
        OU
        Notional Amount
        
        -21723.89000000
        -0.00275181911
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              Merrill Lynch International
              GGDZP1UYGU9STUHRDP48
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            KRW
            -19516169.00000000
            KRW
            1291290000.00000000
            KRW
            -5406.19000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP HOLDINGS NV
        549300SZYINBBLJQU475
        AerCap Holdings NV
        00774YAA7
        
          
        
        985000.00000000
        PA
        USD
        943292.15000000
        0.119489160068
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2079-10-10
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933JV7
        
          
        
        1724.79000000
        PA
        USD
        1844.85000000
        0.000233691732
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Octagon Investment Partners XIV LTD
        549300QEN35HTPJ3BX33
        Octagon Investment Partners XIV Ltd
        67590ABX9
        
          
        
        1600000.00000000
        PA
        USD
        1576756.80000000
        0.199731701005
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-07-15
          Floating
          4.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -764.83000000
        -0.00009688291
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            312479.83000000
            GBP
            409607.00000000
            USD
            2022-06-15
            -764.83000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04508A SWAPTION US0003M
        000000000
        
          
        
        -74000000.00000000
        NC
        USD
        -1260131.20000000
        -0.15962394965
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    74000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1260131.20000000
                    -0.16000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  74000000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            -1023331.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -147278.18000000
        -0.01865609294
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7348862.43000000
            CAD
            5729968.66000000
            USD
            2022-06-15
            -147278.18000000
          
        
        
          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
        
          
        
        522840000.00000000
        OU
        Notional Amount
        USD
        144722.11000000
        0.018332309207
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            175495.73000000
            USD
            0.00000000
            USD
            522840000.00000000
            USD
            -30773.62000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6554.71000000
        0.000830301399
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            805262.58000000
            USD
            1015089.85000000
            CAD
            2022-06-15
            6554.71000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2110.58000000
        -0.00026735241
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            641949.97000000
            EUR
            708161.97000000
            USD
            2022-04-06
            -2110.58000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -21490.59000000
        -0.00272226642
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1442723.00000000
            USD
            12518293.95000000
            NOK
            2022-06-15
            -21490.59000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTJPMUSCN2022041363500
        000000000
        
          
        
        -3207000.00000000
        OU
        Notional Amount
        USD
        -5448.69000000
        -0.00069019909
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -5448.69000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -3207000.00000000
                  USD
                  -20364450.00000000
                  CNY
                  2022-04-13
                
              
            
            1.00000000
            6.35000000
            USD
            2022-04-13
            XXXX
            189.22000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300OORAXMFXOHG132
        SLM Student Loan Trust 2008-3
        78444GAC8
        
          
        
        9467021.73000000
        PA
        USD
        9445747.44000000
        1.196516294368
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2021-10-25
          Floating
          1.25800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04070A SWAPTION SONIO
        000000000
        
          
        
        57770000.00000000
        NC
        
        16232.77000000
        0.002056245303
        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
                    
                      
                    
                    57770000.00000000
                    OU
                    Notional Amount
                    N/A
                    16232.77000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  57770000.00000000
                  GBP
                
              
            
            1.00000000
            0.54400000
            GBP
            2022-11-16
            XXXX
            -119814.64000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        40426.38000000
        0.005120909986
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1462481.27000000
            USD
            2005759.20000000
            AUD
            2022-06-15
            40426.38000000
          
        
        
          N
          N
          N
        
      
      
        ZHENRO PROPERTIES GROUP
        549300I66TVJEL841P38
        Zhenro Properties Group Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        19000.00000000
        0.002406777201
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-08-04
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -791.21000000
        -0.00010022453
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            321484.94000000
            USD
            4701122.50000000
            ZAR
            2022-04-25
            -791.21000000
          
        
        
          N
          N
          N
        
      
      
        Buckeye Partners LP
        549300C1PQJLVEIUBK50
        Buckeye Partners LP
        118230AQ4
        
          
        
        1962000.00000000
        PA
        USD
        1908045.00000000
        0.241696800320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITEUPL2022042147230
        000000000
        
          
        
        -963000.00000000
        OU
        Notional Amount
        
        -21457.65000000
        -0.00271809383
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -21457.65000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -963000.00000000
                  EUR
                  -4548249.00000000
                  PLN
                  2022-04-21
                
              
            
            1.00000000
            4.72300000
            EUR
            2022-04-21
            XXXX
            -8936.87000000
          
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Loan Trust 2007-BC3
        86363WAH2
        
          
        
        247000.00000000
        PA
        USD
        220620.60000000
        0.027946559491
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2047-05-25
          Floating
          0.71700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JPNQ4
        
          
        
        564113.11000000
        PA
        USD
        585421.45000000
        0.074156789438
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1182.11000000
        -0.00014974081
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            724636.17000000
            EUR
            7071404.09000000
            NOK
            2022-06-15
            -1182.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        2229.60000000
        0.000282428971
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3523271.86000000
            BRL
            741335.82000000
            USD
            2022-04-04
            2229.60000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        1729.28000000
        0.000219052193
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1154096.24000000
            NZD
            800521.55000000
            USD
            2022-06-15
            1729.28000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3.41000000
        -0.00000043195
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            413790.00000000
            USD
            2634435.41000000
            CNY
            2022-04-28
            -3.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        23297.12000000
        0.002951104067
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1228376.00000000
            USD
            11745537.23000000
            SEK
            2022-06-15
            23297.12000000
          
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DD4
        
          
        
        1205000.00000000
        PA
        USD
        1470100.00000000
        0.186221219180
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RELIANCE INDUSTRIES LTD
        5493003UOETFYRONLG31
        Reliance Industries Ltd
        759470BD8
        
          
        
        310000.00000000
        PA
        USD
        274277.15000000
        0.034743367979
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2052-01-12
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        34390.36000000
        0.004356312337
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2826438.00000000
            USD
            3577156.89000000
            CAD
            2022-06-15
            34390.36000000
          
        
        
          N
          N
          N
        
      
      
        PENSKE AUTOMOTIVE GROUP
        549300W7UTQ0M4C7LB15
        Penske Automotive Group Inc
        70959WAJ2
        
          
        
        1750000.00000000
        PA
        USD
        1732500.00000000
        0.219460079063
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NETFLIX INC
        549300Y7VHGU0I7CE873
        Netflix Inc
        64110LAV8
        
          
        
        1880000.00000000
        PA
        USD
        2004568.80000000
        0.253923709861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5571.10000000
        -0.00070570507
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1161558.00000000
            USD
            10181996.73000000
            NOK
            2022-06-15
            -5571.10000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216672  IRS KRW R V 03MLIBOR CCPNDF / Short: BR216672  IRS KRW P F  1.50000 CCPNDF
        000000000
        
          
        
        1.00000000
        OU
        Notional Amount
        
        0.00000000
        0.000000
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            0.00000000
            KRW
            0.00000000
            KRW
            1.00000000
            KRW
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        16469.96000000
        0.002086290749
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            14772528.56000000
            TWD
            532362.56000000
            USD
            2022-04-15
            16469.96000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2532.06000000
        0.000320742330
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1121423.00000000
            USD
            1035151.93000000
            CHF
            2022-06-15
            2532.06000000
          
        
        
          N
          N
          N
        
      
      
        DAVITA INC
        M2XHYMU3TZNEZURC6H66
        DaVita Inc
        23918KAT5
        
          
        
        2425000.00000000
        PA
        USD
        2121875.00000000
        0.268783177640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        63097.04000000
        0.007992658809
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1085191.51000000
            USD
            16835188.98000000
            ZAR
            2022-04-26
            63097.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        9150.12000000
        0.001159068432
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            877507.17000000
            GBP
            1161558.00000000
            USD
            2022-06-15
            9150.12000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296XES0
        
          
        
        3544.35000000
        PA
        USD
        3813.82000000
        0.000483106054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          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
        
          
        
        59590000.00000000
        OU
        Notional Amount
        
        -1196163.63000000
        -0.15152101865
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            4603.32000000
            NZD
            0.00000000
            NZD
            59590000.00000000
            NZD
            -989943.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -6729.77000000
        -0.00085247668
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2542909.24000000
            ILS
            792035.52000000
            USD
            2022-06-15
            -6729.77000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITGBUS2022042113050
        000000000
        
          
        
        9707000.00000000
        OU
        Notional Amount
        
        63745.23000000
        0.008074766646
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    63745.23000000
                    0.01000000
                    DFE
                    
                    GB
                  
                  12667635.00000000
                  USD
                  9707000.00000000
                  GBP
                  2022-04-21
                
              
            
            1.00000000
            1.30500000
            GBP
            2022-04-21
            XXXX
            8627.74000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03895A SWAPTION SONIO SEP22 0.300 CALL
        000000000
        
          
        
        68670000.00000000
        NC
        
        7000.16000000
        0.000886727657
        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
                    
                      
                    
                    68670000.00000000
                    OU
                    Notional Amount
                    N/A
                    7000.16000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  68670000.00000000
                  GBP
                
              
            
            1.00000000
            0.30000000
            GBP
            2022-09-08
            XXXX
            -126652.28000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417KUM7
        
          
        
        6344.56000000
        PA
        USD
        6613.13000000
        0.000837701606
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297CWV8
        
          
        
        200625.06000000
        PA
        USD
        214590.16000000
        0.027182668675
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        21134.58000000
        0.002677169753
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1543127.73000000
            USD
            22930878.07000000
            ZAR
            2022-04-25
            21134.58000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876AAB9
        
          
        
        475000.00000000
        PA
        USD
        462505.17000000
        0.058586678889
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-06-25
          Floating
          1.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        29524.90000000
        0.003739992431
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2828562.36000000
            USD
            2583161.97000000
            EUR
            2022-04-06
            29524.90000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR217314  IRS CNY R F  2.25000 CCPVANILLA / Short: SR217314  IRS CNY P V 03MCNRR CCPVANILLA
        000000000
        
          
        
        38690000.00000000
        OU
        Notional Amount
        
        -59780.60000000
        -0.00757255711
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-06-15
            0.00000000
            CNY
            -190929.27000000
            CNY
            38690000.00000000
            CNY
            -29681.31000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XBM5
        
          
        
        1069621.70000000
        PA
        USD
        1142405.82000000
        0.144711383307
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-25
          Floating
          7.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        02156LAC5
        
          
        
        460000.00000000
        PA
        USD
        422050.00000000
        0.053462122002
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAN9
        
          
        
        1160000.00000000
        PA
        USD
        1102000.00000000
        0.139593077707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING INT
        N/A
        Sasol Financing International Ltd
        803865AA2
        
          
        
        4008000.00000000
        PA
        USD
        4018020.00000000
        0.508972575398
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2022-11-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379QFW0
        
          
        
        2789510.02000000
        PA
        USD
        423031.15000000
        0.053586406710
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1478.46000000
        -0.00018728020
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            251479.00000000
            EUR
            2602581.32000000
            SEK
            2022-04-25
            -1478.46000000
          
        
        
          N
          N
          N
        
      
      
        Hertz Corporation, (The)
        549300PD0C69OJ0NLB27
        Hertz Corporation, (The) 2021 Term Loan B
        42804VBB6
        
          
        
        1047783.18000000
        PA
        USD
        1038321.70000000
        0.131526789249
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-06-30
          Floating
          3.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10096.92000000
        -0.00127900194
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            436052.00000000
            USD
            51748793.00000000
            JPY
            2022-06-15
            -10096.92000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123CY4
        
          
        
        700000.00000000
        PA
        USD
        588568.75000000
        0.074555465748
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2030-03-13
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GROUP 1 AUTOMOTIVE INC
        549300US8QAZJLWYAF63
        Group 1 Automotive Inc
        398905AN9
        
          
        
        631000.00000000
        PA
        USD
        586041.25000000
        0.074235301044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -291.52000000
        -0.00003692756
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1422241.42000000
            EUR
            1574810.95000000
            USD
            2022-05-05
            -291.52000000
          
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        000000000
        
          
        
        1410000.00000000
        PA
        USD
        1415287.50000000
        0.179277983634
        Long
        DBT
        NUSS
        OM
        N
        
        2
        
          2026-06-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H042646
        
          
        
        13000000.00000000
        PA
        USD
        13450330.40000000
        1.703786766527
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
        
        1686338.89000000
        PA
        
        2215978.38000000
        0.280703486566
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.95200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Federal Republic of Nigeria
        549300GSBZD84TNEQ285
        Nigeria Government International Bond
        000000000
        
          
        
        1030000.00000000
        PA
        USD
        966912.50000000
        0.122481208483
        Long
        DBT
        NUSS
        NG
        N
        
        2
        
          2032-02-16
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAA9
        
          
        
        889000.00000000
        PA
        USD
        886777.50000000
        0.112330308953
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7564.79000000
        -0.00095825074
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1604546.41000000
            USD
            1439313.25000000
            EUR
            2022-06-15
            -7564.79000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04857A SWAPTION EUR006M
        000000000
        
          
        
        -19960000.00000000
        NC
        
        -206894.37000000
        -0.02620782383
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    19960000.00000000
                    OU
                    Notional Amount
                    N/A
                    -206894.37000000
                    -0.03000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-05
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  19960000.00000000
                  EUR
                
              
            
            1.00000000
            1.22600000
            EUR
            2022-05-03
            XXXX
            16264.15000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31398E3D4
        
          
        
        86500.08000000
        PA
        USD
        88063.08000000
        0.011155169119
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-15
          Floating
          1.24700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -37394.71000000
        -0.00473688081
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8039704.38000000
            SEK
            738468.30000000
            EUR
            2022-06-15
            -37394.71000000
          
        
        
          N
          N
          N
        
      
      
        MATTEL INC
        549300VELLG24KHTJ564
        Mattel Inc
        577081BD3
        
          
        
        1310000.00000000
        PA
        USD
        1372225.00000000
        0.173823149779
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CM6
        
          
        
        235000.00000000
        PA
        USD
        229125.00000000
        0.029023832967
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHANGE HEALTH / FIN INC
        N/A
        Change Healthcare Holdings LLC / Change Healthcare Finance Inc
        15911NAA3
        
          
        
        1932000.00000000
        PA
        USD
        1927170.00000000
        0.244119411583
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BBVK5
        
          
        
        2133692.27000000
        PA
        USD
        397685.89000000
        0.050375859660
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -16027.14000000
        -0.00203019764
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2022894.98000000
            ILS
            619394.00000000
            USD
            2022-06-15
            -16027.14000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292HXB5
        
          
        
        912.34000000
        PA
        USD
        975.85000000
        0.000123613343
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCRIPPS ESCROW II INC
        N/A
        Scripps Escrow II Inc
        81105DAB1
        
          
        
        600000.00000000
        PA
        USD
        574500.00000000
        0.072773342234
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376WS30
        
          
        
        3519122.14000000
        PA
        USD
        467016.01000000
        0.059158078198
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-03-20
          Floating
          5.23100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAJ3
        
          
        
        2270000.00000000
        PA
        USD
        2246777.90000000
        0.284604938280
        Long
        DBT
        
        US
        N
        
        2
        
          2029-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        280251.92000000
        0.035500206938
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            21738000.00000000
            PLN
            5435672.75000000
            USD
            2022-05-06
            280251.92000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAA6
        
          
        
        850000.00000000
        PA
        USD
        749062.50000000
        0.094885607776
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378VAL9
        
          
        
        4458505.95000000
        PA
        USD
        645035.69000000
        0.081708273319
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-07-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VW Credit Inc
        549300UUPJ2NXDB68M19
        VW Credit Inc
        91842KFD3
        
          
        
        8077000.00000000
        PA
        USD
        8057026.95000000
        1.020603619890
        Long
        STIV
        CORP
        US
        
        N
        
        2
        
          2022-06-13
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSOCEAN INC
        DOL4HJ22ADYSIWES4H94
        Transocean Inc
        893830BQ1
        
          
        
        905000.00000000
        PA
        USD
        941200.00000000
        0.119224142230
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-01-30
          Fixed
          11.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31398FHA2
        
          
        
        50239.48000000
        PA
        USD
        51341.09000000
        0.006503503417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-25
          Floating
          1.55700000
          N
          N
          N
        
        
          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
        
          
        
        23070000.00000000
        OU
        Notional Amount
        
        -1007661.97000000
        -0.12764304508
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            GBP
            -749775.18000000
            GBP
            23070000.00000000
            GBP
            514467.85000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        24847.37000000
        0.003147478086
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            738954.43000000
            EUR
            843223.86000000
            USD
            2022-05-05
            24847.37000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -70673.61000000
        -0.00895240175
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            14646752.64000000
            SEK
            1490169.99000000
            USD
            2022-06-15
            -70673.61000000
          
        
        
          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
        
          
        
        549060000.00000000
        OU
        Notional Amount
        
        -2903313.00000000
        -0.36776987043
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            SEK
            -5404398.16000000
            SEK
            549060000.00000000
            SEK
            -1780697.49000000
          
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GDJ6
        
          
        
        1568000.00000000
        PA
        USD
        1587600.00000000
        0.201105236086
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBD2
        
          
        
        470000.00000000
        PA
        USD
        494675.00000000
        0.062661711174
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2030-04-16
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -11921.96000000
        -0.00151018429
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            738468.30000000
            EUR
            807441.24000000
            USD
            2022-06-15
            -11921.96000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RC1
        95001FAC9
        
          
        
        756000.00000000
        PA
        USD
        626891.00000000
        0.079409840360
        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
        
          
        
        48330000.00000000
        OU
        Notional Amount
        
        -3140223.50000000
        -0.39777991202
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            CHF
            -1541876.93000000
            CHF
            48330000.00000000
            CHF
            -1483747.80000000
          
        
        
          N
          N
          N
        
      
      
        Ultimate Software Group Inc (The)
        529900FKHWSTQ1GXK240
        Ultimate Software Group Inc (The) Term Loan B
        90385KAB7
        
          
        
        901875.00000000
        PA
        USD
        897536.98000000
        0.113693239014
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-05-04
          Floating
          4.75600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        41142.65000000
        0.005211641686
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            190078993.00000000
            JPY
            1605722.39000000
            USD
            2022-06-15
            41142.65000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31288GH39
        
          
        
        323.74000000
        PA
        USD
        346.27000000
        0.000043862881
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          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
        
          
        
        16980000.00000000
        OU
        Notional Amount
        
        -1117735.96000000
        -0.14158639085
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            EUR
            -620089.73000000
            EUR
            16980000.00000000
            EUR
            -429033.79000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX003012  CDS USD R F  3.00000 2 CMBX / Short: CX003012  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2400000.00000000
        OU
        Notional Amount
        USD
        -191625.12000000
        -0.02427363000
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -270803.54000000
            USD
            2400000.00000000
            USD
            79178.42000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0FW4
        
          
        
        78053.83000000
        PA
        USD
        78319.33000000
        0.009920904100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-25
          Floating
          4.35700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566AAH2
        
          
        
        280867.63000000
        PA
        USD
        281891.67000000
        0.035707918144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          2.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIEUUS2022040111000
        000000000
        
          
        
        5804000.00000000
        OU
        Notional Amount
        
        2253.65000000
        0.000285475444
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    2253.65000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  6384400.00000000
                  USD
                  5804000.00000000
                  EUR
                  2022-04-01
                
              
            
            1.00000000
            1.10000000
            EUR
            2022-04-01
            XXXX
            -38811.64000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EG4G6
        
          
        
        3777.76000000
        PA
        USD
        4023.84000000
        0.000509709809
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        -758.00000000
        NC
        USD
        1988410.42000000
        0.251876887724
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            -162524519.42000000
            USD
            1988410.42000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PTBOAUSCN2022042063300
        000000000
        
          
        
        -3224000.00000000
        OU
        Notional Amount
        USD
        -3730.17000000
        -0.00047250990
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Put
            Written
            
              
                
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                  
                  
                    Bank of America N.A.
                    B4TYDEB6GKMZO031MB27
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -3730.17000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -3224000.00000000
                  USD
                  -20407920.00000000
                  CNY
                  2022-04-20
                
              
            
            1.00000000
            6.33000000
            USD
            2022-04-20
            XXXX
            1283.15000000
          
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GR/DIAMON
        N/A
        Diamond Sports Group LLC / Diamond Sports Finance Co
        25277LAF3
        
          
        
        435000.00000000
        PA
        USD
        166387.50000000
        0.021076717982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        3713.89000000
        0.000470447672
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1904464.05000000
            NZD
            1322675.04000000
            USD
            2022-05-12
            3713.89000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216981  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR216981  IRS EUR P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        970000.00000000
        OU
        Notional Amount
        
        77246.54000000
        0.009785011125
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-03-16
            0.00000000
            EUR
            -408.21000000
            EUR
            970000.00000000
            EUR
            77708.57000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        4782.09000000
        0.000605759220
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            243810509.21000000
            INR
            3209485.73000000
            USD
            2022-04-13
            4782.09000000
          
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        635400C39IXGGYE6DH05
        Apidos CLO XXIII
        03765YAU8
        
          
        
        2600000.00000000
        PA
        USD
        2583685.00000000
        0.327281797618
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.46100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1879.22000000
        0.000238045465
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            706144.97000000
            EUR
            783179.03000000
            USD
            2022-04-06
            1879.22000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7188.00000000
        0.000910521817
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1639877.15000000
            USD
            2059342.96000000
            CAD
            2022-04-26
            7188.00000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -4608.20000000
        -0.00058373214
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            802437.46000000
            EUR
            883232.48000000
            USD
            2022-04-06
            -4608.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1972.17000000
        0.000249819673
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            591438.00000000
            USD
            451855.36000000
            GBP
            2022-06-15
            1972.17000000
          
        
        
          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
        
          
        
        71680000.00000000
        OU
        Notional Amount
        
        -230604.16000000
        -0.02921120183
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-22
            0.00000000
            CAD
            -77334.81000000
            CAD
            71680000.00000000
            CAD
            -169076.54000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
        
        310000.00000000
        PA
        USD
        294112.50000000
        0.037255961040
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-HQA1
        35564KTB5
        
          
        
        350000.00000000
        PA
        USD
        358221.26000000
        0.045376776936
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCER INTL INC
        549300Z5IAG39VRTY874
        Mercer International Inc
        588056AW1
        
          
        
        1040000.00000000
        PA
        USD
        1045200.00000000
        0.132398080598
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217577  IRS MXN R V 01MTIIE 1 CCPVANILLA / Short: BR217577  IRS MXN P F  8.70000 2 CCPVANILLA
        000000000
        
          
        
        440320000.00000000
        OU
        Notional Amount
        
        17096.99000000
        0.002165718197
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-12
            2091.52000000
            MXN
            0.00000000
            MXN
            440320000.00000000
            MXN
            16997.13000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412QST7
        
          
        
        25689.12000000
        PA
        USD
        27009.40000000
        0.003421347797
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          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
        
          
        
        6820000.00000000
        OU
        Notional Amount
        USD
        353996.87000000
        0.044841662960
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-03-16
            0.00000000
            USD
            -704155.18000000
            USD
            6820000.00000000
            USD
            1058152.05000000
          
        
        
          N
          N
          N
        
      
      
        ReadyCap Commercial Mortgage Trust
        N/A
        Ready Capital Mortgage Financing 2021-FL7 LLC
        75575WAA4
        
          
        
        1999721.40000000
        PA
        USD
        1981019.01000000
        0.250940599457
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          1.65700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7LA2
        
          
        
        1154.93000000
        PA
        USD
        1235.32000000
        0.000156481053
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04066A SWAPTION SONIO
        000000000
        
          
        
        63450000.00000000
        NC
        
        16903.60000000
        0.002141221005
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    63450000.00000000
                    OU
                    Notional Amount
                    N/A
                    16903.60000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  63450000.00000000
                  GBP
                
              
            
            1.00000000
            0.51600000
            GBP
            2022-11-15
            XXXX
            -132092.03000000
          
        
        
          N
          N
          N
        
      
      
        QNB Finance Ltd
        549300MY0DXTHQEX5O57
        QNB Finance Ltd
        000000000
        
          
        
        230000.00000000
        PA
        USD
        230618.13000000
        0.029212971453
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-03-28
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Starfruit Finco B.V
        549300K7VB5G6LULFT41
        Starfruit Finco B.V 2018 USD Term Loan B
        000000000
        
          
        
        1303329.52000000
        PA
        USD
        1282150.42000000
        0.162413178957
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-10-01
          Floating
          4.00600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAB0
        
          
        
        106540.10000000
        PA
        USD
        109984.14000000
        0.013931964248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-25
          Floating
          5.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4121.55000000
        0.000522086977
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            803645.45000000
            USD
            11615891334.30000000
            IDR
            2022-06-15
            4121.55000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296RH27
        
          
        
        215.94000000
        PA
        USD
        230.97000000
        0.000029257543
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -136680.85000000
        -0.01731370282
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            66591005.83000000
            RUB
            652853.00000000
            USD
            2022-04-21
            -136680.85000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5850.37000000
        0.000741080902
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2934095.22000000
            USD
            3984806.45000000
            SGD
            2022-04-06
            5850.37000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIEUUS2022040110830
        000000000
        
          
        
        -8706000.00000000
        OU
        Notional Amount
        
        -9.64000000
        -0.00000122112
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -9.64000000
                    0.00000000
                    DFE
                    
                    US
                  
                  -8706000.00000000
                  EUR
                  -9428598.00000000
                  USD
                  2022-04-01
                
              
            
            1.00000000
            1.08300000
            EUR
            2022-04-01
            XXXX
            22604.82000000
          
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAZ4
        
          
        
        4470000.00000000
        PA
        USD
        3979775.10000000
        0.504127998903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-08-01
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS6 Trust
        74922EAN9
        
          
        
        389579.83000000
        PA
        USD
        368526.20000000
        0.046682129286
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-26CB
        12667GTM5
        
          
        
        307786.92000000
        PA
        USD
        231244.04000000
        0.029292257028
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-25
          Floating
          0.95700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296UCR0
        
          
        
        203.03000000
        PA
        USD
        218.47000000
        0.000027674137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        17153.08000000
        0.002172823257
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1970402615.00000000
            KRW
            1638622.52000000
            USD
            2022-04-11
            17153.08000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4971.29000000
        0.000629725654
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1007134.61000000
            USD
            15726910.50000000
            TRY
            2022-06-14
            4971.29000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        SWAPTION USD OPS04800A
        000000000
        
          
        
        -24610000.00000000
        NC
        USD
        -943591.70000000
        -0.11952710481
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    24610000.00000000
                    OU
                    Notional Amount
                    N/A
                    -943591.70000000
                    -0.12000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  24610000.00000000
                  USD
                
              
            
            1.00000000
            1.69000000
            USD
            2022-04-04
            XXXX
            -647902.55000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        5635.00000000
        0.000713799449
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            448680.97000000
            EUR
            502539.74000000
            USD
            2022-05-05
            5635.00000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04832A SWAPTION SOFRRATE
        000000000
        
          
        
        -24610000.00000000
        NC
        USD
        -104873.05000000
        -0.01328452978
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    24610000.00000000
                    OU
                    Notional Amount
                    N/A
                    -104873.05000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  24610000.00000000
                  USD
                
              
            
            1.00000000
            2.01000000
            USD
            2022-04-19
            XXXX
            135689.70000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296PKS0
        
          
        
        1622.69000000
        PA
        USD
        1735.64000000
        0.000219857830
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217418  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR217418  IRS PLN P F  4.75000 2 CCPVANILLA
        000000000
        
          
        
        104472834.00000000
        OU
        Notional Amount
        
        517504.47000000
        0.065553576855
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            2406398.03000000
            PLN
            0.00000000
            PLN
            104472834.00000000
            PLN
            -47808.53000000
          
        
        
          N
          N
          N
        
      
      
        Cathedral Lake LTD
        N/A
        Cathedral Lake VII Ltd
        14919HAG8
        
          
        
        750000.00000000
        PA
        USD
        722206.50000000
        0.091483691538
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          2.81100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Corp
        54930067J0ZNOEBRW338
        Navient Corp
        78442FAZ1
        
          
        
        2680000.00000000
        PA
        USD
        2251200.00000000
        0.285165096673
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TITAN ACQ/CO-BORROWER
        N/A
        Titan Acquisition Ltd / Titan Co-Borrower LLC
        88827AAA1
        
          
        
        1120000.00000000
        PA
        USD
        1113000.00000000
        0.140986475034
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-04-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS Corp
        N/A
        DISH DBS Corp
        25470XAY1
        
          
        
        450000.00000000
        PA
        USD
        446625.00000000
        0.056575098303
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2450.48000000
        0.000310408389
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            457527.62000000
            USD
            415338.00000000
            EUR
            2022-05-05
            2450.48000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OC8
        232434AD2
        
          
        
        874.00000000
        PA
        USD
        5853.15000000
        0.000741433051
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04781A SWAPTION SOFRRATE
        000000000
        
          
        
        155100000.00000000
        NC
        USD
        171928.35000000
        0.021778591217
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    155100000.00000000
                    OU
                    Notional Amount
                    N/A
                    171928.35000000
                    0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  155100000.00000000
                  USD
                
              
            
            1.00000000
            1.85000000
            USD
            2022-11-22
            XXXX
            -354261.71000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR216871  IRS BRL R F 11.23000 20270104 IRS REC F L / Short: SR216871  IRS BRL P V 01MCETIP 20270104 IRS PAY V S
        000000000
        
          
        
        490000.00000000
        OU
        Notional Amount
        
        846.45000000
        0.000107221924
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-01-04
            3542.34000000
            BRL
            0.00000000
            BRL
            490000.00000000
            BRL
            197.31000000
          
        
        
          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
        
          
        
        28590000.00000000
        OU
        Notional Amount
        USD
        98752.72000000
        0.012509252374
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-14
            56539.58000000
            USD
            0.00000000
            USD
            28590000.00000000
            USD
            42213.14000000
          
        
        
          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
        
          
        
        43610000.00000000
        OU
        Notional Amount
        USD
        207382.99000000
        0.026269718546
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-24
            118015.98000000
            USD
            0.00000000
            USD
            43610000.00000000
            USD
            89367.01000000
          
        
        
          N
          N
          N
        
      
      
        B&G Foods, Inc.
        549300TRW1LZMDJZAQ78
        B&G Foods, Inc. 2019 Term Loan B4
        05508TAU6
        
          
        
        454208.33000000
        PA
        USD
        444556.40000000
        0.056313063602
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-10-10
          Floating
          2.95700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296UXF3
        
          
        
        2744.85000000
        PA
        USD
        2953.54000000
        0.000374132249
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAB0
        
          
        
        200000.00000000
        PA
        USD
        175500.00000000
        0.022231020996
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2046-10-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380Y2Z7
        
          
        
        1903598.17000000
        PA
        USD
        261451.21000000
        0.033118674295
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2457.44000000
        0.000311290029
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            159531.84000000
            USD
            145996.24000000
            EUR
            2022-06-15
            2457.44000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -59958.70000000
        -0.00759511748
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5340640072.64000000
            COP
            1346606.17000000
            USD
            2022-05-16
            -59958.70000000
          
        
        
          N
          N
          N
        
      
      
        Nomura Asset Acceptance Corporation
        N/A
        Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR4
        65538DAE5
        
          
        
        747066.88000000
        PA
        USD
        697185.30000000
        0.088314193973
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.93700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        11453.85000000
        0.001450887634
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            320910.67000000
            USD
            4904445.68000000
            ZAR
            2022-06-15
            11453.85000000
          
        
        
          N
          N
          N
        
      
      
        VIRGIN MONEY UK PLC
        213800ZK9VGCYYR6O495
        Virgin Money UK PLC
        000000000
        
          
        
        575000.00000000
        PA
        
        797942.63000000
        0.101077375277
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-08
          Fixed
          9.25000000
          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
        
          
        
        1730000.00000000
        OU
        Notional Amount
        USD
        26075.60000000
        0.003303061031
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            4154.49000000
            USD
            0.00000000
            USD
            1730000.00000000
            USD
            21921.11000000
          
        
        
          N
          N
          N
        
      
      
        DCP MIDSTREAM OPERATING
        549300Y6CTBSE0QIPL28
        DCP Midstream Operating LP
        23311VAK3
        
          
        
        2115000.00000000
        PA
        USD
        1908787.50000000
        0.241790854640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F050643
        
          
        
        13000000.00000000
        PA
        USD
        13667338.10000000
        1.731275671000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BW2
        
          
        
        200000.00000000
        PA
        USD
        214250.00000000
        0.027139579762
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-06-05
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AJ6
        
          
        
        565000.00000000
        PA
        USD
        443525.00000000
        0.056182413602
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2030-01-30
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        137050000.00000000
        PA
        USD
        4796750.00000000
        0.607616239103
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2022-10-28
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -48748.99000000
        -0.00617515567
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1516623.99000000
            USD
            1325420.20000000
            EUR
            2022-05-05
            -48748.99000000
          
        
        
          N
          N
          N
        
      
      
        Tikehau US CLO Ltd
        N/A
        Tikehau US CLO I Ltd
        88676JAA4
        
          
        
        1000000.00000000
        PA
        USD
        925002.00000000
        0.117172301329
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-01-18
          Floating
          7.12600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9222.68000000
        0.001168259787
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1729847.00000000
            USD
            1567373.10000000
            EUR
            2022-06-15
            9222.68000000
          
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        90015WAK9
        
          
        
        530000.00000000
        PA
        USD
        503500.00000000
        0.063779595848
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2026-01-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03950A SWAPTION SONIO
        000000000
        
          
        
        57570000.00000000
        NC
        
        10224.74000000
        0.001295193217
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    57570000.00000000
                    OU
                    Notional Amount
                    N/A
                    10224.74000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  57570000.00000000
                  GBP
                
              
            
            1.00000000
            0.45900000
            GBP
            2022-10-10
            XXXX
            -115623.86000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296MGU7
        
          
        
        786.39000000
        PA
        USD
        841.13000000
        0.000106548026
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAF1
        
          
        
        434116.63000000
        PA
        USD
        434495.57000000
        0.055038633272
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-25
          Floating
          3.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -14652.56000000
        -0.00185607617
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1691692.18000000
            USD
            127587424.22000000
            INR
            2022-04-13
            -14652.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6480.47000000
        -0.00082089723
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1002764.00000000
            USD
            758625.44000000
            GBP
            2022-06-15
            -6480.47000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215745  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215745  IRS BRL P F  5.80000 CCPNDFPREDISWAP
        000000000
        
          
        
        67660000.00000000
        OU
        Notional Amount
        
        679557.05000000
        0.086081179752
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-01-02
            166085.83000000
            BRL
            0.00000000
            BRL
            67660000.00000000
            BRL
            650617.63000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -5172.08000000
        -0.00065516022
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1148063.51000000
            ILS
            354696.38000000
            USD
            2022-04-18
            -5172.08000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust 2021-LTV2
        46654VAA1
        
          
        
        1575941.50000000
        PA
        USD
        1453596.12000000
        0.184130631700
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        27605.04000000
        0.003496798996
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            750544.32000000
            EUR
            858817.09000000
            USD
            2022-05-05
            27605.04000000
          
        
        
          N
          N
          N
        
      
      
        KINGDOM OF BAHRAIN
        549300RODM1WN85LFQ95
        Bahrain Government International Bond
        05675M2J2
        
          
        
        700000.00000000
        PA
        USD
        659750.00000000
        0.083572171522
        Long
        DBT
        NUSS
        BH
        N
        
        2
        
          2034-05-18
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        40689.01000000
        0.005154177980
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7082136.64000000
            AUD
            7725796.63000000
            NZD
            2022-06-15
            40689.01000000
          
        
        
          N
          N
          N
        
      
      
        ENCOMPASS HEALTH CORP
        549300FVRPM9DRQZRG64
        Encompass Health Corp
        29261AAA8
        
          
        
        1100000.00000000
        PA
        USD
        1078000.00000000
        0.136552938083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -61.40000000
        -0.00000777769
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            730127.34000000
            EUR
            1012876.45000000
            CAD
            2022-06-15
            -61.40000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QO7 Trust
        751150AA1
        
          
        
        2313227.93000000
        PA
        USD
        2143659.30000000
        0.271542649040
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-09-25
          Floating
          0.94100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2303.83000000
        0.000291831869
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            802815.03000000
            USD
            11563747692.12000000
            IDR
            2022-05-13
            2303.83000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216992  IRS EUR R V 12MLIBOR CCPVANILLA / Short: BR216992  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        600000.00000000
        OU
        Notional Amount
        
        31456.30000000
        0.003984647668
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            0.00000000
            EUR
            -548.28000000
            EUR
            600000.00000000
            EUR
            32075.68000000
          
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452151LF8
        
          
        
        4280000.00000000
        PA
        USD
        4551383.67000000
        0.576535076516
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25495.65000000
        -0.00322959732
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            736955.30000000
            USD
            541614.86000000
            GBP
            2022-04-05
            -25495.65000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS2 Trust
        761118UQ9
        
          
        
        260067.78000000
        PA
        USD
        228041.50000000
        0.028886583330
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FW6P0
        
          
        
        2297493.49000000
        PA
        USD
        429201.88000000
        0.054368068409
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAJ9
        
          
        
        1660000.00000000
        PA
        USD
        1452500.00000000
        0.183991783456
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2051-02-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          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
        
          
        
        150810000.00000000
        OU
        Notional Amount
        
        -1061702.93000000
        -0.13448854773
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            481119.29000000
            NZD
            0.00000000
            NZD
            150810000.00000000
            NZD
            -1382158.48000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296NDW4
        
          
        
        924.91000000
        PA
        USD
        989.29000000
        0.000125315822
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        4363737.71000000
        PA
        USD
        4546601.88000000
        0.575929355297
        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 EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        35177.18000000
        0.004455980781
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2428963.53000000
            USD
            2225000.00000000
            EUR
            2022-05-05
            35177.18000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022642
        
          
        
        30000000.00000000
        PA
        USD
        28626564.00000000
        3.626197979074
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217406  IRS ZAR R V 03MJIBAR 1 CCPVANILLA / Short: BR217406  IRS ZAR P F  6.10000 2 CCPVANILLA
        000000000
        
          
        
        211552216.00000000
        OU
        Notional Amount
        
        54775.55000000
        0.006938554997
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            1037827.70000000
            ZAR
            0.00000000
            ZAR
            211552216.00000000
            ZAR
            -14690.94000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX002999  CDS USD R F  3.00000 2 CMBX / Short: CX002999  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2250000.00000000
        OU
        Notional Amount
        USD
        -293906.25000000
        -0.03722983484
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -596979.31000000
            USD
            2250000.00000000
            USD
            303073.06000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        84781.02000000
        0.010739422425
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1507130.30000000
            USD
            23285163.14000000
            ZAR
            2022-04-08
            84781.02000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6665.52000000
        0.000844337977
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1568872.23000000
            USD
            2135486.12000000
            SGD
            2022-04-06
            6665.52000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4375.10000000
        0.000554204786
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            792370.02000000
            USD
            22814709.88000000
            TWD
            2022-04-15
            4375.10000000
          
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2018-BNK15
        06036FAJ0
        
          
        
        780000.00000000
        PA
        USD
        613389.98000000
        0.077699632616
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31288H6W5
        
          
        
        359.75000000
        PA
        USD
        384.79000000
        0.000048742305
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300KSCKXTOBY0IP86
        Voya CLO 2019-1 Ltd
        92917NAJ7
        
          
        
        3900000.00000000
        PA
        USD
        3864510.00000000
        0.489527082332
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.30100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03820A SWAPTION US0003M
        000000000
        
          
        
        34800000.00000000
        NC
        USD
        2439.48000000
        0.000309014992
        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
                    
                      
                    
                    34800000.00000000
                    OU
                    Notional Amount
                    N/A
                    2439.48000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  34800000.00000000
                  USD
                
              
            
            1.00000000
            1.05250000
            USD
            2022-06-21
            XXXX
            -308064.11000000
          
        
        
          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
        
          
        
        48550000.00000000
        OU
        Notional Amount
        
        -4792252.44000000
        -0.60704652200
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            EUR
            -2553741.75000000
            EUR
            48550000.00000000
            EUR
            -1071369.18000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296NRM1
        
          
        
        210.23000000
        PA
        USD
        224.86000000
        0.000028483574
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPC Holding BV
        213800G1DU7LKI6ZCD69
        UPC Holding BV
        90320LAG2
        
          
        
        465000.00000000
        PA
        USD
        459187.50000000
        0.058166421388
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPG International Inc.
        N/A
        CPG International Inc. 2017 Term Loan
        12626JAE7
        
          
        
        1580669.23000000
        PA
        USD
        1565652.87000000
        0.198325138606
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-05-05
          Floating
          3.50600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        24957.45000000
        0.003161422193
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            94706071.00000000
            JPY
            804502.82000000
            USD
            2022-06-15
            24957.45000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5015.07000000
        0.000635271375
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            705466.34000000
            USD
            642156.16000000
            EUR
            2022-04-05
            5015.07000000
          
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2005-AR10
        45660LKW8
        
          
        
        1913968.63000000
        PA
        USD
        1724126.68000000
        0.218399409816
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          0.97700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31288EK97
        
          
        
        11516.84000000
        PA
        USD
        12314.24000000
        0.001559875373
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -13587.18000000
        -0.00172112184
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            62669075.84000000
            INR
            803645.45000000
            USD
            2022-06-15
            -13587.18000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        -587.00000000
        NC
        USD
        2566415.40000000
        0.325094214483
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            -82022368.53000000
            USD
            2566415.40000000
          
        
        
          N
          N
          N
        
      
      
        Nutrien Ltd
        5493002QQ7GD21OWF963
        Nutrien Ltd
        67077VE53
        
          
        
        3105000.00000000
        PA
        USD
        3101960.11000000
        0.392932993357
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2022-05-05
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -292099.89000000
        -0.03700101873
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5665472.08000000
            USD
            22656999.03000000
            PLN
            2022-05-06
            -292099.89000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -73682.60000000
        -0.00933355799
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6374137.83000000
            NZD
            4338091.60000000
            USD
            2022-06-15
            -73682.60000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KLV9
        
          
        
        760000.00000000
        PA
        USD
        716490.15000000
        0.090759587282
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          7.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2021-BNK38
        06540EBV4
        
          
        
        300000.00000000
        PA
        USD
        221306.18000000
        0.028033403613
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2064-12-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2019-GC44 Mortgage Trust
        12655TAG4
        
          
        
        300000.00000000
        PA
        USD
        231115.70000000
        0.029275999881
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2057-08-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEALED AIR CORP
        Q0M0CZB4YN6JZ65WXI09
        Sealed Air Corp
        81211KAY6
        
          
        
        500000.00000000
        PA
        USD
        487500.00000000
        0.061752836100
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TBE8
        
          
        
        410000.00000000
        PA
        USD
        431648.66000000
        0.054678008110
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Floating
          7.49900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380W4A4
        
          
        
        2268518.53000000
        PA
        USD
        276298.07000000
        0.034999362936
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Floating
          5.75100000
          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
        
          
        
        143430000.00000000
        OU
        Notional Amount
        USD
        2108535.74000000
        0.267093460437
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-01-12
            455932.19000000
            USD
            0.00000000
            USD
            143430000.00000000
            USD
            1652603.55000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS02949A SWAPTION US0003M
        000000000
        
          
        
        -8800000.00000000
        NC
        USD
        -44009.68000000
        -0.00557481549
        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
                    
                      
                    
                    8800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -44009.68000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8800000.00000000
                  USD
                
              
            
            1.00000000
            1.06000000
            USD
            2022-11-14
            XXXX
            413081.56000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382ET64
        
          
        
        6009664.77000000
        PA
        USD
        903731.59000000
        0.114477925652
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-07-20
          Floating
          5.99100000
          N
          N
          N
        
        
          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
        
          
        
        14710000.00000000
        OU
        Notional Amount
        
        537297.91000000
        0.068060861073
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.00000000
            NZD
            -160857.82000000
            NZD
            14710000.00000000
            NZD
            660266.91000000
          
        
        
          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
        
          
        
        61730000.00000000
        OU
        Notional Amount
        
        6699065.47000000
        0.848587265625
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            1766269.03000000
            GBP
            0.00000000
            GBP
            61730000.00000000
            GBP
            5139325.74000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003015  CDS USD R F  3.00000 2 CMBX / Short: CX003015  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2750000.00000000
        OU
        Notional Amount
        USD
        -299921.87000000
        -0.03799184837
        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
            -425991.75000000
            USD
            2750000.00000000
            USD
            126069.88000000
          
        
        
          N
          N
          N
        
      
      
        LABL INC
        5493004FUZN8R6Y3VB98
        LABL Inc
        50168AAA8
        
          
        
        465000.00000000
        PA
        USD
        463837.50000000
        0.058755448440
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042640
        
          
        
        -4000000.00000000
        PA
        USD
        -4149376.00000000
        -0.52561176624
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley BAML Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34
        61767EAU8
        
          
        
        831600.00000000
        PA
        USD
        658543.29000000
        0.083419314568
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-11-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          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
        
          
        
        227490000.00000000
        OU
        Notional Amount
        
        345654.26000000
        0.043784883825
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            2638797.44000000
            NOK
            0.00000000
            NOK
            227490000.00000000
            NOK
            44399.32000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        -738.00000000
        NC
        USD
        5352200.82000000
        0.677976574383
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            -135701450.82000000
            USD
            5352200.82000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03819A SWAPTION US0003M
        000000000
        
          
        
        -18330000.00000000
        NC
        USD
        -8286.99000000
        -0.00104973361
        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
                    
                      
                    
                    18330000.00000000
                    OU
                    Notional Amount
                    N/A
                    -8286.99000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  18330000.00000000
                  USD
                
              
            
            1.00000000
            1.37800000
            USD
            2022-06-21
            XXXX
            302117.40000000
          
        
        
          N
          N
          N
        
      
      
        USI Inc/NY
        N/A
        USI Inc/NY
        91739VAA6
        
          
        
        2250000.00000000
        PA
        USD
        2255625.00000000
        0.285725622416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diamond Sports Group, LLC
        5493002K6DHWNZH8YA34
        Diamond Sports Group, LLC 2022 First Priority Term Loan
        25277BAE8
        
          
        
        200848.50000000
        PA
        USD
        203387.23000000
        0.025763565700
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-05-26
          Floating
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6058.57000000
        0.000767454113
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            704213.98000000
            USD
            641949.97000000
            EUR
            2022-04-06
            6058.57000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -11598.55000000
        -0.00146921714
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1605390.39000000
            EUR
            1764604.98000000
            USD
            2022-04-05
            -11598.55000000
          
        
        
          N
          N
          N
        
      
      
        DISH DBS Corp
        N/A
        DISH DBS Corp
        25470XAW5
        
          
        
        470000.00000000
        PA
        USD
        469412.50000000
        0.059461647540
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138APZN1
        
          
        
        9033.12000000
        PA
        USD
        9649.76000000
        0.001222359072
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        116644.95000000
        0.014775705598
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8065090.46000000
            USD
            11820983.31000000
            NZD
            2022-06-15
            116644.95000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        1352672.68000000
        0.171346408830
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            34439065.50000000
            TRY
            3569000.00000000
            USD
            2022-06-14
            1352672.68000000
          
        
        
          N
          N
          N
        
      
      
        LAMB WESTON HLD
        5493005SMYID1D2OY946
        Lamb Weston Holdings Inc
        513272AC8
        
          
        
        1195000.00000000
        PA
        USD
        1195000.00000000
        0.151373618747
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9366.05000000
        0.001186420821
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            585448.13000000
            USD
            11855557.00000000
            MXN
            2022-04-12
            9366.05000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378VX75
        
          
        
        5508963.21000000
        PA
        USD
        590790.58000000
        0.074836910474
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-04-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005905  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005905  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        520000.00000000
        OU
        Notional Amount
        USD
        10041.77000000
        0.001272015952
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            5984.35000000
            USD
            0.00000000
            USD
            520000.00000000
            USD
            4057.42000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM8
        12659FAA3
        
          
        
        271973.97000000
        PA
        USD
        260080.58000000
        0.032945053188
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -15704.19000000
        -0.00198928876
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            722969.88000000
            EUR
            6927208.20000000
            NOK
            2022-06-15
            -15704.19000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTJPMUSSG2022040413620
        000000000
        
          
        
        -13843474.97000000
        OU
        Notional Amount
        USD
        -2284.17000000
        -0.00028934148
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -2284.17000000
                    0.00000000
                    DFE
                    
                    SG
                  
                  -13843474.97000000
                  USD
                  -18854812.91000000
                  SGD
                  2022-04-04
                
              
            
            1.00000000
            1.36200000
            USD
            2022-04-04
            XXXX
            29085.14000000
          
        
        
          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
        
          
        
        80200000.00000000
        OU
        Notional Amount
        USD
        961886.72000000
        0.121844580445
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            246535.20000000
            USD
            0.00000000
            USD
            80200000.00000000
            USD
            715351.52000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BJMU4
        
          
        
        4719374.36000000
        PA
        USD
        774995.84000000
        0.098170648380
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-15
          Floating
          5.70300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312930J43
        
          
        
        4805.99000000
        PA
        USD
        5171.38000000
        0.000655071551
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          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
        
          
        
        29510000.00000000
        OU
        Notional Amount
        
        -7191.78000000
        -0.00091100063
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2029-03-30
            225.75000000
            EUR
            0.00000000
            EUR
            29510000.00000000
            EUR
            286178.86000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03896A SWAPTION SONIO SEP22 0.401 CALL
        000000000
        
          
        
        -7090000.00000000
        NC
        
        -9275.59000000
        -0.00117496202
        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
                    
                      
                    
                    7090000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9275.59000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7090000.00000000
                  GBP
                
              
            
            1.00000000
            0.40100000
            GBP
            2022-09-08
            XXXX
            124446.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -823.13000000
        -0.00010426792
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3771763.09000000
            SEK
            401118.00000000
            USD
            2022-06-15
            -823.13000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -5579.79000000
        -0.00070680586
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            461598.00000000
            EUR
            505630.29000000
            USD
            2022-05-05
            -5579.79000000
          
        
        
          N
          N
          N
        
      
      
        iHeartCommunications, Inc.
        54930076J6KDZL504O62
        iHeartCommunications, Inc. 2020 Term Loan
        45174UAF5
        
          
        
        1300000.00000000
        PA
        USD
        1290419.00000000
        0.163460580527
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-05-01
          Floating
          3.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296MF20
        
          
        
        313.74000000
        PA
        USD
        332.23000000
        0.000042084399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          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
        
          
        
        880200000.00000000
        OU
        Notional Amount
        
        36800.08000000
        0.004661557556
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            3075962.00000000
            JPY
            0.00000000
            JPY
            880200000.00000000
            JPY
            123973.65000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS9 Trust
        75115CAL1
        
          
        
        752978.38000000
        PA
        USD
        674194.18000000
        0.085401851686
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-07-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2197.84000000
        0.000278405852
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1508663.63000000
            USD
            2047823.80000000
            SGD
            2022-04-06
            2197.84000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -4296.94000000
        -0.00054430406
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            61884272.91000000
            INR
            802701.51000000
            USD
            2022-06-15
            -4296.94000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -225065.77000000
        -0.02850964021
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7165987.01000000
            USD
            6267316.50000000
            EUR
            2022-05-05
            -225065.77000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        200000.00000000
        PA
        USD
        197500.00000000
        0.025017815650
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-10-31
          Fixed
          4.25000000
          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
        
          
        
        125710000.00000000
        OU
        Notional Amount
        USD
        6956049.71000000
        0.881140097733
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            3348603.19000000
            USD
            0.00000000
            USD
            125710000.00000000
            USD
            3607446.52000000
          
        
        
          N
          N
          N
        
      
      
        B&G FOODS INC
        549300TRW1LZMDJZAQ78
        B&G Foods Inc
        05508WAB1
        
          
        
        475000.00000000
        PA
        USD
        453625.00000000
        0.057461805694
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2077.61000000
        -0.00026317602
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            486998.98000000
            USD
            1841216526.30000000
            COP
            2022-05-16
            -2077.61000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Ltd.
        K9WDOH4D2PYBSLSOB484
        PTBAREUSE2022042710330
        000000000
        
          
        
        -951000.00000000
        OU
        Notional Amount
        
        -5066.65000000
        -0.00064180514
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Barclays Capital Securities Ltd.
              K9WDOH4D2PYBSLSOB484
            
            Put
            Written
            
              
                
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                  
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -5066.65000000
                    0.00000000
                    DFE
                    
                    SE
                  
                  -951000.00000000
                  EUR
                  -9823830.00000000
                  SEK
                  2022-04-27
                
              
            
            1.00000000
            10.33000000
            EUR
            2022-04-27
            XXXX
            2929.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        415.93000000
        0.000052686886
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            950790925.00000000
            KRW
            782833.91000000
            USD
            2022-04-11
            415.93000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX003024  CDS USD R F  3.00000 2 CMBX / Short: CX003024  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1100000.00000000
        OU
        Notional Amount
        USD
        -87828.18000000
        -0.01112541375
        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
            -93279.00000000
            USD
            1100000.00000000
            USD
            5450.82000000
          
        
        
          N
          N
          N
        
      
      
        DP WORLD PLC
        549300M3U2DNF4QVSS04
        DP World Ltd/United Arab Emirates
        000000000
        
          
        
        200000.00000000
        PA
        USD
        217000.00000000
        0.027487929094
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2048-09-25
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUMEN TECHNOLOGIES INC
        8M3THTGWLTYZVE6BBY25
        Lumen Technologies Inc
        156700BB1
        
          
        
        465000.00000000
        PA
        USD
        441750.00000000
        0.055957569942
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04847A SWAPTION EUR006M
        000000000
        
          
        
        -20440000.00000000
        NC
        
        -87975.52000000
        -0.01114407767
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    20440000.00000000
                    OU
                    Notional Amount
                    N/A
                    -87975.52000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20440000.00000000
                  EUR
                
              
            
            1.00000000
            1.09000000
            EUR
            2022-04-25
            XXXX
            106862.23000000
          
        
        
          N
          N
          N
        
      
      
        MAN GLG US CLO 2021-1 Ltd
        N/A
        MAN GLG US CLO 2021-1 LTD
        56166WAA9
        
          
        
        6700000.00000000
        PA
        USD
        6637462.20000000
        0.840783826372
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-15
          Floating
          1.54100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        45331.96000000
        0.005742311991
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4060439502.00000000
            KRW
            3386719.41000000
            USD
            2022-04-11
            45331.96000000
          
        
        
          N
          N
          N
        
      
      
        GTCR AP Finance Inc
        N/A
        GTCR AP Finance Inc
        40060QAA3
        
          
        
        1375000.00000000
        PA
        USD
        1388750.00000000
        0.175916412582
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        505.98000000
        0.000064093743
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            126354.19000000
            USD
            171939.62000000
            SGD
            2022-06-15
            505.98000000
          
        
        
          N
          N
          N
        
      
      
        CEDAR FAIR/CAN/MAGNUM/MI
        N/A
        Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp / Millennium Op
        150190AF3
        
          
        
        703000.00000000
        PA
        USD
        718817.50000000
        0.091054398488
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          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
        
          
        
        72180000.00000000
        OU
        Notional Amount
        
        -3388995.74000000
        -0.42929250969
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            EUR
            -1676500.53000000
            EUR
            72180000.00000000
            EUR
            -1130371.70000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2236.20000000
        -0.00028326500
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            807325.30000000
            USD
            11563320271.90000000
            IDR
            2022-05-13
            -2236.20000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        -22000000.00000000
        PA
        USD
        -20419093.20000000
        -2.58653726295
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        16812041.80000000
        NS
        USD
        16812041.80000000
        2.129623101091
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CX2
        
          
        
        200000.00000000
        PA
        USD
        168522.00000000
        0.021347100400
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2071-03-12
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERC HOLDINGS INC
        549300TP80QLITMSBP82
        Herc Holdings Inc
        42704LAA2
        
          
        
        2330000.00000000
        PA
        USD
        2359125.00000000
        0.298836224542
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        57557.03000000
        0.007290891979
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            960321.87000000
            USD
            9551642.74000000
            SEK
            2022-06-15
            57557.03000000
          
        
        
          N
          N
          N
        
      
      
        SOFTBANK GROUP CORP
        5493003BZYYYCDIO0R13
        SoftBank Group Corp
        000000000
        
          
        
        300000.00000000
        PA
        USD
        279750.00000000
        0.035436627485
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-09-19
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        70306.39000000
        0.008905885084
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1718000.00000000
            GBP
            2327053.33000000
            USD
            2022-04-05
            70306.39000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23616.62000000
        -0.00299157592
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1664408.13000000
            USD
            1993882713.00000000
            KRW
            2022-04-11
            -23616.62000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AFFB1
        
          
        
        2553.72000000
        PA
        USD
        2720.07000000
        0.000344558024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23865.57000000
        -0.00302311104
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6515272.93000000
            USD
            4941731.67000000
            GBP
            2022-04-05
            -23865.57000000
          
        
        
          N
          N
          N
        
      
      
        Ladder Capital Commercial Mortgage Securities LLC
        N/A
        LCCM 2021-FL2 Trust
        50202KAA4
        
          
        
        1150000.00000000
        PA
        USD
        1142366.88000000
        0.144706450680
        Long
        ABS-CBDO
        CORP
        US
        N
        
        2
        
          2038-12-13
          Floating
          1.59700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        649.49000000
        0.000082272511
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            73331.84000000
            NZD
            68768.18000000
            AUD
            2022-04-11
            649.49000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2380.20000000
        -0.00030150584
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            735584.83000000
            USD
            3523271.86000000
            BRL
            2022-05-03
            -2380.20000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR216668  IRS CNY R F  2.25000 CCPVANILLA / Short: SR216668  IRS CNY P V 03MCFXS CCPVANILLA
        000000000
        
          
        
        71600000.00000000
        OU
        Notional Amount
        
        1732.81000000
        0.000219499347
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            219237.92000000
            CNY
            0.00000000
            CNY
            71600000.00000000
            CNY
            -32724.96000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        485.46000000
        0.000061494424
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            483063.35000000
            USD
            4537558.97000000
            SEK
            2022-06-15
            485.46000000
          
        
        
          N
          N
          N
        
      
      
        TERRIER MEDIA BUYER INC
        N/A
        Terrier Media Buyer Inc
        88146LAA1
        
          
        
        800000.00000000
        PA
        USD
        818000.00000000
        0.103618092163
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          8.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31292HXN9
        
          
        
        13966.73000000
        PA
        USD
        14938.93000000
        0.001892351375
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KNE5
        
          
        
        204000.00000000
        PA
        USD
        190237.14000000
        0.024097811131
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          7.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R01
        20754RAJ5
        
          
        
        1054000.00000000
        PA
        USD
        973336.85000000
        0.123294996857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          6.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        460.90000000
        0.000058383348
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            937087.55000000
            AUD
            702617.00000000
            USD
            2022-06-15
            460.90000000
          
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBE0
        
          
        
        480000.00000000
        PA
        USD
        538200.00000000
        0.068175131054
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2050-04-16
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2017-2
        59980AAQ0
        
          
        
        623081.47000000
        PA
        USD
        618751.24000000
        0.078378756739
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          3.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WVB1
        
          
        
        941948.24000000
        PA
        USD
        109399.28000000
        0.013857878579
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FYD0
        
          
        
        588288.36000000
        PA
        USD
        82329.54000000
        0.010428887363
        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
        
          
        
        29660000.00000000
        OU
        Notional Amount
        
        2542777.76000000
        0.322099975901
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            568651.69000000
            GBP
            0.00000000
            GBP
            29660000.00000000
            GBP
            2343497.66000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -32035.23000000
        -0.00405798216
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1803971.74000000
            EUR
            1969551.09000000
            USD
            2022-06-15
            -32035.23000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379HWD3
        
          
        
        3536179.44000000
        PA
        USD
        478642.04000000
        0.060630776300
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elmwood CLO IV Ltd
        N/A
        Elmwood CLO IV Ltd
        29002GAB7
        
          
        
        3500000.00000000
        PA
        USD
        3485405.00000000
        0.441504910168
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.48100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        
        1074.24000000
        0.000136076649
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6989581.45000000
            CZK
            314959.51000000
            USD
            2022-06-15
            1074.24000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -34117.51000000
        -0.00432174975
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            626888.86000000
            USD
            72133500.00000000
            JPY
            2022-04-22
            -34117.51000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006112  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006112  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        4820000.00000000
        OU
        Notional Amount
        USD
        -788.55000000
        -0.00009988758
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                United Mexican States
                United Mexican States
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -48618.04000000
            USD
            4820000.00000000
            USD
            47829.49000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        CTUBSAUNZ2022040710880
        000000000
        
          
        
        -2196000.00000000
        OU
        Notional Amount
        
        -1375.41000000
        -0.00017422660
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -1375.41000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  -2196000.00000000
                  AUD
                  -2389248.00000000
                  NZD
                  2022-04-07
                
              
            
            1.00000000
            1.08800000
            AUD
            2022-04-07
            XXXX
            2523.51000000
          
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AF8
        
          
        
        2897000.00000000
        PA
        USD
        2882515.00000000
        0.365135336104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SK5
        
          
        
        57700000.00000000
        PA
        USD
        56365687.50000000
        7.139981665338
        Long
        DBT
        UST
        US
        N
        
        1
        
          2049-11-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04507A SWAPTION US0003M
        000000000
        
          
        
        -74000000.00000000
        NC
        USD
        -14748.20000000
        -0.00186819113
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    74000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -14748.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  74000000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            222051.80000000
          
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA SECURED FIN
        213800X3RLP4NOTPY579
        Virgin Media Secured Finance PLC
        92769XAP0
        
          
        
        2575000.00000000
        PA
        USD
        2536375.00000000
        0.321288922386
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        21489.30000000
        0.002722103017
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2576656.37000000
            USD
            2346000.00000000
            EUR
            2022-05-05
            21489.30000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04809A SWAPTION EUR006M
        000000000
        
          
        
        -20800000.00000000
        NC
        
        -995179.98000000
        -0.12606192039
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    20800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -995179.98000000
                    -0.13000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20800000.00000000
                  EUR
                
              
            
            1.00000000
            0.74300000
            EUR
            2022-04-07
            XXXX
            -738572.96000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382LNX5
        
          
        
        1995159.61000000
        PA
        USD
        213942.36000000
        0.027100610239
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXB90
        
          
        
        2820.21000000
        PA
        USD
        3016.52000000
        0.000382110082
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XBD1
        
          
        
        1516000.00000000
        PA
        USD
        1580005.97000000
        0.200143281440
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          6.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2392.47000000
        -0.00030306011
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3213080.94000000
            USD
            243810509.21000000
            INR
            2022-04-05
            -2392.47000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04818A SWAPTION EUR006M
        000000000
        
          
        
        -20460000.00000000
        NC
        
        -45534.82000000
        -0.00576800877
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    20460000.00000000
                    OU
                    Notional Amount
                    N/A
                    -45534.82000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20460000.00000000
                  EUR
                
              
            
            1.00000000
            1.05400000
            EUR
            2022-04-19
            XXXX
            181842.07000000
          
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAC9
        
          
        
        718000.00000000
        PA
        USD
        705435.00000000
        0.089359203967
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAN0
        
          
        
        540000.00000000
        PA
        USD
        437130.00000000
        0.055372343065
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2061-05-24
          Fixed
          3.77100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A1UT0
        
          
        
        2918556.30000000
        PA
        USD
        403294.28000000
        0.051086288354
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          5.99300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RV2
        
          
        
        47420000.00000000
        PA
        USD
        51035775.00000000
        6.464828407821
        Long
        DBT
        UST
        US
        N
        
        1
        
          2047-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        Galaxy Pipeline Assets Bidco Ltd
        36321PAC4
        
          
        
        430000.00000000
        PA
        USD
        387262.30000000
        0.049055477619
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2040-09-30
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PART/GLP FINANCE
        N/A
        Global Partners LP / GLP Finance Corp
        37954FAG9
        
          
        
        445000.00000000
        PA
        USD
        445000.00000000
        0.056369255516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nutrien Ltd
        5493002QQ7GD21OWF963
        Nutrien Ltd
        67077VE95
        
          
        
        2971000.00000000
        PA
        USD
        2967691.29000000
        0.375924828362
        Long
        STIV
        CORP
        CA
        N
        
        2
        
          2022-05-09
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3165.60000000
        0.000400994416
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1027032.45000000
            USD
            931126.43000000
            EUR
            2022-04-05
            3165.60000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAD6
        
          
        
        270000.00000000
        PA
        USD
        238612.50000000
        0.030225638161
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3226.80000000
        0.000408746772
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            224909.92000000
            EUR
            1062249.55000000
            PLN
            2022-04-25
            3226.80000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1988.57000000
        0.000251897102
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            620451.08000000
            EUR
            689125.09000000
            USD
            2022-05-05
            1988.57000000
          
        
        
          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
        
          
        
        139000000.00000000
        OU
        Notional Amount
        USD
        8090634.00000000
        1.024860708404
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            5093297.16000000
            USD
            0.00000000
            USD
            139000000.00000000
            USD
            2997336.84000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        0020A3FM7
        
          
        
        3000000.00000000
        PA
        USD
        2991383.16000000
        0.378925936393
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2022-06-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -29643.04000000
        -0.00375495751
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1713063.27000000
            BRL
            329720.58000000
            USD
            2022-04-04
            -29643.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -80253.02000000
        -0.01016584941
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            575563597.84000000
            HUF
            1634341.69000000
            USD
            2022-06-15
            -80253.02000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        25004.16000000
        0.003167339065
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            94417907.00000000
            JPY
            802177.60000000
            USD
            2022-06-15
            25004.16000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -72431.56000000
        -0.00917508564
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            30711509.80000000
            NOK
            3414320.97000000
            USD
            2022-06-15
            -72431.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2988.04000000
        0.000378502450
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            791832.00000000
            USD
            1077257.35000000
            SGD
            2022-06-15
            2988.04000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BZG2
        
          
        
        1456692.64000000
        PA
        USD
        169779.86000000
        0.021506436651
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R01
        20754FAK8
        
          
        
        368685.65000000
        PA
        USD
        369599.18000000
        0.046818046328
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-25
          Floating
          2.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Grab Holdings Inc
        N/A
        Grab Holdings Inc Term Loan B
        000000000
        
          
        
        792000.00000000
        PA
        USD
        772200.00000000
        0.097816492382
        Long
        LON
        CORP
        SG
        N
        
        2
        
          2026-01-29
          Floating
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -28889.26000000
        -0.00365947433
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            48684485.60