Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31
Tweet
Share
E-mailGet instant alerts when news breaks on your stocks. Claim your 1-week free trial to StreetInsider Premium here.
NPORT-P false 0000822977 XXXXXXXX S000029317 C000090153 C000090154 C000161295 C000202044 C000090152 C000090151 C000090150 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