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Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

May 25, 2022 12:38 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000013795
        C000037818
        C000037819
        C000058985
        C000041010
        C000058984
        C000037820
        C000202041
        C000161293
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Bond Fund
      S000013795
      K5ZYN8ZUQE8S5OUPBU26
      2022-03-31
      2022-03-31
      N
    
    
      549757192.75
      143901448.44
      405855744.31
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      22275541.82000000
      0.00000000
      0.00000000
      11456115.95000000
      
        
          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CHF
          
          
        
        
          CLP
          
          
        
        
          CNY
          
          
        
        
          COP
          
          
        
        
          CZK
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          HUF
          
          
        
        
          IDR
          
          
        
        
          ILS
          
          
        
        
          INR
          
          
        
        
          JPY
          
          
        
        
          KRW
          
          
        
        
          MXN
          
          
        
        
          NOK
          
          
        
        
          NZD
          
          
        
        
          PLN
          
          
        
        
          RUB
          
          
        
        
          SEK
          
          
        
        
          SGD
          
          
        
        
          TRY
          
          
        
        
          TWD
          
          
        
        
          USD
          
          
        
        
          ZAR
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W7WP5
        
          
        
        15262.74000000
        PA
        USD
        15332.69000000
        0.003777866942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        00831TAC5
        
          
        
        240000.00000000
        PA
        USD
        221368.80000000
        0.054543714879
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2031-05-17
          Fixed
          3.79800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290NBS0
        
          
        
        7091.51000000
        PA
        USD
        7596.04000000
        0.001871610814
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OUTFRONT MEDIA CAP LLC/C
        N/A
        Outfront Media Capital LLC / Outfront Media Capital Corp
        69007TAC8
        
          
        
        460000.00000000
        PA
        USD
        431825.00000000
        0.106398641895
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        1110000.00000000
        PA
        USD
        74925.00000000
        0.018460992865
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2027-04-12
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEF8
        
          
        
        750000.00000000
        PA
        USD
        643875.00000000
        0.158646270017
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-16
          Fixed
          2.48400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        23766.14000000
        PA
        USD
        23875.06000000
        0.005882646811
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -840.31000000
        -0.00020704647
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5922012.57000000
            SEK
            568020.62000000
            EUR
            2022-06-15
            -840.31000000
          
        
        
          N
          N
          N
        
      
      
        Stratton Mortgage Funding PLC
        213800RHNWAD2QXB3483
        Stratton Mortgage Funding 2019-1 PLC
        000000000
        
          
        
        1062335.02000000
        PA
        
        1397339.02000000
        0.344294503549
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-05-25
          Floating
          1.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON GRAND VAC BOR ESC
        N/A
        Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc
        43284MAA6
        
          
        
        522000.00000000
        PA
        USD
        498510.00000000
        0.122829356733
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WTZ1
        
          
        
        1968454.46000000
        PA
        USD
        1947902.00000000
        0.479949348335
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-12-20
          Fixed
          3.00000000
          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
        
          
        
        15900000.00000000
        OU
        Notional Amount
        USD
        328540.11000000
        0.080949971660
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-17
            145957.08000000
            USD
            0.00000000
            USD
            15900000.00000000
            USD
            182583.03000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04813A SWAPTION SOFRRATE
        000000000
        
          
        
        -3700000.00000000
        NC
        USD
        -1562.14000000
        -0.00038490030
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1562.14000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-13
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3700000.00000000
                  USD
                
              
            
            1.00000000
            1.83000000
            USD
            2022-04-11
            XXXX
            39322.86000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BK6
        
          
        
        225000.00000000
        PA
        USD
        227697.75000000
        0.056103123632
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          4.26900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Alt-A Securities INC Mortgage Loan Trust
        N/A
        Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5/DE
        25150XAA0
        
          
        
        519257.88000000
        PA
        USD
        494178.45000000
        0.121762093287
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-08-25
          Floating
          0.65700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        70000.00000000
        PA
        
        64369.91000000
        0.015860292949
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          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
        
          
        
        3600000.00000000
        OU
        Notional Amount
        
        15998.44000000
        0.003941903058
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            23441.22000000
            NOK
            0.00000000
            NOK
            3600000.00000000
            NOK
            26165.50000000
          
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AH9
        
          
        
        400000.00000000
        PA
        USD
        409316.00000000
        0.100852582657
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810SN9
        
          
        
        23810000.00000000
        PA
        USD
        17771932.81000000
        4.378879209955
        Long
        DBT
        UST
        US
        N
        
        1
        
          2050-05-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00772BAP6
        
          
        
        1150000.00000000
        PA
        USD
        1155428.00000000
        0.284689330186
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-07-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2F9
        
          
        
        50000.00000000
        PA
        USD
        49398.00000000
        0.012171319660
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-17
          Fixed
          3.19600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KN0
        
          
        
        1050000.00000000
        PA
        USD
        1058956.50000000
        0.260919431311
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPECTRUM BRANDS INC
        549300VU3EH2E73C1Q04
        Spectrum Brands Inc
        84762LAX3
        
          
        
        475000.00000000
        PA
        USD
        418000.00000000
        0.102992259161
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -4628.53000000
        -0.00114043722
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1249186.53000000
            ILS
            386990.67000000
            USD
            2022-04-26
            -4628.53000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE JUN22
        000000000
        
          
        
        -3.00000000
        NC
        
        9298.98000000
        0.002291203249
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 10 Year Euro BUND Future
                RXM2 COMDTY
              
            
            2022-06-08
            -484385.86000000
            EUR
            9298.98000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04850A SWAPTION SOFRRATE
        000000000
        
          
        
        -3700000.00000000
        NC
        USD
        -29436.83000000
        -0.00725302780
        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
                    
                      
                    
                    3700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -29436.83000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3700000.00000000
                  USD
                
              
            
            1.00000000
            2.16500000
            USD
            2022-04-25
            XXXX
            14038.17000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        11886.96000000
        0.002928863313
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            366482.21000000
            USD
            7630013.02000000
            MXN
            2022-06-15
            11886.96000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        411.00000000
        NC
        USD
        -1269476.15000000
        -0.31278999196
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            51700460.53000000
            USD
            -1269476.15000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RFW7
        
          
        
        175000.00000000
        PA
        USD
        190848.00000000
        0.047023604488
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5741.57000000
        0.001414682453
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            359040.80000000
            USD
            7356027.91000000
            MXN
            2022-06-15
            5741.57000000
          
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CH2
        
          
        
        438000.00000000
        PA
        USD
        422670.00000000
        0.104142914305
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CBAM CLO Management
        254900JYLIAZT0YFW632
        CBAM 2017-2 Ltd
        12481KAS7
        
          
        
        2000000.00000000
        PA
        USD
        1981040.00000000
        0.488114318393
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-17
          Floating
          1.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQL3
        
          
        
        344083.45000000
        PA
        USD
        43606.04000000
        0.010744221465
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03962A SWAPTION SONIO
        000000000
        
          
        
        -1740000.00000000
        NC
        
        -3141.54000000
        -0.00077405335
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1740000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3141.54000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1740000.00000000
                  GBP
                
              
            
            1.00000000
            0.37900000
            GBP
            2022-10-10
            XXXX
            33401.00000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746SH5
        
          
        
        1975000.00000000
        PA
        USD
        1948278.25000000
        0.480042053688
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-23
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTJPMUSCN202204136420
        000000000
        
          
        
        1460000.00000000
        OU
        Notional Amount
        USD
        654.08000000
        0.000161160710
        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
                    654.08000000
                    0.00000000
                    DFE
                    
                    US
                  
                  9373200.00000000
                  CNY
                  1460000.00000000
                  USD
                  2022-04-13
                
              
            
            1.00000000
            6.42000000
            USD
            2022-04-13
            XXXX
            -7056.18000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SQC6
        
          
        
        20781.09000000
        PA
        USD
        22425.91000000
        0.005525586446
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CL2
        
          
        
        525000.00000000
        PA
        USD
        486018.75000000
        0.119751600615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAIMLER FINANCE NA LLC
        549300423Z16BB673J12
        Daimler Finance North America LLC
        233835AQ0
        
          
        
        45000.00000000
        PA
        USD
        60606.45000000
        0.014933002883
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2031-01-18
          Fixed
          8.50000000
          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
        
          
        
        160000.00000000
        OU
        Notional Amount
        USD
        -8118.61000000
        -0.00200036838
        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
            -8887.37000000
            USD
            160000.00000000
            USD
            768.76000000
          
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAV8
        
          
        
        915000.00000000
        PA
        USD
        913856.25000000
        0.225167750564
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KGR83
        
          
        
        2082924.79000000
        PA
        USD
        2061226.75000000
        0.507871769439
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        11053.98000000
        PA
        USD
        11097.73000000
        0.002734402593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291GXG6
        
          
        
        10287.45000000
        PA
        USD
        10954.21000000
        0.002699040275
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARDAGH PKG FIN/HLDGS USA
        N/A
        Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
        03969AAQ3
        
          
        
        425000.00000000
        PA
        USD
        425000.00000000
        0.104717009912
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-04-30
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272BH0
        
          
        
        80000.00000000
        PA
        USD
        67203.20000000
        0.016558395671
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2051-09-23
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272BD9
        
          
        
        450000.00000000
        PA
        USD
        416065.50000000
        0.102515611971
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2026-04-27
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HYATT HOTELS CORP
        T27JQIMTYSH41TCD5186
        Hyatt Hotels Corp
        448579AN2
        
          
        
        475000.00000000
        PA
        USD
        457024.58000000
        0.112607641115
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGJ7
        
          
        
        800000.00000000
        PA
        USD
        743296.00000000
        0.183142904941
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-21
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296LVE8
        
          
        
        7258.94000000
        PA
        USD
        7764.22000000
        0.001913049182
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAN9
        
          
        
        200000.00000000
        PA
        USD
        203140.00000000
        0.050052266808
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA DEVELOPMENT BANK
        549300ML2LNRZUCS7149
        Korea Development Bank/The
        500630DQ8
        
          
        
        200000.00000000
        PA
        USD
        195078.00000000
        0.048065846728
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2025-02-24
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B06N1
        
          
        
        637424.11000000
        PA
        USD
        27821.78000000
        0.006855090851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-25
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QT50
        
          
        
        213927.13000000
        PA
        USD
        222133.52000000
        0.054732136507
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179N5W4
        
          
        
        2535.66000000
        PA
        USD
        2634.51000000
        0.000649124728
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 LTD
        549300BTYXZYFTGVBO58
        ZAIS CLO 15 LTD
        98888DAN2
        
          
        
        1275000.00000000
        PA
        USD
        1272323.78000000
        0.313491627958
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-28
          Floating
          1.62800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8495.36000000
        0.002093196934
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            274900.00000000
            USD
            2496162.10000000
            NOK
            2022-06-15
            8495.36000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -842.01000000
        -0.00020746534
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            69657.00000000
            EUR
            76301.65000000
            USD
            2022-05-05
            -842.01000000
          
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAH5
        
          
        
        455000.00000000
        PA
        USD
        448966.70000000
        0.110622236174
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIENA CORP
        W0CZ7N0GH8UIGXDM1H41
        Ciena Corp
        171779AL5
        
          
        
        330000.00000000
        PA
        USD
        316800.00000000
        0.078057291153
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-31
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAH4
        
          
        
        250000.00000000
        PA
        USD
        250405.00000000
        0.061698030275
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397S7M0
        
          
        
        213390.18000000
        PA
        USD
        226332.74000000
        0.055766794772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        126.26000000
        0.000031109575
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            145727.61000000
            USD
            1368673.71000000
            SEK
            2022-06-15
            126.26000000
          
        
        
          N
          N
          N
        
      
      
        IHO Verwaltungs GmbH
        529900JL0HDVGZMUJF32
        IHO Verwaltungs GmbH
        44963BAD0
        
          
        
        823000.00000000
        PA
        USD
        814770.00000000
        0.200753595685
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2029-05-15
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA1
        35564KCN7
        
          
        
        800000.00000000
        PA
        USD
        693499.60000000
        0.170873422323
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-25
          Floating
          3.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTJPMUSCN2022041364850
        000000000
        
          
        
        -1460000.00000000
        OU
        Notional Amount
        USD
        -118.26000000
        -0.00002913843
        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
                    -118.26000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1460000.00000000
                  USD
                  -9468100.00000000
                  CNY
                  2022-04-13
                
              
            
            1.00000000
            6.48500000
            USD
            2022-04-13
            XXXX
            2774.00000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTCHAUSCN2022042663905
        000000000
        
          
        
        -474000.00000000
        OU
        Notional Amount
        USD
        -3009.43000000
        -0.00074150237
        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
                    -3009.43000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -474000.00000000
                  USD
                  -3029097.00000000
                  CNY
                  2022-04-26
                
              
            
            1.00000000
            6.39050000
            USD
            2022-04-26
            XXXX
            -1103.95000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -1719.83000000
        -0.00042375401
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            179442202.00000000
            KRW
            145893.90000000
            USD
            2022-06-15
            -1719.83000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHT9
        
          
        
        35000.00000000
        PA
        USD
        35126.35000000
        0.008654885508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-23
          Fixed
          3.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2017-COR2 Mortgage Trust
        12595EAN5
        
          
        
        350000.00000000
        PA
        USD
        295785.56000000
        0.072879480984
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002956  CDS USD R F  3.00000 2 CMBX / Short: CX002956  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        350000.00000000
        OU
        Notional Amount
        USD
        -27945.33000000
        -0.00688553270
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -103805.05000000
            USD
            350000.00000000
            USD
            75859.72000000
          
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAD0
        
          
        
        725000.00000000
        PA
        USD
        733011.25000000
        0.180608814899
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5831.81000000
        -0.00143691695
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            382126.53000000
            USD
            457271712.00000000
            KRW
            2022-04-11
            -5831.81000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KND7
        
          
        
        350000.00000000
        PA
        USD
        330368.82000000
        0.081400552938
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARKO CORP
        N/A
        Arko Corp
        041242AA6
        
          
        
        470000.00000000
        PA
        USD
        427700.00000000
        0.105382270916
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10750.32000000
        -0.00264880321
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            757640.98000000
            USD
            907618285.00000000
            KRW
            2022-04-11
            -10750.32000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        22205.76000000
        0.005471343035
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            100214624.23000000
            INR
            1339450.75000000
            USD
            2022-04-13
            22205.76000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        613.95000000
        0.000151272960
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            176799.91000000
            EUR
            826928.54000000
            PLN
            2022-04-25
            613.95000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERH60
        
          
        
        89502.32000000
        PA
        USD
        92426.92000000
        0.022773342818
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5937.30000000
        0.001462908948
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            660899.31000000
            USD
            4242973.57000000
            CNY
            2022-04-19
            5937.30000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KAH1
        
          
        
        72719.98000000
        PA
        USD
        72578.24000000
        0.017882767711
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          2.30700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -40408.32000000
        -0.00995632575
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10137352.95000000
            TRY
            611450.07000000
            USD
            2022-06-15
            -40408.32000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BZY5
        
          
        
        34884.15000000
        PA
        USD
        36228.01000000
        0.008926326781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WASTE MANAGEMENT INC
        549300YX8JIID70NFS41
        Waste Management Inc
        94106LBN8
        
          
        
        250000.00000000
        PA
        USD
        223692.50000000
        0.055116258211
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRNS5
        
          
        
        11898.73000000
        PA
        USD
        11953.26000000
        0.002945199166
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BN5
        
          
        
        60000.00000000
        PA
        USD
        64681.20000000
        0.015936992615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-03
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Berkshire Hathaway Inc
        5493000C01ZX7D35SD85
        Berkshire Hathaway Inc
        084670BS6
        
          
        
        55000.00000000
        PA
        USD
        55609.95000000
        0.013701900436
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUNDIN ENERGY FI
        549300JSNI1KL271GM17
        Lundin Energy Finance BV
        55037AAA6
        
          
        
        600000.00000000
        PA
        USD
        560208.00000000
        0.138031309856
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJ3T5
        
          
        
        463736.88000000
        PA
        USD
        475181.05000000
        0.117081267583
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        781.59000000
        0.000192578277
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            142412.00000000
            USD
            129056.23000000
            EUR
            2022-06-15
            781.59000000
          
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAG3
        
          
        
        800000.00000000
        PA
        USD
        722280.00000000
        0.177964710399
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2031-05-11
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H020642
        
          
        
        -16000000.00000000
        PA
        USD
        -15213260.80000000
        -3.74844042822
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
        87470LAJ0
        
          
        
        502000.00000000
        PA
        USD
        486940.00000000
        0.119978590133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-12-31
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        East Bay Municipal Utility District Water System Revenue
        N/A
        EAST BAY CA MUNI UTILITY DIST WTR SYS REVENUE
        271014TU6
        
          
        
        900000.00000000
        PA
        USD
        1159906.68000000
        0.285792845428
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-06-01
          Fixed
          5.87400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        CTBOAUSCN2022042064440
        000000000
        
          
        
        -1462000.00000000
        OU
        Notional Amount
        USD
        -790.94000000
        -0.00019488205
        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
                    -790.94000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1462000.00000000
                  USD
                  -9421128.00000000
                  CNY
                  2022-04-20
                
              
            
            1.00000000
            6.44400000
            USD
            2022-04-20
            XXXX
            1529.25000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36210AT31
        
          
        
        75724.43000000
        PA
        USD
        82732.35000000
        0.020384668976
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -4022.68000000
        -0.00099116005
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            51135046.36000000
            HUF
            148307.80000000
            USD
            2022-06-15
            -4022.68000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03898A SWAPTION SONIO SEP22 0.281 CALL
        000000000
        
          
        
        13890000.00000000
        NC
        
        1372.15000000
        0.000338088106
        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
                    
                      
                    
                    13890000.00000000
                    OU
                    Notional Amount
                    N/A
                    1372.15000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13890000.00000000
                  GBP
                
              
            
            1.00000000
            0.28100000
            GBP
            2022-09-08
            XXXX
            -25164.17000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FEG0
        
          
        
        114221.12000000
        PA
        USD
        16519.97000000
        0.004070404381
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Floating
          5.80100000
          N
          N
          N
        
        
          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
        
          
        
        4160000.00000000
        OU
        Notional Amount
        
        108517.05000000
        0.026737837648
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            84827.83000000
            CAD
            0.00000000
            CAD
            4160000.00000000
            CAD
            41899.67000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAC7
        
          
        
        875000.00000000
        PA
        USD
        886873.75000000
        0.218519452399
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GYKA6
        
          
        
        522615.29000000
        PA
        USD
        542064.94000000
        0.133560987518
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418DGZ9
        
          
        
        49219.38000000
        PA
        USD
        51087.36000000
        0.012587566078
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BALL CORP
        0BGI85ALH27ZJP15DY16
        Ball Corp
        058498AX4
        
          
        
        1044000.00000000
        PA
        USD
        931770.00000000
        0.229581572532
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-09-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHZ5
        
          
        
        75000.00000000
        PA
        USD
        68819.25000000
        0.016956579022
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-13
          Fixed
          2.49600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M4EM1
        
          
        
        1849.70000000
        PA
        USD
        1990.33000000
        0.000490403309
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
        
        320000.00000000
        PA
        USD
        321961.60000000
        0.079329073079
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        227.09000000
        0.000055953378
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            56710.15000000
            USD
            77169.75000000
            SGD
            2022-06-15
            227.09000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RAH6
        
          
        
        117289.88000000
        PA
        USD
        117419.50000000
        0.028931338695
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1025.27000000
        -0.00025261931
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            370149.14000000
            USD
            5301646132.22000000
            IDR
            2022-05-13
            -1025.27000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAE2
        
          
        
        525000.00000000
        PA
        USD
        541574.25000000
        0.133440084954
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-12
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABT1
        
          
        
        520000.00000000
        PA
        USD
        468650.00000000
        0.115472062813
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTUIT INC
        VI90HBPH7XSFMB9E4M29
        Intuit Inc
        46124HAC0
        
          
        
        175000.00000000
        PA
        USD
        159652.50000000
        0.039337252764
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        19410.10000000
        PA
        USD
        21118.69000000
        0.005203496635
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS MORTGAGE TRUST 2017-C1
        07332VAA3
        
          
        
        150000.00000000
        PA
        USD
        128423.62000000
        0.031642676443
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-15
          Variable
          3.49100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213X3S1
        
          
        
        12091.03000000
        PA
        USD
        12962.55000000
        0.003193881121
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREENKO POWER II LTD
        254900YYA4B6O2O4JM12
        Greenko Power II Ltd
        39530MAA6
        
          
        
        200000.00000000
        PA
        USD
        188310.00000000
        0.046398259145
        Long
        DBT
        CORP
        MU
        
        N
        
        2
        
          2028-12-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378YFA2
        
          
        
        243095.91000000
        PA
        USD
        35617.17000000
        0.008775820103
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-11-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -9915.85000000
        -0.00244319567
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            335378.54000000
            AUD
            241382.00000000
            USD
            2022-06-15
            -9915.85000000
          
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAQ6
        
          
        
        875000.00000000
        PA
        USD
        895772.50000000
        0.220712041792
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2052-03-15
          Fixed
          5.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RBD4
        
          
        
        485000.00000000
        PA
        USD
        494053.40000000
        0.121731281847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          5.70700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -6354.20000000
        -0.00156563017
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            29307925.97000000
            INR
            375834.19000000
            USD
            2022-06-15
            -6354.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -156.43000000
        -0.00003854325
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            716809.70000000
            SEK
            76231.00000000
            USD
            2022-06-15
            -156.43000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        621486.47000000
        PA
        USD
        636150.51000000
        0.156743010027
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1401.11000000
        -0.00034522364
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            374577.18000000
            USD
            336332.78000000
            EUR
            2022-06-15
            -1401.11000000
          
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAG5
        
          
        
        377000.00000000
        PA
        USD
        383480.63000000
        0.094486929254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-25
          Fixed
          4.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2091.29000000
        -0.00051527914
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1159407.46000000
            USD
            87845752.91000000
            INR
            2022-04-04
            -2091.29000000
          
        
        
          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
        
          
        
        6650000.00000000
        OU
        Notional Amount
        
        17755.51000000
        0.004374832745
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-01-02
            1457.40000000
            BRL
            0.00000000
            BRL
            6650000.00000000
            BRL
            29099.93000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAQ2
        
          
        
        65000.00000000
        PA
        USD
        65972.40000000
        0.016255135211
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-14
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZI TECH LLC/ZI FIN CORP
        N/A
        ZoomInfo Technologies LLC/ZoomInfo Finance Corp
        98981BAA0
        
          
        
        525000.00000000
        PA
        USD
        480375.00000000
        0.118361020321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DR0
        
          
        
        100000.00000000
        PA
        USD
        76143.75000000
        0.018761284290
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2121-07-28
          Fixed
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REINSURANCE GRP OF AMER
        LORM1GNEU1DKEW527V90
        Reinsurance Group of America Inc
        759351AN9
        
          
        
        65000.00000000
        PA
        USD
        65636.35000000
        0.016172334855
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        43796.33000000
        0.010791107582
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            99181382.00000000
            JPY
            860178.92000000
            USD
            2022-06-15
            43796.33000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        CTCITEUPL2022042147230
        000000000
        
          
        
        -429000.00000000
        OU
        Notional Amount
        
        -3389.94000000
        -0.00083525736
        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
                    -3389.94000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -429000.00000000
                  EUR
                  -2026167.00000000
                  PLN
                  2022-04-21
                
              
            
            1.00000000
            4.72300000
            EUR
            2022-04-21
            XXXX
            2187.86000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        100000.00000000
        PA
        
        45356.24000000
        0.011175458432
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2030-01-27
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -13563.94000000
        -0.00334205938
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            783856.20000000
            BRL
            150872.14000000
            USD
            2022-04-04
            -13563.94000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312940FB0
        
          
        
        5335.43000000
        PA
        USD
        5733.52000000
        0.001412698989
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -22854.01000000
        -0.00563106727
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2083224.15000000
            CAD
            1643311.35000000
            USD
            2022-04-26
            -22854.01000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        13900.03000000
        0.003424869598
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            394516.90000000
            EUR
            450819.20000000
            USD
            2022-05-05
            13900.03000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2994.85000000
        0.000737909969
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            704902.32000000
            USD
            959484.84000000
            SGD
            2022-04-06
            2994.85000000
          
        
        
          N
          N
          N
        
      
      
        PRESTIGE BRANDS INC
        549300JBVP4J6D42I235
        Prestige Brands Inc
        74112BAM7
        
          
        
        635000.00000000
        PA
        USD
        566737.50000000
        0.139640132718
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH AMERICAS
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAV6
        
          
        
        708000.00000000
        PA
        USD
        727470.00000000
        0.179243489885
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AP4
        
          
        
        325000.00000000
        PA
        USD
        330755.75000000
        0.081495889768
        Long
        DBT
        
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468L6
        
          
        
        725000.00000000
        PA
        USD
        678230.25000000
        0.167111161911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-22
          Fixed
          2.69900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merck & Co Inc
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933YAX3
        
          
        
        35000.00000000
        PA
        USD
        35844.90000000
        0.008831931173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-07
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AXALTA COATING SYSTEMS
        549300G80QONCHILSF69
        Axalta Coating Systems LLC
        05453GAC9
        
          
        
        475000.00000000
        PA
        USD
        415625.00000000
        0.102407075870
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABD6
        
          
        
        1050000.00000000
        PA
        USD
        1057591.50000000
        0.260583104915
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEERE & COMPANY
        PWFTNG3EI0Y73OXWDH08
        Deere & Co
        244199BH7
        
          
        
        65000.00000000
        PA
        USD
        64886.90000000
        0.015987675648
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA2
        35564KFV6
        
          
        
        520000.00000000
        PA
        USD
        491097.83000000
        0.121003050193
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-25
          Floating
          2.14900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOLSON COORS BEVERAGE
        54930073LBBH6ZCBE225
        Molson Coors Beverage Co
        60871RAH3
        
          
        
        65000.00000000
        PA
        USD
        62813.40000000
        0.015476779836
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-07-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCW2
        
          
        
        15537.68000000
        PA
        USD
        16045.39000000
        0.003953471208
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RD89
        
          
        
        14084.84000000
        PA
        USD
        14616.34000000
        0.003601363342
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMDOCS LTD
        549300HQV672RJ7RQV66
        Amdocs Ltd
        02342TAE9
        
          
        
        350000.00000000
        PA
        USD
        318440.50000000
        0.078461498811
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2030-06-15
          Fixed
          2.53800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAK6
        
          
        
        70000.00000000
        PA
        USD
        67900.00000000
        0.016730082289
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2027-02-27
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YAW9
        
          
        
        225000.00000000
        PA
        USD
        239584.50000000
        0.059031935203
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-05-14
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBP5
        
          
        
        2331000.00000000
        PA
        USD
        2055102.84000000
        0.506362881100
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-11-15
          Fixed
          3.13700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HBH76
        
          
        
        377898.20000000
        PA
        USD
        391962.06000000
        0.096576693935
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2021-NMR1
        59982HAH3
        
          
        
        760000.00000000
        PA
        USD
        700480.75000000
        0.172593528567
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-11-25
          Variable
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4719.30000000
        0.001162802317
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            336176.22000000
            EUR
            3544490.78000000
            SEK
            2022-06-15
            4719.30000000
          
        
        
          N
          N
          N
        
      
      
        Skandinaviska Enskilda Banken AB
        F3JS33DEI6XQ4ZBPTN86
        Skandinaviska Enskilda Banken AB
        83050UFM5
        
          
        
        1700000.00000000
        PA
        USD
        1696890.60000000
        0.418101905366
        Long
        STIV
        CORP
        SE
        N
        
        2
        
          2022-06-21
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYB INTL FINANCE BV
        549300J6QSW38QNOJK61
        LYB International Finance BV
        50247VAB5
        
          
        
        25000.00000000
        PA
        USD
        27804.50000000
        0.006850833181
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2043-07-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK CORP
        MP3J6QPYPGN75NVW2S34
        Kimberly-Clark Corp
        494368CA9
        
          
        
        10000.00000000
        PA
        USD
        8993.60000000
        0.002215959765
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-07
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLAXOSMITHKLINE CAP INC
        5493007Q8VD7Q3ZYZS59
        GlaxoSmithKline Capital Inc
        377372AE7
        
          
        
        25000.00000000
        PA
        USD
        33318.25000000
        0.008209382389
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2038-05-15
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217031  IRS AUD R F  2.00000 2 CCPVANILLA / Short: SR217031  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        3320000.00000000
        OU
        Notional Amount
        
        -232603.62000000
        -0.05731189548
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            3464.04000000
            AUD
            0.00000000
            AUD
            3320000.00000000
            AUD
            -235044.32000000
          
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        459506AL5
        
          
        
        25000.00000000
        PA
        USD
        27440.75000000
        0.006761207740
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-26
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217521  IRS SEK R F   .75000 2 CCPVANILLA / Short: SR217521  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        49170000.00000000
        OU
        Notional Amount
        
        -84408.57000000
        -0.02079767779
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-15
            0.00000000
            SEK
            -846581.55000000
            SEK
            49170000.00000000
            SEK
            6373.76000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MQQ6
        
          
        
        1708.10000000
        PA
        USD
        1774.69000000
        0.000437271130
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WK2U8
        
          
        
        75278.08000000
        PA
        USD
        77832.63000000
        0.019177412440
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A2K28
        
          
        
        147645.88000000
        PA
        USD
        21669.85000000
        0.005339298581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.09300000
          N
          N
          N
        
        
          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
        
          
        
        1410000.00000000
        OU
        Notional Amount
        
        54787.38000000
        0.013499224975
        N/A
        DIR
        
        CA
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            2298.57000000
            CAD
            0.00000000
            CAD
            1410000.00000000
            CAD
            82930.62000000
          
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAR2
        
          
        
        75000.00000000
        PA
        USD
        71787.75000000
        0.017687996537
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAV3
        
          
        
        30000.00000000
        PA
        USD
        31353.00000000
        0.007725158615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-04-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQT Corp
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAF6
        
          
        
        145000.00000000
        PA
        USD
        143550.00000000
        0.035369710054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -3482.59000000
        -0.00085808567
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            649133.54000000
            EUR
            715419.16000000
            USD
            2022-05-05
            -3482.59000000
          
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CF4
        
          
        
        200000.00000000
        PA
        USD
        213976.00000000
        0.052722180971
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-03-31
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XEROX HOLDINGS CORP
        5493000Y33XDVO2CXC18
        Xerox Holdings Corp
        98421MAA4
        
          
        
        550000.00000000
        PA
        USD
        552750.00000000
        0.136193711127
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Trust 2021-ARIA
        05608RAN5
        
          
        
        1450000.00000000
        PA
        USD
        1406664.46000000
        0.346592226356
        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 SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        291.02000000
        0.000071705280
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            72672.77000000
            USD
            98891.29000000
            SGD
            2022-06-15
            291.02000000
          
        
        
          N
          N
          N
        
      
      
        Tralee CLO Ltd
        54930005YIOSJ9Z81114
        Tralee CLO V Ltd
        89300JAW8
        
          
        
        2600000.00000000
        PA
        USD
        2461583.80000000
        0.606516929847
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-20
          Floating
          4.06400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPA4
        
          
        
        397403.02000000
        PA
        USD
        406686.63000000
        0.100204724388
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BW9
        
          
        
        40000.00000000
        PA
        USD
        45712.40000000
        0.011263213750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-02-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BDB6
        
          
        
        649211.64000000
        PA
        USD
        79045.15000000
        0.019476168837
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CG4
        
          
        
        310000.00000000
        PA
        USD
        320850.00000000
        0.079055182659
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417MFB4
        
          
        
        4995.35000000
        PA
        USD
        5260.50000000
        0.001296150189
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABZ7
        
          
        
        375000.00000000
        PA
        USD
        349747.50000000
        0.086175323351
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBJ9
        
          
        
        650000.00000000
        PA
        USD
        580190.00000000
        0.142954734073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DD8
        
          
        
        475000.00000000
        PA
        USD
        490195.25000000
        0.120780660831
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-16
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HOMES 4 RENT
        549300N4PXZ37U8QKI55
        American Homes 4 Rent LP
        02666TAC1
        
          
        
        180000.00000000
        PA
        USD
        159231.60000000
        0.039233545966
        Long
        DBT
        
        US
        N
        
        2
        
          2031-07-15
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FED REPUBLIC OF BRAZIL
        254900ZFY40OYEADAP90
        Brazilian Government International Bond
        105756CC2
        
          
        
        200000.00000000
        PA
        USD
        184350.00000000
        0.045422543005
        Long
        DBT
        NUSS
        BR
        N
        
        2
        
          2030-06-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2019-GS2
        59981TAG0
        
          
        
        720000.00000000
        PA
        USD
        687603.60000000
        0.169420689405
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-08-25
          Variable
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        1706.56000000
        0.000420484377
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            163660.70000000
            GBP
            216638.00000000
            USD
            2022-06-15
            1706.56000000
          
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        N/A
        Mountain View CLO 2016-1 LLC
        62432FAM6
        
          
        
        1200000.00000000
        PA
        USD
        1188211.20000000
        0.292766880020
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-14
          Floating
          1.59800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET CORP
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BN2
        
          
        
        25000.00000000
        PA
        USD
        24624.50000000
        0.006067303554
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-30
          Fixed
          3.15200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300T32RO3I7BJ4V26
        Midocean Credit Clo VIII
        000000000
        
          
        
        500000.00000000
        PA
        USD
        493565.00000000
        0.121610943523
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-20
          Floating
          1.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2019-3 Trust
        949831AA9
        
          
        
        40014.03000000
        PA
        USD
        40004.70000000
        0.009856876626
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BM8
        
          
        
        75000.00000000
        PA
        USD
        97592.25000000
        0.024046043789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGT0
        
          
        
        65000.00000000
        PA
        USD
        64779.00000000
        0.015961089847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          3.09300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04846A SWAPTION EUR006M
        000000000
        
          
        
        -2770000.00000000
        NC
        
        -45219.13000000
        -0.01114167549
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2770000.00000000
                    OU
                    Notional Amount
                    N/A
                    -45219.13000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2770000.00000000
                  EUR
                
              
            
            1.00000000
            1.09000000
            EUR
            2022-04-25
            XXXX
            -18814.99000000
          
        
        
          N
          N
          N
        
      
      
        HILLENBRAND INC
        U246OE781574J2BUD366
        Hillenbrand Inc
        431571AE8
        
          
        
        780000.00000000
        PA
        USD
        713700.00000000
        0.175850658763
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CC1
        
          
        
        300000.00000000
        PA
        USD
        293634.00000000
        0.072349351738
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -37580.94000000
        -0.00925967921
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1114238.79000000
            NZD
            734099.51000000
            USD
            2022-05-12
            -37580.94000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376VHU4
        
          
        
        405966.15000000
        PA
        USD
        61354.68000000
        0.015117361491
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-02-20
          Floating
          5.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDH1
        
          
        
        75000.00000000
        PA
        USD
        75319.50000000
        0.018558194889
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGH1
        
          
        
        1265000.00000000
        PA
        USD
        1180877.50000000
        0.290959907936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-22
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAN3
        
          
        
        775000.00000000
        PA
        USD
        790647.25000000
        0.194809919801
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-03-15
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        42939.92000000
        PA
        USD
        43109.87000000
        0.010621968668
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBL8
        
          
        
        825000.00000000
        PA
        USD
        802089.75000000
        0.197629271297
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-07
          Fixed
          2.85200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAD0
        
          
        
        275000.00000000
        PA
        USD
        267619.00000000
        0.065939438766
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVN49
        
          
        
        20042.29000000
        PA
        USD
        20134.14000000
        0.004960910442
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAV7
        
          
        
        1200000.00000000
        PA
        USD
        1109316.00000000
        0.273327657807
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2026-10-29
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NAVIENT CORP
        54930067J0ZNOEBRW338
        Navient Corp
        63938CAL2
        
          
        
        15000.00000000
        PA
        USD
        13781.25000000
        0.003395603042
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX002968  CDS USD R F  3.00000 2 CMBX / Short: CX002968  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        600000.00000000
        OU
        Notional Amount
        USD
        -65437.50000000
        -0.01612333961
        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
            -109849.74000000
            USD
            600000.00000000
            USD
            44412.24000000
          
        
        
          N
          N
          N
        
      
      
        Ameren Corp
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AJ1
        
          
        
        125000.00000000
        PA
        USD
        123541.25000000
        0.030439694825
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CP2
        
          
        
        100000.00000000
        PA
        USD
        103086.00000000
        0.025399665138
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-04
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST HORIZON CORP
        TF3RXI1ZB1TQ30H9JV10
        First Horizon Corp
        320517AD7
        
          
        
        700000.00000000
        PA
        USD
        708799.00000000
        0.174643086844
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-26
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        Royal Bank of Canada
        78016EZT7
        
          
        
        65000.00000000
        PA
        USD
        59657.65000000
        0.014699225238
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-07-14
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCS3
        
          
        
        125000.00000000
        PA
        USD
        135355.00000000
        0.033350519709
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-17
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2072.30000000
        -0.00051060014
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            360854.03000000
            EUR
            397187.34000000
            USD
            2022-04-06
            -2072.30000000
          
        
        
          N
          N
          N
        
      
      
        BANCO MERCANTIL DE NORTE
        549300QTVYRPFHS0J362
        Banco Mercantil del Norte SA/Grand Cayman
        05973KAA5
        
          
        
        260000.00000000
        PA
        USD
        239573.75000000
        0.059029286478
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-01-24
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FLAVOR & FRAGRANCES
        BZLRL03D3GPGMOGFO832
        International Flavors & Fragrances Inc
        459506AP6
        
          
        
        650000.00000000
        PA
        USD
        591162.00000000
        0.145658157679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04658A SWAPTION SOFRRATE
        000000000
        
          
        
        13700000.00000000
        NC
        USD
        4337.42000000
        0.001068709772
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    13700000.00000000
                    OU
                    Notional Amount
                    N/A
                    4337.42000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2025-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  13700000.00000000
                  USD
                
              
            
            1.00000000
            1.36100000
            USD
            2022-07-12
            XXXX
            -81870.36000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04768A SWAPTION SOFRRATE
        000000000
        
          
        
        -37900000.00000000
        NC
        USD
        -12734.40000000
        -0.00313766656
        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
                    
                      
                    
                    37900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -12734.40000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  37900000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-11-16
            XXXX
            32745.60000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1251.13000000
        -0.00030826962
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356000.00000000
            USD
            27203740.00000000
            INR
            2022-06-15
            -1251.13000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -3363.78000000
        -0.00082881172
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            28552918.21000000
            INR
            371942.61000000
            USD
            2022-04-13
            -3363.78000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XAH3
        
          
        
        41780.66000000
        PA
        USD
        41967.63000000
        0.010340528768
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          4.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCELORMITTAL
        2EULGUTUI56JI9SAL165
        ArcelorMittal SA
        03938LBC7
        
          
        
        440000.00000000
        PA
        USD
        447352.40000000
        0.110224484012
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-07-16
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BY5
        
          
        
        25000.00000000
        PA
        USD
        25481.00000000
        0.006278339128
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-23
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPGT5
        
          
        
        12501.02000000
        PA
        USD
        12558.31000000
        0.003094279230
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SSU4
        
          
        
        11810.06000000
        PA
        USD
        12795.57000000
        0.003152738424
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03951A SWAPTION SONIO
        000000000
        
          
        
        -1580000.00000000
        NC
        
        -3233.73000000
        -0.00079676832
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1580000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3233.73000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1580000.00000000
                  GBP
                
              
            
            1.00000000
            0.42450000
            GBP
            2022-10-10
            XXXX
            30528.70000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VBJ8
        
          
        
        418240.72000000
        PA
        USD
        434381.30000000
        0.107028496230
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBH7
        
          
        
        60000.00000000
        PA
        USD
        55337.40000000
        0.013634746033
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EML8
        
          
        
        641440.14000000
        PA
        USD
        95762.52000000
        0.023595211190
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-04-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -551.22000000
        -0.00013581672
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            305589.31000000
            USD
            23153829.35000000
            INR
            2022-04-04
            -551.22000000
          
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        000000000
        
          
        
        200000.00000000
        PA
        USD
        192200.00000000
        0.047356727776
        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
        
          
        
        270000.00000000
        PA
        USD
        251237.70000000
        0.061903201697
        Long
        DBT
        NUSS
        XX
        N
        
        2
        
          2026-05-17
          Fixed
          2.63400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAG8
        
          
        
        550000.00000000
        PA
        USD
        589413.00000000
        0.145227216384
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -750.40000000
        -0.00018489328
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            721708.05000000
            EUR
            797768.86000000
            USD
            2022-04-06
            -750.40000000
          
        
        
          N
          N
          N
        
      
      
        EPR Properties
        549300YSSXFHMPOWZ492
        EPR Properties
        26884UAD1
        
          
        
        30000.00000000
        PA
        USD
        29711.40000000
        0.007320679925
        Long
        DBT
        
        US
        N
        
        2
        
          2027-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AR0
        
          
        
        350000.00000000
        PA
        USD
        344897.00000000
        0.084980194277
        Long
        DBT
        
        US
        N
        
        2
        
          2031-08-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AM46
        
          
        
        47.12000000
        PA
        USD
        47.14000000
        0.000011614964
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200N3F6
        
          
        
        82198.78000000
        PA
        USD
        89702.19000000
        0.022101988516
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        956.10000000
        0.000235576313
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            57906.61000000
            USD
            53051.25000000
            EUR
            2022-06-15
            956.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04769A SWAPTION SOFRRATE
        000000000
        
          
        
        37900000.00000000
        NC
        USD
        37797.67000000
        0.009313079962
        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
                    
                      
                    
                    37900000.00000000
                    OU
                    Notional Amount
                    N/A
                    37797.67000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  37900000.00000000
                  USD
                
              
            
            1.00000000
            1.80000000
            USD
            2022-11-16
            XXXX
            -85377.33000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300L7X3DWAOC00Z83
        SLM Student Loan Trust 2005-4
        78442GPG5
        
          
        
        81023.57000000
        PA
        USD
        80700.58000000
        0.019884055143
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-25
          Floating
          0.37800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALVOLINE INC
        549300CMHPBEY6VPOT75
        Valvoline Inc
        92047WAG6
        
          
        
        315000.00000000
        PA
        USD
        271687.50000000
        0.066941888542
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        39374.74000000
        0.009701658915
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            699954.57000000
            USD
            10814298.11000000
            ZAR
            2022-04-08
            39374.74000000
          
        
        
          N
          N
          N
        
      
      
        SIRIUS XM RADIO INC
        WP5O65E6BMU84LNO4227
        Sirius XM Radio Inc
        82967NBM9
        
          
        
        201000.00000000
        PA
        USD
        182910.00000000
        0.045067737136
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-09-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bain Capital Credit CLO, Limited
        N/A
        Bain Capital Credit CLO 2017-2 Ltd
        05683HAN5
        
          
        
        3900000.00000000
        PA
        USD
        3861113.10000000
        0.951351102979
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-25
          Floating
          1.43800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHA3
        
          
        
        100000.00000000
        PA
        USD
        114062.00000000
        0.028104074316
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-11-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KMQE8
        
          
        
        1929022.66000000
        PA
        USD
        1846502.54000000
        0.454965234787
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Verus Securitization Trust
        N/A
        Verus Securitization Trust 2021-8
        92538GAA0
        
          
        
        121554.87000000
        PA
        USD
        114740.22000000
        0.028271182953
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-11-25
          Variable
          1.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE JUN22
        000000000
        
          
        
        -5.00000000
        NC
        
        3532.37000000
        0.000870351116
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 5 Year Euro BOBL Future
                OEM2 COMDTY
              
            
            2022-06-08
            -647843.10000000
            EUR
            3532.37000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAE8
        
          
        
        200000.00000000
        PA
        USD
        144875.00000000
        0.035696180731
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2051-02-08
          Fixed
          3.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04851A SWAPTION SOFRRATE
        000000000
        
          
        
        -3700000.00000000
        NC
        USD
        -42175.56000000
        -0.01039176125
        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
                    
                      
                    
                    3700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -42175.56000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-27
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3700000.00000000
                  USD
                
              
            
            1.00000000
            2.16500000
            USD
            2022-04-25
            XXXX
            1299.44000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KLU1
        
          
        
        286000.00000000
        PA
        USD
        270224.50000000
        0.066581415635
        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
        
          
        
        235499.16000000
        PA
        USD
        27407.98000000
        0.006753133443
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.70100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPK94
        
          
        
        1180919.11000000
        PA
        USD
        1263010.35000000
        0.311196864331
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        CTBOAUSCN2022042063870
        000000000
        
          
        
        1462000.00000000
        OU
        Notional Amount
        USD
        2543.88000000
        0.000626794134
        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
                    2543.88000000
                    0.00000000
                    DFE
                    
                    US
                  
                  9337794.00000000
                  CNY
                  1462000.00000000
                  USD
                  2022-04-20
                
              
            
            1.00000000
            6.38700000
            USD
            2022-04-20
            XXXX
            -4115.53000000
          
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        254900MX6QAMC9XBAB53
        Dryden 68 CLO Ltd
        26252QAJ1
        
          
        
        2200000.00000000
        PA
        USD
        2181460.60000000
        0.537496544174
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-07-15
          Floating
          1.41100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8G58
        
          
        
        492429.91000000
        PA
        USD
        508909.57000000
        0.125391737614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AZ7
        
          
        
        625000.00000000
        PA
        USD
        623212.50000000
        0.153555175388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BUQ4
        
          
        
        1358358.42000000
        PA
        USD
        202476.09000000
        0.049888684055
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005864  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005864  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        825000.00000000
        OU
        Notional Amount
        USD
        12983.77000000
        0.003199109580
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                PRUDENTIAL FINANCIAL INC
                PRUDENTIAL FINANCIAL INC
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            6184.65000000
            USD
            0.00000000
            USD
            825000.00000000
            USD
            6799.12000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04659A SWAPTION SOFRRATE
        000000000
        
          
        
        -4390000.00000000
        NC
        USD
        -18052.12000000
        -0.00444791536
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    4390000.00000000
                    OU
                    Notional Amount
                    N/A
                    -18052.12000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4390000.00000000
                  USD
                
              
            
            1.00000000
            1.59400000
            USD
            2022-07-12
            XXXX
            68129.77000000
          
        
        
          N
          N
          N
        
      
      
        CHNGE Mortgage Trust 2022-1
        N/A
        CHNGE Mortgage Trust 2022-1
        17030JAA4
        
          
        
        285371.64000000
        PA
        USD
        279533.39000000
        0.068875060638
        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
        
          
        
        506000.00000000
        PA
        USD
        475640.00000000
        0.117194349634
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CME Group Inc
        LCZ7XYGSLJUHFXXNXD88
        CME Group Inc
        12572QAF2
        
          
        
        25000.00000000
        PA
        USD
        30581.75000000
        0.007535128042
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-09-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022042132230
        000000000
        
          
        
        -1438000.00000000
        OU
        Notional Amount
        USD
        -5005.68000000
        -0.00123336433
        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
                    -5005.68000000
                    0.00000000
                    DFE
                    
                    IL
                  
                  -1438000.00000000
                  USD
                  -4634674.00000000
                  ILS
                  2022-04-21
                
              
            
            1.00000000
            3.22300000
            USD
            2022-04-21
            XXXX
            8395.04000000
          
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAG5
        
          
        
        225000.00000000
        PA
        USD
        227416.50000000
        0.056033825611
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BD8
        
          
        
        30000.00000000
        PA
        USD
        31079.40000000
        0.007657745500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LYB INTL FINANCE BV
        549300J6QSW38QNOJK61
        LYB International Finance BV
        50247VAC3
        
          
        
        45000.00000000
        PA
        USD
        47807.55000000
        0.011779443969
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2044-03-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AC1
        
          
        
        225000.00000000
        PA
        USD
        225499.50000000
        0.055561490298
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -76897.11000000
        -0.01894690689
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2154659.79000000
            USD
            1581744.15000000
            GBP
            2022-04-05
            -76897.11000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022041432700
        000000000
        
          
        
        -1475000.00000000
        OU
        Notional Amount
        USD
        -923.35000000
        -0.00022750694
        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
                    -923.35000000
                    0.00000000
                    DFE
                    
                    IL
                  
                  -1475000.00000000
                  USD
                  -4823250.00000000
                  ILS
                  2022-04-14
                
              
            
            1.00000000
            3.27000000
            USD
            2022-04-14
            XXXX
            16468.38000000
          
        
        
          N
          N
          N
        
      
      
        CELLNEX FINANCE CO SA
        549300OUROMFTRFA7T23
        Cellnex Finance Co SA
        000000000
        
          
        
        500000.00000000
        PA
        
        483337.11000000
        0.119090863385
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-01-15
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CFIP CLO LTD
        635400N9HTJKJSK1AS88
        CFIP CLO 2017-1 Ltd
        12528JAU0
        
          
        
        2500000.00000000
        PA
        USD
        2424350.00000000
        0.597342783486
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-18
          Floating
          4.06100000
          N
          N
          N
        
        
          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
        
          
        
        10660000.00000000
        OU
        Notional Amount
        
        65847.65000000
        0.016224397688
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            50807.32000000
            EUR
            0.00000000
            EUR
            10660000.00000000
            EUR
            9618.40000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132L5TH6
        
          
        
        7355.51000000
        PA
        USD
        7672.59000000
        0.001890472195
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AD8
        
          
        
        300000.00000000
        PA
        USD
        307125.00000000
        0.075673439222
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMWQ0
        
          
        
        52876.82000000
        PA
        USD
        53119.15000000
        0.013088184840
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEE4
        
          
        
        200000.00000000
        PA
        USD
        170037.50000000
        0.041896043701
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2060-01-30
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2984.49000000
        0.000735357338
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            203467.00000000
            USD
            298281.42000000
            NZD
            2022-06-15
            2984.49000000
          
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAC3
        
          
        
        105000.00000000
        PA
        USD
        107307.90000000
        0.026439911595
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REGENCY CENTERS LP
        5493008PTR2GAOYBXW28
        Regency Centers LP
        75884RAZ6
        
          
        
        700000.00000000
        PA
        USD
        667723.00000000
        0.164522249435
        Long
        DBT
        
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MAY6
        
          
        
        2761.32000000
        PA
        USD
        2856.50000000
        0.000703821503
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        000000000
        
          
        
        200000.00000000
        PA
        USD
        203537.50000000
        0.050150208011
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2024-03-28
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAJ0
        
          
        
        150000.00000000
        PA
        USD
        149868.00000000
        0.036926420803
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JVL0
        
          
        
        1050000.00000000
        PA
        USD
        1068732.00000000
        0.263328045736
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTSMAN INTERNATIONAL L
        3YTEJFW18LGIUQ2N5J61
        Huntsman International LLC
        44701QBF8
        
          
        
        250000.00000000
        PA
        USD
        230625.00000000
        0.056824377437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2724.52000000
        0.000671302559
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            316683.18000000
            USD
            288683.22000000
            EUR
            2022-04-06
            2724.52000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -149.80000000
        -0.00003690966
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            61200.30000000
            GBP
            80223.00000000
            USD
            2022-06-15
            -149.80000000
          
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBB3
        
          
        
        625000.00000000
        PA
        USD
        646637.50000000
        0.159326930582
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687CR5
        
          
        
        1125000.00000000
        PA
        USD
        1151561.25000000
        0.283736590191
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61746BEC6
        
          
        
        1550000.00000000
        PA
        USD
        1557982.50000000
        0.383875926814
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-24
          Floating
          1.65900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382DJV2
        
          
        
        704373.06000000
        PA
        USD
        105942.15000000
        0.026103400404
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-02-20
          Floating
          5.60100000
          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
        
          
        
        4620000.00000000
        OU
        Notional Amount
        
        152000.08000000
        0.037451750315
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-12-18
            62973.52000000
            CAD
            0.00000000
            CAD
            4620000.00000000
            CAD
            102322.69000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
        
        195000.00000000
        PA
        USD
        196981.20000000
        0.048534781818
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.55900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140H4BV5
        
          
        
        678498.60000000
        PA
        USD
        707588.62000000
        0.174344857728
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        188.87000000
        0.000046536239
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            431748744.00000000
            KRW
            355480.42000000
            USD
            2022-04-11
            188.87000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BR9
        
          
        
        450000.00000000
        PA
        USD
        450328.50000000
        0.110957774113
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-18
          Floating
          1.48800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04780A SWAPTION SOFRRATE
        000000000
        
          
        
        -38100000.00000000
        NC
        USD
        -15099.03000000
        -0.00372029476
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    38100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15099.03000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  38100000.00000000
                  USD
                
              
            
            1.00000000
            1.34750000
            USD
            2022-11-22
            XXXX
            30679.67000000
          
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAY7
        
          
        
        50000.00000000
        PA
        USD
        55028.50000000
        0.013558635247
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        120000.00000000
        PA
        
        116595.96000000
        0.028728424233
        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
        
          
        
        120020000.00000000
        OU
        Notional Amount
        
        -202379.93000000
        -0.04986499090
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            SEK
            -1511261.30000000
            SEK
            120020000.00000000
            SEK
            121534.89000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -110129.28000000
        -0.02713507977
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2189720.83000000
            USD
            252647186.00000000
            JPY
            2022-06-15
            -110129.28000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        27332.75000000
        0.006734597300
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1889846.97000000
            USD
            2769944.07000000
            NZD
            2022-06-15
            27332.75000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
        
        350000.00000000
        PA
        USD
        332580.50000000
        0.081945495329
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.21900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL FINANCE INTL NV
        0YQH6LCEF474UTUV4B96
        Enel Finance International NV
        29278GAN8
        
          
        
        975000.00000000
        PA
        USD
        877110.00000000
        0.216113733092
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-07-12
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAV5
        
          
        
        227000.00000000
        PA
        USD
        245841.00000000
        0.060573492785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F040644
        
          
        
        -6000000.00000000
        PA
        USD
        -6123284.40000000
        -1.50873419579
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Mortgage Loan Trust Inc
        549300R1KUK063S4I339
        Citigroup Mortgage Loan Trust Inc
        17307GP77
        
          
        
        372931.26000000
        PA
        USD
        365827.70000000
        0.090137371499
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-10-25
          Floating
          1.13200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WWKV0
        
          
        
        14136.14000000
        PA
        USD
        14200.92000000
        0.003499006777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIATION CAPITAL GROUP
        549300ODEK8HY3445C77
        Aviation Capital Group LLC
        05369AAK7
        
          
        
        375000.00000000
        PA
        USD
        345041.25000000
        0.085015736462
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-30
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -370.66000000
        -0.00009132801
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            157662.87000000
            USD
            501730.55000000
            ILS
            2022-04-26
            -370.66000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -17508.22000000
        -0.00431390222
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3764191.79000000
            SEK
            345751.06000000
            EUR
            2022-06-15
            -17508.22000000
          
        
        
          N
          N
          N
        
      
      
        DUKE REALTY LP
        2549009GZDBNY1KE9O81
        Duke Realty LP
        26441YBE6
        
          
        
        300000.00000000
        PA
        USD
        261567.00000000
        0.064448268545
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UMM1
        
          
        
        1294747.93000000
        PA
        USD
        1345118.93000000
        0.331427840768
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        19032.60000000
        0.004689498736
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            317553.16000000
            USD
            3158476.81000000
            SEK
            2022-06-15
            19032.60000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04508A SWAPTION US0003M
        000000000
        
          
        
        -11400000.00000000
        NC
        USD
        -194128.32000000
        -0.04783185225
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    11400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -194128.32000000
                    -0.05000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-12-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  11400000.00000000
                  USD
                
              
            
            1.00000000
            1.29000000
            USD
            2022-12-12
            XXXX
            -157648.32000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -470.78000000
        -0.00011599687
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            149813.43000000
            USD
            181543914.00000000
            KRW
            2022-06-15
            -470.78000000
          
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CN8
        
          
        
        150000.00000000
        PA
        USD
        169743.00000000
        0.041823480973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-20
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DAZ8
        
          
        
        840000.00000000
        PA
        USD
        839731.20000000
        0.206903859751
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-15
          Fixed
          3.22200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DU9
        
          
        
        275000.00000000
        PA
        USD
        269516.50000000
        0.066406969416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        41260000.00000000
        OU
        Notional Amount
        USD
        11420.77000000
        0.002813997377
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            13847.94000000
            USD
            0.00000000
            USD
            41260000.00000000
            USD
            -2427.17000000
          
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        635400C9RW3TYNTIJP57
        AccessLex Institute
        00432CBN0
        
          
        
        403913.94000000
        PA
        USD
        391613.10000000
        0.096490712646
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-09-26
          Floating
          0.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BP4
        
          
        
        35000.00000000
        PA
        USD
        35523.60000000
        0.008752765113
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-25
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTJPMUSCN2022041363500
        000000000
        
          
        
        -1460000.00000000
        OU
        Notional Amount
        USD
        -2480.54000000
        -0.00061118760
        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
                    -2480.54000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1460000.00000000
                  USD
                  -9271000.00000000
                  CNY
                  2022-04-13
                
              
            
            1.00000000
            6.35000000
            USD
            2022-04-13
            XXXX
            86.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        7959.45000000
        0.001961152481
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            914314877.00000000
            KRW
            760360.82000000
            USD
            2022-04-11
            7959.45000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        36962.27000000
        0.009107243279
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1337161.97000000
            USD
            1833886.68000000
            AUD
            2022-06-15
            36962.27000000
          
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397B77
        
          
        
        476000.00000000
        PA
        USD
        440423.28000000
        0.108517197594
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-10
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04070A SWAPTION SONIO
        000000000
        
          
        
        4190000.00000000
        NC
        
        1177.35000000
        0.000290090756
        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
                    
                      
                    
                    4190000.00000000
                    OU
                    Notional Amount
                    N/A
                    1177.35000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4190000.00000000
                  GBP
                
              
            
            1.00000000
            0.54400000
            GBP
            2022-11-16
            XXXX
            -8690.03000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CZK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        26717.03000000
        0.006582888224
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            558960.10000000
            USD
            13041829.15000000
            CZK
            2022-06-15
            26717.03000000
          
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164QNA2
        
          
        
        250000.00000000
        PA
        USD
        269560.00000000
        0.066417687510
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.41800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        41996.06000000
        0.010347533720
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1633329.42000000
            USD
            2094813.58000000
            CAD
            2022-06-15
            41996.06000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
        
        400000.00000000
        PA
        USD
        405212.00000000
        0.099841385931
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WLA60
        
          
        
        414283.40000000
        PA
        USD
        438033.11000000
        0.107928276522
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BJ9
        
          
        
        850000.00000000
        PA
        USD
        863251.50000000
        0.212699096194
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.51900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITEUPL2022042147230
        000000000
        
          
        
        -429000.00000000
        OU
        Notional Amount
        
        -9559.02000000
        -0.00235527527
        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
                    -9559.02000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -429000.00000000
                  EUR
                  -2026167.00000000
                  PLN
                  2022-04-21
                
              
            
            1.00000000
            4.72300000
            EUR
            2022-04-21
            XXXX
            -3981.22000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BGL8
        
          
        
        600000.00000000
        PA
        USD
        623436.00000000
        0.153610244216
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1457.65000000
        -0.00035915470
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356000.00000000
            USD
            430838320.00000000
            KRW
            2022-04-11
            -1457.65000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RAZ2
        
          
        
        184958.46000000
        PA
        USD
        9447.10000000
        0.002327698974
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          3.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JPNQ4
        
          
        
        318755.31000000
        PA
        USD
        330795.71000000
        0.081505735630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCOTTS MIRACLE-GRO CO
        2TH9E0JTOUXOEGI2R879
        Scotts Miracle-Gro Co/The
        810186AX4
        
          
        
        524000.00000000
        PA
        USD
        458500.00000000
        0.112971174223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCH CAPITAL GRP US INC
        549300B4QKQFLY1XST28
        Arch Capital Group US Inc
        03938JAA7
        
          
        
        250000.00000000
        PA
        USD
        274660.00000000
        0.067674291629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-11-01
          Fixed
          5.14400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1659.39000000
        -0.00040886202
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            332264.75000000
            EUR
            367003.03000000
            USD
            2022-06-15
            -1659.39000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -3206.79000000
        -0.00079013049
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            229315.39000000
            CHF
            245781.00000000
            USD
            2022-06-15
            -3206.79000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5451.77000000
        0.001343277772
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            343849.59000000
            EUR
            3631257.98000000
            SEK
            2022-06-15
            5451.77000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JF5
        
          
        
        250000.00000000
        PA
        USD
        224765.00000000
        0.055380514665
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STERIS PLC
        549300BRDKZ1HFI2J358
        STERIS Irish FinCo UnLtd Co
        85917PAA5
        
          
        
        525000.00000000
        PA
        USD
        482175.75000000
        0.118804712452
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2031-03-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379QCY9
        
          
        
        188023.07000000
        PA
        USD
        29702.83000000
        0.007318568337
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Floating
          5.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        20000.00000000
        PA
        
        21516.56000000
        0.005301529004
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2029-03-11
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GULV7
        
          
        
        206658.16000000
        PA
        USD
        218376.13000000
        0.053806342046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DD4
        
          
        
        760000.00000000
        PA
        USD
        927200.00000000
        0.228455556684
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ACA1
        
          
        
        275000.00000000
        PA
        USD
        251960.50000000
        0.062081294531
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASCO CORP
        5GCSNMQXHEYA1JO8QN11
        Masco Corp
        574599BS4
        
          
        
        325000.00000000
        PA
        USD
        286838.50000000
        0.070674988347
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -7081.00000000
        -0.00174470858
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            325986.42000000
            EUR
            3123471.48000000
            NOK
            2022-06-15
            -7081.00000000
          
        
        
          N
          N
          N
        
      
      
        RELIANCE INDUSTRIES LTD
        5493003UOETFYRONLG31
        Reliance Industries Ltd
        759470BD8
        
          
        
        250000.00000000
        PA
        USD
        221191.25000000
        0.054499967809
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2052-01-12
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7240.47000000
        0.001784000867
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            379000.00000000
            USD
            305383040.00000000
            CLP
            2022-04-27
            7240.47000000
          
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAD7
        
          
        
        765000.00000000
        PA
        USD
        743006.25000000
        0.183071512579
        Long
        DBT
        
        US
        N
        
        2
        
          2027-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAY4
        
          
        
        500000.00000000
        PA
        USD
        498540.00000000
        0.122836748521
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAB1
        
          
        
        600000.00000000
        PA
        USD
        606864.00000000
        0.149527020008
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-04-11
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416MVP6
        
          
        
        3548.44000000
        PA
        USD
        3746.75000000
        0.000923172839
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1047.21000000
        0.000258025176
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            238911.21000000
            USD
            300022.55000000
            CAD
            2022-04-26
            1047.21000000
          
        
        
          N
          N
          N
        
      
      
        Arch Capital Finance LLC
        549300XG4URFY0200M65
        Arch Capital Finance LLC
        03939CAA1
        
          
        
        1000000.00000000
        PA
        USD
        1028620.00000000
        0.253444731144
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.01100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GQY6
        
          
        
        137901.22000000
        PA
        USD
        16943.23000000
        0.004174692667
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-09-20
          Floating
          5.15100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4AP6
        
          
        
        11169.43000000
        PA
        USD
        11220.62000000
        0.002764681825
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EFG2
        
          
        
        40000.00000000
        PA
        USD
        50407.20000000
        0.012419979440
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2033-09-18
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2976.46000000
        0.000733378803
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            365665.14000000
            USD
            460946.51000000
            CAD
            2022-06-15
            2976.46000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        53.00000000
        NC
        USD
        79396.65000000
        0.019562775964
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            9281728.35000000
            USD
            79396.65000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31394EZ35
        
          
        
        27845.15000000
        PA
        USD
        29923.11000000
        0.007372843779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-25
          Fixed
          5.50000000
          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
        
          
        
        9690000.00000000
        OU
        Notional Amount
        
        -194509.57000000
        -0.04792578957
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            NZD
            -2555.17000000
            NZD
            9690000.00000000
            NZD
            -166300.50000000
          
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JX62
        
          
        
        620000.00000000
        PA
        USD
        534750.00000000
        0.131758637766
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2050-05-29
          Fixed
          8.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAH3
        
          
        
        130000.00000000
        PA
        USD
        120412.50000000
        0.029668792837
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-02-14
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PANAMA
        549300SHS4T08CL0LP14
        Panama Government International Bond
        698299BS2
        
          
        
        200000.00000000
        PA
        USD
        192600.00000000
        0.047455284962
        Long
        DBT
        NUSS
        PA
        N
        
        2
        
          2063-01-19
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITGBUS2022042113050
        000000000
        
          
        
        4321000.00000000
        OU
        Notional Amount
        
        28375.72000000
        0.006991577770
        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
                    28375.72000000
                    0.01000000
                    DFE
                    
                    GB
                  
                  5638905.00000000
                  USD
                  4321000.00000000
                  GBP
                  2022-04-21
                
              
            
            1.00000000
            1.30500000
            GBP
            2022-04-21
            XXXX
            3840.57000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03895A SWAPTION SONIO SEP22 0.300 CALL
        000000000
        
          
        
        18160000.00000000
        NC
        
        1851.22000000
        0.000456127583
        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
                    
                      
                    
                    18160000.00000000
                    OU
                    Notional Amount
                    N/A
                    1851.22000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  18160000.00000000
                  GBP
                
              
            
            1.00000000
            0.30000000
            GBP
            2022-09-08
            XXXX
            -33493.59000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQHG1
        
          
        
        10849.77000000
        PA
        USD
        10892.71000000
        0.002683887108
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAH4
        
          
        
        675000.00000000
        PA
        USD
        648364.50000000
        0.159752451231
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Western Digital Corp
        549300QQXOOYEF89IC56
        Western Digital Corp
        958102AM7
        
          
        
        30000.00000000
        PA
        USD
        30487.50000000
        0.007511905505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Halliburton Co
        ENYF8GB5SMQZ25S06U51
        Halliburton Co
        406216AW1
        
          
        
        50000.00000000
        PA
        USD
        63022.50000000
        0.015528300605
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-09-15
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST-CITIZENS BANK/TRST
        L9VVX1KT5TFTKS0MLF66
        First-Citizens Bank & Trust Co
        12556LBJ4
        
          
        
        600000.00000000
        PA
        USD
        594600.00000000
        0.146505256691
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-27
          Fixed
          2.96900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        922.71000000
        0.000227349252
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            317538.75000000
            USD
            431643.12000000
            SGD
            2022-04-06
            922.71000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2018-R07
        20753QAE9
        
          
        
        86575.34000000
        PA
        USD
        86566.67000000
        0.021329418448
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-25
          Floating
          2.85700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re Ltd
        07876AAB9
        
          
        
        275000.00000000
        PA
        USD
        267766.15000000
        0.065975695491
        Long
        ABS-MBS
        CORP
        BM
        N
        
        2
        
          2031-06-25
          Floating
          1.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Post Holdings Inc
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AN4
        
          
        
        498000.00000000
        PA
        USD
        488662.50000000
        0.120403002015
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          5.62500000
          N
          N
          N
        
        
          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
        
          
        
        5810000.00000000
        OU
        Notional Amount
        
        -8977.13000000
        -0.00221190167
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-06-15
            0.00000000
            CNY
            -27332.25000000
            CNY
            5810000.00000000
            CNY
            -4669.57000000
          
        
        
          N
          N
          N
        
      
      
        EQT CORP
        4NT01YGM4X7ZX86ISY52
        EQT Corp
        26884LAN9
        
          
        
        610000.00000000
        PA
        USD
        579500.00000000
        0.142784722927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVH46
        
          
        
        13234.11000000
        PA
        USD
        13294.76000000
        0.003275735328
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY51
        
          
        
        314.96000000
        PA
        USD
        319.63000000
        0.000078754583
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -990.42000000
        -0.00024403251
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            232156.12000000
            USD
            877721925.92000000
            COP
            2022-05-16
            -990.42000000
          
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAE2
        
          
        
        50000.00000000
        PA
        USD
        47192.50000000
        0.011627899977
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAX7
        
          
        
        25000.00000000
        PA
        USD
        29096.75000000
        0.007169234489
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-10-15
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UDR INC
        P3CH2EG5X6Z1XWU1OO74
        UDR Inc
        90265EAT7
        
          
        
        150000.00000000
        PA
        USD
        129738.00000000
        0.031966530428
        Long
        DBT
        
        US
        N
        
        2
        
          2032-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418QAH6
        
          
        
        48074.55000000
        PA
        USD
        51042.27000000
        0.012576456220
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AL5
        
          
        
        3000.00000000
        PA
        USD
        2820.00000000
        0.000694828159
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200KFF9
        
          
        
        7236.51000000
        PA
        USD
        7639.69000000
        0.001882365866
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP Inc
        WHKXQACZ14C5XRO8LW03
        HP Inc
        428236BR3
        
          
        
        35000.00000000
        PA
        USD
        40797.40000000
        0.010052192329
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-09-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DC8
        
          
        
        65000.00000000
        PA
        USD
        66164.15000000
        0.016302381062
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-01-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140X7AV1
        
          
        
        10249.67000000
        PA
        USD
        10667.49000000
        0.002628394484
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2613.32000000
        -0.00064390366
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            363761.90000000
            USD
            10305374.63000000
            TWD
            2022-06-15
            -2613.32000000
          
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
        
        216018.62000000
        PA
        
        283865.01000000
        0.069942341331
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.95200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8442.72000000
        0.002080226809
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            735223.42000000
            USD
            903699863.00000000
            KRW
            2022-04-11
            8442.72000000
          
        
        
          N
          N
          N
        
      
      
        The Federal Republic of Nigeria
        549300GSBZD84TNEQ285
        Nigeria Government International Bond
        000000000
        
          
        
        680000.00000000
        PA
        USD
        638350.00000000
        0.157284948888
        Long
        DBT
        NUSS
        NG
        N
        
        2
        
          2032-02-16
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        853.18000000
        0.000210217549
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            272285.90000000
            GBP
            358439.34000000
            USD
            2022-06-15
            853.18000000
          
        
        
          N
          N
          N
        
      
      
        Ventas Realty LP
        32SXKSJ72K64GM3HOU64
        Ventas Realty LP
        92277GAN7
        
          
        
        60000.00000000
        PA
        USD
        62978.40000000
        0.015517434675
        Long
        DBT
        
        US
        N
        
        2
        
          2029-01-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04857A SWAPTION EUR006M
        000000000
        
          
        
        -2710000.00000000
        NC
        
        -28090.37000000
        -0.00692126953
        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
                    
                      
                    
                    2710000.00000000
                    OU
                    Notional Amount
                    N/A
                    -28090.37000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-05-05
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2710000.00000000
                  EUR
                
              
            
            1.00000000
            1.22600000
            EUR
            2022-05-03
            XXXX
            2208.21000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAC0
        
          
        
        275000.00000000
        PA
        USD
        294093.25000000
        0.072462507707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200AGF0
        
          
        
        7682.20000000
        PA
        USD
        8176.01000000
        0.002014511341
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        829.06000000
        0.000204274551
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            123547.00000000
            USD
            179698.72000000
            NZD
            2022-06-15
            829.06000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGZ6
        
          
        
        30000.00000000
        PA
        USD
        29995.80000000
        0.007390754084
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-23
          Fixed
          3.36600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAR1
        
          
        
        221000.00000000
        PA
        USD
        205530.00000000
        0.050641145993
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2034-02-12
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PCP5
        
          
        
        60000.00000000
        PA
        USD
        61705.80000000
        0.015203874988
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -4090.18000000
        -0.00100779157
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            471198.98000000
            CHF
            506266.54000000
            USD
            2022-04-25
            -4090.18000000
          
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348AW6
        
          
        
        500000.00000000
        PA
        USD
        501805.00000000
        0.123641221551
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAG6
        
          
        
        800000.00000000
        PA
        USD
        771040.00000000
        0.189978831348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        05565AHN6
        
          
        
        200000.00000000
        PA
        USD
        206084.00000000
        0.050777647696
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-03-25
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6P76
        
          
        
        7362.96000000
        PA
        USD
        7392.10000000
        0.001821361432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BQ6
        
          
        
        1012000.00000000
        PA
        USD
        1036864.84000000
        0.255476201713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKC2
        
          
        
        475000.00000000
        PA
        USD
        409046.25000000
        0.100786118155
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-09-21
          Fixed
          2.48200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BE6
        
          
        
        166000.00000000
        PA
        USD
        170357.50000000
        0.041974889449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -20816.93000000
        -0.00512914509
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9025144.39000000
            CZK
            346521.19000000
            EUR
            2022-06-15
            -20816.93000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAA4
        
          
        
        160000.00000000
        PA
        USD
        164825.60000000
        0.040611868209
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -351774.58000000
        -0.08667478160
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11200335.05000000
            USD
            9795725.91000000
            EUR
            2022-05-05
            -351774.58000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1208.60000000
        -0.00029779053
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            187014.00000000
            USD
            141482.52000000
            GBP
            2022-06-15
            -1208.60000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215887  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215887  IRS BRL P F  8.49500 CCPNDFPREDISWAP
        000000000
        
          
        
        2790000.00000000
        OU
        Notional Amount
        
        37218.29000000
        0.009170324806
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-01-04
            0.00000000
            BRL
            -10923.00000000
            BRL
            2790000.00000000
            BRL
            53615.89000000
          
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDI
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397B69
        
          
        
        414000.00000000
        PA
        USD
        372151.22000000
        0.091695442338
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-17
          Fixed
          3.62500000
          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
        
          
        
        4570000.00000000
        OU
        Notional Amount
        
        -199610.55000000
        -0.04918263516
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            0.00000000
            GBP
            -148007.30000000
            GBP
            4570000.00000000
            GBP
            99062.10000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2466.00000000
        0.000607605050
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            499588.65000000
            USD
            7801326.50000000
            TRY
            2022-06-14
            2466.00000000
          
        
        
          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
        
          
        
        106710000.00000000
        OU
        Notional Amount
        
        -564259.88000000
        -0.13902966458
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            SEK
            -881691.55000000
            SEK
            106710000.00000000
            SEK
            -373928.65000000
          
        
        
          N
          N
          N
        
      
      
        IRB HOLDING CORP
        549300HVW4WNWYBXN830
        IRB Holding Corp
        44988MAC9
        
          
        
        731000.00000000
        PA
        USD
        743792.50000000
        0.183265239048
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VMWARE INC
        549300BUDHS3LRWBE814
        VMware Inc
        928563AK1
        
          
        
        175000.00000000
        PA
        USD
        155960.00000000
        0.038427446743
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661ED5
        
          
        
        425000.00000000
        PA
        USD
        385101.00000000
        0.094886177022
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRXV8
        
          
        
        12701.12000000
        PA
        USD
        12751.39000000
        0.003141852783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Brookfield Finance Inc
        549300XH8D8K6OYWGD17
        Brookfield Finance Inc
        11271LAD4
        
          
        
        60000.00000000
        PA
        USD
        63895.80000000
        0.015743475581
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2029-03-29
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RC1
        95001FAC9
        
          
        
        150000.00000000
        PA
        USD
        124383.14000000
        0.030647130598
        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
        
          
        
        9700000.00000000
        OU
        Notional Amount
        
        -630253.84000000
        -0.15529011202
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            CHF
            -290569.17000000
            CHF
            9700000.00000000
            CHF
            -318052.10000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BBWT5
        
          
        
        666010.64000000
        PA
        USD
        123963.83000000
        0.030543815564
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        11379.70000000
        0.002803878018
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            42970743.00000000
            JPY
            365080.83000000
            USD
            2022-06-15
            11379.70000000
          
        
        
          N
          N
          N
        
      
      
        Cenovus Energy Inc
        549300F4XPHJ7NOSP309
        Cenovus Energy Inc
        15135UAF6
        
          
        
        40000.00000000
        PA
        USD
        49577.20000000
        0.012215473279
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2039-11-15
          Fixed
          6.75000000
          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
        
          
        
        3350000.00000000
        OU
        Notional Amount
        
        -220519.16000000
        -0.05433436956
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            EUR
            -103330.13000000
            EUR
            3350000.00000000
            EUR
            -67719.67000000
          
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAB6
        
          
        
        425000.00000000
        PA
        USD
        434872.75000000
        0.107149586052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.20500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASHLAND SERVICES BV
        549300S52OPXPKGJS029
        Ashland Services BV
        000000000
        
          
        
        650000.00000000
        PA
        
        662787.80000000
        0.163306250876
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-30
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1438.71000000
        -0.00035448802
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            141761.52000000
            USD
            111856927.00000000
            CLP
            2022-06-15
            -1438.71000000
          
        
        
          N
          N
          N
        
      
      
        NISOURCE INC
        549300D8GOWWH0SJB189
        NiSource Inc
        65473PAJ4
        
          
        
        100000.00000000
        PA
        USD
        99231.00000000
        0.024449820260
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIEUUS2022040111000
        000000000
        
          
        
        2633000.00000000
        OU
        Notional Amount
        
        1022.37000000
        0.000251904775
        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
                    1022.37000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  2896300.00000000
                  USD
                  2633000.00000000
                  EUR
                  2022-04-01
                
              
            
            1.00000000
            1.10000000
            EUR
            2022-04-01
            XXXX
            -17607.01000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        -27.00000000
        NC
        USD
        40052.94000000
        0.009868762623
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            -5758357.61000000
            USD
            40052.94000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAH3
        
          
        
        325000.00000000
        PA
        USD
        353229.50000000
        0.087033263653
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2275.10000000
        0.000560568633
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            320036.67000000
            USD
            291315.84000000
            EUR
            2022-04-05
            2275.10000000
          
        
        
          N
          N
          N
        
      
      
        Kilroy Realty LP
        5493008CT3N3JR7P1552
        Kilroy Realty LP
        49427RAN2
        
          
        
        500000.00000000
        PA
        USD
        526870.00000000
        0.129817061206
        Long
        DBT
        
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN ENERGY CO
        EFWMP121W54QV9MGOP87
        Southwestern Energy Co
        845467AS8
        
          
        
        425000.00000000
        PA
        USD
        431375.00000000
        0.106287765061
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
        
        425000.00000000
        PA
        USD
        440074.75000000
        0.108431322254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PTBOAUSCN2022042063300
        000000000
        
          
        
        -1462000.00000000
        OU
        Notional Amount
        USD
        -1691.53000000
        -0.00041678109
        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
                    -1691.53000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1462000.00000000
                  USD
                  -9254460.00000000
                  CNY
                  2022-04-20
                
              
            
            1.00000000
            6.33000000
            USD
            2022-04-20
            XXXX
            581.88000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2410.98000000
        0.000594048509
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            769870.27000000
            USD
            1046709.46000000
            SGD
            2022-06-15
            2410.98000000
          
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Trust
        N/A
        Soundview Home Loan Trust 2007-NS1
        83612QAC2
        
          
        
        230653.82000000
        PA
        USD
        229846.46000000
        0.056632550659
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-01-25
          Floating
          0.65700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        American Campus Communities Operating Partnership LP
        024836AA6
        
          
        
        800000.00000000
        PA
        USD
        806488.00000000
        0.198712969153
        Long
        DBT
        
        US
        N
        
        2
        
          2023-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COX COMMUNICATIONS INC
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CM7
        
          
        
        80000.00000000
        PA
        USD
        62936.00000000
        0.015506987613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        220.57000000
        0.000054346896
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            219483.14000000
            USD
            2061670.98000000
            SEK
            2022-06-15
            220.57000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -733.47000000
        -0.00018072184
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            437936879.00000000
            KRW
            359524.57000000
            USD
            2022-06-15
            -733.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED HUF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2625.96000000
        0.000647018069
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            146547.84000000
            USD
            50075396.93000000
            HUF
            2022-06-15
            2625.96000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -13199.31000000
        -0.00325221712
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3994005.02000000
            SGD
            2933532.88000000
            USD
            2022-04-06
            -13199.31000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216992  IRS EUR R F   .00000 CCPVANILLA / Short: SR216992  IRS EUR P V 12MLIBOR CCPVANILLA
        000000000
        
          
        
        1270000.00000000
        OU
        Notional Amount
        
        -66582.50000000
        -0.01640545955
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            EUR
            -7622.37000000
            EUR
            1270000.00000000
            EUR
            -57958.98000000
          
        
        
          N
          N
          N
        
      
      
        TOYOTA MOTOR CREDIT CORP
        Z2VZBHUMB7PWWJ63I008
        Toyota Motor Credit Corp
        89236TGX7
        
          
        
        65000.00000000
        PA
        USD
        65096.20000000
        0.016039245695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WN5M7
        
          
        
        44698.63000000
        PA
        USD
        44903.48000000
        0.011063901553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        78563.00000000
        0.019357370470
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2931125.44000000
            USD
            4016687.43000000
            AUD
            2022-06-15
            78563.00000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AZ7
        
          
        
        200000.00000000
        PA
        USD
        186996.00000000
        0.046074498789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MJ3P3
        
          
        
        467466.73000000
        PA
        USD
        481187.61000000
        0.118561241708
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382EW52
        
          
        
        481747.50000000
        PA
        USD
        55534.50000000
        0.013683310087
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006064  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006064  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1525000.00000000
        OU
        Notional Amount
        USD
        16047.88000000
        0.003954084727
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                GENERAL ELECTRIC CO
                GENERAL ELECTRIC CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-06-20
            17541.52000000
            USD
            0.00000000
            USD
            1525000.00000000
            USD
            -1493.64000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust 2021-6
        46653PAC1
        
          
        
        683712.74000000
        PA
        USD
        630538.08000000
        0.155360146761
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-25
          Variable
          2.50000000
          N
          N
          N
        
        
          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
        
          
        
        13380000.00000000
        OU
        Notional Amount
        
        -43045.25000000
        -0.01060604675
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-22
            0.00000000
            CAD
            -14425.54000000
            CAD
            13380000.00000000
            CAD
            -31568.22000000
          
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAC4
        
          
        
        30000.00000000
        PA
        USD
        31035.00000000
        0.007646805653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          3.93700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
        
        250000.00000000
        PA
        USD
        237187.50000000
        0.058441331267
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAH8
        
          
        
        275000.00000000
        PA
        USD
        261995.25000000
        0.064553786332
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2029-11-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAJ9
        
          
        
        575000.00000000
        PA
        USD
        638871.00000000
        0.157413319623
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jeld-Wen Inc
        549300XWE6NM0N1HFW16
        Jeld-Wen Inc
        475795AD2
        
          
        
        440000.00000000
        PA
        USD
        420200.00000000
        0.103534323683
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHWEST AIRLINES CO
        UDTZ87G0STFETI6HGH41
        Southwest Airlines Co
        844741BK3
        
          
        
        50000.00000000
        PA
        USD
        53454.00000000
        0.013170689524
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          5.12500000
          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
        
          
        
        41300000.00000000
        OU
        Notional Amount
        
        1603.62000000
        0.000395120685
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-12
            227.15000000
            MXN
            0.00000000
            MXN
            41300000.00000000
            MXN
            1592.77000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        Credit Suisse First Boston Mortgage Securities Corp
        22540A7A0
        
          
        
        539.18000000
        PA
        USD
        518.83000000
        0.000127836061
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2032-01-25
          Floating
          1.07700000
          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
        
          
        
        610000.00000000
        OU
        Notional Amount
        USD
        31662.48000000
        0.007801412310
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-03-16
            0.00000000
            USD
            -57095.37000000
            USD
            610000.00000000
            USD
            88757.85000000
          
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        130000.00000000
        PA
        
        125413.47000000
        0.030900996661
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2048-03-22
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1581.75000000
        -0.00038973207
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            325520.15000000
            EUR
            359597.23000000
            USD
            2022-06-15
            -1581.75000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2797.37000000
        0.000689252287
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            174856.29000000
            USD
            3540909.35000000
            MXN
            2022-04-12
            2797.37000000
          
        
        
          N
          N
          N
        
      
      
        WW Grainger Inc
        549300TWZSP6O1IH2V34
        WW Grainger Inc
        384802AB0
        
          
        
        45000.00000000
        PA
        USD
        49633.65000000
        0.012229382162
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-06-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133ENSY7
        
          
        
        1650000.00000000
        PA
        USD
        1646601.00000000
        0.405710901739
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2034-03-28
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7LA2
        
          
        
        236.36000000
        PA
        USD
        252.81000000
        0.000062290605
        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
        
          
        
        16920000.00000000
        NC
        
        4507.63000000
        0.001110648318
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    16920000.00000000
                    OU
                    Notional Amount
                    N/A
                    4507.63000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  16920000.00000000
                  GBP
                
              
            
            1.00000000
            0.51600000
            GBP
            2022-11-15
            XXXX
            -35224.54000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3132DVLL7
        
          
        
        3003494.72000000
        PA
        USD
        2961882.50000000
        0.729787009676
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBB0
        
          
        
        60000.00000000
        PA
        USD
        58387.80000000
        0.014386343132
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-08-15
          Fixed
          3.55700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHX0
        
          
        
        525000.00000000
        PA
        USD
        497484.75000000
        0.122576742346
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-22
          Fixed
          2.88400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        903724BY7
        
          
        
        430000.00000000
        PA
        USD
        177375.00000000
        0.043703952078
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2033-03-15
          Fixed
          7.25300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAB0
        
          
        
        47511.14000000
        PA
        USD
        49046.99000000
        0.012084833265
        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 USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -2048.82000000
        -0.00050481483
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2388991.42000000
            GBP
            3135352.95000000
            USD
            2022-06-15
            -2048.82000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
        
        300000.00000000
        PA
        USD
        296868.00000000
        0.073146186585
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH TELECOMMUNICATIO
        549300OWFMSO9NYV4H90
        British Telecommunications PLC
        111021AE1
        
          
        
        45000.00000000
        PA
        USD
        61488.00000000
        0.015150210601
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-12-15
          Fixed
          9.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297KFM9
        
          
        
        48994.89000000
        PA
        USD
        52719.88000000
        0.012989807521
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        468720.99000000
        0.115489554249
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            13052285.58000000
            EUR
            14923852.81000000
            USD
            2022-05-05
            468720.99000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        87.00000000
        0.000021436187
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            176888.67000000
            AUD
            132629.00000000
            USD
            2022-06-15
            87.00000000
          
        
        
          N
          N
          N
        
      
      
        BRIGHTHOUSE FINANCIAL IN
        5493003T8SZSHOGGAW52
        Brighthouse Financial Inc
        10922NAF0
        
          
        
        65000.00000000
        PA
        USD
        63186.50000000
        0.015568709051
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-22
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIEUUS2022040110830
        000000000
        
          
        
        -3949000.00000000
        OU
        Notional Amount
        
        -4.37000000
        -0.00000107673
        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
                    -4.37000000
                    0.00000000
                    DFE
                    
                    US
                  
                  -3949000.00000000
                  EUR
                  -4276767.00000000
                  USD
                  2022-04-01
                
              
            
            1.00000000
            1.08300000
            EUR
            2022-04-01
            XXXX
            10253.44000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMKE0
        
          
        
        10004.79000000
        PA
        USD
        10050.64000000
        0.002476406984
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDC3
        
          
        
        400000.00000000
        PA
        USD
        411876.00000000
        0.101483348646
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Reynolds American Inc
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713AY2
        
          
        
        700000.00000000
        PA
        USD
        717983.00000000
        0.176905959830
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-09-15
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QWF4
        
          
        
        50973.68000000
        PA
        USD
        52929.07000000
        0.013041350465
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Skandinaviska Enskilda Banken AB
        F3JS33DEI6XQ4ZBPTN86
        Skandinaviska Enskilda Banken AB
        83050UH27
        
          
        
        600000.00000000
        PA
        USD
        597730.80000000
        0.147276663785
        Long
        STIV
        CORP
        SE
        N
        
        2
        
          2022-08-02
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CF5
        
          
        
        950000.00000000
        PA
        USD
        961618.50000000
        0.236936032933
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-12
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB Group PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        00135TAA2
        
          
        
        1300000.00000000
        PA
        USD
        1327365.00000000
        0.327053397323
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-10-12
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        SWAPTION USD OPS04800A
        000000000
        
          
        
        -3700000.00000000
        NC
        USD
        -141864.66000000
        -0.03495445413
        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
                    
                      
                    
                    3700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -141864.66000000
                    -0.03000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3700000.00000000
                  USD
                
              
            
            1.00000000
            1.69000000
            USD
            2022-04-04
            XXXX
            -97409.16000000
          
        
        
          N
          N
          N
        
      
      
        QUALCOMM Inc
        H1J8DDZKZP6H7RWC0H53
        QUALCOMM Inc
        747525AF0
        
          
        
        35000.00000000
        PA
        USD
        35534.10000000
        0.008755352239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-20
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -34571.75000000
        -0.00851823597
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2990735.21000000
            NZD
            2035425.60000000
            USD
            2022-06-15
            -34571.75000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
        
        550000.00000000
        PA
        USD
        548317.00000000
        0.135101451115
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04832A SWAPTION SOFRRATE
        000000000
        
          
        
        -3700000.00000000
        NC
        USD
        -15767.18000000
        -0.00388492222
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15767.18000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3700000.00000000
                  USD
                
              
            
            1.00000000
            2.01000000
            USD
            2022-04-19
            XXXX
            20400.32000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KA8
        
          
        
        1125000.00000000
        PA
        USD
        1159807.50000000
        0.285768408174
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-29
          Fixed
          4.45000000
          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
        
          
        
        15031956.00000000
        OU
        Notional Amount
        
        74460.55000000
        0.018346555652
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            332028.32000000
            PLN
            0.00000000
            PLN
            15031956.00000000
            PLN
            -3446.46000000
          
        
        
          N
          N
          N
        
      
      
        NEWCREST FINANCE PTY LTD
        549300I0XDZ4K7PDSS04
        Newcrest Finance Pty Ltd
        65120FAD6
        
          
        
        150000.00000000
        PA
        USD
        143643.00000000
        0.035392624599
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-05-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cathedral Lake LTD
        N/A
        Cathedral Lake VII Ltd
        14919HAG8
        
          
        
        1000000.00000000
        PA
        USD
        962942.00000000
        0.237262134021
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          2.81100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1250.18000000
        -0.00030803555
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            440241.91000000
            EUR
            485846.57000000
            USD
            2022-04-06
            -1250.18000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        208.86000000
        0.000051461634
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            20066.58000000
            USD
            64674.59000000
            ILS
            2022-04-26
            208.86000000
          
        
        
          N
          N
          N
        
      
      
        NETAPP INC
        QTX3D84DZDD5JYOCYH15
        NetApp Inc
        64110DAJ3
        
          
        
        35000.00000000
        PA
        USD
        33331.55000000
        0.008212659415
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-22
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS Corp
        N/A
        DISH DBS Corp
        25470XAY1
        
          
        
        465000.00000000
        PA
        USD
        461512.50000000
        0.113713433028
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICRON TECHNOLOGY INC
        B3DXGBC8GAIYWI2Z0172
        Micron Technology Inc
        595112BS1
        
          
        
        350000.00000000
        PA
        USD
        317625.00000000
        0.078260565349
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-15
          Fixed
          2.70300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GFL ENVIRONMENTAL INC
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        36168QAK0
        
          
        
        150000.00000000
        PA
        USD
        146625.00000000
        0.036127368419
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-08-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AG3
        
          
        
        525000.00000000
        PA
        USD
        537762.75000000
        0.132500958170
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -702.35000000
        -0.00017305409
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            286192.11000000
            GBP
            375192.13000000
            USD
            2022-04-25
            -702.35000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04781A SWAPTION SOFRRATE
        000000000
        
          
        
        38100000.00000000
        NC
        USD
        42233.85000000
        0.010406123503
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    38100000.00000000
                    OU
                    Notional Amount
                    N/A
                    42233.85000000
                    0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  38100000.00000000
                  USD
                
              
            
            1.00000000
            1.85000000
            USD
            2022-11-22
            XXXX
            -87023.67000000
          
        
        
          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
        
          
        
        2970000.00000000
        OU
        Notional Amount
        
        5130.50000000
        0.001264119104
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            BRL
            -48898.22000000
            BRL
            2970000.00000000
            BRL
            28548.64000000
          
        
        
          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
        
          
        
        5330000.00000000
        OU
        Notional Amount
        USD
        18410.35000000
        0.004536180713
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-14
            10544.60000000
            USD
            0.00000000
            USD
            5330000.00000000
            USD
            7865.75000000
          
        
        
          N
          N
          N
        
      
      
        CIM Trust
        N/A
        CIM Trust 2019-INV3
        12557LAQ8
        
          
        
        79414.64000000
        PA
        USD
        78436.65000000
        0.019326238718
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217648  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217648  IRS USD P F  2.00000 2 CCPOIS
        000000000
        
          
        
        8140000.00000000
        OU
        Notional Amount
        USD
        38708.96000000
        0.009537615407
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-24
            22036.08000000
            USD
            0.00000000
            USD
            8140000.00000000
            USD
            16672.88000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023BS3
        
          
        
        25000.00000000
        PA
        USD
        20681.25000000
        0.005095714497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-06-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBH7
        
          
        
        300000.00000000
        PA
        USD
        278367.00000000
        0.068587670349
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRCASTLE LTD
        549300PNK8AKY3OIKP58
        Aircastle Ltd
        00928QAS0
        
          
        
        65000.00000000
        PA
        USD
        64099.10000000
        0.015793567270
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380Y2Z7
        
          
        
        442184.52000000
        PA
        USD
        60732.19000000
        0.014963984334
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJF7
        
          
        
        600000.00000000
        PA
        USD
        523992.00000000
        0.129107942254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-07-23
          Fixed
          1.89800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALGREENS BOOTS ALLIANCE
        549300RPTUOIXG4LIH86
        Walgreens Boots Alliance Inc
        931427AT5
        
          
        
        60000.00000000
        PA
        USD
        58068.00000000
        0.014307546662
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FVA93
        
          
        
        1171326.74000000
        PA
        USD
        216198.45000000
        0.053269777015
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MONEY UK PLC
        213800ZK9VGCYYR6O495
        Virgin Money UK PLC
        000000000
        
          
        
        325000.00000000
        PA
        
        451011.05000000
        0.111125949631
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-08
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300EQOYJZL2D96G46
        SLM Student Loan Trust 2008-4
        78445AAD8
        
          
        
        216041.68000000
        PA
        USD
        216617.37000000
        0.053372995956
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-07-25
          Floating
          1.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005871  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005871  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        480000.00000000
        OU
        Notional Amount
        USD
        7234.85000000
        0.001782616139
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -1267.52000000
            USD
            480000.00000000
            USD
            8502.37000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JH1
        
          
        
        125000.00000000
        PA
        USD
        102493.75000000
        0.025253738905
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DCP MIDSTREAM OPERATING
        549300Y6CTBSE0QIPL28
        DCP Midstream Operating LP
        23311VAK3
        
          
        
        455000.00000000
        PA
        USD
        410637.50000000
        0.101178190959
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QBK5
        
          
        
        60000.00000000
        PA
        USD
        60749.40000000
        0.014968224757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-06
          Fixed
          3.54300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BD2
        
          
        
        826000.00000000
        PA
        USD
        834193.92000000
        0.205539512916
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-12
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -148.09000000
        -0.00003648833
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            45831.83000000
            USD
            65945.08000000
            NZD
            2022-04-28
            -148.09000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        4280000.00000000
        PA
        USD
        149800.00000000
        0.036909666082
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2022-10-28
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        413.94000000
        0.000101991903
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            328834.89000000
            EUR
            3427653.22000000
            SEK
            2022-06-15
            413.94000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        84716.80000000
        0.020873623494
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            176967266.00000000
            JPY
            1538980.42000000
            USD
            2022-04-22
            84716.80000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1967.70000000
        0.000484827436
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356367.42000000
            USD
            10260887.22000000
            TWD
            2022-04-15
            1967.70000000
          
        
        
          N
          N
          N
        
      
      
        JBS USA/FOOD/FINANCE
        N/A
        JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
        46590XAC0
        
          
        
        40000.00000000
        PA
        USD
        37100.00000000
        0.009141178982
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2031-12-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BQ8
        
          
        
        1025000.00000000
        PA
        USD
        1034327.50000000
        0.254851018989
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4838.94000000
        0.001192280771
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            345751.06000000
            EUR
            518439.88000000
            AUD
            2022-06-15
            4838.94000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300SRMXHPGI3BJ386
        SLM Student Loan Trust 2008-5
        78444YAD7
        
          
        
        607740.64000000
        PA
        USD
        608119.57000000
        0.149836383622
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-07-25
          Floating
          1.95800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBA3
        
          
        
        475000.00000000
        PA
        USD
        485378.75000000
        0.119593909117
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-29
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        90015WAK9
        
          
        
        200000.00000000
        PA
        USD
        190000.00000000
        0.046814663255
        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
        
          
        
        15430000.00000000
        NC
        
        2740.46000000
        0.000675230063
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    15430000.00000000
                    OU
                    Notional Amount
                    N/A
                    2740.46000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  15430000.00000000
                  GBP
                
              
            
            1.00000000
            0.45900000
            GBP
            2022-10-10
            XXXX
            -30989.68000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        845.09000000
        0.000208224230
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            317551.54000000
            EUR
            352193.56000000
            USD
            2022-04-06
            845.09000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FY67
        
          
        
        5146.99000000
        PA
        USD
        5322.53000000
        0.001311433945
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAF1
        
          
        
        252902.82000000
        PA
        USD
        253123.58000000
        0.062367869261
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-25
          Floating
          3.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLATION EN GEN LLC
        S2PEWKCZFFECR4533P43
        Constellation Energy Generation LLC
        30161MAS2
        
          
        
        35000.00000000
        PA
        USD
        34921.60000000
        0.008604436549
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNK6
        
          
        
        314181.74000000
        PA
        USD
        42603.55000000
        0.010497214982
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUINOR ASA
        OW6OFBNCKXC4US5C7523
        Equinor ASA
        29446MAD4
        
          
        
        65000.00000000
        PA
        USD
        65052.65000000
        0.016028515282
        Long
        DBT
        CORP
        NO
        N
        
        2
        
          2025-04-06
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR215745  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215745  IRS BRL P F  5.80000 CCPNDFPREDISWAP
        000000000
        
          
        
        9300000.00000000
        OU
        Notional Amount
        
        93406.46000000
        0.023014694582
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-01-02
            22828.12000000
            BRL
            0.00000000
            BRL
            9300000.00000000
            BRL
            89428.77000000
          
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDB2
        
          
        
        675000.00000000
        PA
        USD
        673380.00000000
        0.165916094435
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Variable
          3.07100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES CORP
        5493003QENHHS261UR94
        Targa Resources Corp
        87612GAA9
        
          
        
        235000.00000000
        PA
        USD
        237133.80000000
        0.058428099965
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140XCUR7
        
          
        
        2893998.48000000
        PA
        USD
        2770198.43000000
        0.682557403421
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JP Morgan Mortgage Trust
        N/A
        J.P. Morgan Mortgage Trust 2021-LTV2
        46654VAA1
        
          
        
        953096.98000000
        PA
        USD
        879105.01000000
        0.216605289520
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-05-25
          Variable
          2.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Johnson & Johnson
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160BU7
        
          
        
        55000.00000000
        PA
        USD
        56943.70000000
        0.014030527052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-03-01
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAA6
        
          
        
        50000.00000000
        PA
        USD
        50213.00000000
        0.012372129926
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-06-18
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GN7
        
          
        
        725000.00000000
        PA
        USD
        736991.50000000
        0.181589520496
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -12851.31000000
        -0.00316647236
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            13939893.31000000
            NOK
            1570036.59000000
            USD
            2022-04-25
            -12851.31000000
          
        
        
          N
          N
          N
        
      
      
        The Federal Republic of Nigeria
        549300GSBZD84TNEQ285
        Nigeria Government International Bond
        000000000
        
          
        
        290000.00000000
        PA
        USD
        271150.00000000
        0.066809452324
        Long
        DBT
        NUSS
        NG
        N
        
        2
        
          2030-02-23
          Fixed
          7.14300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132GEV56
        
          
        
        1397.38000000
        PA
        USD
        1518.78000000
        0.000374216706
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPALACHIAN POWER CO
        3SCHO1ABYYIG382BEI70
        Appalachian Power Co
        037735CY1
        
          
        
        30000.00000000
        PA
        USD
        28055.70000000
        0.006912727094
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452151LF8
        
          
        
        530000.00000000
        PA
        USD
        563605.92000000
        0.138868533438
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        434.78000000
        0.000107126733
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            89315.05000000
            USD
            81039.76000000
            EUR
            2022-05-05
            434.78000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        1032.27000000
        0.000254344065
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1631233.47000000
            BRL
            343229.77000000
            USD
            2022-04-04
            1032.27000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416A6T2
        
          
        
        5901.56000000
        PA
        USD
        6271.80000000
        0.001545327394
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FP67
        
          
        
        3287.72000000
        PA
        USD
        3397.38000000
        0.000837090529
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBJ3
        
          
        
        300000.00000000
        PA
        USD
        301983.00000000
        0.074406486598
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962GXZ2
        
          
        
        25000.00000000
        PA
        USD
        31497.00000000
        0.007760639202
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582BD3
        
          
        
        60000.00000000
        PA
        USD
        60602.40000000
        0.014932004991
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-05-11
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2021-BNK32
        06542BBH9
        
          
        
        1000000.00000000
        PA
        USD
        946663.15000000
        0.233251139911
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2054-04-15
          Fixed
          2.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAJ9
        
          
        
        230000.00000000
        PA
        USD
        201250.00000000
        0.049586584105
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2051-02-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        16244.57000000
        0.004002547759
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            363761.90000000
            USD
            7663030.01000000
            MXN
            2022-06-15
            16244.57000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -1080.67000000
        -0.00026626948
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            27652832.30000000
            INR
            359524.57000000
            USD
            2022-06-15
            -1080.67000000
          
        
        
          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
        
          
        
        29140000.00000000
        OU
        Notional Amount
        
        -205145.70000000
        -0.05054645717
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            92986.82000000
            NZD
            0.00000000
            NZD
            29140000.00000000
            NZD
            -267081.08000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        724534.78000000
        PA
        USD
        754896.70000000
        0.186001235804
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312933AN4
        
          
        
        2603.74000000
        PA
        USD
        2809.95000000
        0.000692351910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29278NAN3
        
          
        
        725000.00000000
        PA
        USD
        776888.25000000
        0.191419799002
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F022642
        
          
        
        7000000.00000000
        PA
        USD
        6679531.60000000
        1.645789592397
        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
        
          
        
        44066603.00000000
        OU
        Notional Amount
        
        11409.82000000
        0.002811299374
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            208665.93000000
            ZAR
            0.00000000
            ZAR
            44066603.00000000
            ZAR
            -2534.47000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX002999  CDS USD R F  3.00000 2 CMBX / Short: CX002999  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        700000.00000000
        OU
        Notional Amount
        USD
        -91437.50000000
        -0.02252955669
        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
            -185726.90000000
            USD
            700000.00000000
            USD
            94289.40000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGM5
        
          
        
        30000.00000000
        PA
        USD
        31332.30000000
        0.007720058281
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-24
          Fixed
          4.24400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        8762.01000000
        0.002158897618
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            564523.51000000
            CHF
            620198.75000000
            USD
            2022-04-25
            8762.01000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002829  CDS USD R F  1.00000 2I65BYDN2 / Short: SX002829  CDS USD P V 03MEVENT 2I65BYDN2
        000000000
        
          
        
        11100000.00000000
        OU
        Notional Amount
        USD
        19340.64000000
        0.004765397624
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S28
                2I65BYDN2
              
            
            Y
            
            sell protection
            2022-06-20
            16821.53000000
            USD
            0.00000000
            USD
            11100000.00000000
            USD
            2519.11000000
          
        
        
          N
          N
          N
        
      
      
        CAESARS ENTERTAIN INC
        549300FA4CTCW903Y781
        Caesars Entertainment Inc
        28470RAH5
        
          
        
        498000.00000000
        PA
        USD
        514185.00000000
        0.126691566451
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03820A SWAPTION US0003M
        000000000
        
          
        
        9580000.00000000
        NC
        USD
        671.56000000
        0.000165467659
        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
                    
                      
                    
                    9580000.00000000
                    OU
                    Notional Amount
                    N/A
                    671.56000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9580000.00000000
                  USD
                
              
            
            1.00000000
            1.05250000
            USD
            2022-06-21
            XXXX
            -84806.15000000
          
        
        
          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
        
          
        
        9590000.00000000
        OU
        Notional Amount
        
        -946605.58000000
        -0.23323695506
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            EUR
            -512889.81000000
            EUR
            9590000.00000000
            EUR
            -188249.95000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        2141.30000000
        0.000527601254
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            453970250.00000000
            KRW
            375719.21000000
            USD
            2022-04-11
            2141.30000000
          
        
        
          N
          N
          N
        
      
      
        GMAC Mortgage Corporation Loan Trust
        N/A
        GMACM Home Equity Loan Trust 2007-HE3
        36186MAC5
        
          
        
        10798.71000000
        PA
        USD
        10806.19000000
        0.002662569189
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          6.03400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GAW2
        
          
        
        15000.00000000
        PA
        USD
        16132.80000000
        0.003975008417
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.11400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEB4
        
          
        
        1268319.78000000
        PA
        USD
        1322063.69000000
        0.325747191837
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36202SBG2
        
          
        
        10687.09000000
        PA
        USD
        11448.79000000
        0.002820901308
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        1461087.23000000
        PA
        USD
        1520326.57000000
        0.374597770590
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        25152R2Y8
        
          
        
        65000.00000000
        PA
        USD
        65864.50000000
        0.016228549410
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-01-13
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        1344820.33000000
        PA
        USD
        1400860.34000000
        0.345162132023
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XBK9
        
          
        
        750000.00000000
        PA
        USD
        638437.50000000
        0.157306508273
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RXE4
        
          
        
        278699.61000000
        PA
        USD
        288955.25000000
        0.071196540655
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citrix Systems Inc
        HCTKJGUQOPZ5NBK7NP58
        Citrix Systems Inc
        177376AE0
        
          
        
        60000.00000000
        PA
        USD
        61543.20000000
        0.015163811492
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT JUN22
        000000000
        
          
        
        -183.00000000
        NC
        USD
        463318.66000000
        0.114158458145
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                Ultra 10-Year US Treasury Note Futures
                UXYM2 COMDTY
              
            
            2022-06-21
            -25234084.29000000
            USD
            463318.66000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGF0
        
          
        
        525000.00000000
        PA
        USD
        531221.25000000
        0.130889178593
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-20
          Fixed
          3.82400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        874060AX4
        
          
        
        680000.00000000
        PA
        USD
        612584.80000000
        0.150936584879
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-03-31
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -5261.71000000
        -0.00129644832
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            728289.61000000
            EUR
            800517.73000000
            USD
            2022-04-05
            -5261.71000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -169.20000000
        -0.00004168968
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            834794.00000000
            NOK
            94607.00000000
            USD
            2022-06-15
            -169.20000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KLV9
        
          
        
        150000.00000000
        PA
        USD
        141412.53000000
        0.034843052484
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          7.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAH3
        
          
        
        60000.00000000
        PA
        USD
        61824.00000000
        0.015232998637
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-25
          Fixed
          4.41700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UnitedHealth Group Inc
        549300GHBMY8T5GXDE41
        UnitedHealth Group Inc
        91324PDL3
        
          
        
        25000.00000000
        PA
        USD
        27453.25000000
        0.006764287652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -352.09000000
        -0.00008675249
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            143059.80000000
            USD
            2091984.91000000
            ZAR
            2022-04-25
            -352.09000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHM4
        
          
        
        750000.00000000
        PA
        USD
        774562.50000000
        0.190846750565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-23
          Fixed
          4.27100000
          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
        
          
        
        21800000.00000000
        OU
        Notional Amount
        USD
        320477.44000000
        0.078963386497
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-01-12
            69893.24000000
            USD
            0.00000000
            USD
            21800000.00000000
            USD
            250584.20000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS02949A SWAPTION US0003M
        000000000
        
          
        
        -2000000.00000000
        NC
        USD
        -10002.20000000
        -0.00246447170
        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
                    
                      
                    
                    2000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -10002.20000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2052-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2000000.00000000
                  USD
                
              
            
            1.00000000
            1.06000000
            USD
            2022-11-14
            XXXX
            93882.17000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382ET64
        
          
        
        260994.74000000
        PA
        USD
        39248.31000000
        0.009670507452
        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
        
          
        
        3100000.00000000
        OU
        Notional Amount
        
        113230.69000000
        0.027899245381
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            0.00000000
            NZD
            -33897.79000000
            NZD
            3100000.00000000
            NZD
            139106.20000000
          
        
        
          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
        
          
        
        11820000.00000000
        OU
        Notional Amount
        
        1282730.50000000
        0.316055770549
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            336466.29000000
            GBP
            0.00000000
            GBP
            11820000.00000000
            GBP
            986171.27000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -5581.86000000
        -0.00137533103
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            345751.06000000
            EUR
            378044.21000000
            USD
            2022-06-15
            -5581.86000000
          
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES PARTNERS
        N/A
        Targa Resources Partners LP / Targa Resources Partners Finance Corp
        87612BBG6
        
          
        
        1220000.00000000
        PA
        USD
        1241350.00000000
        0.305859906482
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup, Inc.
        6SHGI4ZSSLCXXQSBB395
        Long: CX003052  CDS USD R F  3.00000 2 CMBX / Short: CX003052  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1250000.00000000
        OU
        Notional Amount
        USD
        -163281.25000000
        -0.04023135123
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup, Inc.
              6SHGI4ZSSLCXXQSBB395
            
            
              
                CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -189162.61000000
            USD
            1250000.00000000
            USD
            25881.36000000
          
        
        
          N
          N
          N
        
      
      
        GLENCORE FINANCE CANADA
        5493005TTO0UJ33KCK70
        Glencore Finance Canada Ltd
        98417EAT7
        
          
        
        650000.00000000
        PA
        USD
        656428.50000000
        0.161739364097
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-10-25
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFE9
        
          
        
        575000.00000000
        PA
        USD
        565058.25000000
        0.139226377332
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-22
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2461.42000000
        0.000606476570
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            684341.05000000
            USD
            4370886.29000000
            CNY
            2022-04-22
            2461.42000000
          
        
        
          N
          N
          N
        
      
      
        Johnson & Johnson
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160CF9
        
          
        
        30000.00000000
        PA
        USD
        31091.40000000
        0.007660702216
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-03-03
          Fixed
          3.62500000
          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
        
          
        
        42520000.00000000
        OU
        Notional Amount
        
        64606.00000000
        0.015918463864
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-06-15
            493247.71000000
            NOK
            0.00000000
            NOK
            42520000.00000000
            NOK
            8295.02000000
          
        
        
          N
          N
          N
        
      
      
        NABORS INDUSTRIES INC
        549300VFQWRKICUFNU92
        Nabors Industries Inc
        62957HAH8
        
          
        
        415000.00000000
        PA
        USD
        430562.50000000
        0.106087570777
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBY6
        
          
        
        256000.00000000
        PA
        USD
        259609.60000000
        0.063965978956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -43.45000000
        -0.00001070577
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            195872.00000000
            USD
            149114.70000000
            GBP
            2022-06-15
            -43.45000000
          
        
        
          N
          N
          N
        
      
      
        MPH ACQUISITION HOLDINGS
        5493002WXOPRPTXWTU06
        MPH Acquisition Holdings LLC
        553283AC6
        
          
        
        542000.00000000
        PA
        USD
        487800.00000000
        0.120190488083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        N/A
        Home Equity Asset Trust
        22541NAD1
        
          
        
        256.60000000
        PA
        USD
        224.61000000
        0.000055342323
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-25
          Floating
          1.05700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DK0
        
          
        
        375000.00000000
        PA
        USD
        390176.25000000
        0.096136682915
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAQ7
        
          
        
        450000.00000000
        PA
        USD
        456210.00000000
        0.112406934334
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -3249.86000000
        -0.00080074263
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4682483.64000000
            CNY
            730344.56000000
            USD
            2022-06-15
            -3249.86000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03819A SWAPTION US0003M
        000000000
        
          
        
        -5050000.00000000
        NC
        USD
        -2283.11000000
        -0.00056254224
        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
                    
                      
                    
                    5050000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2283.11000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-06-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5050000.00000000
                  USD
                
              
            
            1.00000000
            1.37800000
            USD
            2022-06-21
            XXXX
            83234.74000000
          
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BE3
        
          
        
        800000.00000000
        PA
        USD
        836768.00000000
        0.206173748118
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BB2
        
          
        
        575000.00000000
        PA
        USD
        577875.00000000
        0.142384334360
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9707.84000000
        0.002391943476
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            374732.08000000
            USD
            513068.05000000
            AUD
            2022-06-15
            9707.84000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        179046.99000000
        0.044115918650
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            43048512.95000000
            SEK
            4758128.19000000
            USD
            2022-04-08
            179046.99000000