Form NPORT-P GOLDMAN SACHS TRUST For: Mar 31

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May 25, 2022 12:38 PM EDT
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      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs 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
          
        
        
          N
          N
          N
        
      
      
        Starbucks Corp
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244AQ2
        
          
        
        850000.00000000
        PA
        USD
        871649.50000000
        0.214768304310
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128P7FQ1
        
          
        
        63526.17000000
        PA
        USD
        67485.61000000
        0.016627979509
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -1078.45000000
        -0.00026572249
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            264610.26000000
            NZD
            182068.00000000
            USD
            2022-06-15
            -1078.45000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1675.63000000
        0.000412863443
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            157662.87000000
            USD
            508257.79000000
            ILS
            2022-04-26
            1675.63000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGA1
        
          
        
        1300000.00000000
        PA
        USD
        1296412.00000000
        0.319426795893
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-21
          Fixed
          3.24800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROCTER & GAMBLE CO/THE
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        742718FG9
        
          
        
        45000.00000000
        PA
        USD
        45078.30000000
        0.011106975971
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-25
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBP9
        
          
        
        30000.00000000
        PA
        USD
        30737.40000000
        0.007573479107
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-04-02
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        7000000.00000000
        PA
        USD
        6496984.20000000
        1.600811197349
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAL5
        
          
        
        175000.00000000
        PA
        USD
        173516.00000000
        0.042753121628
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -165456.78000000
        -0.04076738652
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4396971.80000000
            USD
            39781000.00000000
            SEK
            2022-04-08
            -165456.78000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SSM2
        
          
        
        13436.64000000
        PA
        USD
        14566.23000000
        0.003589016591
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032641
        
          
        
        -3000000.00000000
        PA
        USD
        -3005390.70000000
        -0.74050712405
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13265.21000000
        0.003268454416
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1270841.31000000
            USD
            1160585.67000000
            EUR
            2022-04-06
            13265.21000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABL8
        
          
        
        250000.00000000
        PA
        USD
        211217.50000000
        0.052042505979
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOST HOTELS & RESORTS LP
        FXB7X4WXVA8QPMNOGS12
        Host Hotels & Resorts LP
        44107TBA3
        
          
        
        400000.00000000
        PA
        USD
        358176.00000000
        0.088252046452
        Long
        DBT
        
        US
        N
        
        2
        
          2031-12-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Steele Creek CLO Ltd
        N/A
        Steele Creek CLO 2019-1 LTD
        85817BAJ8
        
          
        
        1350000.00000000
        PA
        USD
        1324221.75000000
        0.326278922638
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-04-15
          Floating
          4.34100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBG5
        
          
        
        65000.00000000
        PA
        USD
        58046.30000000
        0.014302199935
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005905  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005905  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        USD
        1931.11000000
        0.000475811917
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            1148.80000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            782.31000000
          
        
        
          N
          N
          N
        
      
      
        EAST OHIO GAS CO/THE
        BC95Y6MXLT75BGO7UM71
        East Ohio Gas Co/The
        27409LAA1
        
          
        
        185000.00000000
        PA
        USD
        174327.35000000
        0.042953032559
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291NPZ8
        
          
        
        17911.21000000
        PA
        USD
        19409.93000000
        0.004782470193
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2021-NQM8
        12659FAA3
        
          
        
        159433.02000000
        PA
        USD
        152461.03000000
        0.037565325152
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2066-10-25
          Variable
          1.84100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAU0
        
          
        
        175000.00000000
        PA
        USD
        177019.50000000
        0.043616359379
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.79700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BMW US Capital LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EBJ3
        
          
        
        30000.00000000
        PA
        USD
        30471.00000000
        0.007507840021
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-04-18
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTJPMUSSG2022040413620
        000000000
        
          
        
        -6219944.14000000
        OU
        Notional Amount
        USD
        -1026.29000000
        -0.00025287063
        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
                    -1026.29000000
                    0.00000000
                    DFE
                    
                    SG
                  
                  -6219944.14000000
                  USD
                  -8471563.92000000
                  SGD
                  2022-04-04
                
              
            
            1.00000000
            1.36200000
            USD
            2022-04-04
            XXXX
            13068.10000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217600  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217600  IRS USD P F  1.75000 2 CCPOIS
        000000000
        
          
        
        15480000.00000000
        OU
        Notional Amount
        USD
        185660.93000000
        0.045745546934
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            47598.95000000
            USD
            0.00000000
            USD
            15480000.00000000
            USD
            138061.98000000
          
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAA0
        
          
        
        375000.00000000
        PA
        USD
        368006.25000000
        0.090674150892
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TNR2
        
          
        
        1457140.91000000
        PA
        USD
        1477058.37000000
        0.363936790524
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31297KC91
        
          
        
        26178.27000000
        PA
        USD
        28168.55000000
        0.006940532540
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ohio Edison Co
        N/A
        Ohio Edison Co
        677347CE4
        
          
        
        25000.00000000
        PA
        USD
        32480.00000000
        0.008002843486
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1482.09000000
        0.000365176548
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            692716.52000000
            USD
            4418838.68000000
            CNY
            2022-04-25
            1482.09000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJZ6
        
          
        
        450000.00000000
        PA
        USD
        414373.50000000
        0.102098715075
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03896A SWAPTION SONIO SEP22 0.401 CALL
        000000000
        
          
        
        -1870000.00000000
        NC
        
        -2446.45000000
        -0.00060278806
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1870000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2446.45000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1870000.00000000
                  GBP
                
              
            
            1.00000000
            0.40100000
            GBP
            2022-09-08
            XXXX
            32823.01000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -44.36000000
        -0.00001092999
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            14880.82000000
            SGD
            10934.54000000
            USD
            2022-04-06
            -44.36000000
          
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CK6
        
          
        
        675000.00000000
        PA
        USD
        672205.50000000
        0.165626705898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLY FINANCIAL INC
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        02005NBL3
        
          
        
        275000.00000000
        PA
        USD
        268540.25000000
        0.066166428285
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAK2
        
          
        
        25000.00000000
        PA
        USD
        36609.25000000
        0.009020261635
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-07-15
          Fixed
          8.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MUL4
        
          
        
        68424.79000000
        PA
        USD
        72067.75000000
        0.017756986567
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217040  IRS JPY R V 12MLIBOR CCPVANILLA / Short: BR217040  IRS JPY P F   .00000 CCPVANILLA
        000000000
        
          
        
        140490000.00000000
        OU
        Notional Amount
        
        5873.72000000
        0.001447243283
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            483638.00000000
            JPY
            0.00000000
            JPY
            140490000.00000000
            JPY
            20305.09000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F032641
        
          
        
        12000000.00000000
        PA
        USD
        12021562.80000000
        2.962028496218
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKK4
        
          
        
        800000.00000000
        PA
        USD
        750352.00000000
        0.184881453698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-02-04
          Fixed
          2.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1615.82000000
        0.000398126679
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            143059.80000000
            USD
            2120832.92000000
            ZAR
            2022-04-25
            1615.82000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        495.91000000
        0.000122188735
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            219636.00000000
            USD
            202739.40000000
            CHF
            2022-06-15
            495.91000000
          
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Alternative Loan Trust
        N/A
        JP Morgan Alternative Loan Trust 2006-A7
        466286AA9
        
          
        
        146732.16000000
        PA
        USD
        138387.66000000
        0.034097745797
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.77700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INVITATION HOMES OP
        549300147YMUQB3GW319
        Invitation Homes Operating Partnership LP
        46188BAB8
        
          
        
        300000.00000000
        PA
        USD
        272673.00000000
        0.067184708809
        Long
        DBT
        
        US
        N
        
        2
        
          2028-11-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        400000.00000000
        PA
        USD
        395000.00000000
        0.097325220977
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-10-31
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR217104  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217104  IRS USD P F  1.50000 2 CCPOIS
        000000000
        
          
        
        20030000.00000000
        OU
        Notional Amount
        USD
        1108342.02000000
        0.273087675988
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            549817.99000000
            USD
            0.00000000
            USD
            20030000.00000000
            USD
            558524.03000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -59.32000000
        -0.00001461603
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            143059.80000000
            USD
            2096276.71000000
            ZAR
            2022-04-25
            -59.32000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAG4
        
          
        
        200000.00000000
        PA
        USD
        175836.00000000
        0.043324753305
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-12-03
          Fixed
          2.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN NATL RAILWAY
        3SU7BEP7TH9YEQOZCS77
        Canadian National Railway Co
        136375CZ3
        
          
        
        40000.00000000
        PA
        USD
        32614.00000000
        0.008035860144
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2050-05-01
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
        
        425000.00000000
        PA
        USD
        422998.25000000
        0.104223792795
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        B&G FOODS INC
        549300TRW1LZMDJZAQ78
        B&G Foods Inc
        05508WAB1
        
          
        
        435000.00000000
        PA
        USD
        415425.00000000
        0.102357797277
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -9347.88000000
        -0.00230325186
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            43692488.10000000
            TWD
            1516500.00000000
            USD
            2022-04-15
            -9347.88000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        1593139.46000000
        PA
        USD
        1707090.35000000
        0.420615052006
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -27.46000000
        -0.00000676595
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            326609.63000000
            EUR
            453092.48000000
            CAD
            2022-06-15
            -27.46000000
          
        
        
          N
          N
          N
        
      
      
        ENBRIDGE INC
        98TPTUM4IVMFCZBCUR27
        Enbridge Inc
        29250NBF1
        
          
        
        775000.00000000
        PA
        USD
        688703.75000000
        0.169691758624
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2033-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA CO/THE
        UWJKFUJFZ02DKWI3RY53
        Coca-Cola Co/The
        191216CV0
        
          
        
        20000.00000000
        PA
        USD
        17935.80000000
        0.004419254932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200NXX4
        
          
        
        110763.41000000
        PA
        USD
        120825.42000000
        0.029770533420
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Ltd.
        K9WDOH4D2PYBSLSOB484
        PTBAREUSE2022042710330
        000000000
        
          
        
        -428000.00000000
        OU
        Notional Amount
        
        -2280.26000000
        -0.00056184002
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Barclays Capital Securities Ltd.
              K9WDOH4D2PYBSLSOB484
            
            Put
            Written
            
              
                
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                  
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -2280.26000000
                    0.00000000
                    DFE
                    
                    SE
                  
                  -428000.00000000
                  EUR
                  -4421240.00000000
                  SEK
                  2022-04-27
                
              
            
            1.00000000
            10.33000000
            EUR
            2022-04-27
            XXXX
            1318.26000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CG2
        
          
        
        165000.00000000
        PA
        USD
        164311.95000000
        0.040485308463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13645RBF0
        
          
        
        325000.00000000
        PA
        USD
        301408.25000000
        0.074264872242
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2031-12-02
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1344.81000000
        0.000331351722
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356374.45000000
            USD
            484833.90000000
            SGD
            2022-06-15
            1344.81000000
          
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAG8
        
          
        
        1150000.00000000
        PA
        USD
        1106576.00000000
        0.272652541084
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04847A SWAPTION EUR006M
        000000000
        
          
        
        -2770000.00000000
        NC
        
        -11922.32000000
        -0.00293757576
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2770000.00000000
                    OU
                    Notional Amount
                    N/A
                    -11922.32000000
                    0.00000000
                    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
            14481.82000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468U6
        
          
        
        750000.00000000
        PA
        USD
        646762.50000000
        0.159357729702
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-13
          Fixed
          1.79400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        962768.83000000
        PA
        USD
        1003383.62000000
        0.247226664662
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        404903.06000000
        PA
        USD
        420497.29000000
        0.103607573847
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NBCUniversal Media LLC
        VTBDOQJ6KOGQ6K786R46
        NBCUniversal Media LLC
        63946BAJ9
        
          
        
        458000.00000000
        PA
        USD
        493586.60000000
        0.121616265611
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        280000.00000000
        PA
        USD
        274400.00000000
        0.067610229458
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-29
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -58222.05000000
        -0.01434550349
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1408477.21000000
            AUD
            996000.43000000
            USD
            2022-04-21
            -58222.05000000
          
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        MET TRANSPRTN AUTH NY REVENUE
        59261AG76
        
          
        
        800000.00000000
        PA
        USD
        915344.96000000
        0.225534558234
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-11-15
          Fixed
          5.17500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1812.70000000
        0.000446636526
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            348666.40000000
            CHF
            342834.78000000
            EUR
            2022-06-15
            1812.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8DN2
        
          
        
        695927.99000000
        PA
        USD
        721936.42000000
        0.177880054704
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397UTT6
        
          
        
        56728.99000000
        PA
        USD
        57268.81000000
        0.014110631869
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-25
          Floating
          0.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        11454.35000000
        0.002822271252
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            43465846.00000000
            JPY
            369230.77000000
            USD
            2022-06-15
            11454.35000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217132  IRS EUR R F   .50000 2 CCPVANILLA / Short: SR217132  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        13640000.00000000
        OU
        Notional Amount
        
        -640425.35000000
        -0.15779630052
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            EUR
            -295846.02000000
            EUR
            13640000.00000000
            EUR
            -241836.19000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F020646
        
          
        
        -1000000.00000000
        PA
        USD
        -928140.60000000
        -0.22868731390
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJX1
        
          
        
        1375000.00000000
        PA
        USD
        1312231.25000000
        0.323324547797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -6525.91000000
        -0.00160793831
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            823679.88000000
            ILS
            252204.09000000
            USD
            2022-06-15
            -6525.91000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFH7
        
          
        
        425000.00000000
        PA
        USD
        435531.50000000
        0.107311897418
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-26
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W3FS7
        
          
        
        26389.14000000
        PA
        USD
        26510.08000000
        0.006531897200
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        11493.21000000
        PA
        USD
        11988.66000000
        0.002953921477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Southern Power Co
        5LADC78JBG2BMZD5XF57
        Southern Power Co
        843646AU4
        
          
        
        60000.00000000
        PA
        USD
        63915.00000000
        0.015748206326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-12-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1622.46000000
        0.000399762729
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            374272.02000000
            USD
            286192.11000000
            GBP
            2022-04-25
            1622.46000000
          
        
        
          N
          N
          N
        
      
      
        ACRISURE LLC / FIN INC
        N/A
        Acrisure LLC / Acrisure Finance Inc
        00489LAF0
        
          
        
        536000.00000000
        PA
        USD
        485750.00000000
        0.119685382506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL FARM CREDIT BANK
        N/A
        Federal Farm Credit Banks Funding Corp
        3133ELXH2
        
          
        
        3120000.00000000
        PA
        USD
        2667943.20000000
        0.657362434166
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2035-04-23
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR216668  IRS CNY R F  2.25000 CCPVANILLA / Short: SR216668  IRS CNY P V 03MCFXS CCPVANILLA
        000000000
        
          
        
        9990000.00000000
        OU
        Notional Amount
        
        241.77000000
        0.000059570427
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-16
            30589.22000000
            CNY
            0.00000000
            CNY
            9990000.00000000
            CNY
            -4565.97000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -3198.86000000
        -0.00078817659
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1031633.48000000
            NOK
            113925.00000000
            USD
            2022-06-15
            -3198.86000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4056.65000000
        -0.00099953001
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            272334.00000000
            USD
            2363001.81000000
            NOK
            2022-06-15
            -4056.65000000
          
        
        
          N
          N
          N
        
      
      
        APPLE INC
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833EK2
        
          
        
        75000.00000000
        PA
        USD
        65259.00000000
        0.016079358470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-08-05
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5091.69000000
        -0.00125455659
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            358519.79000000
            USD
            3316523.17000000
            SEK
            2022-06-15
            -5091.69000000
          
        
        
          N
          N
          N
        
      
      
        TRUST F/1401
        N/A
        Trust Fibra Uno
        898324AA6
        
          
        
        300000.00000000
        PA
        USD
        308493.75000000
        0.076010689592
        Long
        DBT
        
        MX
        N
        
        2
        
          2024-12-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAS9
        
          
        
        225000.00000000
        PA
        USD
        239940.00000000
        0.059119527902
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R01
        20754RAJ5
        
          
        
        389000.00000000
        PA
        USD
        359229.64000000
        0.088511655935
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-25
          Floating
          6.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAP9
        
          
        
        1125000.00000000
        PA
        USD
        1073992.50000000
        0.264624195926
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2017-2
        59980AAQ0
        
          
        
        174671.37000000
        PA
        USD
        173457.46000000
        0.042738697784
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          3.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005852  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005852  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        USD
        -365.45000000
        -0.00009004430
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                BOEING CO
                BOEING CO
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            4819.73000000
            USD
            0.00000000
            USD
            500000.00000000
            USD
            -5185.18000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -27747.59000000
        -0.00683681095
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2471532909.37000000
            COP
            623180.26000000
            USD
            2022-05-16
            -27747.59000000
          
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582CK6
        
          
        
        40000.00000000
        PA
        USD
        35966.80000000
        0.008861966475
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2041-11-26
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382J3Q7
        
          
        
        846644.40000000
        PA
        USD
        109488.90000000
        0.026977294650
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217004  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR217004  IRS GBP P F   .50000 2 CCPOIS
        000000000
        
          
        
        5840000.00000000
        OU
        Notional Amount
        
        500668.31000000
        0.123361149132
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            111911.67000000
            GBP
            0.00000000
            GBP
            5840000.00000000
            GBP
            446468.72000000
          
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AD9
        
          
        
        450000.00000000
        PA
        USD
        448056.00000000
        0.110397846102
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-05-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        179.06000000
        0.000044119124
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356369.10000000
            USD
            5121023967.00000000
            IDR
            2022-05-13
            179.06000000
          
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAJ2
        
          
        
        625000.00000000
        PA
        USD
        628050.00000000
        0.154747101354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.05400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -1755.24000000
        -0.00043247878
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            384401.12000000
            CHF
            415622.70000000
            USD
            2022-06-15
            -1755.24000000
          
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MBE2
        
          
        
        221000.00000000
        PA
        USD
        233448.93000000
        0.057520173922
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RMM1
        
          
        
        694000.00000000
        PA
        USD
        617354.64000000
        0.152111839897
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-12-01
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGC7
        
          
        
        925000.00000000
        PA
        USD
        943860.75000000
        0.232560648267
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-25
          Fixed
          4.18300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CATERPILLAR FINL SERVICE
        EDBQKYOPJUCJKLOJDE72
        Caterpillar Financial Services Corp
        14913R2H9
        
          
        
        35000.00000000
        PA
        USD
        32531.10000000
        0.008015434167
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-13
          Fixed
          0.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AH6P0
        
          
        
        184815.15000000
        PA
        USD
        28979.22000000
        0.007140275924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-25
          Floating
          6.14300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MN5G1
        
          
        
        20822.94000000
        PA
        USD
        20905.36000000
        0.005150933624
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006112  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006112  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        140000.00000000
        OU
        Notional Amount
        USD
        -22.90000000
        -0.00000564239
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                United Mexican States
                United Mexican States
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -1411.45000000
            USD
            140000.00000000
            USD
            1388.55000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GQ0
        
          
        
        450000.00000000
        PA
        USD
        465781.50000000
        0.114765284594
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAH9
        
          
        
        50000.00000000
        PA
        USD
        57301.50000000
        0.014118686455
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        CTUBSAUNZ2022040710880
        000000000
        
          
        
        -1027000.00000000
        OU
        Notional Amount
        
        -643.24000000
        -0.00015848981
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -643.24000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  -1027000.00000000
                  AUD
                  -1117376.00000000
                  NZD
                  2022-04-07
                
              
            
            1.00000000
            1.08800000
            AUD
            2022-04-07
            XXXX
            1180.17000000
          
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AF8
        
          
        
        969000.00000000
        PA
        USD
        964155.00000000
        0.237561008687
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAE9
        
          
        
        800000.00000000
        PA
        USD
        780096.00000000
        0.192210166034
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-05-28
          Fixed
          2.74600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pfizer Inc
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081ET6
        
          
        
        750000.00000000
        PA
        USD
        772192.50000000
        0.190262799239
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638DQ2
        
          
        
        20000.00000000
        PA
        USD
        15691.25000000
        0.003866213604
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2060-12-01
          Fixed
          2.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063A5G5
        
          
        
        210000.00000000
        PA
        USD
        311397.87000000
        0.076726244328
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-04-01
          Fixed
          7.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04507A SWAPTION US0003M
        000000000
        
          
        
        -11400000.00000000
        NC
        USD
        -2272.02000000
        -0.00055980974
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    11400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2272.02000000
                    0.00000000
                    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
            34207.98000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        36454.72000000
        0.008982186530
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            470178.85000000
            USD
            2415089.67000000
            BRL
            2022-04-04
            36454.72000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R01
        20754CAB5
        
          
        
        20172.96000000
        PA
        USD
        20147.77000000
        0.004964268778
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.50700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468G7
        
          
        
        200000.00000000
        PA
        USD
        209414.00000000
        0.051598136267
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-23
          Fixed
          4.43100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WXWH6
        
          
        
        11763.95000000
        PA
        USD
        11817.86000000
        0.002911837559
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04809A SWAPTION EUR006M
        000000000
        
          
        
        -2930000.00000000
        NC
        
        -140186.41000000
        -0.03454094514
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2930000.00000000
                    OU
                    Notional Amount
                    N/A
                    -140186.41000000
                    -0.03000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2930000.00000000
                  EUR
                
              
            
            1.00000000
            0.74300000
            EUR
            2022-04-07
            XXXX
            -104039.36000000
          
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAX9
        
          
        
        325000.00000000
        PA
        USD
        335513.75000000
        0.082668227493
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CE7
        
          
        
        450000.00000000
        PA
        USD
        417852.00000000
        0.102955793002
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A3B75
        
          
        
        212146.12000000
        PA
        USD
        29663.95000000
        0.007308988579
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Floating
          5.49300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2736.76000000
        0.000674318409
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            372956.19000000
            USD
            7576045.57000000
            MXN
            2022-06-15
            2736.76000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382LNX5
        
          
        
        410768.16000000
        PA
        USD
        44046.96000000
        0.010852861051
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XBD1
        
          
        
        740000.00000000
        PA
        USD
        771243.02000000
        0.190028854047
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          6.45700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -6978.18000000
        -0.00171937445
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11759701.57000000
            SEK
            1243904.25000000
            USD
            2022-04-08
            -6978.18000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9CT8
        
          
        
        331465.69000000
        PA
        USD
        343801.52000000
        0.084710275712
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04818A SWAPTION EUR006M
        000000000
        
          
        
        -2830000.00000000
        NC
        
        -6298.31000000
        -0.00155185927
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -6298.31000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2830000.00000000
                  EUR
                
              
            
            1.00000000
            1.05400000
            EUR
            2022-04-19
            XXXX
            25152.16000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3409.41000000
        -0.00084005463
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            723160.16000000
            USD
            648690.49000000
            EUR
            2022-06-15
            -3409.41000000
          
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAN1
        
          
        
        65000.00000000
        PA
        USD
        61751.30000000
        0.015215085868
        Long
        DBT
        
        US
        N
        
        2
        
          2029-11-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAH4
        
          
        
        375000.00000000
        PA
        USD
        349991.25000000
        0.086235381636
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          1.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1585.25000000
        0.000390594446
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            374309.23000000
            USD
            286192.11000000
            GBP
            2022-04-25
            1585.25000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XAZ9
        
          
        
        300000.00000000
        PA
        USD
        304377.00000000
        0.074996351355
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAN0
        
          
        
        624000.00000000
        PA
        USD
        505128.00000000
        0.124459985372
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2061-05-24
          Fixed
          3.77100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAW5
        
          
        
        675000.00000000
        PA
        USD
        622242.00000000
        0.153316051016
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2028-10-29
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAG2
        
          
        
        375000.00000000
        PA
        USD
        353610.00000000
        0.087127016176
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.90700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBK0
        
          
        
        25000.00000000
        PA
        USD
        22922.50000000
        0.005647942728
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2049-09-06
          Fixed
          4.75800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BR216975  IRS BRL R V 01MBRCDI CCPNDFPREDISWAP / Short: BR216975  IRS BRL P F 11.81400 CCPNDFPREDISWAP
        000000000
        
          
        
        1647.00000000
        OU
        Notional Amount
        
        -0.97000000
        -0.00000023900
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-01-02
            7.32000000
            BRL
            0.00000000
            BRL
            1647.00000000
            BRL
            -2.45000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAD6
        
          
        
        310000.00000000
        PA
        USD
        273962.50000000
        0.067502432536
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217101  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217101  IRS USD P F  1.00000 2 CCPOIS
        000000000
        
          
        
        26540000.00000000
        OU
        Notional Amount
        USD
        1544787.24000000
        0.380624707585
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            961382.92000000
            USD
            0.00000000
            USD
            26540000.00000000
            USD
            583404.32000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -663.83000000
        -0.00016356304
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3379163.57000000
            SEK
            359439.60000000
            USD
            2022-06-15
            -663.83000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4418.42000000
        0.001088667602
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            349542.80000000
            CHF
            346040.87000000
            EUR
            2022-06-15
            4418.42000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        26167.15000000
        0.006447401661
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            401994.39000000
            USD
            8634102.19000000
            MXN
            2022-06-15
            26167.15000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123DA5
        
          
        
        200000.00000000
        PA
        USD
        172225.00000000
        0.042435028311
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2031-01-15
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PacifiCorp
        SGY07Y7FNYBNLM6Z1M11
        PacifiCorp
        695114CV8
        
          
        
        30000.00000000
        PA
        USD
        31388.70000000
        0.007733954844
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -4169.98000000
        -0.00102745373
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1491606.36000000
            ILS
            463447.68000000
            USD
            2022-04-26
            -4169.98000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136BAC36
        
          
        
        432023.36000000
        PA
        USD
        73811.62000000
        0.018186663866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Floating
          5.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        7-ELEVEN INC
        549300K23JPL0SS3LB18
        7-Eleven Inc
        817826AD2
        
          
        
        700000.00000000
        PA
        USD
        612738.00000000
        0.150974332281
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-10
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BZG2
        
          
        
        94685.02000000
        PA
        USD
        11035.69000000
        0.002719116374
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312946ZH2
        
          
        
        726.56000000
        PA
        USD
        789.68000000
        0.000194571596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        114661.32000000
        PA
        USD
        119448.33000000
        0.029431228133
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2D4
        
          
        
        75000.00000000
        PA
        USD
        77843.25000000
        0.019180029133
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-24
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SIRIUS XM RADIO INC
        WP5O65E6BMU84LNO4227
        Sirius XM Radio Inc
        82967NBL1
        
          
        
        230000.00000000
        PA
        USD
        216775.00000000
        0.053411834879
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE FINANCIAL SER
        5493001H7AZNDS6BKJ36
        Nationwide Financial Services Inc
        638612AM3
        
          
        
        60000.00000000
        PA
        USD
        59639.40000000
        0.014694728567
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-30
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468J1
        
          
        
        800000.00000000
        PA
        USD
        791520.00000000
        0.195024959261
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-22
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CY4
        
          
        
        60000.00000000
        PA
        USD
        65499.60000000
        0.016138640617
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-25
          Fixed
          4.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUILDERS FIRSTSOURCE INC
        549300W0SKP6L3H7DP63
        Builders FirstSource Inc
        12008RAN7
        
          
        
        430000.00000000
        PA
        USD
        424087.50000000
        0.104492176332
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1454.12000000
        0.000358284937
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            331337.33000000
            EUR
            3463469.11000000
            SEK
            2022-06-15
            1454.12000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1316.16000000
        -0.00032429256
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            472702.96000000
            PLN
            100193.51000000
            EUR
            2022-04-25
            -1316.16000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -33499.55000000
        -0.00825405343
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            998113.74000000
            USD
            871000.00000000
            EUR
            2022-05-05
            -33499.55000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217098  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217098  IRS USD P F   .25000 2 CCPOIS
        000000000
        
          
        
        8830000.00000000
        OU
        Notional Amount
        USD
        339660.08000000
        0.083689854033
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            166079.25000000
            USD
            0.00000000
            USD
            8830000.00000000
            USD
            173580.83000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AM3
        
          
        
        225000.00000000
        PA
        USD
        224860.50000000
        0.055404045194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSZA20220406160450
        000000000
        
          
        
        1508000.00000000
        OU
        Notional Amount
        USD
        1.51000000
        0.000000372053
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    1.51000000
                    0.00000000
                    DFE
                    
                    US
                  
                  24195860.00000000
                  ZAR
                  1508000.00000000
                  USD
                  2022-04-06
                
              
            
            1.00000000
            16.04500000
            USD
            2022-04-06
            XXXX
            -13446.83000000
          
        
        
          N
          N
          N
        
      
      
        HP INC
        WHKXQACZ14C5XRO8LW03
        HP Inc
        40434LAK1
        
          
        
        1220000.00000000
        PA
        USD
        1215839.80000000
        0.299574372679
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217422  IRS ZAR R F  8.00000 2 CCPVANILLA / Short: SR217422  IRS ZAR P V 03MJIBAR 1 CCPVANILLA
        000000000
        
          
        
        7150000.00000000
        OU
        Notional Amount
        
        -1635.80000000
        -0.00040304961
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-06-15
            0.00000000
            ZAR
            -120018.60000000
            ZAR
            7150000.00000000
            ZAR
            6360.76000000
          
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAF6
        
          
        
        425000.00000000
        PA
        USD
        429891.75000000
        0.105922302696
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        N/A
        Morgan Stanley Mortgage Loan Trust 2007-7AX
        61754HAA0
        
          
        
        2583058.82000000
        PA
        USD
        834214.60000000
        0.205544608323
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        116.00000000
        NC
        USD
        43194.80000000
        0.010642894822
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            13240617.70000000
            USD
            43194.80000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -2782.30000000
        -0.00068553914
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1442650.49000000
            GBP
            1891813.95000000
            USD
            2022-06-15
            -2782.30000000
          
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        192662.50000000
        0.047470684523
        Long
        DBT
        NUSS
        CI
        N
        
        2
        
          2033-06-15
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380ABR7
        
          
        
        446495.46000000
        PA
        USD
        51996.14000000
        0.012811483077
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2899.24000000
        -0.00071435233
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            336176.22000000
            EUR
            370103.12000000
            USD
            2022-06-15
            -2899.24000000
          
        
        
          N
          N
          N
        
      
      
        US BANCORP
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973BC9
        
          
        
        650000.00000000
        PA
        USD
        589342.00000000
        0.145209722484
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ECOLAB INC
        82DYEISM090VG8LTLS26
        Ecolab Inc
        278865BE9
        
          
        
        30000.00000000
        PA
        USD
        33207.60000000
        0.008182119007
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-24
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        1014440.97000000
        PA
        USD
        1055254.16000000
        0.260007200783
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBK6
        
          
        
        225000.00000000
        PA
        USD
        209972.25000000
        0.051735685140
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-04-15
          Fixed
          3.41900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        Marsh & McLennan Cos Inc
        571748BG6
        
          
        
        575000.00000000
        PA
        USD
        608183.25000000
        0.149852073926
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -3028.82000000
        -0.00074627993
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1144469.90000000
            ILS
            356466.05000000
            USD
            2022-06-15
            -3028.82000000
          
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BN9
        
          
        
        275000.00000000
        PA
        USD
        249708.25000000
        0.061526355977
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOW CHEMICAL CO/THE
        ZQUIP1CSZO8LXRBSOU78
        Dow Chemical Co/The
        260543DD2
        
          
        
        30000.00000000
        PA
        USD
        27924.90000000
        0.006880498894
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTEC INC
        549300TMDIT8WREDOF45
        MasTec Inc
        576323AP4
        
          
        
        610000.00000000
        PA
        USD
        603900.00000000
        0.148796711261
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SASOL Financing USA LLC
        549300XRB1PFMESFEL85
        Sasol Financing USA LLC
        80386WAA3
        
          
        
        310000.00000000
        PA
        USD
        313875.00000000
        0.077336591732
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-27
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        59022CAJ2
        
          
        
        100000.00000000
        PA
        USD
        119465.00000000
        0.029435335504
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-01-29
          Fixed
          6.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217052  IRS CHF R V 12MSARON CCPVANILLA / Short: BR217052  IRS CHF P F   .00000 CCPVANILLA
        000000000
        
          
        
        810000.00000000
        OU
        Notional Amount
        
        33168.31000000
        0.008172438228
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            32606.38000000
            CHF
            0.00000000
            CHF
            810000.00000000
            CHF
            -1861.86000000
          
        
        
          N
          N
          N
        
      
      
        GALAXY PIPELINE ASSETS
        549300L82YB0C6JQIC26
        Galaxy Pipeline Assets Bidco Ltd
        36321PAB6
        
          
        
        200000.00000000
        PA
        USD
        179412.50000000
        0.044205977743
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2036-03-31
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAXTER INTERNATIONAL INC
        J5OIVXX3P24RJRW5CK77
        Baxter International Inc
        071813CQ0
        
          
        
        525000.00000000
        PA
        USD
        480070.50000000
        0.118285993664
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-01
          Fixed
          2.53900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC/DELAWA
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        28368EAE6
        
          
        
        500.00000000
        PA
        USD
        645.02000000
        0.000158928389
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAD7
        
          
        
        450000.00000000
        PA
        USD
        451359.00000000
        0.111211682063
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-01-23
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS03961A SWAPTION SONIO
        000000000
        
          
        
        16880000.00000000
        NC
        
        2816.15000000
        0.000693879546
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    16880000.00000000
                    OU
                    Notional Amount
                    N/A
                    2816.15000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2023-10-10
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  16880000.00000000
                  GBP
                
              
            
            1.00000000
            0.42000000
            GBP
            2022-10-10
            XXXX
            -33725.32000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGK2
        
          
        
        44469.77000000
        PA
        USD
        45922.88000000
        0.011315074541
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KK0
        
          
        
        263651.76000000
        PA
        USD
        272475.13000000
        0.067135955033
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIEUUS2022040410900
        000000000
        
          
        
        3885000.00000000
        OU
        Notional Amount
        
        696.24000000
        0.000171548637
        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
                    696.24000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  4234650.00000000
                  USD
                  3885000.00000000
                  EUR
                  2022-04-04
                
              
            
            1.00000000
            1.09000000
            EUR
            2022-04-04
            XXXX
            -11926.72000000
          
        
        
          N
          N
          N
        
      
      
        HUNTSMAN INTERNATIONAL L
        3YTEJFW18LGIUQ2N5J61
        Huntsman International LLC
        44701QBE1
        
          
        
        350000.00000000
        PA
        USD
        361137.70000000
        0.088981788495
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLIED MATERIALS INC
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222AN5
        
          
        
        275000.00000000
        PA
        USD
        249482.75000000
        0.061470794364
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKA9
        
          
        
        300000.00000000
        PA
        USD
        273288.00000000
        0.067336240482
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-06-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JC6
        
          
        
        125000.00000000
        PA
        USD
        128682.50000000
        0.031706462654
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-20
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAB8
        
          
        
        875000.00000000
        PA
        USD
        869041.25000000
        0.214125649860
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AV6
        
          
        
        100000.00000000
        PA
        USD
        101996.00000000
        0.025131096807
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-09
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AV3
        
          
        
        400000.00000000
        PA
        USD
        411484.00000000
        0.101386762604
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        500000.00000000
        PA
        
        540679.57000000
        0.133219642097
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2030-05-26
          Fixed
          3.62400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292MYM8
        
          
        
        187.06000000
        PA
        USD
        197.88000000
        0.000048756239
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1089.21000000
        -0.00026837368
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1462818.98000000
            USD
            110999582.26000000
            INR
            2022-04-05
            -1089.21000000
          
        
        
          N
          N
          N
        
      
      
        TSMC GLOBAL LTD
        549300N2ZLI21P85T117
        TSMC Global Ltd
        872882AK1
        
          
        
        200000.00000000
        PA
        USD
        181556.00000000
        0.044734121062
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2031-04-23
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        171783.16000000
        0.042326162043
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3533513.72000000
            GBP
            4813370.06000000
            USD
            2022-04-05
            171783.16000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        20754BAB7
        
          
        
        310000.00000000
        PA
        USD
        302667.76000000
        0.074575206645
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          3.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Pool
        3133KMNS0
        
          
        
        1919767.94000000
        PA
        USD
        1837643.72000000
        0.452782483866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2051-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JDE PEET'S NV
        724500EHG519SE5ZRT89
        JDE Peet's NV
        47216QAB9
        
          
        
        375000.00000000
        PA
        USD
        337207.50000000
        0.083085555576
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2027-01-15
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GT2
        
          
        
        780000.00000000
        PA
        USD
        791442.60000000
        0.195005888445
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F030645
        
          
        
        9000000.00000000
        PA
        USD
        8805234.60000000
        2.169547856214
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -8745.01000000
        -0.00215470893
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            17196276827.26000000
            IDR
            1187850.69000000
            USD
            2022-05-31
            -8745.01000000
          
        
        
          N
          N
          N
        
      
      
        Wyeth LLC
        549300Q9GR3WRH4N4836
        Wyeth LLC
        983024AN0
        
          
        
        45000.00000000
        PA
        USD
        57114.90000000
        0.014072709528
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-04-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468C6
        
          
        
        50000.00000000
        PA
        USD
        51234.50000000
        0.012623820339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NAVIENT CORP
        54930067J0ZNOEBRW338
        Navient Corp
        63938CAK4
        
          
        
        508000.00000000
        PA
        USD
        485140.00000000
        0.119535082797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WR34
        
          
        
        1955312.80000000
        PA
        USD
        1934897.56000000
        0.476745145812
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-11-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DY0
        
          
        
        650000.00000000
        PA
        USD
        567833.50000000
        0.139910179407
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTERCARD INC
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636QAR5
        
          
        
        250000.00000000
        PA
        USD
        255077.50000000
        0.062849301402
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-26
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        557.24000000
        0.000137300015
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            317538.75000000
            USD
            431147.76000000
            SGD
            2022-04-06
            557.24000000
          
        
        
          N
          N
          N
        
      
      
        RAYMOND JAMES FINANCIAL
        RGUZHJ05YTITL6D76949
        Raymond James Financial Inc
        754730AG4
        
          
        
        75000.00000000
        PA
        USD
        79443.75000000
        0.019574381073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAQ5
        
          
        
        225000.00000000
        PA
        USD
        234787.50000000
        0.057849988152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290XLG3
        
          
        
        8878.21000000
        PA
        USD
        9503.52000000
        0.002341600465
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONSPIRIT HEALTH
        4SXHN5XW08IBO0UG2V58
        CommonSpirit Health
        20268JAG8
        
          
        
        635000.00000000
        PA
        USD
        604972.28000000
        0.149060913509
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-01
          Fixed
          3.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
        
        275000.00000000
        PA
        USD
        257826.25000000
        0.063526574063
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8QW8
        
          
        
        605275.95000000
        PA
        USD
        625532.11000000
        0.154126710973
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217312  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217312  IRS USD P F  1.85000 2 CCPOIS
        000000000
        
          
        
        2770000.00000000
        OU
        Notional Amount
        USD
        79417.01000000
        0.019567792525
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2033-02-09
            7047.91000000
            USD
            0.00000000
            USD
            2770000.00000000
            USD
            72369.10000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566ABD0
        
          
        
        1006000.00000000
        PA
        USD
        1018357.10000000
        0.250916024788
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-25
          Floating
          4.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAW9
        
          
        
        909000.00000000
        PA
        USD
        951668.46000000
        0.234484413080
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBD3
        
          
        
        425000.00000000
        PA
        USD
        428791.00000000
        0.105651085641
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -22126.30000000
        -0.00545176465
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9381709.69000000
            NOK
            1043002.06000000
            USD
            2022-06-15
            -22126.30000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217067  IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR217067  IRS SEK P F  1.00000 2 CCPVANILLA
        000000000
        
          
        
        51190000.00000000
        OU
        Notional Amount
        
        438085.44000000
        0.107941170266
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            3245948.19000000
            SEK
            0.00000000
            SEK
            51190000.00000000
            SEK
            95725.98000000
          
        
        
          N
          N
          N
        
      
      
        PRA Health Sciences Inc
        549300R1HR1VWWHIAK47
        PRA Health Sciences Inc
        45569KAA1
        
          
        
        200000.00000000
        PA
        USD
        189750.00000000
        0.046753065013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBE4
        
          
        
        70000.00000000
        PA
        USD
        65703.40000000
        0.016188855503
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-05-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04503A 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 USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -31920.84000000
        -0.00786507039
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6615433.63000000
            SEK
            673058.45000000
            USD
            2022-06-15
            -31920.84000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDJ8
        
          
        
        25000.00000000
        PA
        USD
        26165.25000000
        0.006446933514
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-09
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3395.89000000
        0.000836723404
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            219508.62000000
            USD
            176240617.00000000
            CLP
            2022-04-27
            3395.89000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        900123DC1
        
          
        
        200000.00000000
        PA
        USD
        170287.50000000
        0.041957641942
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2031-06-26
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CAY0
        
          
        
        11475.08000000
        PA
        USD
        11850.04000000
        0.002919766485
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSAUNZ2022040710650
        000000000
        
          
        
        -1027000.00000000
        OU
        Notional Amount
        
        -121.43000000
        -0.00002991949
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -121.43000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  -1027000.00000000
                  AUD
                  -1093755.00000000
                  NZD
                  2022-04-07
                
              
            
            1.00000000
            1.06500000
            AUD
            2022-04-07
            XXXX
            1664.38000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DR5
        
          
        
        250000.00000000
        PA
        USD
        249665.00000000
        0.061515699481
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-30
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152BM2
        
          
        
        115000.00000000
        PA
        USD
        129053.54000000
        0.031797884299
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-02-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREAT-WEST LIFECO FIN 18
        N/A
        Great-West Lifeco Finance 2018 LP
        39138QAA3
        
          
        
        225000.00000000
        PA
        USD
        230967.00000000
        0.056908643831
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-05-17
          Fixed
          4.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1503.83000000
        -0.00037053313
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            341338.33000000
            USD
            2993281.15000000
            NOK
            2022-06-15
            -1503.83000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF NIGERIA
        549300GSBZD84TNEQ285
        Nigeria Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        174000.00000000
        0.042872375823
        Long
        DBT
        NUSS
        NG
        N
        
        2
        
          2038-02-23
          Fixed
          7.69600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -1295.28000000
        -0.00031914787
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2296000.40000000
            CNY
            358414.05000000
            USD
            2022-06-15
            -1295.28000000
          
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AU7
        
          
        
        950000.00000000
        PA
        USD
        881239.00000000
        0.217131089643
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        2177.14000000
        0.000536431978
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            110999582.26000000
            INR
            1461182.20000000
            USD
            2022-04-13
            2177.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -167.26000000
        -0.00004121168
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10052.83000000
            EUR
            10986.80000000
            USD
            2022-06-15
            -167.26000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAN5
        
          
        
        295000.00000000
        PA
        USD
        312856.35000000
        0.077085603539
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JAR9
        
          
        
        450000.00000000
        PA
        USD
        409324.50000000
        0.100854676997
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2027-01-12
          Fixed
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493003FQV7GR462GO02
        Freddie Mac Stacr Remic Trust 2020-DNA1
        35565HAH8
        
          
        
        265562.28000000
        PA
        USD
        265336.42000000
        0.065377027113
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-25
          Floating
          2.15700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQTN3
        
          
        
        14534.53000000
        PA
        USD
        14592.06000000
        0.003595380921
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BH6
        
          
        
        200000.00000000
        PA
        USD
        199622.00000000
        0.049185456359
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        988.27000000
        0.000243502775
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            678378.24000000
            USD
            920814.34000000
            SGD
            2022-04-06
            988.27000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN22
        000000000
        
          
        
        143.00000000
        NC
        USD
        -655646.42000000
        -0.16154666508
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            22105646.42000000
            USD
            -655646.42000000
          
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13648TAA5
        
          
        
        200000.00000000
        PA
        USD
        183392.00000000
        0.045186498545
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-03-05
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        21854.39000000
        0.005384767939
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1957524323.00000000
            KRW
            1632726.12000000
            USD
            2022-04-11
            21854.39000000
          
        
        
          N
          N
          N
        
      
      
        Bank
        549300GL0Y86051URC66
        BANK 2018-BNK10
        065404AA3
        
          
        
        200000.00000000
        PA
        USD
        157324.35000000
        0.038763612984
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-02-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UXS6
        
          
        
        850696.90000000
        PA
        USD
        845646.51000000
        0.208361350518
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CDW LLC/CDW FINANCE
        N/A
        CDW LLC / CDW Finance Corp
        12513GBF5
        
          
        
        70000.00000000
        PA
        USD
        64312.50000000
        0.015846147529
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05578QAF0
        
          
        
        750000.00000000
        PA
        USD
        676597.50000000
        0.166708863798
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-10-19
          Fixed
          3.11600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKJ0
        
          
        
        100000.00000000
        PA
        USD
        88417.00000000
        0.021785326742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2E3
        
          
        
        1750000.00000000
        PA
        USD
        1768725.00000000
        0.435801396135
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179V7G9
        
          
        
        1653493.85000000
        PA
        USD
        1665090.31000000
        0.410266537641
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-02-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AT5
        
          
        
        750000.00000000
        PA
        USD
        747922.50000000
        0.184282841991
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XAD6
        
          
        
        270917.46000000
        PA
        USD
        280107.66000000
        0.069016556726
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.85700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201U5P5
        
          
        
        15486.35000000
        PA
        USD
        16786.86000000
        0.004136164200
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAK3
        
          
        
        25000.00000000
        PA
        USD
        23363.50000000
        0.005756602026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.56500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        L3HARRIS TECH INC
        549300UTE50ZMDBG8A20
        L3Harris Technologies Inc
        413875AW5
        
          
        
        40000.00000000
        PA
        USD
        41485.60000000
        0.010221759968
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EWUP8
        
          
        
        37904.45000000
        PA
        USD
        39143.03000000
        0.009644567201
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H022648
        
          
        
        2000000.00000000
        PA
        USD
        1939668.20000000
        0.477920597944
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13645RAF1
        
          
        
        40000.00000000
        PA
        USD
        49230.00000000
        0.012129925642
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2037-05-15
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAJ0
        
          
        
        1275000.00000000
        PA
        USD
        1283631.75000000
        0.316277832209
        Long
        DBT
        
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE
        549300N8C3A3L0UVQB07
        GSK Consumer Healthcare Capital US LLC
        36264FAB7
        
          
        
        875000.00000000
        PA
        USD
        875420.00000000
        0.215697328982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-24
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1411.56000000
        -0.00034779845
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1421360.42000000
            EUR
            1451159.24000000
            CHF
            2022-06-15
            -1411.56000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04779A SWAPTION SOFRRATE
        000000000
        
          
        
        -38100000.00000000
        NC
        USD
        -26018.49000000
        -0.00641077288
        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
                    -26018.49000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-25
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  38100000.00000000
                  USD
                
              
            
            1.00000000
            1.59875000
            USD
            2022-11-22
            XXXX
            57460.32000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBF2
        
          
        
        550000.00000000
        PA
        USD
        537388.50000000
        0.132408745603
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.30100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9ME0
        
          
        
        430319.78000000
        PA
        USD
        444687.25000000
        0.109567809802
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAKER HUGHES LLC/CO-OBL
        N/A
        Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc
        05724BAA7
        
          
        
        60000.00000000
        PA
        USD
        64131.60000000
        0.015801575042
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          4.48600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300YUUBR2C1GYW366
        MidOcean Credit CLO VI
        59802XBA0
        
          
        
        800000.00000000
        PA
        USD
        765795.20000000
        0.188686549528
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-20
          Floating
          3.77400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CK HUTCHISON INTL 20 LTD
        254900SSPRZHBMNJF043
        CK Hutchison International 20 Ltd
        12564HAA3
        
          
        
        200000.00000000
        PA
        USD
        185422.00000000
        0.045686676263
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2030-05-08
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICENOW INC
        549300HJTQM36M0E1G39
        ServiceNow Inc
        81762PAE2
        
          
        
        550000.00000000
        PA
        USD
        467395.50000000
        0.115162962839
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348BJ4
        
          
        
        475000.00000000
        PA
        USD
        458033.00000000
        0.112856108708
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAW0
        
          
        
        425000.00000000
        PA
        USD
        440376.50000000
        0.108505671331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        15853.07000000
        PA
        USD
        15915.81000000
        0.003921543608
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -78811.98000000
        -0.01941871739
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1431712.50000000
            USD
            164632535.00000000
            JPY
            2022-04-22
            -78811.98000000
          
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2017-2
        63939RAA2
        
          
        
        3054383.46000000
        PA
        USD
        3062521.25000000
        0.754583689632
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.50700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT OWNERSHIP RESOR
        BW4532OH033VURR0IT68
        Marriott Ownership Resorts Inc
        57164PAH9
        
          
        
        630000.00000000
        PA
        USD
        593775.00000000
        0.146301982496
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COSTAR GROUP INC
        N/A
        CoStar Group Inc
        22160NAA7
        
          
        
        625000.00000000
        PA
        USD
        571585.63000000
        0.140834677841
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        722210.31000000
        PA
        USD
        752474.82000000
        0.185404501611
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        35229.66000000
        0.008680340365
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            26354869.92000000
            RUB
            341632.14000000
            USD
            2022-05-04
            35229.66000000
          
        
        
          N
          N
          N
        
      
      
        CLARIV SCI HLD CORP
        N/A
        Clarivate Science Holdings Corp
        18064PAC3
        
          
        
        575000.00000000
        PA
        USD
        544812.50000000
        0.134237966971
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Agricole SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        225313AL9
        
          
        
        250000.00000000
        PA
        USD
        259282.50000000
        0.063885383818
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-09-23
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216980  IRS EUR R V 06MEURIB CCPVANILLA / Short: BR216980  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        1610000.00000000
        OU
        Notional Amount
        
        105980.85000000
        0.026112935811
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-03-16
            12647.56000000
            EUR
            0.00000000
            EUR
            1610000.00000000
            EUR
            91663.23000000
          
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAW1
        
          
        
        1270000.00000000
        PA
        USD
        1168400.00000000
        0.287885539722
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CL2
        
          
        
        450000.00000000
        PA
        USD
        459243.00000000
        0.113154244195
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-20
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PEPSICO INC
        FJSUNZKFNQ5YPJ5OT455
        PepsiCo Inc
        713448ES3
        
          
        
        60000.00000000
        PA
        USD
        58813.80000000
        0.014491306535
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-19
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOVARTIS CAPITAL CORP
        5493002KF87V5RSRQS84
        Novartis Capital Corp
        66989HAR9
        
          
        
        70000.00000000
        PA
        USD
        65760.10000000
        0.016202825984
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2030-08-14
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9404.82000000
        0.002317281480
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            686687.05000000
            USD
            10204169.56000000
            ZAR
            2022-04-25
            9404.82000000
          
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAJ6
        
          
        
        175000.00000000
        PA
        USD
        166061.00000000
        0.040916262077
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-05
          Fixed
          2.29300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4442.74000000
        0.001094659879
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            234250.00000000
            USD
            2239861.49000000
            SEK
            2022-06-15
            4442.74000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -4345.20000000
        -0.00107062670
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2272173.49000000
            TRY
            141761.52000000
            USD
            2022-06-15
            -4345.20000000
          
        
        
          N
          N
          N
        
      
      
        SPIRIT AEROSYSTEMS INC
        ZD2NBKV6GCC3UMGBM518
        Spirit AeroSystems Inc
        85205TAL4
        
          
        
        495000.00000000
        PA
        USD
        512325.00000000
        0.126233275537
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS04767A SWAPTION SOFRRATE
        000000000
        
          
        
        -37900000.00000000
        NC
        USD
        -22675.57000000
        -0.00558710091
        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
                    -22675.57000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  37900000.00000000
                  USD
                
              
            
            1.00000000
            1.54500000
            USD
            2022-11-16
            XXXX
            55019.43000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        CTBOAEUPL2022042846400
        000000000
        
          
        
        -426000.00000000
        OU
        Notional Amount
        
        -7272.99000000
        -0.00179201356
        N/A
        DFE
        
        DE
        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
                    -7272.99000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -426000.00000000
                  EUR
                  -1976640.00000000
                  PLN
                  2022-04-28
                
              
            
            1.00000000
            4.64000000
            EUR
            2022-04-28
            XXXX
            1357.62000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAY1
        
          
        
        275000.00000000
        PA
        USD
        247486.25000000
        0.060978870810
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2033-10-29
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL DYNAMICS CORP
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BK3
        
          
        
        65000.00000000
        PA
        USD
        65723.45000000
        0.016193795682
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006084  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006084  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        150000.00000000
        OU
        Notional Amount
        USD
        -5986.83000000
        -0.00147511279
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of South Africa
                Republic of South Africa
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            0.00000000
            USD
            -8173.66000000
            USD
            150000.00000000
            USD
            2186.83000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TBD0
        
          
        
        451000.00000000
        PA
        USD
        439080.93000000
        0.108186451998
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Floating
          4.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397B85
        
          
        
        976000.00000000
        PA
        USD
        923400.43000000
        0.227519369368
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-10
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002944  CDS USD R F  1.00000 2 CCPCDX / Short: SX002944  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        6950000.00000000
        OU
        Notional Amount
        USD
        96275.57000000
        0.023721623101
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S34
                2I65BYDW2
              
            
            Y
            
            sell protection
            2025-06-20
            100213.14000000
            USD
            0.00000000
            USD
            6950000.00000000
            USD
            -3937.57000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN ELEC POWER
        R64UBJHEC74EB3HGQ410
        Southwestern Electric Power Co
        845437BP6
        
          
        
        35000.00000000
        PA
        USD
        34233.50000000
        0.008434893550
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BBF9
        
          
        
        1081887.30000000
        PA
        USD
        160692.18000000
        0.039593422602
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAMDEN PROPERTY TRUST
        5493002MYX22OHYJBD89
        Camden Property Trust
        133131AX0
        
          
        
        65000.00000000
        PA
        USD
        64406.55000000
        0.015869320787
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITEUSE2022042110384
        000000000
        
          
        
        -429000.00000000
        OU
        Notional Amount
        
        -2954.74000000
        -0.00072802714
        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
                    -2954.74000000
                    0.00000000
                    DFE
                    
                    SE
                  
                  -429000.00000000
                  EUR
                  -4454736.00000000
                  SEK
                  2022-04-21
                
              
            
            1.00000000
            10.38400000
            EUR
            2022-04-21
            XXXX
            1784.45000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TAH2
        
          
        
        173099.90000000
        PA
        USD
        173499.92000000
        0.042749159629
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-25
          Floating
          2.69900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CY1
        
          
        
        100000.00000000
        PA
        USD
        102418.00000000
        0.025235074638
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382ET31
        
          
        
        617205.13000000
        PA
        USD
        85380.45000000
        0.021037142185
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAT7
        
          
        
        925000.00000000
        PA
        USD
        928450.25000000
        0.228763609488
        Long
        DBT
        
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        7680.62000000
        0.001892450730
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1336853.97000000
            AUD
            1458353.94000000
            NZD
            2022-06-15
            7680.62000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -2371.71000000
        -0.00058437265
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            526456.13000000
            ILS
            162649.61000000
            USD
            2022-04-18
            -2371.71000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F042640
        
          
        
        3000000.00000000
        PA
        USD
        3112032.00000000
        0.766782790099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2052-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX003066  CDS USD R F  1.00000 2 CCPCDX / Short: SX003066  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        14050000.00000000
        OU
        Notional Amount
        USD
        239954.33000000
        0.059123058713
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S37
                2I65BYDZ5
              
            
            Y
            
            sell protection
            2026-12-20
            234001.62000000
            USD
            0.00000000
            USD
            14050000.00000000
            USD
            5952.71000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RE0
        
          
        
        1100000.00000000
        PA
        USD
        1278750.00000000
        0.315075003354
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-02-15
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290QX75
        
          
        
        11725.37000000
        PA
        USD
        12436.20000000
        0.003064192185
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        10515.97000000
        0.002591061022
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            864275.00000000
            USD
            1093831.63000000
            CAD
            2022-06-15
            10515.97000000
          
        
        
          N
          N
          N
        
      
      
        Merrill Lynch International
        G5GSEF7VJP5I7OUK5573
        Long: SR217296  IRS CNY R F  2.25000 CCPVANILLA / Short: SR217296  IRS CNY P V 03MCNRR CCPVANILLA
        000000000
        
          
        
        8580000.00000000
        OU
        Notional Amount
        
        -463.76000000
        -0.00011426720
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              Merrill Lynch International
              G5GSEF7VJP5I7OUK5573
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-15
            22109.46000000
            CNY
            0.00000000
            CNY
            8580000.00000000
            CNY
            -3939.24000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XDE3
        
          
        
        500000.00000000
        PA
        USD
        432040.00000000
        0.106451616382
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-08
          Fixed
          2.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAG1
        
          
        
        50000.00000000
        PA
        USD
        54463.00000000
        0.013419300025
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSCN2022042163790
        000000000
        
          
        
        1450000.00000000
        OU
        Notional Amount
        USD
        3274.10000000
        0.000806715205
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    3274.10000000
                    0.00000000
                    DFE
                    
                    US
                  
                  9249550.00000000
                  CNY
                  1450000.00000000
                  USD
                  2022-04-21
                
              
            
            1.00000000
            6.37900000
            USD
            2022-04-21
            XXXX
            -3126.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1039.05000000
        -0.00025601460
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            216638.00000000
            USD
            1899007.55000000
            NOK
            2022-06-15
            -1039.05000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7562.44000000
        0.001863332010
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            242397.08000000
            USD
            3688458.85000000
            ZAR
            2022-06-15
            7562.44000000
          
        
        
          N
          N
          N
        
      
      
        CONTINENTAL RESOURCES
        XXRTID9RYWOZ0UPIVR53
        Continental Resources Inc/OK
        212015AT8
        
          
        
        60000.00000000
        PA
        USD
        65550.00000000
        0.016151058822
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPCM SA
        969500F7036FEDYPRV54
        SPCM SA
        7846ELAE7
        
          
        
        590000.00000000
        PA
        USD
        522887.50000000
        0.128835801225
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2030-03-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPECTRA ENERGY PARTNERS
        2HKVXE7U4NF5B6UGSU72
        Spectra Energy Partners LP
        84756NAF6
        
          
        
        65000.00000000
        PA
        USD
        65416.65000000
        0.016118202321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        70000.00000000
        PA
        
        61949.99000000
        0.015264041686
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND JUN22
        000000000
        
          
        
        -1.00000000
        NC
        
        18384.34000000
        0.004529772032
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 30 Year Euro BUXL Future
                UBM2 COMDTY
              
            
            2022-06-08
            -202338.62000000
            EUR
            18384.34000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SR216949  IRS BRL R F 12.40000 CCPNDFPREDISWAP / Short: SR216949  IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
        000000000
        
          
        
        3560000.00000000
        OU
        Notional Amount
        
        6113.10000000
        0.001506224831
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-01-02
            0.00000000
            BRL
            -800.80000000
            BRL
            3560000.00000000
            BRL
            6253.31000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FV84
        
          
        
        828513.06000000
        PA
        USD
        116340.96000000
        0.028665594027
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banque et Caisse d'Epargne de l'Etat
        R7CQUF1DQM73HUTV1078
        Banque et Caisse d'Epargne de l'Etat
        0667K1GL9
        
          
        
        2000000.00000000
        PA
        USD
        1993753.16000000
        0.491246751574
        Long
        STIV
        CORP
        LU
        N
        
        2
        
          2022-07-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBD0
        
          
        
        25000.00000000
        PA
        USD
        28369.50000000
        0.006990045206
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-14
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PUBLIC STORAGE
        549300LMZF40TKJ6DM64
        Public Storage
        74460WAD9
        
          
        
        60000.00000000
        PA
        USD
        55433.40000000
        0.013658399758
        Long
        DBT
        
        US
        N
        
        2
        
          2028-05-01
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4069.23000000
        0.001002629642
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            398820.50000000
            USD
            364144.81000000
            EUR
            2022-04-05
            4069.23000000
          
        
        
          N
          N
          N
        
      
      
        CSC HOLDINGS LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307BF3
        
          
        
        243000.00000000
        PA
        USD
        204727.50000000
        0.050443415639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VER1
        
          
        
        630000.00000000
        PA
        USD
        664983.90000000
        0.163847354465
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.32900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREEDOM MORTGAGE CORP
        549300LYRWPSYPK6S325
        Freedom Mortgage Corp
        35640YAF4
        
          
        
        508000.00000000
        PA
        USD
        485140.00000000
        0.119535082797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          7.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EP2E3
        
          
        
        144568.91000000
        PA
        USD
        154934.82000000
        0.038174849604
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAJ1
        
          
        
        1325000.00000000
        PA
        USD
        1279035.75000000
        0.315145410144
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BB9
        
          
        
        30000.00000000
        PA
        USD
        31549.50000000
        0.007773574833
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2038-07-26
          Fixed
          4.28600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CN7
        
          
        
        65000.00000000
        PA
        USD
        65319.80000000
        0.016094339162
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-03
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QDZ1
        
          
        
        3094.55000000
        PA
        USD
        3215.19000000
        0.000792200195
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BZ2
        
          
        
        1875000.00000000
        PA
        USD
        1853625.00000000
        0.456720158821
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-04
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        Long: CS005631  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005631  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        80000.00000000
        OU
        Notional Amount
        USD
        -150.26000000
        -0.00003702300
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                CHINA GOVT INTL BOND
                CHINA GOVT INTL BOND
                
                  
                  
                
              
            
            Y
            buy protection
            
            2022-06-20
            0.00000000
            USD
            -52.98000000
            USD
            80000.00000000
            USD
            -97.28000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NAK7
        
          
        
        6000.00000000
        PA
        USD
        7769.58000000
        0.001914369849
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyundai Capital America
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891CAK9
        
          
        
        70000.00000000
        PA
        USD
        66733.80000000
        0.016442738814
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-27
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAXTER INTERNATIONAL INC
        J5OIVXX3P24RJRW5CK77
        Baxter International Inc
        071813CJ6
        
          
        
        525000.00000000
        PA
        USD
        490964.25000000
        0.120970137021
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          1.91500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SGD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2490.68000000
        0.000613686028
        N/A
        DFE
        
        SG
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1249131.64000000
            USD
            1696450.68000000
            SGD
            2022-04-06
            2490.68000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1927.49000000
        0.000474919975
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            375834.19000000
            USD
            5432307382.26000000
            IDR
            2022-06-15
            1927.49000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04814A SWAPTION SOFRRATE
        000000000
        
          
        
        -3700000.00000000
        NC
        USD
        -97952.69000000
        -0.02413485366
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -97952.69000000
                    -0.02000000
                    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
            -57067.69000000
          
        
        
          N
          N
          N
        
      
      
        Welltower Inc
        T6IZ0MBEG5ACZDTR7D06
        Welltower Inc
        95040QAD6
        
          
        
        60000.00000000
        PA
        USD
        62219.40000000
        0.015330422415
        Long
        DBT
        
        US
        N
        
        2
        
          2028-04-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SENSATA TECHNOLOGIES INC
        5493002MMDDCUNV7NY90
        Sensata Technologies Inc
        81728UAB0
        
          
        
        276000.00000000
        PA
        USD
        255645.00000000
        0.062989129409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04817A SWAPTION EUR006M
        000000000
        
          
        
        -2830000.00000000
        NC
        
        -50066.25000000
        -0.01233597175
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2830000.00000000
                    OU
                    Notional Amount
                    N/A
                    -50066.25000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-04-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2830000.00000000
                  EUR
                
              
            
            1.00000000
            1.05400000
            EUR
            2022-04-19
            XXXX
            -18615.78000000
          
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        1020037.09000000
        PA
        USD
        1015182.84000000
        0.250133909457
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.60700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152GS4
        
          
        
        730000.00000000
        PA
        USD
        848947.22000000
        0.209174622240
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-07-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7478.98000000
        0.001842768053
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            308872.37000000
            USD
            250124845.00000000
            CLP
            2022-04-27
            7478.98000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -1565.88000000
        -0.00038582181
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1035725.03000000
            AUD
            773657.60000000
            USD
            2022-04-21
            -1565.88000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202F2M7
        
          
        
        860.99000000
        PA
        USD
        890.48000000
        0.000219408007
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PED6
        
          
        
        150000.00000000
        PA
        USD
        137746.88000000
        0.033939862113
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2030-01-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAD4
        
          
        
        550000.00000000
        PA
        USD
        550159.50000000
        0.135555430152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006123  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006123  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1950000.00000000
        OU
        Notional Amount
        USD
        15255.63000000
        0.003758879901
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of Indonesia
                Republic of Indonesia
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            3798.82000000
            USD
            0.00000000
            USD
            1950000.00000000
            USD
            11456.81000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1340.41000000
        0.000330267593
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            323987.09000000
            EUR
            332310.32000000
            CHF
            2022-06-15
            1340.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -135.99000000
        -0.00003350697
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            407102.64000000
            USD
            1545227277.57000000
            COP
            2022-05-16
            -135.99000000
          
        
        
          N
          N
          N
        
      
      
        UBER TECHNOLOGIES INC
        549300B2FTG34FILDR98
        Uber Technologies Inc
        90353TAF7
        
          
        
        650000.00000000
        PA
        USD
        676812.50000000
        0.166761838285
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1758.76000000
        0.000433346090
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            329880.00000000
            USD
            298896.40000000
            EUR
            2022-06-15
            1758.76000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        41572.00000000
        PA
        USD
        23002.31000000
        0.005667607351
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2030-07-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUBURBAN PROPANE PARTNRS
        N/A
        Suburban Propane Partners LP/Suburban Energy Finance Corp
        864486AL9
        
          
        
        450000.00000000
        PA
        USD
        421875.00000000
        0.103947031898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        242.96000000
        0.000059863634
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            27430.79000000
            NZD
            25723.69000000
            AUD
            2022-04-11
            242.96000000
          
        
        
          N
          N
          N
        
      
      
        UNION PACIFIC CORP
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818FX1
        
          
        
        525000.00000000
        PA
        USD
        504724.50000000
        0.124360565810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-14
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022041433300
        000000000
        
          
        
        2949000.00000000
        OU
        Notional Amount
        USD
        250.67000000
        0.000061763324
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    250.67000000
                    0.00000000
                    DFE
                    
                    US
                  
                  9820170.00000000
                  ILS
                  2949000.00000000
                  USD
                  2022-04-14
                
              
            
            1.00000000
            3.33000000
            USD
            2022-04-14
            XXXX
            -16995.08000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XRXN4
        
          
        
        21277.81000000
        PA
        USD
        22577.84000000
        0.005563020929
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARLES SCHWAB CORP
        549300VSGCJ7E698NM85
        Charles Schwab Corp/The
        808513BB0
        
          
        
        60000.00000000
        PA
        USD
        62174.40000000
        0.015319334732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-24
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225433AR2
        
          
        
        307000.00000000
        PA
        USD
        312338.73000000
        0.076958065612
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2026-04-17
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6A9
        
          
        
        524425.79000000
        PA
        USD
        555602.18000000
        0.136896468213
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1250.03000000
        0.000307998597
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            485788.44000000
            USD
            440189.24000000
            EUR
            2022-04-06
            1250.03000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9756.97000000
        0.002404048762
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            295227.69000000
            USD
            4500422.21000000
            ZAR
            2022-06-15
            9756.97000000
          
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773CY4
        
          
        
        375000.00000000
        PA
        USD
        366870.00000000
        0.090394186886
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-28
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAQ1
        
          
        
        350000.00000000
        PA
        USD
        353482.50000000
        0.087095601073
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-24
          Fixed
          3.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJY9
        
          
        
        500000.00000000
        PA
        USD
        468355.00000000
        0.115399376888
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        68.94000000
        0.000016986330
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            286192.11000000
            GBP
            375963.42000000
            USD
            2022-04-25
            68.94000000
          
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate Lending
        N/A
        Cantor Commercial Real Estate Lending 2019-CF2
        12528YAV5
        
          
        
        500000.00000000
        PA
        USD
        360715.38000000
        0.088877731819
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-11-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1077.41000000
        0.000265466243
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            375445.84000000
            USD
            5407921879.36000000
            IDR
            2022-05-13
            1077.41000000
          
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFH2
        
          
        
        75000.00000000
        PA
        USD
        80875.50000000
        0.019927154200
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CJ6
        
          
        
        1050000.00000000
        PA
        USD
        989803.50000000
        0.243880618637
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-18
          Fixed
          1.64500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FUNDING LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272BG2
        
          
        
        250000.00000000
        PA
        USD
        223572.50000000
        0.055086691055
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2031-09-23
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -215.20000000
        -0.00005302376
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            430684.16000000
            SGD
            317538.75000000
            USD
            2022-04-06
            -215.20000000
          
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DE5
        
          
        
        60000.00000000
        PA
        USD
        62653.80000000
        0.015437455519
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-20
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASHLAND LLC
        6O4MRU8C1MS0K34UQF79
        Ashland LLC
        04433LAA0
        
          
        
        345000.00000000
        PA
        USD
        304462.50000000
        0.075017417954
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-09-01
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        28531.84000000
        0.007030044640
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            120524695.00000000
            JPY
            1020595.68000000
            USD
            2022-06-15
            28531.84000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCJ8
        
          
        
        25000.00000000
        PA
        USD
        25661.25000000
        0.006322751460
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TCW CLO 2019-1 AMR, LTD.
        549300RWQDI4UTTLDE63
        TCW CLO 2019-1 AMR Ltd
        87241EBC8
        
          
        
        1200000.00000000
        PA
        USD
        1179609.60000000
        0.290647506296
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-08-16
          Floating
          4.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -536.42000000
        -0.00013217011
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            328834.89000000
            EUR
            3208954.35000000
            NOK
            2022-06-15
            -536.42000000
          
        
        
          N
          N
          N
        
      
      
        DENTSPLY SIRONA INC
        9NHEHR1SOZCYXDO8HO28
        DENTSPLY SIRONA Inc
        24906PAA7
        
          
        
        350000.00000000
        PA
        USD
        337267.00000000
        0.083100215958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -612.34000000
        -0.00015087626
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            93252.00000000
            USD
            11254686.00000000
            JPY
            2022-06-15
            -612.34000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217079  IRS NOK R F  2.00000 2 CCPVANILLA / Short: SR217079  IRS NOK P V 06MNIBOR 1 CCPVANILLA
        000000000
        
          
        
        56910000.00000000
        OU
        Notional Amount
        
        -416377.05000000
        -0.10259237569
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            NOK
            -749370.00000000
            NOK
            56910000.00000000
            NOK
            -331008.58000000
          
        
        
          N
          N
          N
        
      
      
        LAM RESEARCH CORP
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AV0
        
          
        
        375000.00000000
        PA
        USD
        340110.00000000
        0.083800711156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216774  IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR216774  IRS GBP P F  1.00000 2 CCPOIS
        000000000
        
          
        
        2140000.00000000
        OU
        Notional Amount
        
        50980.46000000
        0.012561226670
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-17
            31617.76000000
            GBP
            0.00000000
            GBP
            2140000.00000000
            GBP
            9576.01000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-DNA1
        35564KPU7
        
          
        
        450000.00000000
        PA
        USD
        443853.63000000
        0.109362411699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          1.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WORKDAY INC
        549300J0DYC0N31V7G13
        Workday Inc
        98138HAG6
        
          
        
        225000.00000000
        PA
        USD
        225459.00000000
        0.055551511383
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1665.63000000
        -0.00041039951
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            288683.22000000
            EUR
            317742.07000000
            USD
            2022-04-06
            -1665.63000000
          
        
        
          N
          N
          N
        
      
      
        XLIT Ltd
        635400XCGXK8NVDIVE95
        XLIT Ltd
        98420EAC9
        
          
        
        775000.00000000
        PA
        USD
        795622.75000000
        0.196035847996
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-03-31
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRINET GROUP INC
        5299003FJVBETSFKE990
        TriNet Group Inc
        896288AA5
        
          
        
        460000.00000000
        PA
        USD
        423200.00000000
        0.104273502576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        19578.88000000
        0.004824098284
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            17561039.75000000
            TWD
            632853.07000000
            USD
            2022-04-15
            19578.88000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        37550.54000000
        0.009252188869
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            170253.04000000
            USD
            16914639.17000000
            RUB
            2022-04-01
            37550.54000000
          
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CX6
        
          
        
        30000.00000000
        PA
        USD
        31449.00000000
        0.007748812340
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-25
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GV20
        
          
        
        114057.61000000
        PA
        USD
        14649.37000000
        0.003609501702
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Floating
          5.15100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QATAR ENERGY
        254900QTESJKJ3P87J26
        Qatar Energy
        74730DAD5
        
          
        
        410000.00000000
        PA
        USD
        377200.00000000
        0.092939426209
        Long
        DBT
        CORP
        QA
        N
        
        2
        
          2051-07-12
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        11091.17000000
        0.002732786256
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            797507.93000000
            USD
            1011000.00000000
            CAD
            2022-04-26
            11091.17000000
          
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076BW1
        
          
        
        275000.00000000
        PA
        USD
        288131.25000000
        0.070993512852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-06
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTJPMEUUS2022040410865
        000000000
        
          
        
        -3938000.00000000
        OU
        Notional Amount
        
        -357.23000000
        -0.00008801895
        N/A
        DFE
        
        DE
        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
                    -357.23000000
                    0.00000000
                    DFE
                    
                    US
                  
                  -3938000.00000000
                  EUR
                  -4278637.00000000
                  USD
                  2022-04-04
                
              
            
            1.00000000
            1.08650000
            EUR
            2022-04-04
            XXXX
            8859.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -1719.12000000
        -0.00042357907
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2298550.26000000
            CNY
            358389.70000000
            USD
            2022-06-15
            -1719.12000000
          
        
        
          N
          N
          N
        
      
      
        Halliburton Co
        ENYF8GB5SMQZ25S06U51
        Halliburton Co
        406216BG5
        
          
        
        2000.00000000
        PA
        USD
        2042.94000000
        0.000503366042
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABB0
        
          
        
        625000.00000000
        PA
        USD
        628787.50000000
        0.154928816165
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PTJPMEUUS2022040411010
        000000000
        
          
        
        2625000.00000000
        OU
        Notional Amount
        
        3403.38000000
        0.000838568887
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    3403.38000000
                    0.00000000
                    DFE
                    
                    XX
                  
                  2890125.00000000
                  USD
                  2625000.00000000
                  EUR
                  2022-04-04
                
              
            
            1.00000000
            1.10100000
            EUR
            2022-04-04
            XXXX
            -12566.74000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
        
        1300000.00000000
        PA
        USD
        1331200.00000000
        0.327998314342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        549300XLOHLV2Q49T012
        Alternative Loan Trust 2007-OA6
        02150PAA6
        
          
        
        272689.56000000
        PA
        USD
        256969.39000000
        0.063315449787
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-06-25
          Floating
          0.73700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        75513EAC5
        
          
        
        35000.00000000
        PA
        USD
        31485.30000000
        0.007757756405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-07-01
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIUSZA20220406149600
        000000000
        
          
        
        -1508000.00000000
        OU
        Notional Amount
        USD
        -36320.18000000
        -0.00894903682
        N/A
        DFE
        
        US
        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
                    -36320.18000000
                    -0.01000000
                    DFE
                    
                    ZA
                  
                  -1508000.00000000
                  USD
                  -22559680.00000000
                  ZAR
                  2022-04-06
                
              
            
            1.00000000
            14.96000000
            USD
            2022-04-06
            XXXX
            -25738.54000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        372.27000000
        0.000091724708
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            111642.00000000
            USD
            85293.87000000
            GBP
            2022-06-15
            372.27000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        17308CC53
        
          
        
        550000.00000000
        PA
        USD
        523094.00000000
        0.128886681372
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-05
          Fixed
          2.97600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMERZBANK AG
        851WYGNLUQLFZBSYGB56
        Commerzbank AG
        000000000
        
          
        
        400000.00000000
        PA
        
        453562.40000000
        0.111754584321
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-10-09
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AN0
        
          
        
        650000.00000000
        PA
        USD
        699569.00000000
        0.172368879782
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2048-04-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8MQ3
        
          
        
        469986.35000000
        PA
        USD
        487477.36000000
        0.120110991857
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -9145.11000000
        -0.00225329076
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            326609.63000000
            EUR
            3111381.32000000
            NOK
            2022-06-15
            -9145.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        27972.52000000
        0.006892232127
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1264929.31000000
            USD
            11387951.09000000
            NOK
            2022-06-15
            27972.52000000
          
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAH6
        
          
        
        425000.00000000
        PA
        USD
        393222.75000000
        0.096887319081
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-09-02
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FWXZ8
        
          
        
        1019614.27000000
        PA
        USD
        152742.81000000
        0.037634753761
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1538.55000000
        -0.00037908789
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            326368.48000000
            EUR
            360581.69000000
            USD
            2022-06-15
            -1538.55000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PTBOAEUPL2022042846400
        000000000
        
          
        
        -426000.00000000
        OU
        Notional Amount
        
        -4564.65000000
        -0.00112469764
        N/A
        DFE
        
        DE
        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
                    -4564.65000000
                    0.00000000
                    DFE
                    
                    PL
                  
                  -426000.00000000
                  EUR
                  -1976640.00000000
                  PLN
                  2022-04-28
                
              
            
            1.00000000
            4.64000000
            EUR
            2022-04-28
            XXXX
            -600.92000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25838.66000000
        -0.00636646403
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            822147.70000000
            USD
            606208.39000000
            GBP
            2022-04-05
            -25838.66000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX003073  CDS USD R F  3.00000 2 CMBX / Short: CX003073  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        850000.00000000
        OU
        Notional Amount
        USD
        -92703.12000000
        -0.02284139655
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -75449.72000000
            USD
            850000.00000000
            USD
            -17253.40000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BR216961  IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR216961  IRS BRL P F 12.30000 CCPNDFPREDISWAP
        000000000
        
          
        
        140000.00000000
        OU
        Notional Amount
        
        -336.27000000
        -0.00008285456
        N/A
        DIR
        
        BR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-01-02
            0.00000000
            BRL
            -390.87000000
            BRL
            140000.00000000
            BRL
            -258.28000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSNZUS2022042606950
        000000000
        
          
        
        -2062000.00000000
        OU
        Notional Amount
        
        -17393.20000000
        -0.00428556211
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -17393.20000000
                    0.00000000
                    DFE
                    
                    US
                  
                  -2062000.00000000
                  NZD
                  -1433090.00000000
                  USD
                  2022-04-26
                
              
            
            1.00000000
            0.69500000
            NZD
            2022-04-26
            XXXX
            246.09000000
          
        
        
          N
          N
          N
        
      
      
        MARTIN MARIETTA
        5299005MZ4WZECVATV08
        Martin Marietta Materials Inc
        573284AX4
        
          
        
        750000.00000000
        PA
        USD
        639780.00000000
        0.157637290827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-07-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1742.52000000
        -0.00042934466
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            357949.05000000
            USD
            432860627.00000000
            KRW
            2022-04-11
            -1742.52000000
          
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300P6T1S83Z2MDF55
        Magnetite XXIV Ltd
        55954WAL3
        
          
        
        2000000.00000000
        PA
        USD
        1995302.00000000
        0.491628374853
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2035-04-15
          Floating
          1.53200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1409.90000000
        0.000347389440
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            143935.16000000
            USD
            114917832.00000000
            CLP
            2022-04-27
            1409.90000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CP8
        
          
        
        50000.00000000
        PA
        USD
        44724.00000000
        0.011019678944
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-02-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        CTCHAUSCN2022042663905
        000000000
        
          
        
        -474000.00000000
        OU
        Notional Amount
        USD
        -1012.94000000
        -0.00024958128
        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
                    -1012.94000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -474000.00000000
                  USD
                  -3029097.00000000
                  CNY
                  2022-04-26
                
              
            
            1.00000000
            6.39050000
            USD
            2022-04-26
            XXXX
            1448.07000000
          
        
        
          N
          N
          N
        
      
      
        CAIXABANK SA
        7CUNS533WID6K7DGFI87
        CaixaBank SA
        000000000
        
          
        
        400000.00000000
        PA
        
        466284.27000000
        0.114889163585
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-10-09
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSCN2022042164350
        000000000
        
          
        
        -1450000.00000000
        OU
        Notional Amount
        USD
        -1052.70000000
        -0.00025937787
        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
                    -1052.70000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1450000.00000000
                  USD
                  -9330750.00000000
                  CNY
                  2022-04-21
                
              
            
            1.00000000
            6.43500000
            USD
            2022-04-21
            XXXX
            1109.25000000
          
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BF2
        
          
        
        430000.00000000
        PA
        USD
        453181.30000000
        0.111660683963
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-22
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITGBUS2022042113215
        000000000
        
          
        
        -2160000.00000000
        OU
        Notional Amount
        
        -30460.38000000
        -0.00750522332
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -30460.38000000
                    -0.01000000
                    DFE
                    
                    US
                  
                  -2160000.00000000
                  GBP
                  -2854440.00000000
                  USD
                  2022-04-21
                
              
            
            1.00000000
            1.32150000
            GBP
            2022-04-21
            XXXX
            -5851.03000000
          
        
        
          N
          N
          N
        
      
      
        Home Equity Loan Trust
        N/A
        Home Equity Loan Trust
        43710XAD0
        
          
        
        682397.37000000
        PA
        USD
        666995.52000000
        0.164343003481
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.68700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216759  IRS CHF R F   .50000 CCPVANILLA / Short: SR216759  IRS CHF P V 12MLIBOR CCPVANILLA
        000000000
        
          
        
        5580000.00000000
        OU
        Notional Amount
        
        -212578.04000000
        -0.05237773346
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            CHF
            -78513.01000000
            CHF
            5580000.00000000
            CHF
            -127893.42000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296LKE0
        
          
        
        447.88000000
        PA
        USD
        479.06000000
        0.000118037013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKG6
        
          
        
        100000.00000000
        PA
        USD
        91084.00000000
        0.022442456778
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2953.22000000
        0.000727652630
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            882934.88000000
            USD
            815894.52000000
            CHF
            2022-06-15
            2953.22000000
          
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAT7
        
          
        
        50000.00000000
        PA
        USD
        55817.50000000
        0.013753039295
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        2642.51000000
        0.000651095872
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            110999582.26000000
            INR
            1464996.77000000
            USD
            2022-04-04
            2642.51000000
          
        
        
          N
          N
          N
        
      
      
        ON SEMICONDUCTOR CORP
        ZV20P4CNJVT8V1ZGJ064
        ON Semiconductor Corp
        682189AQ8
        
          
        
        860000.00000000
        PA
        USD
        821300.00000000
        0.202362541744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-01
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RJF7
        
          
        
        51519.59000000
        PA
        USD
        53463.72000000
        0.013173084464
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04799A SWAPTION SOFRRATE
        000000000
        
          
        
        -3700000.00000000
        NC
        USD
        -0.74000000
        -0.00000018233
        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
                    -0.74000000
                    0.00000000
                    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
            44454.76000000
          
        
        
          N
          N
          N
        
      
      
        FREEPORT-MCMORAN INC
        549300IRDTHJQ1PVET45
        Freeport-McMoRan Inc
        35671DCH6
        
          
        
        1415000.00000000
        PA
        USD
        1441531.25000000
        0.355183158107
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        N/A
        CSAIL 2018-C14 Commercial Mortgage Trust
        12596GAG4
        
          
        
        250000.00000000
        PA
        USD
        218348.14000000
        0.053799445507
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-15
          Variable
          4.92400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04810A SWAPTION EUR006M
        000000000
        
          
        
        -2930000.00000000
        NC
        
        -23.98000000
        -0.00000590850
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    2930000.00000000
                    OU
                    Notional Amount
                    N/A
                    -23.98000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-04-11
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2930000.00000000
                  EUR
                
              
            
            1.00000000
            0.74300000
            EUR
            2022-04-07
            XXXX
            36123.07000000
          
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
        
        1800000.00000000
        PA
        USD
        1825974.00000000
        0.449907146960
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BM3
        
          
        
        750000.00000000
        PA
        USD
        749100.00000000
        0.184572969707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1437.48000000
        0.000354184958
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            100193.51000000
            EUR
            473213.95000000
            PLN
            2022-04-25
            1437.48000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216771  IRS SEK R F  1.00000 2 CCPVANILLA / Short: SR216771  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        17050000.00000000
        OU
        Notional Amount
        
        -77185.60000000
        -0.01901798880
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.00000000
            SEK
            -421522.19000000
            SEK
            17050000.00000000
            SEK
            -33480.54000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3941.57000000
        0.000971175117
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            258723.00000000
            USD
            31910817.00000000
            JPY
            2022-06-15
            3941.57000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GR8
        
          
        
        25000.00000000
        PA
        USD
        26727.75000000
        0.006585529556
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-03-01
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1597.79000000
        -0.00039368421
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            291315.84000000
            EUR
            320713.98000000
            USD
            2022-04-05
            -1597.79000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137BPDJ5
        
          
        
        646232.35000000
        PA
        USD
        101933.46000000
        0.025115687391
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-15
          Floating
          5.60300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER HLDGS CORP
        529900IKZG65COT1D505
        Schlumberger Holdings Corp
        806851AK7
        
          
        
        65000.00000000
        PA
        USD
        65690.95000000
        0.016185787911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-17
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR217331  IRS KRW R F  2.50000 CCPNDF / Short: SR217331  IRS KRW P V 03MKWCDC CCPNDF
        000000000
        
          
        
        940280000.00000000
        OU
        Notional Amount
        
        -12738.02000000
        -0.00313855850
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-06-15
            4351258.00000000
            KRW
            0.00000000
            KRW
            940280000.00000000
            KRW
            -16361.70000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5571.24000000
        0.001372714339
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1456783.02000000
            USD
            110999582.26000000
            INR
            2022-04-04
            5571.24000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        NatWest Group PLC
        780097BM2
        
          
        
        200000.00000000
        PA
        USD
        198500.00000000
        0.048909003453
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-11-01
          Fixed
          3.75400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1954.88000000
        -0.00048166867
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            327475.37000000
            EUR
            482310.64000000
            AUD
            2022-06-15
            -1954.88000000
          
        
        
          N
          N
          N
        
      
      
        Trysail CLO Ltd
        N/A
        Trysail CLO 2021-1 Ltd
        89855AAC0
        
          
        
        3900000.00000000
        PA
        USD
        3883362.60000000
        0.956833223243
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-20
          Floating
          1.57400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        18715.17000000
        0.004611286217
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            86464059.00000000
            JPY
            730418.83000000
            USD
            2022-06-15
            18715.17000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSNZUS2022042706955
        000000000
        
          
        
        -2060000.00000000
        OU
        Notional Amount
        
        -18342.88000000
        -0.00451955658
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -18342.88000000
                    0.00000000
                    DFE
                    
                    US
                  
                  -2060000.00000000
                  NZD
                  -1432730.00000000
                  USD
                  2022-04-27
                
              
            
            1.00000000
            0.69550000
            NZD
            2022-04-27
            XXXX
            -675.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        170.11000000
        0.000041913907
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            87236.30000000
            NZD
            60586.74000000
            USD
            2022-05-12
            170.11000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703TAD8
        
          
        
        325000.00000000
        PA
        USD
        352631.50000000
        0.086885920661
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -36237.66000000
        -0.00892870447
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1808180.80000000
            CAD
            1409853.49000000
            USD
            2022-06-15
            -36237.66000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -2476.68000000
        -0.00061023652
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            87845752.91000000
            INR
            1154839.49000000
            USD
            2022-04-04
            -2476.68000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSNZUS2022042706835
        000000000
        
          
        
        4119000.00000000
        OU
        Notional Amount
        
        16602.78000000
        0.004090808183
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    16602.78000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  2815336.50000000
                  USD
                  4119000.00000000
                  NZD
                  2022-04-27
                
              
            
            1.00000000
            0.68350000
            NZD
            2022-04-27
            XXXX
            -1088.02000000
          
        
        
          N
          N
          N
        
      
      
        ROGERS COMMUNICATIONS IN
        54930030NVF3Y2OL0A78
        Rogers Communications Inc
        775109BG5
        
          
        
        45000.00000000
        PA
        USD
        44413.65000000
        0.010943210887
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2048-02-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PTCITUSZA2022042114483
        000000000
        
          
        
        -1432000.00000000
        OU
        Notional Amount
        USD
        -10997.76000000
        -0.00270977068
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -10997.76000000
                    0.00000000
                    DFE
                    
                    ZA
                  
                  -1432000.00000000
                  USD
                  -20739656.00000000
                  ZAR
                  2022-04-21
                
              
            
            1.00000000
            14.48300000
            USD
            2022-04-21
            XXXX
            -2921.28000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX003089  CDS USD R F  1.00000 2 CCPCDX / Short: SX003089  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        850000.00000000
        OU
        Notional Amount
        USD
        -285.94000000
        -0.00007045360
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Asia ex-Japan IG S28
                4ABCAMBH8
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -3183.77000000
            USD
            850000.00000000
            USD
            2897.83000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YWG5
        
          
        
        218141.24000000
        PA
        USD
        33394.11000000
        0.008228073759
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217420  IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BR217420  IRS PLN P F  3.75000 2 CCPVANILLA
        000000000
        
          
        
        2026565.00000000
        OU
        Notional Amount
        
        37052.17000000
        0.009129394007
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-06-15
            106243.93000000
            PLN
            0.00000000
            PLN
            2026565.00000000
            PLN
            13964.18000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YR64
        
          
        
        467305.45000000
        PA
        USD
        66078.91000000
        0.016281378525
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BQ2
        
          
        
        55000.00000000
        PA
        USD
        56958.00000000
        0.014034050472
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-25
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        CTMSIUSIL2022042132675
        000000000
        
          
        
        2876000.00000000
        OU
        Notional Amount
        USD
        3661.15000000
        0.000902081601
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    3661.15000000
                    0.00000000
                    DFE
                    
                    US
                  
                  9397330.00000000
                  ILS
                  2876000.00000000
                  USD
                  2022-04-21
                
              
            
            1.00000000
            3.26750000
            USD
            2022-04-21
            XXXX
            -9971.09000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS03897A SWAPTION SONIO SEP22 0.363 CALL
        000000000
        
          
        
        -1440000.00000000
        NC
        
        -1677.52000000
        -0.00041332912
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank N.A.
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    1440000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1677.52000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-09-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1440000.00000000
                  GBP
                
              
            
            1.00000000
            0.36300000
            GBP
            2022-09-08
            XXXX
            24980.03000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YDZ28
        
          
        
        12852.28000000
        PA
        USD
        13075.93000000
        0.003221817156
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        96562.94000000
        0.023792429047
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1651895.39000000
            USD
            2336000.00000000
            AUD
            2022-04-21
            96562.94000000
          
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAL7
        
          
        
        165000.00000000
        PA
        USD
        190634.40000000
        0.046970974951
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-07-15
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASBURY AUTOMOTIVE GROUP
        549300JH4DTA7U42GL91
        Asbury Automotive Group Inc
        043436AV6
        
          
        
        501000.00000000
        PA
        USD
        469687.50000000
        0.115727695513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JZN2
        
          
        
        425000.00000000
        PA
        USD
        433083.50000000
        0.106708727441
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-23
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2428.87000000
        -0.00059845647
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            297797.36000000
            EUR
            3075561.79000000
            SEK
            2022-04-25
            -2428.87000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E0EH4
        
          
        
        231726.80000000
        PA
        USD
        240653.70000000
        0.059295378560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6680.74000000
        -0.00164608733
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            771315.60000000
            USD
            58172622.55000000
            INR
            2022-04-13
            -6680.74000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        80000.00000000
        PA
        
        70799.98000000
        0.017444616958
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CB9
        
          
        
        25000.00000000
        PA
        USD
        21937.25000000
        0.005405184060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Ltd
        N/A
        Benefit Street Partners CLO V-B Ltd
        08181JAA0
        
          
        
        2009000.00000000
        PA
        USD
        1997693.35000000
        0.492217586668
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.34400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5959.65000000
        -0.00146841583
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1626978.30000000
            USD
            1234037.36000000
            GBP
            2022-04-05
            -5959.65000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -949.12000000
        -0.00023385649
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            288683.22000000
            EUR
            318458.58000000
            USD
            2022-04-06
            -949.12000000
          
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BH6
        
          
        
        60000.00000000
        PA
        USD
        60666.60000000
        0.014947823420
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2029-03-07
          Fixed
          3.74100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MVJ0
        
          
        
        149396.77000000
        PA
        USD
        22669.32000000
        0.005585560958
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          5.80100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        
        486.13000000
        0.000119779011
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3163006.67000000
            CZK
            142529.14000000
            USD
            2022-06-15
            486.13000000
          
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust 2016-UBS10
        06054MAW3
        
          
        
        500000.00000000
        PA
        USD
        423283.72000000
        0.104294130595
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EF6
        
          
        
        300000.00000000
        PA
        USD
        296073.00000000
        0.072950304178
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2034-07-24
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PTUBSNZUS2022042606830
        000000000
        
          
        
        4124000.00000000
        OU
        Notional Amount
        
        15331.06000000
        0.003777465322
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Purchased
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    15331.06000000
                    0.00000000
                    DFE
                    
                    NZ
                  
                  2816692.00000000
                  USD
                  4124000.00000000
                  NZD
                  2022-04-26
                
              
            
            1.00000000
            0.68300000
            NZD
            2022-04-26
            XXXX
            -2408.70000000
          
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAE3
        
          
        
        950000.00000000
        PA
        USD
        961960.50000000
        0.237020299327
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1166.31000000
        0.000287370578
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            151737.00000000
            USD
            191189.08000000
            CAD
            2022-06-15
            1166.31000000
          
        
        
          N
          N
          N
        
      
      
        LUKOIL SECURITIES BV
        724500IVNQ6LF8OFIO42
        Lukoil Securities BV
        54988LAB2
        
          
        
        210000.00000000
        PA
        USD
        108150.00000000
        0.026647399110
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-06
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALE OVERSEAS LIMITED
        254900BA3U6G5DNV5V04
        Vale Overseas Ltd
        91911TAP8
        
          
        
        134000.00000000
        PA
        USD
        147091.80000000
        0.036242384655
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-08-10
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217587  IRS AUD R F  2.48000 2 CCPVANILLA / Short: SR217587  IRS AUD P V 03MBBSW 1 CCPVANILLA
        000000000
        
          
        
        7530000.00000000
        OU
        Notional Amount
        
        -35751.05000000
        -0.00880880719
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-14
            39.53000000
            AUD
            0.00000000
            AUD
            7530000.00000000
            AUD
            -35779.85000000
          
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742AW5
        
          
        
        40000.00000000
        PA
        USD
        47903.20000000
        0.011803011457
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2041-07-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON BANCSHARES
        549300XTVCVV9I7B5T19
        Huntington Bancshares Inc/OH
        446150AM6
        
          
        
        825000.00000000
        PA
        USD
        841425.75000000
        0.207321384949
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PRIVATE CRE
        549300ORP3TTCNXSYO43
        Blackstone Private Credit Fund
        09261HAC1
        
          
        
        70000.00000000
        PA
        USD
        62820.80000000
        0.015478603144
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382KVX8
        
          
        
        1562544.04000000
        PA
        USD
        190537.25000000
        0.046947037875
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217311  IRS USD R F  1.81000 2 CCPOIS / Short: SR217311  IRS USD P V 00MSOFR 1 CCPOIS
        000000000
        
          
        
        5280000.00000000
        OU
        Notional Amount
        USD
        -125650.80000000
        -0.03095947310
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-02-09
            0.00000000
            USD
            -8049.27000000
            USD
            5280000.00000000
            USD
            -117601.53000000
          
        
        
          N
          N
          N
        
      
      
        NEXTERA ENERGY CAPITAL
        UMI46YPGBLUE4VGNNT48
        NextEra Energy Capital Holdings Inc
        65339KBW9
        
          
        
        525000.00000000
        PA
        USD
        483719.25000000
        0.119185019993
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAM6
        
          
        
        782000.00000000
        PA
        USD
        722372.50000000
        0.177987501748
        Long
        DBT
        
        US
        N
        
        2
        
          2031-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        55655.81000000
        0.013713200017
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1360000.00000000
            GBP
            1842137.68000000
            USD
            2022-04-05
            55655.81000000
          
        
        
          N
          N
          N
        
      
      
        CHENIERE ENERGY PARTNERS
        5493005UEC8AZ34LDV29
        Cheniere Energy Partners LP
        16411QAG6
        
          
        
        1220000.00000000
        PA
        USD
        1226100.00000000
        0.302102413773
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379VUJ1
        
          
        
        181383.91000000
        PA
        USD
        19932.59000000
        0.004911249940
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REALTY INCOME CORP
        549300CUWDAUZSH43859
        Realty Income Corp
        756109BL7
        
          
        
        400000.00000000
        PA
        USD
        377896.00000000
        0.093110915712
        Long
        DBT
        
        US
        N
        
        2
        
          2032-12-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04856A SWAPTION EUR006M
        000000000
        
          
        
        -2710000.00000000
        NC
        
        -33111.62000000
        -0.00815847021
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    2710000.00000000
                    OU
                    Notional Amount
                    N/A
                    -33111.62000000
                    -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
            -2813.04000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CS3
        
          
        
        200000.00000000
        PA
        USD
        210475.00000000
        0.051859559203
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2030-10-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGL CLO 3 Ltd.
        549300LS0REDUXQSHW18
        AGL CLO 3 LTD
        00119MAA7
        
          
        
        1300000.00000000
        PA
        USD
        1288557.40000000
        0.317491477714
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.54100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BZ1
        
          
        
        600000.00000000
        PA
        USD
        603174.00000000
        0.148617829969
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-11
          Fixed
          3.80300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        549300Y1XB6AVMQY8652
        OZLM XIV Ltd
        67110HBW7
        
          
        
        1300000.00000000
        PA
        USD
        1292655.00000000
        0.318501097526
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-07-15
          Floating
          3.63100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -1918.66000000
        -0.00047274432
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            27632405.32000000
            INR
            358420.20000000
            USD
            2022-06-15
            -1918.66000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KU4
        
          
        
        475000.00000000
        PA
        USD
        482495.50000000
        0.118883496603
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-25
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7R98
        
          
        
        251763.51000000
        PA
        USD
        261172.49000000
        0.064351064057
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        35126.06000000
        0.008654814054
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            74626.33000000
            USD
            9440230.75000000
            RUB
            2022-05-04
            35126.06000000
          
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAG0
        
          
        
        300000.00000000
        PA
        USD
        306270.00000000
        0.075462773237
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PTMSIUSCN2022042163250
        000000000
        
          
        
        -1450000.00000000
        OU
        Notional Amount
        USD
        -1458.70000000
        -0.00035941341
        N/A
        DFE
        
        US
        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
                    -1458.70000000
                    0.00000000
                    DFE
                    
                    CN
                  
                  -1450000.00000000
                  USD
                  -9171250.00000000
                  CNY
                  2022-04-21
                
              
            
            1.00000000
            6.32500000
            USD
            2022-04-21
            XXXX
            762.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY36
        
          
        
        152.85000000
        PA
        USD
        155.28000000
        0.000038259899
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAE0
        
          
        
        225000.00000000
        PA
        USD
        236389.50000000
        0.058244709681
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-06
          Fixed
          4.23400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04504A SWAPTION US0003M
        000000000
        
          
        
        -11400000.00000000
        NC
        USD
        -2272.02000000
        -0.00055980974
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    11400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -2272.02000000
                    0.00000000
                    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
            34207.98000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217234  IRS CAD R F  2.10000 2 CCPVANILLA / Short: SR217234  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        1270000.00000000
        OU
        Notional Amount
        
        -74228.38000000
        -0.01828935059
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2033-12-18
            6640.24000000
            CAD
            0.00000000
            CAD
            1270000.00000000
            CAD
            -76163.72000000
          
        
        
          N
          N
          N
        
      
      
        Cathedral Lake LTD
        N/A
        Cathedral Lake VII Ltd
        14919HAJ2
        
          
        
        1000000.00000000
        PA
        USD
        958319.00000000
        0.236123059346
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-15
          Floating
          4.52100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIKE INC
        787RXPR0UX0O0XUXPZ81
        NIKE Inc
        654106AK9
        
          
        
        65000.00000000
        PA
        USD
        64168.65000000
        0.015810703901
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-27
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HRX0
        
          
        
        425000.00000000
        PA
        USD
        426857.25000000
        0.105174623245
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358WXQ2
        
          
        
        375000.00000000
        PA
        USD
        438793.91000000
        0.108115732289
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2065-10-15
          Fixed
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119CA5
        
          
        
        875000.00000000
        PA
        USD
        842187.50000000
        0.207509074790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAD4
        
          
        
        1175000.00000000
        PA
        USD
        1164530.75000000
        0.286932183744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4655.22000000
        -0.00114701345
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            385398.22000000
            USD
            28966530.22000000
            INR
            2022-04-13
            -4655.22000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YR23
        
          
        
        305102.39000000
        PA
        USD
        38614.34000000
        0.009514301704
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -288274.41000000
        -0.07102878646
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            886000.00000000
            USD
            9287938.00000000
            TRY
            2022-06-14
            -288274.41000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        86765BAV1
        
          
        
        75000.00000000
        PA
        USD
        78318.00000000
        0.019297004193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128QJ4T0
        
          
        
        21741.48000000
        PA
        USD
        22687.45000000
        0.005590028062
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          2.00500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOLP Trust
        N/A
        DOLP Trust 2021-NYC
        23345LAA7
        
          
        
        1100000.00000000
        PA
        USD
        1033966.13000000
        0.254761979963
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-05-10
          Fixed
          2.95600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -14474.98000000
        -0.00356653323
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            833354.04000000
            USD
            62299464.65000000
            INR
            2022-04-13
            -14474.98000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216634  IRS NZD R F  1.25000 2 CCPVANILLA / Short: SR216634  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        7470000.00000000
        OU
        Notional Amount
        
        -42396.18000000
        -0.01044612047
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-12-15
            0.00000000
            NZD
            -8279.74000000
            NZD
            7470000.00000000
            NZD
            -36472.59000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1.52000000
        -0.00000037451
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            184860.00000000
            USD
            1176929.68000000
            CNY
            2022-04-28
            -1.52000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217310  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR217310  IRS USD P F  1.73000 2 CCPOIS
        000000000
        
          
        
        5090000.00000000
        OU
        Notional Amount
        USD
        54520.52000000
        0.013433472548
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-02-09
            1440.99000000
            USD
            0.00000000
            USD
            5090000.00000000
            USD
            53079.53000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1102.00000000
        -0.00027152504
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            340567.13000000
            USD
            1631233.47000000
            BRL
            2022-05-03
            -1102.00000000
          
        
        
          N
          N
          N
        
      
      
        Fidelity National Information Services Inc
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        31622GDC8
        
          
        
        2400000.00000000
        PA
        USD
        2399488.01000000
        0.591216964066
        Long
        STIV
        CORP
        US
        N
        
        2
        
          2022-04-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLATION BRANDS INC
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBE7
        
          
        
        625000.00000000
        PA
        USD
        603431.25000000
        0.148681214559
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RFU1
        
          
        
        175000.00000000
        PA
        USD
        200469.50000000
        0.049394274396
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-15
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379EW73
        
          
        
        200977.49000000
        PA
        USD
        17050.21000000
        0.004201051787
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-10-20
          Floating
          5.65100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS006086  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006086  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        60000.00000000
        OU
        Notional Amount
        USD
        -10385.93000000
        -0.00255902008
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of Turkey
                Republic of Turkey
                
                  
                  
                
              
            
            Y
            
            sell protection
            2026-12-20
            0.00000000
            USD
            -11124.43000000
            USD
            60000.00000000
            USD
            738.50000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        52132.21000000
        PA
        USD
        58689.75000000
        0.014460741488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -795.75000000
        -0.00019606720
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            365342.92000000
            USD
            5235912057.98000000
            IDR
            2022-05-13
            -795.75000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -21944.23000000
        -0.00540690388
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            853756.19000000
            AUD
            617772.00000000
            USD
            2022-06-15
            -21944.23000000
          
        
        
          N
          N
          N
        
      
      
        HOWMET AEROSPACE INC
        549300HO5WFZUT5N2T22
        Howmet Aerospace Inc
        443201AB4
        
          
        
        1160000.00000000
        PA
        USD
        1054150.00000000
        0.259735143527
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128LXBH2
        
          
        
        2580.18000000
        PA
        USD
        2776.35000000
        0.000684073106
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -1791.18000000
        -0.00044133415
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4459285.04000000
            CNY
            698901.49000000
            USD
            2022-04-22
            -1791.18000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY28
        
          
        
        278.71000000
        PA
        USD
        282.84000000
        0.000069689786
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5300.07000000
        0.001305899959
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            148495.93000000
            USD
            2269448.45000000
            ZAR
            2022-06-15
            5300.07000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217664  IRS USD R F  2.13000 2 CCPOIS / Short: SR217664  IRS USD P V 00MSOFR 1 CCPOIS
        000000000
        
          
        
        5240000.00000000
        OU
        Notional Amount
        USD
        -13927.40000000
        -0.00343161337
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2031-11-15
            0.00000000
            USD
            -26457.45000000
            USD
            5240000.00000000
            USD
            12530.05000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        1741.96000000
        PA
        USD
        1863.21000000
        0.000459081835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Ltd.
        K9WDOH4D2PYBSLSOB484
        CTBAREUSE2022042710330
        000000000
        
          
        
        -428000.00000000
        OU
        Notional Amount
        
        -5908.97000000
        -0.00145592863
        N/A
        DFE
        
        DE
        N
        
        2
        
          
            
              Barclays Capital Securities Ltd.
              K9WDOH4D2PYBSLSOB484
            
            Call
            Written
            
              
                
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                  
                  
                    Barclays Capital Securities Ltd.
                    K9WDOH4D2PYBSLSOB484
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    -5908.97000000
                    0.00000000
                    DFE
                    
                    SE
                  
                  -428000.00000000
                  EUR
                  -4421240.00000000
                  SEK
                  2022-04-27
                
              
            
            1.00000000
            10.33000000
            EUR
            2022-04-27
            XXXX
            -1163.52000000
          
        
        
          N
          N
          N
        
      
      
        MATCH GROUP HLD II LLC
        N/A
        Match Group Holdings II LLC
        57667JAA0
        
          
        
        290000.00000000
        PA
        USD
        260275.00000000
        0.064129928835
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-01
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9TW3
        
          
        
        350057.48000000
        PA
        USD
        369933.85000000
        0.091149097970
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHR3
        
          
        
        50000.00000000
        PA
        USD
        50314.50000000
        0.012397138812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.45800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        OPS04831A SWAPTION SOFRRATE
        000000000
        
          
        
        -3700000.00000000
        NC
        USD
        -53647.04000000
        -0.01321825322
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank AG
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -53647.04000000
                    -0.01000000
                    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
            -17479.54000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBL9
        
          
        
        25000.00000000
        PA
        USD
        23149.75000000
        0.005703935529
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-22
          Fixed
          2.52200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        OPS04065A SWAPTION SONIO
        000000000
        
          
        
        -1750000.00000000
        NC
        
        -6951.37000000
        -0.00171276866
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1750000.00000000
                    OU
                    Notional Amount
                    N/A
                    -6951.37000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-11-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1750000.00000000
                  GBP
                
              
            
            1.00000000
            0.55250000
            GBP
            2022-11-15
            XXXX
            32825.96000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VGM0
        
          
        
        1004000.00000000
        PA
        USD
        907726.44000000
        0.223657408506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          2.35500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3132Y1WP9
        
          
        
        1317504.48000000
        PA
        USD
        1393830.41000000
        0.343430006730
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300WCW8E0MUEMAH47
        SLM Student Loan Trust 2005-5
        78442GPQ3
        
          
        
        530073.88000000
        PA
        USD
        527431.57000000
        0.129955428103
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-10-25
          Floating
          0.39800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KG9
        
          
        
        165943.27000000
        PA
        USD
        172482.02000000
        0.042498356230
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        1027.07000000
        0.000253062822
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            23153829.35000000
            INR
            306065.16000000
            USD
            2022-04-04
            1027.07000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        OPS02950A SWAPTION US0003M
        000000000
        
          
        
        10200000.00000000
        NC
        USD
        2089.98000000
        0.000514956367
        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
                    
                      
                    
                    10200000.00000000
                    OU
                    Notional Amount
                    N/A
                    2089.98000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                    
                      
                    
                  
                  2027-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10200000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2022-11-14
            XXXX
            -101148.89000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR216597  IRS CAD R F  2.25000 2 CCPVANILLA / Short: SR216597  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        1020000.00000000
        OU
        Notional Amount
        
        -102346.27000000
        -0.02521740087
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2051-12-15
            0.00000000
            CAD
            -53813.65000000
            CAD
            1020000.00000000
            CAD
            -53926.74000000
          
        
        
          N
          N
          N
        
      
      
        SAMHALLSBYGGNADSBOLAGET
        549300HX9MRFY47AH564
        Samhallsbyggnadsbolaget i Norden AB
        000000000
        
          
        
        410000.00000000
        PA
        
        380711.21000000
        0.093804563650
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2025-12-14
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W0FU8
        
          
        
        12250.89000000
        PA
        USD
        12299.38000000
        0.003030480699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1268.95000000
        -0.00031266035
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2324813.40000000
            SEK
            222300.00000000
            EUR
            2022-04-25
            -1268.95000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OC8
        232434AE0
        
          
        
        1456236.78000000
        PA
        USD
        1315896.77000000
        0.324227706136
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.95700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABN AMRO BANK NV
        BFXS5XCH7N0Y05NIXW11
        ABN AMRO Bank NV
        000000000
        
          
        
        400000.00000000
        PA
        
        443699.08000000
        0.109324331667
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2025-09-22
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRONOX INC
        549300EPZ4YXC7E5P181
        Tronox Inc
        897051AC2
        
          
        
        990000.00000000
        PA
        USD
        925650.00000000
        0.228073647589
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MEF7
        
          
        
        30000.00000000
        PA
        USD
        38435.70000000
        0.009470286065
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-03-01
          Fixed
          6.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2N3
        
          
        
        725000.00000000
        PA
        USD
        660402.50000000
        0.162718529738
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-13
          Fixed
          1.32300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Phillips 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AR5
        
          
        
        65000.00000000
        PA
        USD
        66127.10000000
        0.016293252202
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        21600.00000000
        PA
        USD
        23007.02000000
        0.005668767862
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JACKSON FINANCIAL INC
        213800WXW2KG1N4CO374
        Jackson Financial Inc
        46817MAM9
        
          
        
        35000.00000000
        PA
        USD
        29666.35000000
        0.007309579922
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-11-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSCANADA PIPELINES
        5BV01I6231JPDAPMGH09
        TransCanada PipeLines Ltd
        89352HAT6
        
          
        
        55000.00000000
        PA
        USD
        57745.60000000
        0.014228109570
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-01-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H030641
        
          
        
        17000000.00000000
        PA
        USD
        16803493.60000000
        4.140262602065
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217019  IRS CAD R F  2.00000 2 CCPVANILLA / Short: SR217019  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        12090000.00000000
        OU
        Notional Amount
        
        -737587.19000000
        -0.18173629432
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            0.00000000
            CAD
            -588263.35000000
            CAD
            12090000.00000000
            CAD
            -272202.88000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -850.78000000
        -0.00020962620
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            342878.26000000
            CHF
            371442.16000000
            USD
            2022-06-15
            -850.78000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S2P1
        
          
        
        1557135.85000000
        PA
        USD
        1580907.93000000
        0.389524591474
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BL3
        
          
        
        150000.00000000
        PA
        USD
        145347.00000000
        0.035812478211
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1436.08000000
        0.000353840008
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            465915.99000000
            USD
            422407.97000000
            EUR
            2022-04-05
            1436.08000000
          
        
        
          N
          N
          N
        
      
      
        State Street Corp
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BD4
        
          
        
        60000.00000000
        PA
        USD
        62730.00000000
        0.015456230663
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-03
          Fixed
          4.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XZSV4
        
          
        
        335450.48000000
        PA
        USD
        334052.62000000
        0.082308215340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wellfleet CLO Ltd
        254900A99ZMAJM1OOV76
        Wellfleet CLO X LTD
        94949WAM8
        
          
        
        2375000.00000000
        PA
        USD
        2348594.75000000
        0.578677222862
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-07-20
          Floating
          1.42400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Visa Inc
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAE2
        
          
        
        60000.00000000
        PA
        USD
        65469.60000000
        0.016131248828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-12-14
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -5137.92000000
        -0.00126594734
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            110999582.26000000
            INR
            1456591.85000000
            USD
            2022-04-05
            -5137.92000000
          
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BX0
        
          
        
        200000.00000000
        PA
        USD
        199000.00000000
        0.049032199935
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-09-17
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBH5
        
          
        
        65000.00000000
        PA
        USD
        65915.20000000
        0.016241041533
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005888  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005888  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        210000.00000000
        OU
        Notional Amount
        USD
        3518.61000000
        0.000866960748
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            2039.45000000
            USD
            0.00000000
            USD
            210000.00000000
            USD
            1479.16000000
          
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAQ1
        
          
        
        225000.00000000
        PA
        USD
        227650.50000000
        0.056091481564
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137B9HA6
        
          
        
        330773.40000000
        PA
        USD
        44989.18000000
        0.011085017430
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          5.65300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM GROWTH/MGM FINANCE
        N/A
        MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
        55303XAL9
        
          
        
        813000.00000000
        PA
        USD
        804870.00000000
        0.198314305337
        Long
        DBT
        
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marble Point CLO Ltd.
        254900N4UCG37B1HFL93
        Marble Point CLO XIV Ltd
        56608KAN3
        
          
        
        2900000.00000000
        PA
        USD
        2877008.80000000
        0.708874727125
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          1.53400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1918.88000000
        -0.00047279853
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            82870.00000000
            USD
            9834658.00000000
            JPY
            2022-06-15
            -1918.88000000
          
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAA4
        
          
        
        375000.00000000
        PA
        USD
        379110.00000000
        0.093410036771
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A7NR9
        
          
        
        145655.68000000
        PA
        USD
        19314.60000000
        0.004758981552
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Floating
          6.21300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        312941Z42
        
          
        
        1363.40000000
        PA
        USD
        1465.37000000
        0.000361056858
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        20754KAF8
        
          
        
        760000.00000000
        PA
        USD
        703898.32000000
        0.173435593771
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.39900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABF1
        
          
        
        65000.00000000
        PA
        USD
        65273.00000000
        0.016082807971
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -657.26000000
        -0.00016194423
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            111797.40000000
            EUR
            1157002.47000000
            SEK
            2022-04-25
            -657.26000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -2849.74000000
        -0.00070215588
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            529532.36000000
            NZD
            363659.00000000
            USD
            2022-06-15
            -2849.74000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AC2
        
          
        
        875000.00000000
        PA
        USD
        875008.75000000
        0.215595999876
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2028-01-09
          Fixed
          4.28200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31296NDL8
        
          
        
        1204.45000000
        PA
        USD
        1288.29000000
        0.000317425592
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR217028  IRS AUD R F  1.25000 2 CCPVANILLA / Short: SR217028  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        24910000.00000000
        OU
        Notional Amount
        
        -1463906.74000000
        -0.36069632142
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-03-16
            0.00000000
            AUD
            -944778.77000000
            AUD
            24910000.00000000
            AUD
            -642465.82000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CK3
        
          
        
        525000.00000000
        PA
        USD
        472500.00000000
        0.116420675726
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2032-05-28
          Fixed
          3.03500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BW8
        
          
        
        580000.00000000
        PA
        USD
        588676.80000000
        0.145045821884
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAD5
        
          
        
        1175000.00000000
        PA
        USD
        1156458.50000000
        0.284943238136
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX002964  CDS USD R F  3.00000 2 CMBX / Short: CX002964  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        -79843.80000000
        -0.01967295057
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -272263.04000000
            USD
            1000000.00000000
            USD
            192419.24000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7EV4
        
          
        
        26962.07000000
        PA
        USD
        29097.37000000
        0.007169387253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDS8
        
          
        
        225000.00000000
        PA
        USD
        268524.00000000
        0.066162424399
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR217043  IRS JPY R V 12MLIBOR CCPVANILLA / Short: BR217043  IRS JPY P F   .00000 CCPVANILLA
        000000000
        
          
        
        435520000.00000000
        OU
        Notional Amount
        
        92446.94000000
        0.022778275605
        N/A
        DIR
        
        JP
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            9909340.00000000
            JPY
            0.00000000
            JPY
            435520000.00000000
            JPY
            7439.69000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7M1
        
          
        
        179938.00000000
        PA
        USD
        187618.94000000
        0.046227986822
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        773.90000000
        0.000190683515
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            516490.60000000
            NZD
            358255.96000000
            USD
            2022-06-15
            773.90000000
          
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CK6
        
          
        
        100000.00000000
        PA
        USD
        91607.00000000
        0.022571320298
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        10079.42000000
        0.002483498174
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            42974570.00000000
            JPY
            363812.05000000
            USD
            2022-06-15
            10079.42000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R02
        20753KAB8
        
          
        
        125491.81000000
        PA
        USD
        125532.48000000
        0.030930319888
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-25
          Floating
          2.75700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AG1
        
          
        
        235000.00000000
        PA
        USD
        238701.25000000
        0.058814308617
        Long
        DBT
        
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BP6
        
          
        
        25000.00000000
        PA
        USD
        26290.25000000
        0.006477732634
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-15
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -1318.70000000
        -0.00032491840
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            103230.79000000
            CHF
            110768.00000000
            USD
            2022-06-15
            -1318.70000000
          
        
        
          N
          N
          N
        
      
      
        HSBC Bank PLC
        MP6I5ZYZBEU3UXPYFY54
        CTHSBUSSG2022040413620
        000000000
        
          
        
        6304298.92000000
        OU
        Notional Amount
        USD
        1040.21000000
        0.000256300425
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              HSBC Bank PLC
              MP6I5ZYZBEU3UXPYFY54
            
            Call
            Purchased
            
              
                
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                  
                  
                    HSBC Bank PLC
                    MP6I5ZYZBEU3UXPYFY54
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    1040.21000000
                    0.00000000
                    DFE
                    
                    US
                  
                  8586455.13000000
                  SGD
                  6304298.92000000
                  USD
                  2022-04-04
                
              
            
            1.00000000
            1.36200000
            USD
            2022-04-04
            XXXX
            -13554.24000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H032647
        
          
        
        13000000.00000000
        PA
        USD
        13076451.70000000
        3.221945699507
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2052-04-21
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRACTOR SUPPLY CO
        549300OJ9VZHZRO6I137
        Tractor Supply Co
        892356AA4
        
          
        
        400000.00000000
        PA
        USD
        343804.00000000
        0.084710886767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137FUKH6
        
          
        
        318904.33000000
        PA
        USD
        60978.65000000
        0.015024710344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAF9
        
          
        
        1025000.00000000
        PA
        USD
        1037587.00000000
        0.255654136856
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lear Corp
        549300UPNBTXA1SYTQ33
        Lear Corp
        521865AZ8
        
          
        
        30000.00000000
        PA
        USD
        32200.20000000
        0.007933902735
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-05-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Municipal Power Inc
        EARKGGZJJEMVD66XQ486
        AMERICAN MUNI PWR-OHIO INC OH REVENUE
        02765UEQ3
        
          
        
        245000.00000000
        PA
        USD
        308805.06000000
        0.076087394186
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-02-15
          Fixed
          6.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHEVRON USA INC
        VA8TZDWPEZYU430RZ444
        Chevron USA Inc
        166756AE6
        
          
        
        70000.00000000
        PA
        USD
        65339.40000000
        0.016099168464
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-12
          Fixed
          0.68700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810QQ4
        
          
        
        17000000.00000000
        PA
        USD
        21592656.25000000
        5.320278584872
        Long
        DBT
        UST
        US
        N
        
        1
        
          2041-05-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742BG9
        
          
        
        250000.00000000
        PA
        USD
        249592.50000000
        0.061497835992
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-07-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADOBE INC
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724PAC3
        
          
        
        450000.00000000
        PA
        USD
        437098.50000000
        0.107697995193
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BG65
        
          
        
        103508.64000000
        PA
        USD
        13187.70000000
        0.003249356497
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.60100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBF8
        
          
        
        50000.00000000
        PA
        USD
        53978.00000000
        0.013299799437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-03-19
          Fixed
          4.22700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MF5
        
          
        
        65000.00000000
        PA
        USD
        65174.85000000
        0.016058624502
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-24
          Fixed
          3.35200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIZENS FINANCIAL GROUP
        2138004JDDA4ZQUPFW65
        Citizens Financial Group Inc
        174610AR6
        
          
        
        65000.00000000
        PA
        USD
        64031.50000000
        0.015776911106
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-27
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        CTCITUSZA2022042115315
        000000000
        
          
        
        1432000.00000000
        OU
        Notional Amount
        USD
        3779.05000000
        0.000931131332
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            Call
            Purchased
            
              
                
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank N.A.
                    E57ODZWZ7FF32TWEFA76
                    FX Contract
                    N/A
                    
                      
                    
                    1.00000000
                    NC
                    USD
                    3779.05000000
                    0.00000000
                    DFE
                    
                    US
                  
                  21931080.00000000
                  ZAR
                  1432000.00000000
                  USD
                  2022-04-21
                
              
            
            1.00000000
            15.31500000
            USD
            2022-04-21
            XXXX
            -5865.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -8048.41000000
        -0.00198307159
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            250547328.00000000
            CLP
            308837.28000000
            USD
            2022-04-27
            -8048.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        671219.76000000
        0.165383826497
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            17089264.50000000
            TRY
            1771000.00000000
            USD
            2022-06-14
            671219.76000000
          
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAA7
        
          
        
        155000.00000000
        PA
        USD
        159092.00000000
        0.039199149508
        Long
        DBT
        
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAY6
        
          
        
        350000.00000000
        PA
        USD
        345786.00000000
        0.085199237622
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST HORIZON CORP
        TF3RXI1ZB1TQ30H9JV10
        First Horizon Corp
        320517AC9
        
          
        
        700000.00000000
        PA
        USD
        704074.00000000
        0.173478880087
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-26
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR216983  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR216983  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        8920000.00000000
        OU
        Notional Amount
        
        880471.50000000
        0.216941983042
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-16
            704010.31000000
            EUR
            0.00000000
            EUR
            8920000.00000000
            EUR
            167929.57000000
          
        
        
          N
          N
          N
        
      
      
        WEYERHAEUSER CO
        08IRJODWFYBI7QWRGS31
        Weyerhaeuser Co
        962166CA0
        
          
        
        200000.00000000
        PA
        USD
        194842.00000000
        0.048007697989
        Long
        DBT
        
        US
        N
        
        2
        
          2033-03-09
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        Toronto-Dominion Bank/The
        89114TZG0
        
          
        
        35000.00000000
        PA
        USD
        32231.50000000
        0.007941614835
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-09-10
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QUALCOMM Inc
        H1J8DDZKZP6H7RWC0H53
        QUALCOMM Inc
        747525AJ2
        
          
        
        35000.00000000
        PA
        USD
        39109.70000000
        0.009636354923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-05-20
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAG0
        
          
        
        700000.00000000
        PA
        USD
        686497.00000000
        0.169148030950
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FY45
        
          
        
        90002.94000000
        PA
        USD
        13614.13000000
        0.003354425849
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Floating
          5.75100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        CTCITEUSE2022042110384
        000000000
        
          
        
        -429000.00000000
        OU
        Notional Amount
        
        -4107.51000000
        -0.00101206156
        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
                    -4107.51000000
                    0.00000000
                    DFE
                    
                    SE
                  
                  -429000.00000000
                  EUR
                  -4454736.00000000
                  SEK
                  2022-04-21
                
              
            
            1.00000000
            10.38400000
            EUR
            2022-04-21
            XXXX
            631.68000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -3421.37000000
        -0.00084300149
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4556777.21000000
            CNY
            710478.90000000
            USD
            2022-06-15
            -3421.37000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -185.93000000
        -0.00004581184
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            46891.55000000
            USD
            67421.35000000
            NZD
            2022-04-29
            -185.93000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179NLE6
        
          
        
        450368.25000000
        PA
        USD
        467926.17000000
        0.115293716193
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136AWKF3
        
          
        
        507437.16000000
        PA
        USD
        85148.56000000
        0.020980006121
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Floating
          5.64300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8954.61000000
        -0.00220635290
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3595085.79000000
            SEK
            337218.44000000
            EUR
            2022-06-15
            -8954.61000000
          
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBK0
        
          
        
        125000.00000000
        PA
        USD
        130090.00000000
        0.032053260751
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        1586145.18000000
        PA
        USD
        1647852.73000000
        0.406019319204
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -3409.65000000
        -0.00084011377
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            166351.72000000
            CAD
            129630.00000000
            USD
            2022-06-15
            -3409.65000000
          
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962G3P7
        
          
        
        30000.00000000
        PA
        USD
        36069.00000000
        0.008887147836
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-01-14
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -9373.40000000
        -0.00230953981
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2439001.96000000
            TRY
            147460.82000000
            USD
            2022-06-15
            -9373.40000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR217604  IRS MXN R F  8.40000 2 CCPVANILLA / Short: SR217604  IRS MXN P V 01MTIIE 1 CCPVANILLA
        000000000
        
          
        
        5610000.00000000
        OU
        Notional Amount
        
        3675.50000000
        0.000905617341
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-06-02
            22890.26000000
            MXN
            0.00000000
            MXN
            5610000.00000000
            MXN
            2528.42000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        34046.63000000
        PA
        USD
        35371.18000000
        0.008715209898
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179WB23
        
          
        
        92250.46000000
        PA
        USD
        93174.81000000
        0.022957617652
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2051-03-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Towd Point Mortgage Trust
        N/A
        Towd Point Mortgage Trust 2017-3
        89169DAF8
        
          
        
        100000.00000000
        PA
        USD
        96935.91000000
        0.023884326231
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2057-07-25
          Variable
          3.82800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -36721.00000000
        -0.00904779604
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            263357922.02000000
            HUF
            747818.02000000
            USD
            2022-06-15
            -36721.00000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DH7
        
          
        
        1075000.00000000
        PA
        USD
        1102251.25000000
        0.271586953111
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR217232  IRS CAD R F  2.07000 2 CCPVANILLA / Short: SR217232  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        5700000.00000000
        OU
        Notional Amount
        
        -78219.70000000
        -0.01927278376
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-18
            0.00000000
            CAD
            -27856.03000000
            CAD
            5700000.00000000
            CAD
            -56245.15000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2690.45000000
        0.000662907951
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            316717.25000000
            USD
            288683.22000000
            EUR
            2022-04-06
            2690.45000000
          
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAM2
        
          
        
        200000.00000000
        PA
        USD
        203814.00000000
        0.050218335666
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LZ2
        
          
        
        510000.00000000
        PA
        USD
        516594.30000000
        0.127285201020
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          4.04400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS04069A SWAPTION SONIO
        000000000
        
          
        
        -430000.00000000
        NC
        
        -1930.55000000
        -0.00047567393
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    430000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1930.55000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                    
                      
                    
                  
                  
                  2023-11-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  430000.00000000
                  GBP
                
              
            
            1.00000000
            0.59900000
            GBP
            2022-11-16
            XXXX
            7870.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: CS005629  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005629  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        140000.00000000
        OU
        Notional Amount
        USD
        -262.95000000
        -0.00006478903
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                CHINA GOVT INTL BOND
                CHINA GOVT INTL BOND
                
                  
                  
                
              
            
            Y
            buy protection
            
            2022-06-20
            0.00000000
            USD
            -67.20000000
            USD
            140000.00000000
            USD
            -195.75000000
          
        
        
          N
          N
          N
        
      
      
        CUBESMART LP
        549300MPHKO3I3FJRA97
        CubeSmart LP
        22966RAJ5
        
          
        
        575000.00000000
        PA
        USD
        514941.25000000
        0.126877901130
        Long
        DBT
        
        US
        N
        
        2
        
          2032-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2022-04-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President
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