Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 6:03 AM

  
    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