NPORT-P
false
0000822977
XXXXXXXX
S000013795
C000058985
C000161293
C000037820
C000202041
C000041010
C000058984
C000037818
C000037819
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
2021-03-31
2020-09-30
N
768558322.44
264762477.02
503795845.42
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
114174158.90000000
0.00000000
0.00000000
15445166.41000000
MXN
AUD
CZK
GBP
COP
KRW
INR
SGD
TWD
USD
CHF
ZAR
HUF
RUB
CAD
CLP
BRL
ILS
NOK
CNY
NZD
IDR
TRY
PLN
EUR
JPY
SEK
MYR
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
387.22000000
0.000076860498
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1743852.79000000
PLN
384515.08000000
EUR
2020-12-16
387.22000000
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CV7
1050000.00000000
PA
USD
1170771.00000000
0.232389967214
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USU7
1825785.55000000
PA
USD
1941328.20000000
0.385340255908
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAU0
175000.00000000
PA
USD
189679.00000000
0.037649973044
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
3.80000000
N
N
N
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
92933BAQ7
1141000.00000000
PA
USD
1172377.50000000
0.232708846382
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) DEC20 XCBT 20201221
000000000
42.00000000
NC
USD
-27874.57000000
-0.00553290985
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USZ0 Comdty
2020-12-21
7425124.57000000
USD
-27874.57000000
N
N
N
Entercom Media Corp
549300S5JUSXRHNCHD80
Entercom Media Corp
124847AC8
400000.00000000
PA
USD
341000.00000000
0.067686147692
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
7.25000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAH7
1125000.00000000
PA
USD
1177920.00000000
0.233808994398
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.49000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
4948.92000000
0.000982326481
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
267864.22000000
USD
6086142.94000000
MXN
2020-12-16
4948.92000000
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AR2
20000.00000000
PA
USD
25593.40000000
0.005080113350
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.45000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0206B0
14000000.00000000
PA
USD
14448735.00000000
2.867974226336
Long
ABS-MBS
USGSE
US
N
2
2050-11-15
Fixed
2.00000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAK6
30000.00000000
PA
USD
36329.10000000
0.007211075742
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
Coca-Cola Co/The
UWJKFUJFZ02DKWI3RY53
Coca-Cola Co/The
191216BE9
30000.00000000
PA
USD
32612.40000000
0.006473336431
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
3.20000000
N
N
N
N
N
N
Welltower Inc
T6IZ0MBEG5ACZDTR7D06
Welltower Inc
95040QAG9
65000.00000000
PA
USD
70344.30000000
0.013962858296
Long
DBT
US
N
2
2024-03-15
Fixed
3.63000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
1875000.00000000
PA
USD
2043018.75000000
0.405525128595
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7LA2
638.85000000
PA
USD
731.97000000
0.000145290995
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAR2
75000.00000000
PA
USD
82138.50000000
0.016303925637
Long
DBT
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214846 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214846 IRS GBP P F .50000 2 CCPVANILLA
000000000
5040000.00000000
OU
Notional Amount
-94318.23000000
-0.01872151802
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-12-16
0.00000000
GBP
-70319.04000000
GBP
5040000.00000000
GBP
-1725.68000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
400000.00000000
PA
USD
412752.00000000
0.081928424728
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.88000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAQ1
225000.00000000
PA
USD
257071.50000000
0.051026919403
Long
DBT
CORP
US
N
2
2026-12-06
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMC60
9418907.41000000
PA
USD
10320450.75000000
2.048538280699
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
WILLIS NORTH AMERICA INC
5493004KVU1HWZCP0C66
Willis North America Inc
970648AJ0
205000.00000000
PA
USD
221404.10000000
0.043947186546
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
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
-2084.68000000
-0.00041379459
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
China Government International Bond
China Government International Bond
Y
buy protection
2022-06-20
0.00000000
USD
-526.60000000
USD
140000.00000000
USD
-1558.08000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDK4
550000.00000000
PA
USD
621857.50000000
0.123434424013
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005453 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005453 CDS USD P F 1.00000 2 CORPORATE
000000000
120000.00000000
OU
Notional Amount
USD
-242.47000000
-0.00004812862
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2020-12-20
37.16000000
USD
0.00000000
USD
120000.00000000
USD
-279.63000000
N
N
N
Johnson & Johnson
549300G0CFPGEF6X2043
Johnson & Johnson
478160BU7
60000.00000000
PA
USD
72630.00000000
0.014416553979
Long
DBT
CORP
US
N
2
2036-03-01
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MAY6
4585.71000000
PA
USD
5058.62000000
0.001004101174
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933AN4
5708.85000000
PA
USD
6521.99000000
0.001294570024
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAQ4
50000.00000000
PA
USD
57253.50000000
0.011364424800
Long
DBT
US
N
2
2050-07-01
Fixed
4.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YDZ28
17966.76000000
PA
USD
19287.39000000
0.003828413865
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214875 IRS USD R F 1.00000 2 CCPVANILLA / Short: SR214875 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
1510000.00000000
OU
Notional Amount
USD
39390.16000000
0.007818675036
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-12-16
44063.66000000
USD
0.00000000
USD
1510000.00000000
USD
-4673.50000000
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BG6
575000.00000000
PA
USD
695635.00000000
0.138078748827
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.38000000
N
N
N
N
N
N
Magnetite CLO Ltd
549300P6T1S83Z2MDF55
Magnetite XXIV Ltd
55954WAA7
2000000.00000000
PA
USD
1995578.00000000
0.396108466979
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.61000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAE9
341234.43000000
PA
USD
339512.25000000
0.067390839580
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Floating
2.55000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
22540A7A0
859.72000000
PA
USD
825.72000000
0.000163899723
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Floating
0.77000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AW6
500000.00000000
PA
USD
562805.00000000
0.111712910123
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.45000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAN7
413000.00000000
PA
USD
430036.25000000
0.085359229122
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
1896.86000000
0.000376513624
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
392678.56000000
USD
6671479.15000000
ZAR
2020-12-17
1896.86000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
5023.82000000
0.000997193614
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2643015.24000000
TRY
345718.15000000
USD
2020-10-19
5023.82000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
7573.70000000
0.001503327204
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
580092.37000000
CAD
443384.51000000
USD
2020-12-16
7573.70000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
5122.62000000
0.001016804732
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
9758365.58000000
MXN
442544.22000000
USD
2020-12-16
5122.62000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AZ7
25000.00000000
PA
USD
34090.75000000
0.006766778708
Long
DBT
CORP
US
N
2
2035-10-23
Fixed
6.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CZK / SOLD USD
000000000
1.00000000
NC
-10354.73000000
-0.00205534247
N/A
DFE
CZ
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
444519.12000000
USD
10011304.04000000
CZK
2020-12-16
-10354.73000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-5076.41000000
-0.00100763236
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
94101829.00000000
JPY
888159.48000000
USD
2020-12-16
-5076.41000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
16445.96000000
0.003264409611
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2518735.56000000
TRY
340714.99000000
USD
2020-10-23
16445.96000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0426A6
-5000000.00000000
PA
USD
-5408983.00000000
-1.07364581291
Short
ABS-MBS
USGSE
US
N
2
2048-10-11
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214051 IRS USD R F 1.75000 2 CCPVANILLA / Short: SR214051 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
8210000.00000000
OU
Notional Amount
USD
281077.56000000
0.055791956713
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
285835.77000000
USD
0.00000000
USD
8210000.00000000
USD
-4758.21000000
N
N
N
Mars Inc
54930073HKEO6GZBSS03
Mars Inc
571676AA3
225000.00000000
PA
USD
242860.50000000
0.048206133934
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust
N/A
Banc of America Commercial Mortgage Trust 2016-UBS10
06054MAW3
500000.00000000
PA
USD
388364.87000000
0.077087747652
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214840 IRS EUR R F .00000 CCPVANILLA / Short: SR214840 IRS EUR P V 06MLIBOR CCPVANILLA
000000000
4180000.00000000
OU
Notional Amount
-1401.64000000
-0.00027821587
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2022-12-16
0.00000000
EUR
-4777.37000000
EUR
4180000.00000000
EUR
4240.40000000
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS MORTGAGE TRUST 2017-C1
07332VAA3
150000.00000000
PA
USD
114280.68000000
0.022683926641
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
3.67000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-6415.94000000
-0.00127351983
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
175646.35000000
USD
1314484.59000000
TRY
2020-10-23
-6415.94000000
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DT9
470000.00000000
PA
USD
489975.00000000
0.097256657523
Long
DBT
NUSS
CO
N
2
2051-05-15
Fixed
4.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AES0
1094096.67000000
PA
USD
131564.91000000
0.026114727065
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FG9
45000.00000000
PA
USD
50494.50000000
0.010022809925
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
LUKOIL SECURITIES BV
724500IVNQ6LF8OFIO42
Lukoil Securities BV
54988LAB2
210000.00000000
PA
USD
221942.70000000
0.044054094931
Long
DBT
CORP
NL
N
2
2030-05-06
Fixed
3.88000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAM6
65000.00000000
PA
USD
71105.45000000
0.014113941320
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
4.30000000
N
N
N
N
N
N
BURLINGTON COAT FACTORY
549300SIFDMGE3Y2SW49
Burlington Coat Factory Warehouse Corp
121579AH9
538000.00000000
PA
USD
566245.00000000
0.112395726393
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214324 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214324 IRS USD P F .85500 2 CCPVANILLA
000000000
2560000.00000000
OU
Notional Amount
USD
49677.82000000
0.009860704579
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2045-04-09
92.16000000
USD
0.00000000
USD
2560000.00000000
USD
49585.66000000
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
18973.68000000
0.003766144594
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Prudential Financial Inc
Prudential Financial Inc
Y
sell protection
2024-06-20
10356.02000000
USD
0.00000000
USD
825000.00000000
USD
8617.66000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941Z42
3174.68000000
PA
USD
3640.15000000
0.000722544664
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EW9
200000.00000000
PA
USD
222152.00000000
0.044095639537
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR214655 IRS BRL R F 4.93000 2 CCPNDFPREDISWAP / Short: SR214655 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
4840000.00000000
OU
Notional Amount
-9014.13000000
-0.00178924262
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-01-02
620.68000000
BRL
0.00000000
BRL
4840000.00000000
BRL
-9128.49000000
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
Stryker Corp
863667AY7
850000.00000000
PA
USD
866277.50000000
0.171950107940
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-1731.29000000
-0.00034364912
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
892327.10000000
USD
6074400.73000000
CNY
2020-12-16
-1731.29000000
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAC3
105000.00000000
PA
USD
114519.30000000
0.022731291065
Long
DBT
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCK8
925000.00000000
PA
USD
1258675.25000000
0.249838354453
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86000000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BD0
1125000.00000000
PA
USD
1125022.50000000
0.223309205549
Long
DBT
CORP
US
N
2
2021-01-15
Floating
0.78000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
473.95000000
0.000094075805
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
445910.31000000
USD
32927243.54000000
INR
2020-10-28
473.95000000
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BL2
345000.00000000
PA
USD
311793.75000000
0.061888908539
Long
DBT
CORP
US
N
2
2020-12-15
Variable
3.54000000
N
N
N
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AN6
50000.00000000
PA
USD
56270.50000000
0.011169306081
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
3.80000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHG7
55000.00000000
PA
USD
63088.85000000
0.012522701521
Long
DBT
CORP
US
N
2
2029-03-05
Fixed
3.97000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179N5W4
4728.16000000
PA
USD
5183.26000000
0.001028841354
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
4.00000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AU7
950000.00000000
PA
USD
959690.00000000
0.190491844806
Long
DBT
CORP
NL
N
2
2026-07-01
Fixed
1.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214841 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214841 IRS EUR P F .00000 CCPVANILLA
000000000
40520000.00000000
OU
Notional Amount
-406181.04000000
-0.08062413449
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-12-16
0.00000000
EUR
-322270.66000000
EUR
40520000.00000000
EUR
-6430.86000000
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152BM2
115000.00000000
PA
USD
126804.75000000
0.025169868142
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
325000.00000000
PA
USD
379307.50000000
0.075289922187
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
4.05000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
149820.00000000
PA
USD
75284.55000000
0.014943463842
Long
DBT
NUSS
EC
N
2
2040-07-31
Variable
0.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
4884.87000000
0.000969612997
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
356495.13000000
USD
8061966.25000000
MXN
2020-12-16
4884.87000000
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc
28368EAE6
500.00000000
PA
USD
695.83000000
0.000138117454
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
7.75000000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13648TAA5
200000.00000000
PA
USD
208812.00000000
0.041447741560
Long
DBT
CORP
CA
N
2
2030-03-05
Fixed
2.05000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHR4
60000.00000000
PA
USD
67652.40000000
0.013428534716
Long
DBT
CORP
US
N
2
2027-04-27
Fixed
3.15000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
70000.00000000
PA
80866.07000000
0.016051357059
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
200000.00000000
PA
USD
177000.00000000
0.035133279007
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
4.25000000
N
N
N
N
N
N
AVANGRID INC
549300OX0Q38NLSKPB49
Avangrid Inc
05351WAC7
275000.00000000
PA
USD
302626.50000000
0.060069272653
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.20000000
N
N
N
N
N
N
WPX ENERGY INC
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAM5
340000.00000000
PA
USD
355300.00000000
0.070524599047
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.88000000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AC7
30000.00000000
PA
USD
35359.50000000
0.007018616830
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
4.70000000
N
N
N
N
N
N
VEDANTA HD MAURITIUS II
894500ANJHA7BPW5U641
Vedanta Holdings Mauritius II Ltd
92243WAA1
200000.00000000
PA
USD
206000.00000000
0.040889578957
Long
DBT
CORP
MU
N
2
2023-08-21
Fixed
13.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
2050000.00000000
PA
USD
2511701.00000000
0.498555322127
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
XLIT Ltd
635400XCGXK8NVDIVE95
XLIT Ltd
98420EAC9
775000.00000000
PA
USD
873401.75000000
0.173364222420
Long
DBT
CORP
KY
N
2
2025-03-31
Fixed
4.45000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAY4
500000.00000000
PA
USD
562780.00000000
0.111707947795
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MVJ0
283527.83000000
PA
USD
50545.67000000
0.010032966817
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Floating
6.09000000
N
N
N
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690AAD8
900000.00000000
PA
USD
742500.00000000
0.147381128040
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-4951.76000000
-0.00098289020
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
641686.05000000
NZD
419526.00000000
USD
2020-12-16
-4951.76000000
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BG3
372000.00000000
PA
USD
456127.80000000
0.090538221810
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.69000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214905 IRS CHF R F .00000 CCPVANILLA / Short: SR214905 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
16310000.00000000
OU
Notional Amount
-31808.96000000
-0.00631385913
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-12-16
0.00000000
CHF
-59515.83000000
CHF
16310000.00000000
CHF
33075.57000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002967 CDS USD R F 1.00000 2 CCPCDX / Short: SX002967 CDS USD P V 03MEVENT 1 CCPCDX
000000000
12475000.00000000
OU
Notional Amount
USD
104927.23000000
0.020827331339
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2023-06-20
145104.98000000
USD
0.00000000
USD
12475000.00000000
USD
-40177.75000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214650 IRS PLN R F .75000 2 CCPVANILLA / Short: SR214650 IRS PLN P V 06MWIBOR 1 CCPVANILLA
000000000
3690000.00000000
OU
Notional Amount
10308.87000000
0.002046239581
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-12-16
0.00000000
PLN
-2900.18000000
PLN
3690000.00000000
PLN
11088.49000000
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAY5
155000.00000000
PA
USD
196239.30000000
0.038952147339
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
6.35000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AHN6
200000.00000000
PA
USD
211762.00000000
0.042033296210
Long
DBT
CORP
FR
N
2
2024-03-25
Fixed
6.63000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAX8
650000.00000000
PA
USD
673543.00000000
0.133693639223
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
2.70000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHL6
875000.00000000
PA
USD
947765.00000000
0.188124814568
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
3.86000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02773A SWAPTION EUR006M JAN21 NEG0.25 CALL
000000000
-2340000.00000000
NC
-19205.83000000
-0.00381222476
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
2340000.00000000
OU
Notional Amount
N/A
-19205.83000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-18
0.00000000
N/A
0.00000000
N/A
2340000.00000000
EUR
1.00000000
-0.25000000
EUR
2021-01-14
XXXX
1878.83000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
45014.35000000
0.008935037954
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
11983628.60000000
EUR
14106828.00000000
USD
2020-11-09
45014.35000000
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAH8
275000.00000000
PA
USD
298729.75000000
0.059295794658
Long
DBT
CORP
LU
N
2
2029-11-15
Fixed
2.60000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BW8
580000.00000000
PA
USD
657511.20000000
0.130511437515
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0206B6
25000000.00000000
PA
USD
25927242.50000000
5.146378783331
Long
ABS-MBS
USGA
US
N
2
2050-11-19
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-2898.46000000
-0.00057532431
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
364258.06000000
GBP
467364.95000000
USD
2020-12-16
-2898.46000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2069.65000000
-0.00041081124
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
431826.16000000
USD
365889.26000000
EUR
2020-12-16
-2069.65000000
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAR0
53000.00000000
PA
USD
57334.34000000
0.011380470982
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
675000.00000000
PA
USD
721872.00000000
0.143286612337
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
APPLIED MATERIALS INC
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222AN5
275000.00000000
PA
USD
282936.50000000
0.056160943479
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
1.75000000
N
N
N
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BM2
150000.00000000
PA
USD
112125.00000000
0.022256039032
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
7.50000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO VIII Ltd
87248WAA6
2000000.00000000
PA
USD
1990906.00000000
0.395181107208
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.50000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CK4
125000.00000000
PA
USD
131091.25000000
0.026020708823
Long
DBT
CORP
US
N
2
2022-07-20
Fixed
3.50000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBC7
325000.00000000
PA
USD
342875.00000000
0.068058322258
Long
DBT
CORP
LU
N
2
2029-07-16
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
942.42000000
0.000187063868
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
267513.61000000
USD
1027653532.82000000
COP
2020-10-05
942.42000000
N
N
N
Dollar Tree Inc
549300PMSTQITB1WHR43
Dollar Tree Inc
256746AG3
525000.00000000
PA
USD
591648.75000000
0.117438195526
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 COP
000000000
1.00000000
NC
9031.14000000
0.001792618990
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1654202080.89000000
COP
441161.73000000
USD
2020-10-05
9031.14000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GEN5
5000.00000000
PA
USD
7376.05000000
0.001464095043
Long
DBT
CORP
US
N
2
2042-02-07
Fixed
5.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2721.12000000
0.000540123549
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
432509.67000000
USD
370550.00000000
EUR
2020-12-16
2721.12000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-2318.53000000
-0.00046021221
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3062981.28000000
CNY
446759.23000000
USD
2020-12-16
-2318.53000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
1050000.00000000
PA
USD
1175326.95000000
0.233294291861
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJ4T0
23672.87000000
PA
USD
24835.71000000
0.004929717111
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
3.46000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214854 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214854 IRS EUR P F .00000 CCPVANILLA
000000000
14900000.00000000
OU
Notional Amount
-118331.42000000
-0.02348797058
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2027-12-16
0.00000000
EUR
-75837.83000000
EUR
14900000.00000000
EUR
-28745.05000000
N
N
N
NEWCREST FINANCE PTY LTD
549300I0XDZ4K7PDSS04
Newcrest Finance Pty Ltd
65120FAD6
150000.00000000
PA
USD
163626.00000000
0.032478632264
Long
DBT
CORP
AU
N
2
2030-05-13
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-7142.61000000
-0.00141775881
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
617636.06000000
AUD
435333.37000000
USD
2020-12-16
-7142.61000000
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CQ7
625000.00000000
PA
USD
634375.00000000
0.125919061414
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP / Genesis Energy Finance Corp
37185LAJ1
400000.00000000
PA
USD
342000.00000000
0.067884640794
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2007-7AX
61754HAA0
2868912.12000000
PA
USD
1101171.38000000
0.218574922761
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.37000000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
925524AX8
10000.00000000
PA
USD
13670.40000000
0.002713480097
Long
DBT
CORP
US
N
2
2036-04-30
Fixed
6.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-3398.62000000
-0.00067460262
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
426922.66000000
USD
389152.81000000
CHF
2020-12-16
-3398.62000000
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBG1
300000.00000000
PA
USD
282750.00000000
0.056123924516
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214858 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214858 IRS EUR P F .25000 2 CCPVANILLA
000000000
640000.00000000
OU
Notional Amount
-60639.03000000
-0.01203642915
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-12-16
0.00000000
EUR
-39270.11000000
EUR
640000.00000000
EUR
-14247.26000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7R98
433820.13000000
PA
USD
477492.85000000
0.094779036854
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PED6
150000.00000000
PA
USD
146953.13000000
0.029169182583
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HKK5
1710000.00000000
PA
USD
1688436.90000000
0.335143077369
Long
DBT
CORP
US
N
2
2020-11-01
Variable
4.05000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-15305.66000000
-0.00303806792
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
872397.62000000
USD
1140844.83000000
CAD
2020-12-16
-15305.66000000
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAL8
350000.00000000
PA
USD
366919.00000000
0.072830890396
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
3.00000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BM1
1325000.00000000
PA
USD
1373680.50000000
0.272666103241
Long
DBT
CORP
GB
N
2
2023-01-20
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6A9
1040266.90000000
PA
USD
1158330.75000000
0.229920663405
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.50000000
N
N
N
N
N
N
NEW YORK LIFE INSURANCE
TAE73CY392TBWJ3O3305
New York Life Insurance Co
64952GAT5
275000.00000000
PA
USD
309735.25000000
0.061480310490
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.75000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAQ0
325095.98000000
PA
USD
339822.83000000
0.067452487567
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
2.91000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAG5
540000.00000000
PA
USD
568350.00000000
0.112813554372
Long
DBT
NUSS
MX
N
2
2050-01-31
Fixed
4.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS02777A SWAPTION EUR006M OCT20 NEG0.234 PUT
000000000
-3050000.00000000
NC
-15137.45000000
-0.00300467940
N/A
DIR
DE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
3050000.00000000
OU
Notional Amount
N/A
-15137.45000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-10-30
0.00000000
N/A
0.00000000
N/A
3050000.00000000
EUR
1.00000000
-0.23400000
EUR
2020-10-28
XXXX
-455.13000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT DEC20 XCBT 20201221
000000000
-71.00000000
NC
USD
16662.52000000
0.003307395277
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYZ0 Comdty
2020-12-21
-11362240.65000000
USD
16662.52000000
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAW8
1325000.00000000
PA
USD
1399597.50000000
0.277810448959
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
3.88000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LZ2
570000.00000000
PA
USD
616665.90000000
0.122403927226
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.04000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FEG0
213414.03000000
PA
USD
36430.59000000
0.007231220807
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Floating
6.09000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132Y1WP9
2691125.56000000
PA
USD
3010079.38000000
0.597479992612
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
19627.40000000
0.003895903505
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
31264017.70000000
RUB
420305.68000000
USD
2020-11-17
19627.40000000
N
N
N
Valero Energy Corp
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAL4
35000.00000000
PA
USD
43816.85000000
0.008697342464
Long
DBT
CORP
US
N
2
2037-06-15
Fixed
6.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
13339.13000000
0.002647725288
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1829437.00000000
USD
1427383.14000000
GBP
2020-12-16
13339.13000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFR0
125000.00000000
PA
USD
152352.50000000
0.030240920282
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
613.22000000
0.000121719939
N/A
DFE
IL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
445472.10000000
USD
1526321.06000000
ILS
2020-12-16
613.22000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-1826.73000000
-0.00036259330
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
445720.67000000
USD
3027624.51000000
CNY
2020-12-16
-1826.73000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAF9
1025000.00000000
PA
USD
1113703.50000000
0.221062462131
Long
DBT
CORP
FR
N
2
2023-09-12
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-7971.11000000
-0.00158221034
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
525986855.00000000
KRW
443126.61000000
USD
2020-11-02
-7971.11000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
419.70000000
0.000083307554
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2867001.68000000
CNY
420763.99000000
USD
2020-12-16
419.70000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-7257.27000000
-0.00144051803
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6100272.35000000
CNY
887131.69000000
USD
2020-12-16
-7257.27000000
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
000000000
200000.00000000
PA
USD
187250.00000000
0.037167833300
Long
DBT
CORP
BR
N
2
2024-04-15
Fixed
6.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FQHS5
659378.08000000
PA
USD
79855.10000000
0.015850686488
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
5.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD EUR
000000000
1.00000000
NC
N/A
-2786.96000000
-0.00055319233
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
381573.61000000
EUR
46921725.00000000
JPY
2020-12-16
-2786.96000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-17317.73000000
-0.00343744994
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
442916.21000000
USD
33208484.39000000
RUB
2020-11-17
-17317.73000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NDL8
2038.81000000
PA
USD
2336.01000000
0.000463681870
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAX9
325000.00000000
PA
USD
380149.25000000
0.075457003755
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.05000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGG8
5000.00000000
PA
USD
6465.25000000
0.001283307526
Long
DBT
CORP
US
N
2
2048-01-20
Fixed
4.44000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
9517.52000000
0.001889162065
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
478571.82000000
USD
8252612.11000000
ZAR
2020-12-17
9517.52000000
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCA1
65000.00000000
PA
USD
70826.60000000
0.014058591519
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
615415.67000000
PA
USD
611578.86000000
0.121394184878
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
2.45000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-11096.49000000
-0.00220257671
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4277349.45000000
NOK
447578.33000000
USD
2020-12-16
-11096.49000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDC3
400000.00000000
PA
USD
447012.00000000
0.088728798393
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.45000000
N
N
N
N
N
N
Cox Communications Inc
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CJ4
30000.00000000
PA
USD
33528.00000000
0.006655076715
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-GC46
17328RAG4
650000.00000000
PA
USD
499264.88000000
0.099100634619
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.60000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DR5
650000.00000000
PA
USD
719147.00000000
0.142745718635
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
3.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-1453.35000000
-0.00028847994
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12897384.03000000
TWD
446540.48000000
USD
2020-11-09
-1453.35000000
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
40414LAR0
65000.00000000
PA
USD
72462.65000000
0.014383336158
Long
DBT
US
N
2
2029-07-15
Fixed
3.50000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBQ7
100000.00000000
PA
USD
117470.00000000
0.023316984661
Long
DBT
CORP
US
N
2
2050-04-02
Fixed
5.28000000
N
N
N
N
N
N
CONCHO RESOURCES INC
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAM3
175000.00000000
PA
USD
167604.50000000
0.033268337070
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FY67
8668.53000000
PA
USD
9562.49000000
0.001898088300
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHGK2
95310.53000000
PA
USD
103091.94000000
0.020463038934
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
N
N
N
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891CAK9
70000.00000000
PA
USD
72142.70000000
0.014319828290
Long
DBT
CORP
US
N
2
2026-09-27
Fixed
2.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
9365.22000000
0.001858931566
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1000408.00000000
USD
859708.16000000
EUR
2020-12-16
9365.22000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201SSU4
16281.88000000
PA
USD
18479.36000000
0.003668025484
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
5.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005468 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005468 CDS USD P F 1.00000 2 CORPORATE
000000000
310000.00000000
OU
Notional Amount
USD
-2031.49000000
-0.00040323675
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
417.60000000
USD
0.00000000
USD
310000.00000000
USD
-2449.09000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-8029.47000000
-0.00159379440
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
442247.39000000
USD
606108.94000000
AUD
2020-12-16
-8029.47000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAD6
240099.21000000
PA
USD
222777.11000000
0.044219719560
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Floating
4.55000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DF4
175000.00000000
PA
USD
189682.50000000
0.037650667770
Long
DBT
CORP
US
N
2
2025-01-13
Fixed
2.75000000
N
N
N
N
N
N
Microsoft Corp
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BX1
45000.00000000
PA
USD
48385.35000000
0.009604158200
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
2.88000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CW3
1500000.00000000
PA
USD
1272975.00000000
0.252676756184
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.90000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAC8
250000.00000000
PA
USD
213007.83000000
0.042280584871
Long
DBT
CORP
MX
N
2
2028-04-30
Fixed
3.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214941 IRS PLN R F 1.55250 2 CCPVANILLA / Short: SR214941 IRS PLN P V 06MWIBOR 1 CCPVANILLA
000000000
3580000.00000000
OU
Notional Amount
8548.41000000
0.001696800415
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-17
54.42000000
PLN
0.00000000
PLN
3580000.00000000
PLN
8533.93000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0406A6
-3000000.00000000
PA
USD
-3187659.00000000
-0.63272832219
Short
ABS-MBS
USGA
US
N
2
2048-10-18
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290XLG3
14874.64000000
PA
USD
16661.42000000
0.003307176935
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAK3
1275000.00000000
PA
USD
1369031.25000000
0.271743259188
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.57000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
2750000.00000000
PA
USD
3001735.00000000
0.595823690744
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02702A SWAPTION EUR006M DEC20 NEG0.20 CALL
000000000
-4560000.00000000
NC
-41670.15000000
-0.00827123732
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
4560000.00000000
OU
Notional Amount
N/A
-41670.15000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-04
0.00000000
N/A
0.00000000
N/A
4560000.00000000
EUR
1.00000000
-0.20000000
EUR
2020-12-02
XXXX
-170.04000000
N
N
N
UDR INC
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90265EAT7
150000.00000000
PA
USD
148926.00000000
0.029560783669
Long
DBT
US
N
2
2032-08-01
Fixed
2.10000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BM2
200000.00000000
PA
USD
206500.00000000
0.040988825508
Long
DBT
CORP
GB
N
2
2029-11-01
Fixed
3.75000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
35000.00000000
PA
USD
44627.10000000
0.008858171500
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2D4
75000.00000000
PA
USD
88093.50000000
0.017485952057
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
80000.00000000
PA
95554.66000000
0.018966940848
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02740A SWAPTION EUR006M OCT20 NEG0.211 PUT
000000000
-3050000.00000000
NC
-6448.91000000
-0.00128006414
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
3050000.00000000
OU
Notional Amount
N/A
-6448.91000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-10-16
0.00000000
N/A
0.00000000
N/A
3050000.00000000
EUR
1.00000000
-0.21100000
EUR
2020-10-14
XXXX
9654.17000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02204A SWAPTION OCT20 0.35 CALL
000000000
-3430000.00000000
NC
-1317.15000000
-0.00026144518
N/A
DIR
GB
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
3430000.00000000
OU
Notional Amount
N/A
-1317.15000000
0.00000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
3430000.00000000
GBP
1.00000000
0.35000000
GBP
2020-10-02
XXXX
37161.88000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAD0
200000.00000000
PA
USD
204250.00000000
0.040542216029
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.03000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AM3
225000.00000000
PA
USD
254112.75000000
0.050439627938
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
2505.65000000
0.000497354240
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
446413.57000000
USD
523446696.00000000
KRW
2020-11-02
2505.65000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
23466.15000000
0.004657868899
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
32105301.15000000
RUB
434926.28000000
USD
2020-11-17
23466.15000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-4566.79000000
-0.00090647631
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
422728.26000000
USD
556599.96000000
CAD
2020-12-16
-4566.79000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LVE8
10207.10000000
PA
USD
11694.98000000
0.002321372854
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFB0
625000.00000000
PA
USD
691993.75000000
0.137355985820
Long
DBT
CORP
US
N
2
2024-01-22
Fixed
4.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
5272.75000000
0.001046604502
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3015259.88000000
TRY
393950.78000000
USD
2020-10-19
5272.75000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBC2
725000.00000000
PA
USD
790445.75000000
0.156898028672
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8QW8
1195580.02000000
PA
USD
1310334.90000000
0.260092438616
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
530000.00000000
PA
USD
541395.00000000
0.107463172815
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.13000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AR0
380000.00000000
PA
USD
428537.40000000
0.085061717736
Long
DBT
US
N
2
2031-08-15
Fixed
3.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-3537.20000000
-0.00070210979
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1542443.82000000
ILS
447260.18000000
USD
2020-12-16
-3537.20000000
N
N
N
EOG RESOURCES INC
XWTZDRYZPBUHIQBKDB46
EOG Resources Inc
26875PAU5
30000.00000000
PA
USD
35441.70000000
0.007034932963
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.38000000
N
N
N
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AN1
250000.00000000
PA
USD
257712.50000000
0.051154153481
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VUJ1
410759.57000000
PA
USD
36223.41000000
0.007190097006
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
4.00000000
N
N
N
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAS2
35000.00000000
PA
USD
38333.75000000
0.007608984938
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MJGD5
13970.55000000
PA
USD
15304.35000000
0.003037807901
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-4995.57000000
-0.00099158618
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
424831.27000000
USD
385763.79000000
CHF
2020-12-16
-4995.57000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ3P3
1214263.97000000
PA
USD
1302209.86000000
0.258479674224
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDJ7
225000.00000000
PA
USD
247844.25000000
0.049195373930
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.10000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JZN2
425000.00000000
PA
USD
480411.50000000
0.095358368745
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPGT5
16015.75000000
PA
USD
17564.83000000
0.003486497588
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OC8
232434AE0
1799598.32000000
PA
USD
1500408.80000000
0.297820796586
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.40000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005452 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005452 CDS USD P F 1.00000 2 CORPORATE
000000000
600000.00000000
OU
Notional Amount
USD
-1212.36000000
-0.00024064509
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2020-12-20
229.24000000
USD
0.00000000
USD
600000.00000000
USD
-1441.60000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMWQ0
65498.78000000
PA
USD
71833.97000000
0.014258547515
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 USD / SOLD AUD
000000000
1.00000000
NC
-45154.96000000
-0.00896294806
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2413000.00000000
AUD
1683159.19000000
USD
2020-10-01
-45154.96000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
64.33000000
0.000012769061
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
445440.16000000
USD
32862347.80000000
INR
2020-10-28
64.33000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
1510.77000000
0.000299877423
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
432332.86000000
USD
605714.35000000
AUD
2020-10-01
1510.77000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
-2768.82000000
-0.00054959166
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
332253.48000000
GBP
362840.97000000
EUR
2020-12-16
-2768.82000000
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAJ9
480000.00000000
PA
USD
584700.00000000
0.116058916586
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GEV56
3390.80000000
PA
USD
3880.54000000
0.000770260421
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
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
1976048.38000000
0.392231972130
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.36000000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AE8
825000.00000000
PA
USD
738375.00000000
0.146562343995
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
7.13000000
N
N
N
N
N
N
REGENCY CENTERS LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RAZ6
700000.00000000
PA
USD
724136.00000000
0.143736000719
Long
DBT
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBC4
1200000.00000000
PA
USD
1362756.00000000
0.270497665351
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBD6
325000.00000000
PA
USD
347483.50000000
0.068973077717
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
2711.99000000
0.000538311306
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
356086.25000000
USD
27996213.15000000
RUB
2020-11-17
2711.99000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
12722.55000000
0.002525338411
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3088051.96000000
TRY
408256.47000000
USD
2020-11-10
12722.55000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-826.11000000
-0.00016397713
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
44243671.00000000
JPY
419144.84000000
USD
2020-12-16
-826.11000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
3853.81000000
0.000764954700
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
340808.67000000
GBP
443843.65000000
USD
2020-12-16
3853.81000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
8082.47000000
0.001604314540
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
487742.08000000
NZD
330725.71000000
USD
2020-12-16
8082.47000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
14464.97000000
0.002871196761
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
33649904.84000000
RUB
445720.67000000
USD
2020-11-17
14464.97000000
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAN1
65000.00000000
PA
USD
70405.40000000
0.013974986225
Long
DBT
US
N
2
2029-11-15
Fixed
3.10000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RAN9
350000.00000000
PA
USD
355474.00000000
0.070559136847
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
4.65000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust
22541NAD1
256.60000000
PA
USD
216.48000000
0.000042969786
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Floating
0.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHZ5
75000.00000000
PA
USD
78405.00000000
0.015562851641
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
14651.70000000
0.002908261378
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5790875.96000000
TRY
761817.03000000
USD
2020-10-16
14651.70000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-15679.11000000
-0.00311219517
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
443868.68000000
USD
33410661.35000000
RUB
2020-11-17
-15679.11000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
24722.73000000
0.004907291361
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
31948712.18000000
RUB
434176.02000000
USD
2020-11-17
24722.73000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
19790.45000000
0.003928267805
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1719478.56000000
AUD
1251629.08000000
USD
2020-12-16
19790.45000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
800000.00000000
PA
USD
839384.00000000
0.166611933709
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.75000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HHF0
5000.00000000
PA
USD
7652.30000000
0.001518928762
Long
DBT
CORP
US
N
2
2038-05-15
Fixed
6.40000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0306B9
10000000.00000000
PA
USD
10478513.00000000
2.079912546969
Long
ABS-MBS
USGSE
US
N
2
2050-11-15
Fixed
3.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005472 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005472 CDS USD P F 1.00000 2 CORPORATE
000000000
250000.00000000
OU
Notional Amount
USD
-1638.30000000
-0.00032519124
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
336.48000000
USD
0.00000000
USD
250000.00000000
USD
-1974.78000000
N
N
N
Vodafone Group PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBL3
30000.00000000
PA
USD
37321.50000000
0.007408060296
Long
DBT
CORP
GB
N
2
2038-05-30
Fixed
5.00000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAK6
100000.00000000
PA
USD
114552.00000000
0.022737781790
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214839 IRS PLN R V 03MWIBOR 1 CCPZERO / Short: BR214839 IRS PLN P F .25000 2 CCPZERO
000000000
18330000.00000000
OU
Notional Amount
-4372.66000000
-0.00086794284
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2021-12-16
0.00000000
PLN
-3408.52000000
PLN
18330000.00000000
PLN
-3457.55000000
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAB6
425000.00000000
PA
USD
467062.25000000
0.092708634707
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.21000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDG1
225000.00000000
PA
USD
253505.25000000
0.050319043379
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
3805.28000000
0.000755321830
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
445975.50000000
USD
3067776.27000000
CNY
2020-12-16
3805.28000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-10940.18000000
-0.00217155026
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
63744393.86000000
RUB
806005.17000000
USD
2020-11-17
-10940.18000000
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
064159MK9
50000.00000000
PA
USD
54318.50000000
0.010781847546
Long
DBT
CORP
CA
N
2
2024-02-11
Fixed
3.40000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities Trust 2001-3
07384YBM7
5242.10000000
PA
USD
4979.79000000
0.000988453963
Long
ABS-MBS
CORP
US
N
2
2032-10-27
Floating
0.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRK75
56966.05000000
PA
USD
62404.72000000
0.012386906435
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 SEK / SOLD USD
000000000
1.00000000
NC
-30355.72000000
-0.00602540101
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1812307.28000000
USD
15942785.60000000
SEK
2020-12-16
-30355.72000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-4367.08000000
-0.00086683525
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
429797.45000000
USD
566275.33000000
CAD
2020-12-16
-4367.08000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213X3S1
16067.35000000
PA
USD
18146.76000000
0.003602006678
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 ILS / SOLD USD
000000000
1.00000000
NC
-265.64000000
-0.00005272770
N/A
DFE
IL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
445541.53000000
USD
1523551.54000000
ILS
2020-12-16
-265.64000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-4298.95000000
-0.00085331191
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
430736.47000000
USD
567615.91000000
CAD
2020-12-16
-4298.95000000
N
N
N
XEROX HOLDINGS CORP
5493000Y33XDVO2CXC18
Xerox Holdings Corp
98421MAA4
1215000.00000000
PA
USD
1201331.25000000
0.238455966026
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-76378.86000000
-0.01516067682
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2443030.99000000
USD
22070097.69000000
NOK
2020-12-16
-76378.86000000
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CR7
75000.00000000
PA
USD
98601.75000000
0.019571767194
Long
DBT
CORP
US
N
2
2049-10-26
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-21240.00000000
-0.00421599348
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
66035825.18000000
INR
873986.86000000
USD
2020-10-28
-21240.00000000
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCA7
350000.00000000
PA
USD
393134.00000000
0.078034387058
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.15000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0306A1
14000000.00000000
PA
USD
14667184.00000000
2.911334845918
Long
ABS-MBS
USGSE
US
N
2
2050-10-15
Fixed
3.00000000
N
N
N
N
N
N
Crown City CLO I
549300K60T4GC7BSX929
Crown City CLO I
22823RAE9
1000000.00000000
PA
USD
987899.00000000
0.196091136713
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
3.34000000
N
N
N
N
N
N
ARCHER-DANIELS-MIDLAND C
549300LO13MQ9HYSTR83
Archer-Daniels-Midland Co
039482AB0
175000.00000000
PA
USD
199888.50000000
0.039676488366
Long
DBT
CORP
US
N
2
2030-03-27
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-17333.79000000
-0.00344063774
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5368014.26000000
GBP
6914582.11000000
USD
2021-01-13
-17333.79000000
N
N
N
AUTONATION INC
N/A
AutoNation Inc
05329WAQ5
225000.00000000
PA
USD
265149.00000000
0.052630247432
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.75000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAR4
100000.00000000
PA
USD
132266.00000000
0.026253888594
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ABDT7
74704.77000000
PA
USD
94379.67000000
0.018733713439
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.00000000
N
N
N
N
N
N
Citibank, National Association
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
-1191.25000000
-0.00023645490
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2022-06-20
0.00000000
USD
-415.11000000
USD
80000.00000000
USD
-776.14000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
13598.40000000
0.002699188594
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2495462.32000000
USD
3502241.05000000
AUD
2020-12-21
13598.40000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAK9
310000.00000000
PA
USD
364591.00000000
0.072368798455
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 KRW
000000000
1.00000000
NC
-2852.30000000
-0.00056616187
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
524230816.00000000
KRW
446739.40000000
USD
2020-11-02
-2852.30000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
25000.00000000
PA
USD
31650.25000000
0.006282356293
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-448.70000000
-0.00008906385
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
838700.15000000
USD
88309254.00000000
JPY
2020-12-16
-448.70000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CF4
200000.00000000
PA
USD
241012.00000000
0.047839219436
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAA2
500000.00000000
PA
USD
522135.00000000
0.103640195675
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.72000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
10633.45000000
0.002110666472
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
429637.81000000
USD
32476322.06000000
INR
2020-10-28
10633.45000000
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAB5
1075000.00000000
PA
USD
1169062.50000000
0.232050841750
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
7.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
1871.97000000
0.000371573131
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
431446.83000000
EUR
393975.67000000
GBP
2020-12-16
1871.97000000
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CC1
300000.00000000
PA
USD
301947.00000000
0.059934396590
Long
DBT
CORP
DE
N
2
2024-09-18
Fixed
2.22000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-9401.15000000
-0.00186606342
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2421248.07000000
AUD
1725219.15000000
USD
2020-12-21
-9401.15000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
75000.00000000
PA
USD
88068.75000000
0.017481039353
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAL3
15000.00000000
PA
USD
17522.10000000
0.003478015977
Long
DBT
CORP
US
N
2
2026-03-11
Fixed
4.90000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BX6
175000.00000000
PA
USD
216076.00000000
0.042889595451
Long
DBT
CORP
US
N
2
2047-06-06
Fixed
4.67000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MN5G1
25279.84000000
PA
USD
27693.36000000
0.005496940923
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 USD / SOLD CAD
000000000
1.00000000
NC
-11554.56000000
-0.00229350045
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
673007.01000000
CAD
493884.85000000
USD
2020-10-05
-11554.56000000
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAT7
925000.00000000
PA
USD
1001747.25000000
0.198839918809
Long
DBT
US
N
2
2024-05-15
Fixed
3.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
3745.88000000
0.000743531339
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3782104.19000000
SEK
363097.92000000
EUR
2020-12-16
3745.88000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAP6
1150000.00000000
PA
USD
1177703.50000000
0.233766020642
Long
DBT
CORP
IE
N
2
2022-07-01
Fixed
4.63000000
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
1403631.00000000
0.278611070885
Long
DBT
MUN
US
N
2
2040-06-01
Fixed
5.87000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
038522AR9
343000.00000000
PA
USD
356720.00000000
0.070806459251
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAEL8
3048724.38000000
PA
USD
3438392.82000000
0.682497255834
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Bank
549300GL0Y86051URC66
BANK 2018-BNK10
065404AA3
200000.00000000
PA
USD
130205.61000000
0.025844915392
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Variable
2.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY36
1156.72000000
PA
USD
1198.38000000
0.000237870163
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AW6
239000.00000000
PA
USD
231729.86000000
0.045996778676
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1566.02000000
-0.00031084416
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
453698.54000000
EUR
530812.32000000
USD
2020-11-09
-1566.02000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
15530.54000000
0.003082705056
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1870428.65000000
NZD
1252826.20000000
USD
2020-12-16
15530.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9CT8
660343.23000000
PA
USD
726407.33000000
0.144186844056
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
1818.17000000
0.000360894202
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
446561.96000000
USD
1716405549.46000000
COP
2020-10-05
1818.17000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BA5V2
656767.84000000
PA
USD
98309.41000000
0.019513739720
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
5.00000000
N
N
N
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAG0
700000.00000000
PA
USD
739606.00000000
0.146806689003
Long
DBT
CORP
LU
N
2
2024-11-15
Fixed
2.20000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCJ6
65000.00000000
PA
USD
71209.45000000
0.014134584603
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377DKS4
291399.68000000
PA
USD
55081.85000000
0.010933367255
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Floating
5.84000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-20877.10000000
-0.00414396033
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1320353.64000000
USD
1813891.84000000
AUD
2020-12-16
-20877.10000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-10824.20000000
-0.00214852903
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
892000.00000000
USD
25368346.20000000
TWD
2020-11-09
-10824.20000000
N
N
N
Arch Capital Finance LLC
549300XG4URFY0200M65
Arch Capital Finance LLC
03939CAA1
1000000.00000000
PA
USD
1159680.00000000
0.230188480223
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.01000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380WG86
469991.71000000
PA
USD
59179.38000000
0.011746698695
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
4.00000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BU2
30000.00000000
PA
USD
33771.30000000
0.006703370086
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FWXZ8
1340000.00000000
PA
USD
141359.28000000
0.028058841946
Long
ABS-MBS
USGSE
US
N
3
2050-08-25
Fixed
3.00000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CF5
950000.00000000
PA
USD
1034835.00000000
0.205407608936
Long
DBT
CORP
US
N
2
2024-08-12
Fixed
3.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-9022.85000000
-0.00179097348
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
598195.69000000
AUD
419526.00000000
USD
2020-12-16
-9022.85000000
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2B6
450000.00000000
PA
USD
465930.00000000
0.092483890892
Long
DBT
CORP
CH
N
2
2022-04-08
Fixed
2.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
7083.35000000
0.001405996112
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
34247671.00000000
RUB
446000.00000000
USD
2020-11-17
7083.35000000
N
N
N
Bacardi Ltd
549300R32WTQNHNN5055
Bacardi Ltd
067316AH2
600000.00000000
PA
USD
759744.00000000
0.150803943086
Long
DBT
CORP
BM
N
2
2048-05-15
Fixed
5.30000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PBB0
125000.00000000
PA
USD
131126.25000000
0.026027656081
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
4.63000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DE5
300000.00000000
PA
USD
354774.00000000
0.070420191675
Long
DBT
CORP
US
N
2
2028-02-20
Fixed
3.90000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBP9
30000.00000000
PA
USD
35117.10000000
0.006970502103
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-19632.58000000
-0.00389693169
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
66055059.48000000
INR
875855.03000000
USD
2020-10-28
-19632.58000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBS7
750000.00000000
PA
USD
886215.00000000
0.175907564156
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
50000.00000000
PA
USD
45076.50000000
0.008947374300
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAK7
25000.00000000
PA
USD
37790.25000000
0.007501103937
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
6.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GT2
780000.00000000
PA
USD
830622.00000000
0.164872737151
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAF7
50000.00000000
PA
USD
66652.50000000
0.013230061463
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
5.42000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAD2
425000.00000000
PA
USD
421812.50000000
0.083726871476
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
4.75000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBH4
15000.00000000
PA
USD
16426.35000000
0.003260517161
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAG8
550000.00000000
PA
USD
591492.00000000
0.117407081733
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
AGL CLO 3 Ltd.
549300LS0REDUXQSHW18
AGL CLO 3 LTD
00119MAA7
1300000.00000000
PA
USD
1285082.50000000
0.255080011413
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.58000000
N
N
N
N
N
N
GRUBHUB HOLDINGS INC
N/A
GrubHub Holdings Inc
40010PAA6
495000.00000000
PA
USD
512943.75000000
0.101815795954
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P7FQ1
98177.55000000
PA
USD
109514.47000000
0.021737866835
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
6.00000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAN3
175000.00000000
PA
USD
229516.00000000
0.045557342738
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
8.10000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-7577.35000000
-0.00150405170
N/A
DFE
PL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
352522.03000000
EUR
1570846.98000000
PLN
2020-12-16
-7577.35000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
195000.00000000
PA
USD
207762.75000000
0.041239472673
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416MVP6
6903.44000000
PA
USD
7765.05000000
0.001541308859
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7EV4
32917.40000000
PA
USD
37606.14000000
0.007464559372
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
5.00000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
550000.00000000
PA
USD
630718.00000000
0.125193172141
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291NPZ8
21707.25000000
PA
USD
24663.00000000
0.004895435368
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 USD / SOLD KRW
000000000
1.00000000
NC
-2897.12000000
-0.00057505833
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
508064053.00000000
KRW
432829.61000000
USD
2020-11-02
-2897.12000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9UC4
24423.33000000
PA
USD
26971.81000000
0.005353718226
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
27302.88000000
0.005419433337
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1095356.16000000
USD
82812212.03000000
INR
2020-10-28
27302.88000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AH6P0
330863.82000000
PA
USD
61589.11000000
0.012225013477
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Floating
6.45000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBK0
25000.00000000
PA
USD
27221.75000000
0.005403329592
Long
DBT
CORP
US
N
2
2049-09-06
Fixed
4.76000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BR9
30000.00000000
PA
USD
32528.70000000
0.006456722558
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHX0
525000.00000000
PA
USD
564327.75000000
0.112015165494
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88000000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408HH9
65000.00000000
PA
USD
73260.20000000
0.014541644331
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.25000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDQ2
60000.00000000
PA
USD
69459.60000000
0.013787251449
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
4.25000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
375000.00000000
PA
USD
451173.75000000
0.089554877060
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
5452.35000000
0.001082253863
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
486217.93000000
USD
10968590.28000000
MXN
2020-12-16
5452.35000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31394EZ35
41479.83000000
PA
USD
47539.34000000
0.009436231051
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MFB4
7549.05000000
PA
USD
8557.24000000
0.001698553109
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
65000.00000000
PA
USD
70917.60000000
0.014076654391
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
12713.60000000
0.002523561898
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1803525.47000000
USD
191339624.00000000
JPY
2020-12-16
12713.60000000
N
N
N
Home Equity Loan Trust
N/A
Home Equity Loan Trust
43710XAD0
1205167.02000000
PA
USD
1107712.39000000
0.219873268124
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
0.38000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCM2
1375000.00000000
PA
USD
1429793.75000000
0.283804196282
Long
DBT
CORP
US
N
2
2022-06-30
Fixed
3.00000000
N
N
N
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBL3
275000.00000000
PA
USD
274485.75000000
0.054483527900
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
1.45000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBN9
50000.00000000
PA
USD
55425.50000000
0.011001579410
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585ABD3
175000.00000000
PA
USD
189736.75000000
0.037661436021
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
McKesson Corp
549300WZWOM80UCFSF54
McKesson Corp
581557BE4
65000.00000000
PA
USD
71124.30000000
0.014117682915
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.80000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
550000.00000000
PA
USD
595908.50000000
0.118283726516
Long
DBT
CORP
FR
N
2
2025-01-09
Fixed
3.38000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
550000.00000000
PA
USD
607046.00000000
0.120494443437
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFH2
75000.00000000
PA
USD
93387.75000000
0.018536824161
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.45000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
1081.71000000
0.000214711973
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
473570.33000000
USD
367657.42000000
GBP
2020-12-16
1081.71000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGA1
1300000.00000000
PA
USD
1437150.00000000
0.285264361162
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
-2365.02000000
-0.00046944015
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
219814.92000000
GBP
239597.27000000
EUR
2020-12-16
-2365.02000000
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAE0
225000.00000000
PA
USD
266370.75000000
0.052872756379
Long
DBT
CORP
US
N
2
2028-11-06
Fixed
4.23000000
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE Energy Co
233331BE6
323000.00000000
PA
USD
333529.80000000
0.066203364523
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.25000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2019-3 Trust
949831AA9
236583.83000000
PA
USD
242285.67000000
0.048092034144
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-11890.62000000
-0.00236020604
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
802983.49000000
USD
17648359.02000000
MXN
2020-12-16
-11890.62000000
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAR4
325000.00000000
PA
USD
356310.50000000
0.070725176326
Long
DBT
CORP
ES
N
2
2023-04-27
Fixed
4.57000000
N
N
N
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
Virgin Media Finance PLC
92769VAJ8
950000.00000000
PA
USD
945250.00000000
0.187625604417
Long
DBT
CORP
GB
N
2
2030-07-15
Fixed
5.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHM4
750000.00000000
PA
USD
879862.50000000
0.174646636727
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.27000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
24652.01000000
0.004893253928
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2021629.67000000
CAD
1543458.51000000
USD
2020-12-16
24652.01000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
21444.09000000
0.004256503938
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
984662699.00000000
CLP
1276710.14000000
USD
2020-12-17
21444.09000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-6089.24000000
-0.00120867213
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1922395895.39000000
COP
496102.17000000
USD
2020-10-05
-6089.24000000
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
92556HAA5
60000.00000000
PA
USD
68889.00000000
0.013673991285
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.75000000
N
N
N
N
N
N
Wyeth LLC
549300Q9GR3WRH4N4836
Wyeth LLC
983024AN0
45000.00000000
PA
USD
66517.65000000
0.013203294668
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
5.95000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
Camden Property Trust
133131AX0
65000.00000000
PA
USD
72092.80000000
0.014309923484
Long
DBT
US
N
2
2029-07-01
Fixed
3.15000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02746A SWAPTION US0003M MAR21 0.90 CALL
000000000
-20000000.00000000
NC
USD
-131622.00000000
-0.02612605903
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
20000000.00000000
OU
Notional Amount
N/A
-131622.00000000
-0.03000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-03-19
0.00000000
N/A
0.00000000
N/A
20000000.00000000
USD
1.00000000
0.90000000
USD
2021-03-17
XXXX
28378.00000000
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAZ8
300000.00000000
PA
USD
306375.00000000
0.060813324044
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ3T5
1314583.80000000
PA
USD
1399575.93000000
0.277806167463
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
CINEMARK USA INC
54930008H2137JSCPQ09
Cinemark USA Inc
172441BC0
665000.00000000
PA
USD
699912.50000000
0.138927803070
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
8.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-2622.10000000
-0.00052046876
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4188636.82000000
NOK
446539.77000000
USD
2020-12-16
-2622.10000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MPDQ5
20404.60000000
PA
USD
22352.67000000
0.004436850800
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
2000.00000000
PA
USD
2166.30000000
0.000429995606
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2C4
300000.00000000
PA
USD
327051.00000000
0.064917367416
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
1469.99000000
0.000291782874
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
892092.79000000
USD
1189389.85000000
CAD
2020-12-16
1469.99000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BY8
375000.00000000
PA
USD
381588.75000000
0.075742734575
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-3645.74000000
-0.00072365424
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
692133.32000000
CAD
516339.00000000
USD
2020-12-16
-3645.74000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
20224.19000000
0.004014362203
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
858035.07000000
USD
64784221.89000000
INR
2020-10-28
20224.19000000
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AU5
400000.00000000
PA
USD
469896.00000000
0.093271114534
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312946ZH2
758.29000000
PA
USD
867.84000000
0.000172260253
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QCP1
65000.00000000
PA
USD
71412.25000000
0.014174839004
Long
DBT
CORP
GB
N
2
2024-02-10
Fixed
3.81000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
7730.78000000
0.001534506501
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
33996752.45000000
RUB
443431.66000000
USD
2020-11-17
7730.78000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A9EA2
27138.05000000
PA
USD
33549.01000000
0.006659247055
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LKE0
584.63000000
PA
USD
669.85000000
0.000132960604
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX Corp
126408HS5
25000.00000000
PA
USD
29688.25000000
0.005892912827
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.80000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAT7
50000.00000000
PA
USD
58531.00000000
0.011617999737
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 CHF
000000000
1.00000000
NC
19643.43000000
0.003899085349
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1210005.23000000
CHF
1336520.24000000
USD
2020-12-16
19643.43000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AYTL7
646046.49000000
PA
USD
116932.22000000
0.023210239040
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
6.00000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2018-C14 Commercial Mortgage Trust
12596GAG4
250000.00000000
PA
USD
211156.72000000
0.041913152305
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Variable
5.05000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBL2
390000.00000000
PA
USD
403451.10000000
0.080082260238
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-3644.39000000
-0.00072338627
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2032550.38000000
NOK
182463.34000000
EUR
2020-12-16
-3644.39000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MQHG1
13129.05000000
PA
USD
14382.51000000
0.002854829020
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 II Pool
36179T7M1
529438.55000000
PA
USD
576845.11000000
0.114499775106
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
5.00000000
N
N
N
N
N
N
HEALTHCARE REALTY TRUST
549300CB86LH2IOKHH22
Healthcare Realty Trust Inc
421946AM6
175000.00000000
PA
USD
172975.25000000
0.034334393896
Long
DBT
US
N
2
2031-03-15
Fixed
2.05000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BR9
450000.00000000
PA
USD
449433.00000000
0.089209350193
Long
DBT
CORP
GB
N
2
2024-05-18
Floating
1.27000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-10342.28000000
-0.00205287123
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
446095.42000000
USD
7367711.96000000
ZAR
2020-12-17
-10342.28000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LQ2
1450000.00000000
PA
USD
1511712.00000000
0.300064403814
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
2.70000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EF6
300000.00000000
PA
USD
337575.00000000
0.067006308819
Long
DBT
CORP
AU
N
2
2034-07-24
Fixed
4.11000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
1900000.00000000
PA
USD
2193360.00000000
0.435366829627
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAC6
35000.00000000
PA
USD
37836.05000000
0.007510194922
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.18000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150AM6
825000.00000000
PA
USD
939147.00000000
0.186414201017
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.00000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAC4
325000.00000000
PA
USD
326625.00000000
0.064832809355
Long
DBT
CORP
US
N
2
2028-07-15
Fixed
5.50000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
200000.00000000
PA
USD
224187.50000000
0.044499672245
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
Goldman Sachs Access High Yield Corporate Bond ETF
549300MBOA0YMWNF0550
Goldman Sachs Access High Yield Corporate Bond ETF
381430453
98956.00000000
NS
USD
4788955.83000000
0.950574696781
Long
EC
RF
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YJG0
672403.92000000
PA
USD
105057.73000000
0.020853234689
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.94000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKG6
100000.00000000
PA
USD
100051.00000000
0.019859433321
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063BFV9
65.62000000
PA
USD
60.92000000
0.000012092199
Long
DBT
MUN
US
N
2
2036-03-01
Fixed
7.95000000
N
N
N
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222AM7
15000.00000000
PA
USD
19889.25000000
0.003947878923
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
4.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-13663.26000000
-0.00271206285
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4641568.31000000
NOK
484068.00000000
USD
2020-12-16
-13663.26000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-3708.46000000
-0.00073610372
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4704677129.98000000
COP
1225303.97000000
USD
2020-10-05
-3708.46000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02739A SWAPTION EUR006M OCT20 NEG0.211 CALL
000000000
-3050000.00000000
NC
-12315.30000000
-0.00244450209
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
3050000.00000000
OU
Notional Amount
N/A
-12315.30000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-10-16
0.00000000
N/A
0.00000000
N/A
3050000.00000000
EUR
1.00000000
-0.21100000
EUR
2020-10-14
XXXX
3787.78000000
N
N
N
Boston Scientific Corp
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp
101137AV9
65000.00000000
PA
USD
70495.75000000
0.013992920076
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
3.45000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAD8
125000.00000000
PA
USD
127195.00000000
0.025247330075
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
1.65000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
47559.17000000
0.009440167169
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1772776.50000000
USD
2541476.60000000
AUD
2020-10-01
47559.17000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BG65
210535.80000000
PA
USD
32410.39000000
0.006433238839
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.89000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DV6
325000.00000000
PA
USD
427466.00000000
0.084849052227
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YRQ0
317140.20000000
PA
USD
48977.20000000
0.009721636342
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Floating
6.04000000
N
N
N
N
N
N
AGREE LP
549300DXY3G299V1BO77
Agree LP
008513AA1
175000.00000000
PA
USD
180293.75000000
0.035787065661
Long
DBT
US
N
2
2030-10-01
Fixed
2.90000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AJ9
45000.00000000
PA
USD
55819.35000000
0.011079755918
Long
DBT
CORP
US
N
2
2038-08-15
Fixed
4.80000000
N
N
N
N
N
N
AIB Group PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAA2
1300000.00000000
PA
USD
1409213.00000000
0.279719059379
Long
DBT
CORP
IE
N
2
2023-10-12
Fixed
4.75000000
N
N
N
N
N
N
Chevron Corp
N/A
Chevron Corp
166764BT6
65000.00000000
PA
USD
69771.00000000
0.013849062201
Long
DBT
CORP
US
N
2
2024-03-03
Fixed
2.90000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAB1
600000.00000000
PA
USD
677472.00000000
0.134473518620
Long
DBT
CORP
ES
N
2
2027-04-11
Fixed
4.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZQ6
40000.00000000
PA
USD
39856.25000000
0.007911190686
Long
DBT
UST
US
N
1
2030-05-15
Fixed
0.63000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CG2
165000.00000000
PA
USD
175340.55000000
0.034803889629
Long
DBT
CORP
US
N
2
2024-07-30
Fixed
2.50000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
71376LAD2
255000.00000000
PA
USD
271575.00000000
0.053905764104
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.88000000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AL9
250000.00000000
PA
USD
269227.50000000
0.053439801548
Long
DBT
CORP
FR
N
2
2024-09-23
Fixed
6.88000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBH7
30000.00000000
PA
USD
35310.60000000
0.007008910518
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
3.85000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AA6
800000.00000000
PA
USD
841232.00000000
0.166978748961
Long
DBT
US
N
2
2023-04-15
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-1760.14000000
-0.00034937564
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
890637.53000000
USD
25641098.23000000
TWD
2020-10-26
-1760.14000000
N
N
N
Fiserv Inc
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AP3
55000.00000000
PA
USD
62003.70000000
0.012307306732
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
700000.00000000
PA
USD
835177.00000000
0.165776873230
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W0FU8
17341.95000000
PA
USD
18997.62000000
0.003770896519
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AX4
680000.00000000
PA
USD
691471.60000000
0.137252342647
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
2.05000000
N
N
N
N
N
N
REPUBLIC OF SOUTH AFRICA
378900AAFB4F17004C49
Republic of South Africa Government International Bond
836205BA1
330000.00000000
PA
USD
314221.88000000
0.062370875595
Long
DBT
NUSS
ZA
N
2
2029-09-30
Fixed
4.85000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02699A SWAPTION EUR006M DEC20 0.10 PUT
000000000
-1100000.00000000
NC
-836.62000000
-0.00016606329
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
1100000.00000000
OU
Notional Amount
N/A
-836.62000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-04
0.00000000
N/A
0.00000000
N/A
1100000.00000000
EUR
1.00000000
0.10000000
EUR
2020-12-02
XXXX
1639.09000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2E3
1750000.00000000
PA
USD
1858465.00000000
0.368892482321
Long
DBT
CORP
FR
N
2
2023-03-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UYD3
273616.39000000
PA
USD
53950.91000000
0.010708883467
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Floating
5.99000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380ABR7
854496.23000000
PA
USD
93566.31000000
0.018572267090
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
4.00000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAW9
909000.00000000
PA
USD
1042077.60000000
0.206845215075
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.90000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-4827.19000000
-0.00095816391
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7621153.65000000
ZAR
445915.41000000
USD
2020-12-17
-4827.19000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
200000.00000000
PA
USD
188750.00000000
0.037465572952
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
711.45000000
0.000141217917
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
613153.00000000
USD
64670227.00000000
JPY
2020-12-16
711.45000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
-5307.14000000
-0.00105343067
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4058756.46000000
SEK
381716.79000000
EUR
2020-12-16
-5307.14000000
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AF8
1204000.00000000
PA
USD
1240120.00000000
0.246155265326
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.88000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
Bear Stearns Asset Backed Securities Trust 2002-2
07384YEM4
1369.09000000
PA
USD
1317.87000000
0.000261588103
Long
ABS-MBS
CORP
US
N
2
2032-10-25
Floating
0.81000000
N
N
N
N
N
N
ITAU UNIBANCO HLDG SA/KY
5493002W2IVG62O3ZJ94
Itau Unibanco Holding SA/Cayman Island
465562AA4
200000.00000000
PA
USD
174200.00000000
0.034577498322
Long
DBT
CORP
BR
N
2
2025-02-27
Fixed
4.63000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JW97
200000.00000000
PA
USD
199875.00000000
0.039673808709
Long
DBT
NUSS
EG
N
2
2023-11-20
Fixed
4.55000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XBD1
290000.00000000
PA
USD
299052.87000000
0.059359931749
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Floating
6.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8G58
920362.65000000
PA
USD
1008701.45000000
0.200220279537
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAP3
175000.00000000
PA
USD
197107.75000000
0.039124528674
Long
DBT
CORP
US
N
2
2025-04-13
Fixed
4.10000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
775000.00000000
PA
USD
845819.50000000
0.167889336065
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
3660.52000000
0.000726587968
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
36355676.17000000
RUB
469593.27000000
USD
2020-11-17
3660.52000000
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AY2
700000.00000000
PA
USD
780038.00000000
0.154832162093
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
4.85000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FM3
50000.00000000
PA
USD
48283.50000000
0.009583941677
Long
DBT
CORP
US
N
2
2049-09-01
Fixed
2.75000000
N
N
N
N
N
N
Ameren Corp
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608AJ1
125000.00000000
PA
USD
142856.25000000
0.028355980165
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.50000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BQ8
1025000.00000000
PA
USD
1093418.75000000
0.217036079185
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
225000.00000000
PA
USD
256578.75000000
0.050929111927
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
NUTRITION & BIOSCIENCES
N/A
Nutrition & Biosciences Inc
67079BAE0
275000.00000000
PA
USD
277612.50000000
0.055104166206
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
3.27000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJY9
625000.00000000
PA
USD
657593.75000000
0.130527823120
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02706A SWAPTION EUR006M DEC20 NEG0.20 CALL
000000000
-3400000.00000000
NC
-31234.09000000
-0.00619975140
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
3400000.00000000
OU
Notional Amount
N/A
-31234.09000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-07
0.00000000
N/A
0.00000000
N/A
3400000.00000000
EUR
1.00000000
-0.20000000
EUR
2020-12-03
XXXX
3032.63000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
2302410.81000000
PA
USD
2503534.91000000
0.496934409594
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BB2
575000.00000000
PA
USD
575000.00000000
0.114133533499
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.38000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCK3
30000.00000000
PA
USD
36602.70000000
0.007265383454
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
210000.00000000
PA
USD
217442.40000000
0.043160816425
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.63000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBT1
320000.00000000
PA
USD
346579.20000000
0.068793580405
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292MYM8
471.89000000
PA
USD
522.12000000
0.000103637218
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
5.50000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEB0
310000.00000000
PA
USD
310871.88000000
0.061705923704
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DH7
1075000.00000000
PA
USD
1223328.50000000
0.242822268409
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.90000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214961 IRS NZD R F .50000 2 CCPVANILLA / Short: SR214961 IRS NZD P V 03MNZDBB 1 CCPVANILLA
000000000
1370000.00000000
OU
Notional Amount
-3005.01000000
-0.00059647375
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-12-16
0.00000000
NZD
-7033.85000000
NZD
1370000.00000000
NZD
1719.98000000
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
1600000.00000000
PA
USD
1710240.00000000
0.339470842315
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
3.37000000
N
N
N
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
45068195.44000000
NS
USD
45068195.44000000
8.945725902608
Long
EC
RF
US
N
1
N
N
N
Fiserv Inc
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AQ1
300000.00000000
PA
USD
327006.00000000
0.064908435226
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
3.80000000
N
N
N
N
N
N
FREDDIEMAC STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UP26
175590.38000000
PA
USD
10140.54000000
0.002012827237
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
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
501453.75000000
0.099535110215
Long
DBT
MUN
US
N
2
2065-10-15
Fixed
4.81000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312940FB0
16754.99000000
PA
USD
19211.58000000
0.003813366103
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
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
300850.00000000
0.059716649657
Long
DBT
CORP
XX
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMKE0
13353.55000000
PA
USD
14628.44000000
0.002903644429
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
CATERPILLAR FINL SERVICE
EDBQKYOPJUCJKLOJDE72
Caterpillar Financial Services Corp
14913R2C0
35000.00000000
PA
USD
36128.40000000
0.007171238176
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
1.45000000
N
N
N
N
N
N
BELL CANADA
549300O5ZKB2MUUSKB97
Bell Canada Inc
0778FPAA7
55000.00000000
PA
USD
68230.80000000
0.013543343126
Long
DBT
CORP
CA
N
2
2048-04-01
Fixed
4.46000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002992 CDS EUR R F 5.00000 2 CCPCDX / Short: SX002992 CDS EUR P V 03MEVENT 1 CCPCDX
000000000
2350000.00000000
OU
Notional Amount
197375.87000000
0.039177748644
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S34.V1
2I667KIK6
Y
sell protection
2025-12-20
195152.15000000
EUR
0.00000000
EUR
2350000.00000000
EUR
-31189.55000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
1831.58000000
0.000363555995
N/A
DFE
CL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
446120.98000000
USD
351510765.00000000
CLP
2020-11-16
1831.58000000
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BM0
195000.00000000
PA
USD
201745.05000000
0.040045000734
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
13820.52000000
0.002743277882
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1805109.38000000
USD
191623101.00000000
JPY
2020-12-16
13820.52000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEB4
3945658.44000000
PA
USD
4290326.30000000
0.851600174753
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YEC4
750509.12000000
PA
USD
115222.06000000
0.022870784078
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.89000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WXWH6
14927.17000000
PA
USD
16370.96000000
0.003249522628
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-5367.34000000
-0.00106537996
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
445720.67000000
USD
404616.31000000
CHF
2020-12-16
-5367.34000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBU1
55000.00000000
PA
USD
71024.80000000
0.014097932852
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
5.45000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
-447.84000000
-0.00008889315
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
363443.56000000
EUR
391828.50000000
CHF
2020-12-16
-447.84000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FQJA2
234934.28000000
PA
USD
28889.38000000
0.005734342643
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
5.85000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBN1
250000.00000000
PA
USD
242697.50000000
0.048173779558
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QCY9
333506.84000000
PA
USD
62626.41000000
0.012430910371
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Floating
6.09000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
125000.00000000
PA
USD
132098.75000000
0.026220690623
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust 2003-2
759950AW8
759.19000000
PA
USD
685.72000000
0.000136110689
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
1.03000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBP0
275000.00000000
PA
USD
294404.00000000
0.058437163123
Long
DBT
CORP
US
N
2
2031-05-13
Fixed
2.96000000
N
N
N
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAK4
150000.00000000
PA
USD
154665.00000000
0.030699935580
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FY45
150920.47000000
PA
USD
29886.77000000
0.005932317678
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Floating
6.04000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAD1
800000.00000000
PA
USD
882688.00000000
0.175207478986
Long
DBT
US
N
2
2025-11-01
Fixed
4.63000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
100000.00000000
PA
USD
85750.00000000
0.017020783474
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
Mylan Inc
30ZMPDNA1RHIBH89C294
Mylan Inc
628530BC0
60000.00000000
PA
USD
75588.00000000
0.015003696574
Long
DBT
CORP
US
N
2
2043-11-29
Fixed
5.40000000
N
N
N
N
N
N
Marathon Petroleum Corp
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585AAF9
40000.00000000
PA
USD
48438.00000000
0.009614608861
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.50000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAK0
400000.00000000
PA
USD
400500.00000000
0.079496487245
Long
DBT
CORP
CA
N
2
2025-08-01
Fixed
3.75000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CP2
200000.00000000
PA
USD
240112.00000000
0.047660575644
Long
DBT
CORP
US
N
2
2047-05-04
Fixed
4.05000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Home Equity Loan Trust 2007-HE3
36186MAC5
19113.51000000
PA
USD
19447.31000000
0.003860156882
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
7.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YR64
891173.03000000
PA
USD
163475.71000000
0.032448800736
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.04000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214480 IRS USD R F .98000 2 CCPVANILLA / Short: SR214480 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
9590000.00000000
OU
Notional Amount
USD
-26382.09000000
-0.00523666287
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-21
0.00000000
USD
-13690.33000000
USD
9590000.00000000
USD
-12691.76000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GV20
206012.37000000
PA
USD
33227.90000000
0.006595508935
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Floating
5.44000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382ET31
1743189.12000000
PA
USD
179869.92000000
0.035702938330
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214058 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214058 IRS EUR P F .25000 2 CCPVANILLA
000000000
7420000.00000000
OU
Notional Amount
-142427.75000000
-0.02827092587
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
EUR
-77801.64000000
EUR
7420000.00000000
EUR
63347.13000000
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
-147640.20000000
-0.02930556123
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.10
137BERAJ6
Y
sell protection
2059-11-17
0.00000000
USD
-114221.66000000
USD
600000.00000000
USD
-33418.54000000
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BP6
25000.00000000
PA
USD
30488.00000000
0.006051657685
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
4.03000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAN1
2331000.00000000
PA
USD
2552748.03000000
0.506702874429
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.46000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
124740.00000000
PA
USD
84511.35000000
0.016774919993
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
0.50000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBG3
1330000.00000000
PA
USD
1461803.00000000
0.290157811599
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAH3
130000.00000000
PA
USD
133412.50000000
0.026481460935
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: CS005457 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005457 CDS USD P F 1.00000 2 CORPORATE
000000000
930000.00000000
OU
Notional Amount
USD
-1879.16000000
-0.00037300029
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
China Government International Bond
China Government International Bond
Y
buy protection
2020-12-20
178.56000000
USD
0.00000000
USD
930000.00000000
USD
-2057.72000000
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAU3
35000.00000000
PA
USD
35670.95000000
0.007080437507
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
-3332.00000000
-0.00066137901
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
363151.81000000
EUR
3786373.29000000
SEK
2020-12-16
-3332.00000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RJF7
100644.91000000
PA
USD
109829.02000000
0.021800302840
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-7673.25000000
-0.00152308719
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
440772.19000000
USD
604546.99000000
AUD
2020-12-16
-7673.25000000
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BH4
225000.00000000
PA
USD
292317.75000000
0.058023056890
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
4.75000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAH3
385000.00000000
PA
USD
463894.20000000
0.092079798636
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZJ5
250000.00000000
PA
USD
253016.50000000
0.050222029875
Long
DBT
CORP
US
N
2
2025-06-09
Fixed
4.69000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CG4
545000.00000000
PA
USD
572250.00000000
0.113587677469
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.75000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BB9
30000.00000000
PA
USD
36807.30000000
0.007305995143
Long
DBT
CORP
JP
N
2
2038-07-26
Fixed
4.29000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JVL0
1050000.00000000
PA
USD
1163778.00000000
0.231001904954
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
3.70000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-2028.22000000
-0.00040258767
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12910280.44000000
TWD
446413.57000000
USD
2020-11-09
-2028.22000000
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687EH5
45000.00000000
PA
USD
67743.45000000
0.013446607512
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.65000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
4199.28000000
0.000833528112
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
446432.83000000
USD
12973338.04000000
TWD
2020-11-09
4199.28000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
295000.00000000
PA
USD
318027.70000000
0.063126304611
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
1251.01000000
0.000248316855
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
429797.45000000
USD
45410679.00000000
JPY
2020-12-16
1251.01000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
50000.00000000
PA
USD
56503.00000000
0.011215455727
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
23292.10000000
0.004623321174
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1755038.55000000
AUD
1280606.00000000
USD
2020-12-16
23292.10000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468J1
835000.00000000
PA
USD
887212.55000000
0.176105570950
Long
DBT
CORP
US
N
2
2025-07-22
Fixed
2.72000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAA3
915000.00000000
PA
USD
946503.45000000
0.187874405595
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BBWT5
1020659.10000000
PA
USD
157308.27000000
0.031224606441
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Fixed
4.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F0206A2
3000000.00000000
PA
USD
3102485.70000000
0.615822009689
Long
ABS-MBS
USGSE
US
N
2
2050-10-15
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
7223.01000000
0.001433717658
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1177001.17000000
CAD
891478.45000000
USD
2020-12-16
7223.01000000
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AG3
175000.00000000
PA
USD
190746.50000000
0.037861864430
Long
DBT
US
N
2
2031-01-30
Fixed
3.88000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604BD4
75000.00000000
PA
USD
77953.50000000
0.015473232006
Long
DBT
CORP
US
N
2
2022-10-09
Fixed
2.70000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
7987.62000000
0.001585487469
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
446218.26000000
USD
7679710.76000000
ZAR
2020-12-17
7987.62000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201SSM2
18972.06000000
PA
USD
21489.36000000
0.004265489720
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W4AP6
14190.08000000
PA
USD
15562.58000000
0.003089064775
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPK94
1795451.48000000
PA
USD
2043653.62000000
0.405651145911
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
4.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BJ9
850000.00000000
PA
USD
916572.00000000
0.181933219245
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.52000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RE0
1100000.00000000
PA
USD
1607203.13000000
0.319018734396
Long
DBT
UST
US
N
1
2044-02-15
Fixed
3.63000000
N
N
N
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAD1
675050.84000000
PA
USD
635161.95000000
0.126075265561
Long
ABS-O
CORP
US
N
2
2022-01-25
Floating
0.57000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CX5
100000.00000000
PA
USD
130381.00000000
0.025879729097
Long
DBT
CORP
US
N
2
2048-11-16
Fixed
4.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBJ8
3424563.31000000
PA
USD
3675456.24000000
0.729552709378
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4.50000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807DD6
370000.00000000
PA
USD
386609.30000000
0.076739279117
Long
DBT
US
N
2
2023-06-01
Fixed
2.75000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
95000.00000000
PA
USD
93337.50000000
0.018526849883
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AL1
700000.00000000
PA
USD
710003.00000000
0.140930697713
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.65000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-3923.27000000
-0.00077874203
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
446000.00000000
USD
406199.85000000
CHF
2020-12-16
-3923.27000000
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAC5
374000.00000000
PA
USD
395972.50000000
0.078597809727
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02735A SWAPTION US0003M OCT20 0.6975 CALL
000000000
-3780000.00000000
NC
USD
-9418.25000000
-0.00186945765
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
3780000.00000000
OU
Notional Amount
N/A
-9418.25000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-10-15
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.69750000
USD
2020-10-13
XXXX
14017.75000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DK0
375000.00000000
PA
USD
435232.50000000
0.086390648902
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.20000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477BK8
25000.00000000
PA
USD
28445.50000000
0.005646235525
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
450000.00000000
PA
USD
539113.50000000
0.107010310803
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
4776.69000000
0.000948140014
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
348996546.00000000
CLP
449525.22000000
USD
2020-11-16
4776.69000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGL8
600000.00000000
PA
USD
686736.00000000
0.136312358714
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CAY0
24434.36000000
PA
USD
26429.25000000
0.005246023809
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
Crown City CLO I
549300K60T4GC7BSX929
Crown City CLO I
22823RAC3
1200000.00000000
PA
USD
1203883.20000000
0.238962510497
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
2.86000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EM6
5000.00000000
PA
USD
5905.05000000
0.001172111690
Long
DBT
CORP
US
N
2
2051-10-01
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B9HA6
604129.94000000
PA
USD
105319.48000000
0.020905190258
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Floating
5.90000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: CS005451 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005451 CDS USD P F 1.00000 2 CORPORATE
000000000
230000.00000000
OU
Notional Amount
USD
-464.74000000
-0.00009224768
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
China Government International Bond
China Government International Bond
Y
buy protection
2020-12-20
92.60000000
USD
0.00000000
USD
230000.00000000
USD
-557.34000000
N
N
N
ZOETIS INC
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAS2
1175000.00000000
PA
USD
1213258.00000000
0.240823343628
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.00000000
N
N
N
N
N
N
Post Holdings Inc
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AM6
450000.00000000
PA
USD
473062.50000000
0.093899642940
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo Inc
74736KAH4
600000.00000000
PA
USD
637500.00000000
0.126539352357
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.38000000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AG1
235000.00000000
PA
USD
253870.50000000
0.050391542984
Long
DBT
US
N
2
2024-06-15
Fixed
3.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
5085908.36000000
PA
USD
5484101.42000000
1.088556301100
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LD1
60000.00000000
PA
USD
67880.40000000
0.013473791143
Long
DBT
CORP
US
N
2
2028-01-10
Fixed
3.89000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
1181.93000000
0.000234604951
N/A
DFE
CL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
694902.28000000
USD
546220989.00000000
CLP
2020-11-16
1181.93000000
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
650000.00000000
PA
USD
706875.00000000
0.140309811290
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
3101.35000000
0.000615596581
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
617975.43000000
AUD
445820.45000000
USD
2020-12-16
3101.35000000
N
N
N
EAST OHIO GAS CO/THE
BC95Y6MXLT75BGO7UM71
East Ohio Gas Co/The
27409LAA1
150000.00000000
PA
USD
153169.50000000
0.030403089146
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 II Pool
36179RXE4
573741.08000000
PA
USD
624662.09000000
0.123991115782
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
1757.40000000
0.000348831776
N/A
DFE
IL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
445084.89000000
USD
1528911.11000000
ILS
2020-12-16
1757.40000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RHW5
40000.00000000
PA
USD
45090.00000000
0.008950053957
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202F2M7
1432.11000000
PA
USD
1579.80000000
0.000313579402
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
4.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABA2
625000.00000000
PA
USD
685675.00000000
0.136101757534
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
Howmet Aerospace Inc
443201AA6
1358000.00000000
PA
USD
1500399.88000000
0.297819026028
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT DEC20 XCBT 20201221
000000000
213.00000000
NC
USD
-194473.10000000
-0.03860156882
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNZ0 Comdty
2020-12-21
47354004.35000000
USD
-194473.10000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EP2E3
203790.99000000
PA
USD
232090.30000000
0.046068323530
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.50000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CK4
475000.00000000
PA
USD
495676.75000000
0.098388415566
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.40000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
500000.00000000
PA
662434.12000000
0.131488603175
Long
DBT
NUSS
RO
N
2
2030-05-26
Fixed
3.62000000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo Inc
74736KAJ0
725000.00000000
PA
USD
736781.25000000
0.146245995614
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.38000000
N
N
N
N
N
N
DENTSPLY SIRONA INC
9NHEHR1SOZCYXDO8HO28
DENTSPLY SIRONA Inc
24906PAA7
350000.00000000
PA
USD
380320.50000000
0.075490995699
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-3857.98000000
-0.00076578241
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12860522.27000000
TWD
442855.45000000
USD
2020-11-09
-3857.98000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FTLA3
6150137.50000000
PA
USD
795447.71000000
0.157890883228
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4.50000000
N
N
N
N
N
N
Weyerhaeuser Co
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166BR4
50000.00000000
PA
USD
72812.00000000
0.014452679723
Long
DBT
US
N
2
2032-03-15
Fixed
7.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-555.57000000
-0.00011027681
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
44215170.00000000
JPY
419144.84000000
USD
2020-12-16
-555.57000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-1535.40000000
-0.00030476630
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
423069.62000000
USD
2875117.68000000
CNY
2020-12-16
-1535.40000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: CS005455 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005455 CDS USD P F 1.00000 2 CORPORATE
000000000
5110000.00000000
OU
Notional Amount
USD
-10325.27000000
-0.00204949486
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
China Government International Bond
China Government International Bond
Y
buy protection
2020-12-20
1897.82000000
USD
0.00000000
USD
5110000.00000000
USD
-12223.09000000
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HAH8
970000.00000000
PA
USD
948441.75000000
0.188259144775
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
1.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9ME0
955343.18000000
PA
USD
1047039.50000000
0.207830117996
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644MAA9
250000.00000000
PA
USD
256550.00000000
0.050923405250
Long
DBT
CORP
US
N
2
2023-02-03
Fixed
1.80000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAE2
525000.00000000
PA
USD
623889.00000000
0.123837662750
Long
DBT
CORP
FR
N
2
2028-09-12
Fixed
4.63000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CW8
27000.00000000
PA
USD
30933.95000000
0.006140175684
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
9.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
-2246.76000000
-0.00044596636
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
363953.15000000
EUR
390725.54000000
CHF
2020-12-16
-2246.76000000
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
200000.00000000
PA
USD
203247.42000000
0.040343210815
Long
DBT
CORP
VG
N
2
2030-09-30
Fixed
3.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378W2X0
86980.96000000
PA
USD
17115.36000000
0.003397280893
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Floating
5.94000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAY6
350000.00000000
PA
USD
367045.00000000
0.072855900527
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MHMWVKFEDI8G73
SLM Student Loan Trust 2008-2
784442AC9
189818.18000000
PA
USD
184949.78000000
0.036711255497
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
0.99000000
N
N
N
N
N
N
EQUITABLE HOLDINGS INC
549300FIBAKMNHPZ4009
Equitable Holdings Inc
054561AM7
35000.00000000
PA
USD
41219.15000000
0.008181716934
Long
DBT
CORP
US
N
2
2048-04-20
Fixed
5.00000000
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
444554.25000000
0.088240951973
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
3.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MKQH2
30830.04000000
PA
USD
33811.99000000
0.006711446771
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAB9
425000.00000000
PA
USD
423682.50000000
0.084098053576
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
200000.00000000
PA
USD
222777.70000000
0.044219836670
Long
DBT
CORP
VG
N
2
2025-01-16
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
4513338.36000000
PA
USD
4904774.33000000
0.973563870085
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FVA93
1994962.85000000
PA
USD
275160.84000000
0.054617528608
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Fixed
4.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAQ7
450000.00000000
PA
USD
491125.50000000
0.097485023837
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BW9
40000.00000000
PA
USD
53381.20000000
0.010595799962
Long
DBT
CORP
US
N
2
2036-02-23
Fixed
4.50000000
N
N
N
N
N
N
Harben Finance
213800J7WLPUU61CJY65
Harben Finance 2017-1 PLC
000000000
726510.13000000
PA
935664.99000000
0.185723046052
Long
ABS-MBS
CORP
GB
N
2
2056-08-20
Floating
0.87000000
N
N
N
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BE0
1200000.00000000
PA
USD
1197000.00000000
0.237596242780
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
5.13000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
345000.00000000
PA
USD
375197.85000000
0.074474185011
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G6S8
250000.00000000
PA
USD
262282.50000000
0.052061266956
Long
DBT
CORP
US
N
2
2023-01-09
Fixed
3.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANZG1
38257.09000000
PA
USD
42732.76000000
0.008482158078
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214463 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214463 IRS EUR P F .00000 CCPVANILLA
000000000
30430000.00000000
OU
Notional Amount
-113590.49000000
-0.02254692868
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-18
24961.21000000
EUR
0.00000000
EUR
30430000.00000000
EUR
-141683.23000000
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAG5
225000.00000000
PA
USD
241796.25000000
0.047994887651
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427AQ1
10000.00000000
PA
USD
10924.20000000
0.002168378342
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.45000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-4197.74000000
-0.00083322243
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
427676.95000000
USD
563678.22000000
CAD
2020-12-16
-4197.74000000
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YQ0
330000.00000000
PA
USD
325595.49000000
0.064628458721
Long
DBT
CORP
US
N
2
2022-08-03
Fixed
2.98000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L5TH6
15506.10000000
PA
USD
17089.74000000
0.003392195500
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297KFM9
98088.58000000
PA
USD
112972.98000000
0.022424357212
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FUKH6
553911.67000000
PA
USD
72695.87000000
0.014429628719
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
459.58000000
0.000091223459
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
467770.97000000
USD
362683.44000000
GBP
2020-12-16
459.58000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RAZ2
456728.24000000
PA
USD
39238.62000000
0.007788595391
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Floating
3.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YR23
664564.35000000
PA
USD
106691.35000000
0.021177496990
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.04000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-2204.93000000
-0.00043766339
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
45287781.00000000
JPY
427676.95000000
USD
2020-12-16
-2204.93000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABH7
1175000.00000000
PA
USD
1202295.25000000
0.238647313377
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CY4
375000.00000000
PA
USD
397057.50000000
0.078813174743
Long
DBT
CORP
US
N
2
2025-01-28
Fixed
2.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-5904.89000000
-0.00117207993
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
175646.35000000
USD
1318454.20000000
TRY
2020-10-23
-5904.89000000
N
N
N
SLM Student Loan Trust
549300JQFJDGC1WO7674
SLM Student Loan Trust 2008-6
78445CAD4
957564.36000000
PA
USD
923219.40000000
0.183252682290
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
1.34000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJE0
50000.00000000
PA
USD
50907.00000000
0.010104688330
Long
DBT
CORP
US
N
2
2041-06-19
Fixed
2.68000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BX002990 CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX002990 CDS EUR P F 1.00000 2 CCPCDX
000000000
7650000.00000000
OU
Notional Amount
-189813.36000000
-0.03767664257
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S34.V1
2I666VCX1
Y
buy protection
2025-12-20
0.00000000
EUR
-165796.33000000
EUR
7650000.00000000
EUR
4370.06000000
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAF6
200000.00000000
PA
USD
208576.00000000
0.041400897188
Long
DBT
US
N
2
2028-01-15
Fixed
3.40000000
N
N
N
N
N
N
APPALACHIAN POWER CO
3SCHO1ABYYIG382BEI70
Appalachian Power Co
037735CY1
30000.00000000
PA
USD
34214.40000000
0.006791322380
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.70000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: CS005471 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005471 CDS USD P F 1.00000 2 CORPORATE
000000000
10000.00000000
OU
Notional Amount
USD
-65.53000000
-0.00001300725
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
13.81000000
USD
0.00000000
USD
10000.00000000
USD
-79.34000000
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EBJ3
30000.00000000
PA
USD
34073.40000000
0.006763334852
Long
DBT
CORP
US
N
2
2029-04-18
Fixed
3.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPA4
2444263.37000000
PA
USD
2601237.14000000
0.516327628273
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
COSTAR GROUP INC
N/A
CoStar Group Inc
22160NAA7
625000.00000000
PA
USD
645496.88000000
0.128126677873
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.80000000
N
N
N
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AJ6
25000.00000000
PA
USD
30005.25000000
0.005955835140
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
4.85000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS02710A SWAPTION EUR006M OCT20 NEG0.191 CALL
000000000
-3050000.00000000
NC
-14855.67000000
-0.00294874801
N/A
DIR
DE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
3050000.00000000
OU
Notional Amount
N/A
-14855.67000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-10-07
0.00000000
N/A
0.00000000
N/A
3050000.00000000
EUR
1.00000000
-0.19100000
EUR
2020-10-05
XXXX
2186.54000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
1988.77000000
0.000394757125
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
439342.88000000
USD
587440.97000000
CAD
2020-12-16
1988.77000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-889.48000000
-0.00017655564
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
996647494.00000000
KRW
853856.99000000
USD
2020-11-02
-889.48000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E0EH4
473647.49000000
PA
USD
516917.28000000
0.102604514249
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
Adobe Inc
FU4LY2G4933NH2E1CP29
Adobe Inc
00724FAC5
30000.00000000
PA
USD
33262.80000000
0.006602436344
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-1490.72000000
-0.00029589763
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
208532.54000000
USD
3086907257.87000000
IDR
2020-11-05
-1490.72000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0506A5
1000000.00000000
PA
USD
1084266.70000000
0.215219460393
Long
ABS-MBS
USGA
US
N
2
2050-10-21
Fixed
5.00000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
State Street Corp
857477BD4
60000.00000000
PA
USD
72498.60000000
0.014390471985
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
4.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WWKV0
19504.30000000
PA
USD
21390.80000000
0.004245926240
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AD8
300000.00000000
PA
USD
328563.00000000
0.065217488986
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.63000000
N
N
N
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
SASOL Financing USA LLC
80386WAA3
310000.00000000
PA
USD
297212.50000000
0.058994631000
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
5.88000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA4
35565RAH6
155000.00000000
PA
USD
155414.92000000
0.030848789527
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Floating
3.30000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G4B7
55000.00000000
PA
USD
70220.15000000
0.013938215377
Long
DBT
CORP
US
N
2
2039-01-10
Fixed
6.88000000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
932625.00000000
PA
USD
494291.25000000
0.098113403374
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: IBX00036 TRS USD R E IBOXHY INDEX / Short: IBX00036 TRS USD P V 03MLIBOR US0003M+ 0.00 BPS
000000000
1250000.00000000
OU
Notional Amount
USD
8188.04000000
0.001625269456
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Markit iBoxx USD Liquid High Yield Index
IBOXHY Index
Y
equity-performance leg
2021-03-22
0.00000000
USD
0.00000000
USD
1250000.00000000
USD
8188.04000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376VHU4
649630.69000000
PA
USD
128796.95000000
0.025565306099
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Floating
6.09000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFW7
175000.00000000
PA
USD
211828.75000000
0.042046545624
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.90000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-4896.66000000
-0.00097195323
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1547095.33000000
ILS
447260.18000000
USD
2020-12-16
-4896.66000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W7WP5
18176.03000000
PA
USD
19934.06000000
0.003956773399
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 II Pool
36179MQQ6
2736.76000000
PA
USD
3010.44000000
0.000597551573
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02782A SWAPTION US0003M OCT20 0.703 PUT
000000000
-3780000.00000000
NC
USD
-21995.82000000
-0.00436601853
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-21995.82000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-10-30
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.70300000
USD
2020-10-28
XXXX
-3284.82000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BD2
826000.00000000
PA
USD
886991.84000000
0.176061761537
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.88000000
N
N
N
N
N
N
LAM RESEARCH CORP
549300I4GMO6D34U1T02
Lam Research Corp
512807AV0
375000.00000000
PA
USD
388346.25000000
0.077084051710
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.90000000
N
N
N
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612EBD7
65000.00000000
PA
USD
72073.30000000
0.014306052869
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BBF9
2213885.43000000
PA
USD
231687.10000000
0.045988291111
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BW1
275000.00000000
PA
USD
329172.25000000
0.065338420908
Long
DBT
CORP
US
N
2
2028-12-06
Fixed
3.90000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
25152R2Y8
65000.00000000
PA
USD
69289.35000000
0.013753457998
Long
DBT
CORP
DE
N
2
2026-01-13
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BBVP4
1953852.83000000
PA
USD
166782.83000000
0.033105241243
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.00000000
N
N
N
N
N
N
UNITED PARCEL SERVICE
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312BX3
60000.00000000
PA
USD
68281.80000000
0.013553466274
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.90000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
1239172.00000000
PA
USD
1270863.06000000
0.252257550663
Long
DBT
UST
US
N
1
2022-07-15
Fixed
0.13000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
300000.00000000
PA
USD
324537.00000000
0.064418355758
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.13000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAC0
175000.00000000
PA
USD
177520.00000000
0.035236495420
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
1.35000000
N
N
N
N
N
N
AEP Transmission Co LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAM1
50000.00000000
PA
USD
58872.50000000
0.011685785132
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.65000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAE0
55000.00000000
PA
USD
69839.55000000
0.013862668903
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.32000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XZSV4
555432.53000000
PA
USD
597178.67000000
0.118535846499
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
N
N
N
NIELSEN FINANCE LLC/CO
N/A
Nielsen Finance LLC / Nielsen Finance Co
65409QBF8
83000.00000000
PA
USD
85905.00000000
0.017051549904
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
5.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
2857636.89000000
PA
USD
3105476.02000000
0.616415567581
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
22797.25000000
0.004525096863
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1538370.22000000
USD
164632535.00000000
JPY
2020-10-09
22797.25000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
33659.96000000
0.006681269864
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
14110249.97000000
SEK
1610785.98000000
USD
2020-12-16
33659.96000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02751A SWAPTION US0003M OCT20 0.70 PUT
000000000
-3780000.00000000
NC
USD
-18447.91000000
-0.00366178287
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-18447.91000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-10-21
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.70000000
USD
2020-10-19
XXXX
1066.34000000
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBF5
550000.00000000
PA
USD
620620.00000000
0.123188788800
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.65000000
N
N
N
N
N
N
Pennsylvania Higher Education Assistance Agency
N/A
PHEAA Student Loan Trust 2016-1
69343FAA5
1338748.15000000
PA
USD
1333776.04000000
0.264745343203
Long
ABS-O
CORP
US
N
2
2065-09-25
Floating
1.30000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RGL0
25000.00000000
PA
USD
28907.25000000
0.005737889715
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.10000000
N
N
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA Inc
87901JAE5
950000.00000000
PA
USD
926250.00000000
0.183854235484
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.63000000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AC1
225000.00000000
PA
USD
235937.25000000
0.046831916567
Long
DBT
CORP
CA
N
2
2023-05-15
Fixed
2.80000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214470 IRS EUR R F .05000 2 CCPVANILLA / Short: SR214470 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
6990000.00000000
OU
Notional Amount
52092.58000000
0.010340017781
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-21
13853.78000000
EUR
0.00000000
EUR
6990000.00000000
EUR
93962.69000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
575000.00000000
PA
USD
648881.75000000
0.128798551218
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
AIR PRODUCTS & CHEMICALS
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158BC9
200000.00000000
PA
USD
210660.00000000
0.041814556812
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.05000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
75000.00000000
PA
USD
60750.00000000
0.012058455930
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02767A SWAPTION US0003M OCT20 0.7 PUT
000000000
-3780000.00000000
NC
USD
-21561.50000000
-0.00427980901
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-21561.50000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-10-28
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.70000000
USD
2020-10-26
XXXX
-2094.50000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
3995.93000000
0.000793164540
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3809199.91000000
SEK
365889.26000000
EUR
2020-12-16
3995.93000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
275000.00000000
PA
USD
247238.75000000
0.049075186357
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
AID-ISRAEL
213800T8ZHTFZIBYPE21
Israel Government AID Bond
46513EFG2
40000.00000000
PA
USD
60024.00000000
0.011914349938
Long
DBT
NUSS
IL
N
2
2033-09-18
Fixed
5.50000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing Inc
527298BR3
645000.00000000
PA
USD
655481.25000000
0.130108506443
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.25000000
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
107357.54000000
0.021309731109
Long
ABS-MBS
CORP
US
N
2
2060-01-15
Fixed
3.25000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
265000.00000000
PA
USD
267668.55000000
0.053130360727
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H0226B2
13000000.00000000
PA
USD
13626537.60000000
2.704773714169
Long
ABS-MBS
USGA
US
N
2
2050-11-19
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214061 IRS CNY R F 2.50000 CCPVANILLA / Short: SR214061 IRS CNY P V 03MLIBOR CCPVANILLA
000000000
18280000.00000000
OU
Notional Amount
-17086.13000000
-0.00339147894
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
