Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 6:03 AM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000009308
        C000202039
        C000161291
        C000025414
        C000025418
        C000090762
        C000025416
        C000025415
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Global Core Fixed Income
      S000009308
      S7AVHSYYPK5PCOCQSV77
      2021-03-31
      2020-09-30
      N
    
    
      889159929.74
      185295124.37
      703864805.37
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      80460442.47000000
      0.00000000
      0.00000000
      27208847.01000000
      
        
          THB
          
          
        
        
          CHF
          
          
        
        
          SGD
          
          
        
        
          CLP
          
          
        
        
          TWD
          
          
        
        
          BRL
          
          
        
        
          MYR
          
          
        
        
          GBP
          
          
        
        
          INR
          
          
        
        
          NOK
          
          
        
        
          KRW
          
          
        
        
          NZD
          
          
        
        
          CAD
          
          
        
        
          IDR
          
          
        
        
          CNY
          
          
        
        
          COP
          
          
        
        
          CZK
          
          
        
        
          USD
          
          
        
        
          EUR
          
          
        
        
          SEK
          
          
        
        
          ZAR
          
          
        
        
          PLN
          
          
        
        
          DKK
          
          
        
        
          AUD
          
          
        
        
          HUF
          
          
        
        
          MXN
          
          
        
        
          ILS
          
          
        
        
          TRY
          
          
        
        
          RUB
          
          
        
        
          JPY
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4213.55000000
        -0.00059863058
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479000.00000000
            USD
            436255.00000000
            CHF
            2020-12-16
            -4213.55000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        236517.20000000
        0.033602646160
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            62965127.93000000
            EUR
            74120974.47000000
            USD
            2020-11-09
            236517.20000000
          
        
        
          N
          N
          N
        
      
      
        KELLOGG CO
        LONOZNOJYIBXOHXWDB86
        Kellogg Co
        487836BX5
        
          
        
        1600000.00000000
        PA
        USD
        1637648.00000000
        0.232665135052
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABJ3
        
          
        
        950000.00000000
        PA
        USD
        978625.40000000
        0.139035989942
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138APHA9
        
          
        
        17664.41000000
        PA
        USD
        19836.50000000
        0.002818225865
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRBUS SE
        MINO79WLOO247M1IL051
        Airbus SE
        000000000
        
          
        
        500000.00000000
        PA
        
        635801.93000000
        0.090330120947
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2032-04-07
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        550000.00000000
        PA
        
        656951.16000000
        0.093334849958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-03
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Logicor Financing Sarl
        254900IS16Q1A2TQFN22
        Logicor Financing Sarl
        000000000
        
          
        
        550000.00000000
        PA
        
        731321.41000000
        0.103900834992
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-11-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1620.98000000
        -0.00023029706
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479433.31000000
            USD
            557136505.00000000
            KRW
            2020-11-02
            -1620.98000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378UYD3
        
          
        
        191097.16000000
        PA
        USD
        37680.00000000
        0.005353300763
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-06-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGRICUL DEV BANK CHINA
        300300C1020311000158
        Agricultural Development Bank of China
        000000000
        
          
        
        12220000.00000000
        PA
        
        1785963.42000000
        0.253736712842
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2029-07-12
          Fixed
          3.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3798.41000000
        0.000539650508
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            195661.12000000
            USD
            15563374.64000000
            RUB
            2020-11-17
            3798.41000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378UYN1
        
          
        
        180445.02000000
        PA
        USD
        35018.26000000
        0.004975140074
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-06-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1936.13000000
        0.000275071290
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            475533.54000000
            USD
            1827760714.34000000
            COP
            2020-10-05
            1936.13000000
          
        
        
          N
          N
          N
        
      
      
        CHUBB INA HOLDINGS INC
        CZCBJZWDMLTHWJDXU843
        Chubb INA Holdings Inc
        171239AA4
        
          
        
        400000.00000000
        PA
        
        502727.70000000
        0.071423900749
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        484468.24000000
        PA
        USD
        546389.87000000
        0.077627104783
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -44347.20000000
        -0.00630052812
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5799616.66000000
            USD
            4899963.72000000
            EUR
            2020-12-16
            -44347.20000000
          
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164QNA2
        
          
        
        1350000.00000000
        PA
        USD
        1422360.00000000
        0.202078579458
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2041.78000000
        0.000290081274
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            422680.97000000
            USD
            7181210.20000000
            ZAR
            2020-12-17
            2041.78000000
          
        
        
          N
          N
          N
        
      
      
        ECMC Group Student Loan Trust
        N/A
        ECMC Group Student Loan Trust
        26828WAA2
        
          
        
        5010340.30000000
        PA
        USD
        4982603.06000000
        0.707892058529
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GT2
        
          
        
        1210000.00000000
        PA
        USD
        1288529.00000000
        0.183064842874
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -23082.53000000
        -0.00327939823
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            71286868.63000000
            INR
            943331.07000000
            USD
            2020-10-28
            -23082.53000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAU0
        
          
        
        300000.00000000
        PA
        USD
        325164.00000000
        0.046196939741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -17868.37000000
        -0.00253860824
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            480764.13000000
            USD
            1771971584.51000000
            COP
            2020-10-05
            -17868.37000000
          
        
        
          N
          N
          N
        
      
      
        AIRBUS SE
        MINO79WLOO247M1IL051
        Airbus SE
        000000000
        
          
        
        550000.00000000
        PA
        
        693436.63000000
        0.098518440574
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-04-07
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
        
        1450000.00000000
        PA
        USD
        1571031.50000000
        0.223200746509
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312930J43
        
          
        
        883.39000000
        PA
        USD
        1017.44000000
        0.000144550486
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ARZ31
        
          
        
        163857.16000000
        PA
        USD
        184005.77000000
        0.026142203530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        3250000.00000000
        PA
        
        4217114.25000000
        0.599136967472
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2027-04-30
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 3 1/2% 2068
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        710000.00000000
        PA
        
        1959759.56000000
        0.278428406286
        Long
        DBT
        NUSS
        GB
        N
        
        1
        
          2068-07-22
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BTP FUTURE   DEC20 XEUR 20201208
        000000000
        
          
        
        30.00000000
        NC
        
        67203.18000000
        0.009547739777
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Long-Term Euro-BTP (FBTP)
                IKZ0 Comdty
              
            
            2020-12-08
            4370081.40000000
            EUR
            67203.18000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02772A SWAPTION EUR006M JAN21 0.0001 PUT
        000000000
        
          
        
        -2460000.00000000
        NC
        
        -7447.65000000
        -0.00105810802
        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
                    
                      
                    
                    2460000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7447.65000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2460000.00000000
                  EUR
                
              
            
            1.00000000
            0.00010000
            EUR
            2021-01-14
            XXXX
            274.67000000
          
        
        
          N
          N
          N
        
      
      
        Electricite de France SA
        549300X3UK4GG3FNMO06
        Electricite de France SA
        268317AU8
        
          
        
        1450000.00000000
        PA
        USD
        1723252.50000000
        0.244827200742
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR213778  IRS BRL R F  6.26000 1 CCPNDFPREDISWAP / Short: SR213778  IRS BRL P V 00MBRCDI 2 CCPNDFPREDISWAP
        000000000
        
          
        
        1775000.00000000
        OU
        Notional Amount
        
        5100.15000000
        0.000724592274
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-01-02
            8304.99000000
            BRL
            0.00000000
            BRL
            1775000.00000000
            BRL
            17332.01000000
          
        
        
          N
          N
          N
        
      
      
        HELVETIA EUROPE SA
        N/A
        Helvetia Europe SA
        000000000
        
          
        
        550000.00000000
        PA
        
        674258.87000000
        0.095793803704
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2041-09-30
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        14879.39000000
        0.002113955675
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1943408.39000000
            USD
            206304364.00000000
            JPY
            2020-12-16
            14879.39000000
          
        
        
          N
          N
          N
        
      
      
        BOOKING HOLDINGS INC
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        09857LAP3
        
          
        
        150000.00000000
        PA
        USD
        168949.50000000
        0.024003118029
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-13
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        2075000.00000000
        PA
        
        3300430.29000000
        0.468901167499
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2026-07-30
          Fixed
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5764.47000000
        -0.00081897403
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478700.00000000
            USD
            434554.29000000
            CHF
            2020-12-16
            -5764.47000000
          
        
        
          N
          N
          N
        
      
      
        Educational Services of America Inc
        N/A
        Edsouth Indenture No 10 LLC
        28138JAA2
        
          
        
        759921.76000000
        PA
        USD
        750042.78000000
        0.106560631285
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2056-12-25
          Floating
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BY8
        
          
        
        750000.00000000
        PA
        USD
        763177.50000000
        0.108426716917
        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 ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -7170.19000000
        -0.00101868852
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8218626.97000000
            ZAR
            478909.15000000
            USD
            2020-12-17
            -7170.19000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -6605.21000000
        -0.00093842026
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2085285269.35000000
            COP
            538138.13000000
            USD
            2020-10-05
            -6605.21000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        4158.95000000
        0.000590873413
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            367793.52000000
            GBP
            478986.70000000
            USD
            2020-12-16
            4158.95000000
          
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCR0
        
          
        
        1000000.00000000
        PA
        USD
        1103720.00000000
        0.156808522258
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BM3
        
          
        
        1700000.00000000
        PA
        USD
        1849294.00000000
        0.262734261734
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.93000000
          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
        
          
        
        9850000.00000000
        OU
        Notional Amount
        USD
        -27097.35000000
        -0.00384979470
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            0.00000000
            USD
            -14474.54000000
            USD
            9850000.00000000
            USD
            -12622.81000000
          
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAX6
        
          
        
        1500000.00000000
        PA
        USD
        1584435.00000000
        0.225105018451
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAG8
        
          
        
        250000.00000000
        PA
        USD
        268860.00000000
        0.038197676307
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BE0
        
          
        
        1200000.00000000
        PA
        USD
        1242648.00000000
        0.176546403587
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02208A SWAPTION OCT20 0.395 CALL
        000000000
        
          
        
        -9900000.00000000
        NC
        USD
        -0.99000000
        -0.00000014065
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    9900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.99000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9900000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-10-02
            XXXX
            89594.01000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376VHU4
        
          
        
        489920.82000000
        PA
        USD
        97132.58000000
        0.013799891578
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-02-20
          Floating
          6.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BN1
        
          
        
        1100000.00000000
        PA
        USD
        1234574.00000000
        0.175399308301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BQ6
        
          
        
        900000.00000000
        PA
        USD
        997443.00000000
        0.141709457894
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417MFB4
        
          
        
        7549.05000000
        PA
        USD
        8557.24000000
        0.001215750515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416QBF1
        
          
        
        5581.73000000
        PA
        USD
        6250.38000000
        0.000888008599
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE ENERGY CAROLINAS
        MWIUSDMN17TCR56VW396
        Duke Energy Carolinas LLC
        26442CAZ7
        
          
        
        700000.00000000
        PA
        USD
        774956.00000000
        0.110100120660
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0426A2
        
          
        
        1000000.00000000
        PA
        USD
        1071464.60000000
        0.152225909269
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -5470.86000000
        -0.00077726005
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            101413795.00000000
            JPY
            957171.87000000
            USD
            2020-12-16
            -5470.86000000
          
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAC8
        
          
        
        200000.00000000
        PA
        USD
        220228.00000000
        0.031288394918
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-04-24
          Fixed
          5.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        888.31000000
        0.000126204633
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            522276.92000000
            USD
            410530547.00000000
            CLP
            2020-11-16
            888.31000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417L5D3
        
          
        
        16244.52000000
        PA
        USD
        18263.68000000
        0.002594771021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        21113.74000000
        0.002999686848
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1300574.49000000
            CHF
            1436559.18000000
            USD
            2020-12-16
            21113.74000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        147.65000000
        0.000020977039
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3264649.73000000
            CNY
            478792.95000000
            USD
            2020-12-16
            147.65000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JH1
        
          
        
        100000.00000000
        PA
        USD
        91641.00000000
        0.013019687772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -4571.08000000
        -0.00064942585
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2364013.84000000
            ILS
            686219.70000000
            USD
            2020-12-09
            -4571.08000000
          
        
        
          N
          N
          N
        
      
      
        GMAC Mortgage Corporation Loan Trust
        N/A
        GMACM Home Equity Loan Trust 2007-HE3
        36186MAC5
        
          
        
        41412.61000000
        PA
        USD
        42135.84000000
        0.005986354151
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AN0
        
          
        
        700000.00000000
        PA
        USD
        841127.00000000
        0.119501215799
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2048-04-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAA6
        
          
        
        210000.00000000
        PA
        USD
        225834.00000000
        0.032084854687
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-21
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1892.50000000
        -0.00026887265
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            957610.27000000
            USD
            27569216.63000000
            TWD
            2020-10-26
            -1892.50000000
          
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BW8
        
          
        
        1000000.00000000
        PA
        USD
        1133640.00000000
        0.161059338576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBS7
        
          
        
        1700000.00000000
        PA
        USD
        2008754.00000000
        0.285389180517
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAD9
        
          
        
        200000.00000000
        PA
        USD
        207594.00000000
        0.029493447948
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-04-26
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAE0
        
          
        
        150000.00000000
        PA
        USD
        151425.00000000
        0.021513364334
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          3.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RAZ2
        
          
        
        1232336.22000000
        PA
        USD
        105872.96000000
        0.015041661295
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        80170.65000000
        0.011390063743
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3189622.87000000
            GBP
            4198028.52000000
            USD
            2020-12-16
            80170.65000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214564  IRS KRW R F  1.00000 CCPNDF / Short: SR214564  IRS KRW P V 03MLIBOR CCPNDF
        000000000
        
          
        
        2402600000.00000000
        OU
        Notional Amount
        
        2844.71000000
        0.000404155738
        N/A
        DIR
        
        KR
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-09-16
            0.00000000
            KRW
            -4480654.00000000
            KRW
            2402600000.00000000
            KRW
            6555.98000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02687A SWAPTION EUR006M NOV20 NEG0.15 CALL
        000000000
        
          
        
        -5520000.00000000
        NC
        
        -70462.41000000
        -0.01001078750
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                  
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                    IRS Swap
                    N/A
                    
                      
                    
                    5520000.00000000
                    OU
                    Notional Amount
                    N/A
                    -70462.41000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5520000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-11-30
            XXXX
            -14634.64000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        -6474.07000000
        -0.00091978885
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            21328803338.00000000
            IDR
            1423875.68000000
            USD
            2020-11-06
            -6474.07000000
          
        
        
          N
          N
          N
        
      
      
        ONTARIO (PROVINCE OF)
        C7PVKCRGLG18EBQGZV36
        Province of Ontario Canada
        683234B98
        
          
        
        2300000.00000000
        PA
        
        2523513.95000000
        0.358522535968
        Long
        DBT
        NUSS
        CA
        N
        
        1
        
          2041-06-02
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6889.85000000
        -0.00097885985
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            188620.23000000
            USD
            1411577.22000000
            TRY
            2020-10-23
            -6889.85000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02205A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -420000.00000000
        NC
        
        -161.28000000
        -0.00002291349
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    420000.00000000
                    OU
                    Notional Amount
                    N/A
                    -161.28000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  420000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-02
            XXXX
            4836.79000000
          
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        7420000.00000000
        PA
        
        1113548.77000000
        0.158204922522
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2027-04-10
          Fixed
          4.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE TELEKOM INT FIN
        529900ERDFHS6C1M4U58
        Deutsche Telekom International Finance BV
        25156PAV5
        
          
        
        500000.00000000
        PA
        USD
        522505.00000000
        0.074233715908
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2023-09-19
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958667AC1
        
          
        
        382000.00000000
        PA
        USD
        366720.00000000
        0.052100914437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-01
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONTARIO (PROVINCE OF)
        C7PVKCRGLG18EBQGZV36
        Province of Ontario Canada
        68323ABN3
        
          
        
        3700000.00000000
        PA
        
        2954859.37000000
        0.419804960761
        Long
        DBT
        NUSS
        CA
        N
        
        1
        
          2023-06-02
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2691.05000000
        0.000382324841
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479444.17000000
            USD
            562177056.00000000
            KRW
            2020-11-02
            2691.05000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1616.58000000
        0.000229671946
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            433354.78000000
            CHF
            629921.91000000
            CAD
            2020-12-16
            1616.58000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -17193.55000000
        -0.00244273472
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479143.27000000
            USD
            1768350109.43000000
            COP
            2020-10-05
            -17193.55000000
          
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        000000000
        
          
        
        500000.00000000
        PA
        
        653886.96000000
        0.092899510674
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-03-07
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBT9
        
          
        
        100000.00000000
        PA
        USD
        116782.00000000
        0.016591538475
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-16
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTHROP GRUMMAN CORP
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BU5
        
          
        
        150000.00000000
        PA
        USD
        214158.00000000
        0.030426013400
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        890000.00000000
        PA
        
        1782483.48000000
        0.253242308238
        Long
        DBT
        NUSS
        FR
        N
        
        1
        
          2045-05-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6755.64000000
        0.000959792270
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            536683.89000000
            USD
            2085285269.35000000
            COP
            2020-11-20
            6755.64000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -7654.43000000
        -0.00108748582
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            661893.43000000
            AUD
            466527.64000000
            USD
            2020-12-16
            -7654.43000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        748.50000000
        PA
        USD
        857.61000000
        0.000121843000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        5141.65000000
        0.000730488292
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            375661469.00000000
            CLP
            483870.99000000
            USD
            2020-11-16
            5141.65000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        7607.46000000
        0.001080812670
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            36781691.50000000
            RUB
            479000.00000000
            USD
            2020-11-17
            7607.46000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -11816.40000000
        -0.00167878829
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4554850.86000000
            NOK
            476615.85000000
            USD
            2020-12-16
            -11816.40000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        660.07000000
        0.000093777952
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479508.17000000
            USD
            1642938.84000000
            ILS
            2020-12-16
            660.07000000
          
        
        
          N
          N
          N
        
      
      
        DIAGEO CAPITAL PLC
        213800L23DJLALFC4O95
        Diageo Capital PLC
        25243YBD0
        
          
        
        1950000.00000000
        PA
        USD
        2009494.50000000
        0.285494385380
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-04-29
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH COLUMBIA PROV OF
        54930058TO7MEKUHWL16
        Province of British Columbia Canada
        11070TAF5
        
          
        
        2600000.00000000
        PA
        
        2149649.66000000
        0.305406612690
        Long
        DBT
        NUSS
        CA
        N
        
        1
        
          2025-06-18
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        412.43000000
        0.000058595059
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1857384.90000000
            PLN
            409548.62000000
            EUR
            2020-12-16
            412.43000000
          
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962G6S8
        
          
        
        300000.00000000
        PA
        USD
        314739.00000000
        0.044715831449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-09
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        381.70000000
        0.000054229164
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478859.53000000
            USD
            3268714.31000000
            CNY
            2020-12-16
            381.70000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FQJA2
        
          
        
        263297.47000000
        PA
        USD
        32377.14000000
        0.004599908924
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0406A6
        
          
        
        -4000000.00000000
        PA
        USD
        -4250212.00000000
        -0.60383925543
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-18
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -7830.00000000
        -0.00111242953
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6581691.87000000
            CNY
            957142.09000000
            USD
            2020-12-16
            -7830.00000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -35084.44000000
        -0.00498454244
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2094622.87000000
            USD
            18426303.15000000
            SEK
            2020-12-16
            -35084.44000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02747A SWAPTION US0003M MAR21 0.70 CALL
        000000000
        
          
        
        -21000000.00000000
        NC
        USD
        -82101.60000000
        -0.01166439909
        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
                    
                      
                    
                    21000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -82101.60000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  21000000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2021-03-17
            XXXX
            13763.40000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -1021.57000000
        -0.00014513724
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            48121269.00000000
            JPY
            455756.42000000
            USD
            2020-12-16
            -1021.57000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296XES0
        
          
        
        651.38000000
        PA
        USD
        750.20000000
        0.000106582967
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBU2
        
          
        
        1350000.00000000
        PA
        USD
        1470123.00000000
        0.208864399638
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-21
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ONTARIO (PROVINCE OF)
        C7PVKCRGLG18EBQGZV36
        Province of Ontario Canada
        68323ACX0
        
          
        
        1700000.00000000
        PA
        
        1386836.39000000
        0.197031642926
        Long
        DBT
        NUSS
        CA
        N
        
        1
        
          2025-06-02
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02751A SWAPTION US0003M OCT20 0.70 PUT
        000000000
        
          
        
        -3970000.00000000
        NC
        USD
        -19375.19000000
        -0.00275268629
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3970000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19375.19000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3970000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-19
            XXXX
            1119.93000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAW0
        
          
        
        400000.00000000
        PA
        USD
        457852.00000000
        0.065048287186
        Long
        DBT
        
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
        
        1200000.00000000
        PA
        USD
        1318920.00000000
        0.187382575451
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1293.43000000
        0.000183761141
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            492147.37000000
            USD
            36398338.54000000
            INR
            2020-10-28
            1293.43000000
          
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAE3
        
          
        
        750000.00000000
        PA
        USD
        818715.00000000
        0.116317081597
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        5871.74000000
        0.000834214177
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3357797.92000000
            TRY
            438704.18000000
            USD
            2020-10-19
            5871.74000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4657.45000000
        -0.00066169667
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            413581.86000000
            USD
            618173.94000000
            NZD
            2020-12-16
            -4657.45000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -654.80000000
        -0.00009302922
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            391400.75000000
            EUR
            421810.63000000
            CHF
            2020-12-16
            -654.80000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        855.02000000
        0.000121475032
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            462572.09000000
            USD
            616851.45000000
            CAD
            2020-12-16
            855.02000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -24636.31000000
        -0.00350014801
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            476269.39000000
            USD
            1728857885.70000000
            COP
            2020-10-05
            -24636.31000000
          
        
        
          N
          N
          N
        
      
      
        GE CAPITAL FUNDING LLC
        549300XAGH9TOLX5XM67
        GE Capital Funding LLC
        36166NAB9
        
          
        
        550000.00000000
        PA
        USD
        591239.00000000
        0.083998943474
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        765.51000000
        0.000108758101
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            559555.96000000
            USD
            8355289599.72000000
            IDR
            2020-11-06
            765.51000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -397.73000000
        -0.00005650659
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479000.00000000
            USD
            3264356.26000000
            CNY
            2020-12-16
            -397.73000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -91771.81000000
        -0.01303827230
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2935385.06000000
            USD
            26517975.05000000
            NOK
            2020-12-16
            -91771.81000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAD0
        
          
        
        200000.00000000
        PA
        USD
        204250.00000000
        0.029018356713
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-08-03
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226A4
        
          
        
        14000000.00000000
        PA
        USD
        14700982.80000000
        2.088608876000
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4096.73000000
        0.000582033647
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            258076.85000000
            EUR
            237968.79000000
            GBP
            2020-12-16
            4096.73000000
          
        
        
          N
          N
          N
        
      
      
        BRITISH COLUMBIA PROV OF
        54930058TO7MEKUHWL16
        Province of British Columbia Canada
        110709FY3
        
          
        
        2000000.00000000
        PA
        
        2267928.35000000
        0.322210790012
        Long
        DBT
        NUSS
        CA
        N
        
        1
        
          2040-06-18
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBF5
        
          
        
        300000.00000000
        PA
        USD
        338520.00000000
        0.048094463228
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16879.77000000
        -0.00239815513
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            477858.62000000
            USD
            35969135.12000000
            RUB
            2020-11-17
            -16879.77000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214479  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214479  IRS USD P F  1.16000 2 CCPVANILLA
        000000000
        
          
        
        10630000.00000000
        OU
        Notional Amount
        USD
        127085.90000000
        0.018055441759
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-05-21
            17904.27000000
            USD
            0.00000000
            USD
            10630000.00000000
            USD
            109181.63000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BZG2
        
          
        
        441817.90000000
        PA
        USD
        65966.33000000
        0.009372017111
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280AU3
        
          
        
        200000.00000000
        PA
        USD
        216820.00000000
        0.030804211028
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-08-18
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        16368.07000000
        0.002325456518
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1577870.84000000
            EUR
            1869661.76000000
            USD
            2020-12-16
            16368.07000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11107.51000000
        -0.00157807435
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479102.48000000
            USD
            7912856.56000000
            ZAR
            2020-12-17
            -11107.51000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -1043.41000000
        -0.00014824011
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            375521393.00000000
            CLP
            477507.43000000
            USD
            2020-11-16
            -1043.41000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBW8
        
          
        
        1200000.00000000
        PA
        USD
        1320312.00000000
        0.187580340702
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-21
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAB6
        
          
        
        450000.00000000
        PA
        USD
        449500.50000000
        0.063861766715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          1.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206B0
        
          
        
        5000000.00000000
        PA
        USD
        5160262.50000000
        0.733132621581
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02735A SWAPTION US0003M OCT20 0.6975 CALL
        000000000
        
          
        
        -3970000.00000000
        NC
        USD
        -9891.65000000
        -0.00140533379
        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
                    
                      
                    
                    3970000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9891.65000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3970000.00000000
                  USD
                
              
            
            1.00000000
            0.69750000
            USD
            2020-10-13
            XXXX
            14722.35000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -14169.79000000
        -0.00201314086
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            450101.68000000
            USD
            1684669.82000000
            PLN
            2020-12-16
            -14169.79000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1891.67000000
        0.000268754736
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479091.38000000
            USD
            1645726.80000000
            ILS
            2020-12-16
            1891.67000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        
        -826.81000000
        -0.00011746716
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11061132.34000000
            CZK
            478865.92000000
            USD
            2020-12-16
            -826.81000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4529.38000000
        -0.00064350141
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            461466.32000000
            USD
            608212.61000000
            CAD
            2020-12-16
            -4529.38000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -40579.73000000
        -0.00576527334
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            455658.87000000
            USD
            3224096.35000000
            TRY
            2020-10-23
            -40579.73000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2991.79000000
        -0.00042505179
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            409615.76000000
            EUR
            50370040.00000000
            JPY
            2020-12-16
            -2991.79000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31288EK97
        
          
        
        2327.66000000
        PA
        USD
        2662.17000000
        0.000378221780
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQM MIDSTREAM PARTNERS L
        549300NELT611CL6XM83
        EQM Midstream Partners LP
        26885BAD2
        
          
        
        225000.00000000
        PA
        USD
        223312.50000000
        0.031726618279
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002829  CDS USD R F  1.00000 2I65BYDN2 / Short: SX002829  CDS USD P V 03MEVENT 2I65BYDN2
        000000000
        
          
        
        22525000.00000000
        OU
        Notional Amount
        USD
        66342.88000000
        0.009425514600
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S28.V1
                2I65BYDN2
              
            
            Y
            
            sell protection
            2022-06-20
            280348.45000000
            USD
            0.00000000
            USD
            22525000.00000000
            USD
            -214005.57000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005376  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005376  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        13280000.00000000
        OU
        Notional Amount
        USD
        -26833.57000000
        -0.00381231875
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2020-12-20
            4411.02000000
            USD
            0.00000000
            USD
            13280000.00000000
            USD
            -31244.59000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2975.00000000
        -0.00042266639
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356995.75000000
            GBP
            389861.04000000
            EUR
            2020-12-16
            -2975.00000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214902  IRS AUD R F   .92000 2 CCPVANILLA / Short: SR214902  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        17970000.00000000
        OU
        Notional Amount
        
        43000.75000000
        0.006109234283
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-09-04
            5455.14000000
            AUD
            0.00000000
            AUD
            17970000.00000000
            AUD
            39064.06000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FVA93
        
          
        
        1899964.62000000
        PA
        USD
        262057.94000000
        0.037231289020
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -18.97000000
        -0.00000269511
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            101904953.00000000
            CLP
            129845.00000000
            USD
            2020-11-16
            -18.97000000
          
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2017-2
        59980AAQ0
        
          
        
        480365.70000000
        PA
        USD
        502126.27000000
        0.071338453943
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        3923.75000000
        0.000557457905
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            38970017.33000000
            RUB
            503361.78000000
            USD
            2020-11-17
            3923.75000000
          
        
        
          N
          N
          N
        
      
      
        Nelnet Student Loan Trust
        N/A
        Nelnet Student Loan Trust 2011-1
        64032TAA2
        
          
        
        175665.92000000
        PA
        USD
        171619.30000000
        0.024382423824
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-02-25
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -7340.81000000
        -0.00104292897
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7234274.69000000
            CNY
            1054958.83000000
            USD
            2020-11-23
            -7340.81000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3650.08000000
        -0.00051857685
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            458511.10000000
            USD
            417946.62000000
            CHF
            2020-12-16
            -3650.08000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (2 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Two Year Bond
        000000000
        
          
        
        0.00000000
        PA
        
        0.00000000
        0.000000
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2022-04-01
          Fixed
          0.10000000
          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
        
          
        
        2520000.00000000
        OU
        Notional Amount
        USD
        48901.61000000
        0.006947585619
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2045-04-09
            90.72000000
            USD
            0.00000000
            USD
            2520000.00000000
            USD
            48810.89000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        20750000.00000000
        PA
        
        3054287.82000000
        0.433931032877
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2049-07-22
          Fixed
          3.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9995.23000000
        -0.00142004969
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1271361.79000000
            USD
            1074950.13000000
            EUR
            2020-11-09
            -9995.23000000
          
        
        
          N
          N
          N
        
      
      
        PNC FINANCIAL SERVICES
        CFGNEKW0P8842LEUIA51
        PNC Financial Services Group Inc/The
        693475AV7
        
          
        
        600000.00000000
        PA
        USD
        653838.00000000
        0.092892554793
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-23
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        05565AHN6
        
          
        
        200000.00000000
        PA
        USD
        211762.00000000
        0.030085607120
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-03-25
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elmwood CLO IV Ltd
        N/A
        Elmwood CLO IV Ltd
        29002GAB7
        
          
        
        5300000.00000000
        PA
        USD
        5257854.40000000
        0.746997770010
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -38168.44000000
        -0.00542269477
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11820187.93000000
            GBP
            15225678.63000000
            USD
            2021-01-13
            -38168.44000000
          
        
        
          N
          N
          N
        
      
      
        AGL CLO 3 Ltd.
        549300LS0REDUXQSHW18
        AGL CLO 3 LTD
        00119MAA7
        
          
        
        2100000.00000000
        PA
        USD
        2075902.50000000
        0.294929151757
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAF7
        
          
        
        400000.00000000
        PA
        USD
        401992.00000000
        0.057112104047
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-12-01
          Fixed
          3.47000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        8692.01000000
        0.001234897658
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            524525.04000000
            NZD
            355667.32000000
            USD
            2020-12-16
            8692.01000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379QCY9
        
          
        
        333506.84000000
        PA
        USD
        62626.41000000
        0.008897505532
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Floating
          6.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        15323.68000000
        0.002177077172
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2101614.00000000
            USD
            1639744.02000000
            GBP
            2020-12-16
            15323.68000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2474.27000000
        -0.00035152631
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            456091.19000000
            USD
            416803.49000000
            CHF
            2020-12-16
            -2474.27000000
          
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAB0
        
          
        
        300000.00000000
        PA
        USD
        313626.00000000
        0.044557704492
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-05
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        17502.17000000
        0.002486581210
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6917483.58000000
            TRY
            910027.57000000
            USD
            2020-10-16
            17502.17000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        494.12000000
        0.000070200981
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            502921.37000000
            USD
            389937.10000000
            GBP
            2020-12-16
            494.12000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AWRQ8
        
          
        
        125137.50000000
        PA
        USD
        140524.97000000
        0.019964767229
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -3766.69000000
        -0.00053514396
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1642512.88000000
            ILS
            476277.06000000
            USD
            2020-12-16
            -3766.69000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -33670.16000000
        -0.00478361181
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2038346.07000000
            USD
            2798253.89000000
            AUD
            2020-12-16
            -33670.16000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214903  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214903  IRS EUR P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        12420000.00000000
        OU
        Notional Amount
        
        -32684.02000000
        -0.00464350820
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-09-08
            0.00000000
            EUR
            -17596.22000000
            EUR
            12420000.00000000
            EUR
            -11954.77000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR214911  IRS MXN R F  4.50000 2 CCPVANILLA / Short: SR214911  IRS MXN P V 01MTIIE 1 CCPVANILLA
        000000000
        
          
        
        39810000.00000000
        OU
        Notional Amount
        
        -1061.35000000
        -0.00015078890
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-12-14
            17751.78000000
            MXN
            0.00000000
            MXN
            39810000.00000000
            MXN
            -1887.86000000
          
        
        
          N
          N
          N
        
      
      
        HUNTINGTON NATIONAL BANK
        2WHM8VNJH63UN14OL754
        Huntington National Bank/The
        44644AAD9
        
          
        
        1950000.00000000
        PA
        USD
        1977982.50000000
        0.281017389264
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-05-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3132.19000000
        0.000444998808
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            505693.24000000
            USD
            394127.55000000
            GBP
            2020-12-16
            3132.19000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        China Government Bond
        000000000
        
          
        
        22460000.00000000
        PA
        
        3306491.84000000
        0.469762348504
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2028-11-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAJ2
        
          
        
        500000.00000000
        PA
        USD
        552220.00000000
        0.078455407315
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        596200000.00000000
        PA
        
        7435187.50000000
        1.056337444815
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2034-09-20
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02777A SWAPTION EUR006M OCT20 NEG0.234 PUT
        000000000
        
          
        
        -3320000.00000000
        NC
        
        -16477.48000000
        -0.00234100069
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -16477.48000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3320000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23400000
            EUR
            2020-10-28
            XXXX
            -495.41000000
          
        
        
          N
          N
          N
        
      
      
        AIG GLOBAL FUNDING
        54930057MDZ7KOVOTV71
        AIG Global Funding
        00138CAK4
        
          
        
        224000.00000000
        PA
        USD
        230966.40000000
        0.032814028807
        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
        38381YJG0
        
          
        
        861459.90000000
        PA
        USD
        134596.22000000
        0.019122453484
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4AP6
        
          
        
        19762.66000000
        PA
        USD
        21674.15000000
        0.003079305831
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAD6
        
          
        
        430000.00000000
        PA
        USD
        349491.10000000
        0.049653157443
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        926800000.00000000
        PA
        
        8790122.18000000
        1.248836724458
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2040-06-20
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        2080.34000000
        0.000295559599
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            374254248.00000000
            CLP
            479186.51000000
            USD
            2020-12-17
            2080.34000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -21156.57000000
        -0.00300577182
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            71182621.43000000
            INR
            943843.78000000
            USD
            2020-10-28
            -21156.57000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -7852.55000000
        -0.00111563327
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            392388.77000000
            GBP
            498728.09000000
            USD
            2020-12-16
            -7852.55000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -5516.27000000
        -0.00078371158
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            739565.52000000
            NZD
            483709.13000000
            USD
            2020-12-16
            -5516.27000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -5214.34000000
        -0.00074081556
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1647466.16000000
            ILS
            476277.06000000
            USD
            2020-12-16
            -5214.34000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        1371.38000000
        0.000194835711
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1635260.52000000
            ILS
            479295.54000000
            USD
            2020-12-16
            1371.38000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
        
        179950000.00000000
        PA
        
        1680488.84000000
        0.238751650484
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2039-12-20
          Fixed
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FUUT9
        
          
        
        1413355.64000000
        PA
        USD
        177885.08000000
        0.025272620344
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAK9
        
          
        
        1100000.00000000
        PA
        USD
        1293710.00000000
        0.183800921729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AG3
        
          
        
        650000.00000000
        PA
        USD
        732517.50000000
        0.104070766773
        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 ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        1604.47000000
        0.000227951445
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8045633.24000000
            ZAR
            477452.33000000
            USD
            2020-12-17
            1604.47000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        6675.85000000
        0.000948456287
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            389359.44000000
            EUR
            359406.02000000
            GBP
            2020-12-16
            6675.85000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412MRD2
        
          
        
        28096.76000000
        PA
        USD
        31610.52000000
        0.004490993122
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -3037.35000000
        -0.00043152463
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            558241325.00000000
            KRW
            475722.50000000
            USD
            2020-11-02
            -3037.35000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        9358.62000000
        0.001329604766
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            656396.65000000
            AUD
            479602.78000000
            USD
            2020-12-16
            9358.62000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -4162.79000000
        -0.00059141897
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            13876590.63000000
            TWD
            477844.03000000
            USD
            2020-11-09
            -4162.79000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBC2
        
          
        
        300000.00000000
        PA
        USD
        327081.00000000
        0.046469293180
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23774.00000000
        -0.00337763727
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478745.52000000
            USD
            10149883.77000000
            MXN
            2020-12-16
            -23774.00000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        1284584.92000000
        PA
        USD
        1389474.88000000
        0.197406500424
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -201.37000000
        -0.00002860918
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478482.38000000
            USD
            1636481.51000000
            ILS
            2020-12-16
            -201.37000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        509.01000000
        0.000072316444
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478903.67000000
            USD
            35363563.98000000
            INR
            2020-10-28
            509.01000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN WATER CAPITAL C
        5IDHQUFVC8Q2KIBBFF06
        American Water Capital Corp
        03040WAW5
        
          
        
        1100000.00000000
        PA
        USD
        1204841.00000000
        0.171175059586
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3133KHCJ3
        
          
        
        2157840.94000000
        PA
        USD
        2369363.84000000
        0.336622007795
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780BT2
        
          
        
        200000.00000000
        PA
        USD
        223437.50000000
        0.031744377371
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2025-01-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AGL89
        
          
        
        48284.65000000
        PA
        USD
        54221.95000000
        0.007703460889
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312930J76
        
          
        
        645.62000000
        PA
        USD
        739.73000000
        0.000105095466
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379M4U5
        
          
        
        243559.43000000
        PA
        USD
        36121.93000000
        0.005131941492
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DE7
        
          
        
        300000.00000000
        PA
        USD
        319635.00000000
        0.045411419573
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JJ7
        
          
        
        200000.00000000
        PA
        USD
        179810.00000000
        0.025546098999
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005903  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005903  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        20317.80000000
        0.002886605473
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Chile Government International Bond
                Chile Government International Bond
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            21371.79000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            -1053.99000000
          
        
        
          N
          N
          N
        
      
      
        ISRAEL FIXED BOND
        213800T8ZHTFZIBYPE21
        Israel Government Bond - Fixed
        000000000
        
          
        
        2430000.00000000
        PA
        
        779723.63000000
        0.110777470907
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2027-03-31
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SGD
        000000000
        
          
        
        1.00000000
        NC
        
        9140.59000000
        0.001298628647
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2092415.38000000
            SGD
            1542122.75000000
            USD
            2020-12-07
            9140.59000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379VUJ1
        
          
        
        350155.70000000
        PA
        USD
        30878.97000000
        0.004387059810
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        38257.09000000
        PA
        USD
        42732.76000000
        0.006071160210
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        4926.78000000
        0.000699961123
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            600264.87000000
            CAD
            455892.75000000
            USD
            2020-12-16
            4926.78000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -1253353.80000000
        -0.17806740590
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9276497708.00000000
            JPY
            86713258.75000000
            USD
            2020-10-09
            -1253353.80000000
          
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAG9
        
          
        
        600000.00000000
        PA
        USD
        651606.00000000
        0.092575448442
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2025-04-24
          Fixed
          4.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1993.84000000
        0.000283270307
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            459535.81000000
            EUR
            419625.12000000
            GBP
            2020-12-16
            1993.84000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAC3
        
          
        
        400000.00000000
        PA
        USD
        435340.00000000
        0.061849945710
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-06-27
          Fixed
          3.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        N/A
        Mountain View CLO 2016-1 LLC
        62432FAM6
        
          
        
        1800000.00000000
        PA
        USD
        1760101.20000000
        0.250062396439
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-14
          Floating
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRITISH TELECOMMUNICATIO
        549300OWFMSO9NYV4H90
        British Telecommunications PLC
        111021AL5
        
          
        
        300000.00000000
        PA
        USD
        362646.00000000
        0.051522110103
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-12-04
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -2719.82000000
        -0.00038641227
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            259595.25000000
            GBP
            332422.10000000
            USD
            2020-12-16
            -2719.82000000
          
        
        
          N
          N
          N
        
      
      
        KnowledgeWorks Foundation
        549300ZCR1DGZJLXTI23
        KnowledgeWorks Foundation
        49925JAE7
        
          
        
        275508.75000000
        PA
        USD
        270878.00000000
        0.038484379092
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2042-02-25
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296PBX9
        
          
        
        1862.68000000
        PA
        USD
        2134.12000000
        0.000303200271
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XII Ltd
        55818PAL4
        
          
        
        763870.20000000
        PA
        USD
        763722.77000000
        0.108504184919
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-07-20
          Floating
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAA3
        
          
        
        1400000.00000000
        PA
        USD
        1413426.00000000
        0.200809301618
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-05-26
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -26561.63000000
        -0.00377368349
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1679866.37000000
            USD
            2307787.71000000
            AUD
            2020-12-16
            -26561.63000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214879  IRS CAD R F  1.25000 2 CCPVANILLA / Short: SR214879  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        91630000.00000000
        OU
        Notional Amount
        
        1281987.34000000
        0.182135451328
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-12-16
            1672217.70000000
            CAD
            0.00000000
            CAD
            91630000.00000000
            CAD
            14675.69000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ECUR2
        
          
        
        8838.52000000
        PA
        USD
        10160.10000000
        0.001443473224
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1963.00000000
        0.000278888784
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478129.66000000
            USD
            376731269.00000000
            CLP
            2020-11-16
            1963.00000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MTQ7
        
          
        
        1245702.24000000
        PA
        USD
        205553.45000000
        0.029203541423
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CZK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11145.88000000
        -0.00158352568
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478482.38000000
            USD
            10776212.69000000
            CZK
            2020-12-16
            -11145.88000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BBF9
        
          
        
        3756003.83000000
        PA
        USD
        393072.56000000
        0.055844894786
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -11043.48000000
        -0.00156897743
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1228589.51000000
            EUR
            150860348.00000000
            JPY
            2020-12-16
            -11043.48000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5551.99000000
        0.000788786420
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            389861.04000000
            EUR
            358991.84000000
            GBP
            2020-12-16
            5551.99000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292HX33
        
          
        
        3488.69000000
        PA
        USD
        3997.23000000
        0.000567897410
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DTE ENERGY CO
        549300IX8SD6XXD71I78
        DTE Energy Co
        233331BE6
        
          
        
        498000.00000000
        PA
        USD
        514234.80000000
        0.073058745951
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAD2
        
          
        
        700000.00000000
        PA
        USD
        767368.00000000
        0.109022072725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-06
          Fixed
          3.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LK75
        
          
        
        1103.26000000
        PA
        USD
        1264.08000000
        0.000179591306
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        451.77000000
        0.000064184200
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3086053.49000000
            CNY
            452912.25000000
            USD
            2020-12-16
            451.77000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RJF7
        
          
        
        911053.92000000
        PA
        USD
        994189.96000000
        0.141247289595
        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
        
        -8264.47000000
        -0.00117415588
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            474733.32000000
            USD
            651126.83000000
            AUD
            2020-12-16
            -8264.47000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -3115.01000000
        -0.00044255799
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            391472.73000000
            GBP
            502283.00000000
            USD
            2020-12-16
            -3115.01000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        5688.82000000
        0.000808226232
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6517704.16000000
            ZAR
            391169.43000000
            USD
            2020-12-17
            5688.82000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5365.21000000
        -0.00076225007
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            456264.97000000
            USD
            414306.84000000
            CHF
            2020-12-16
            -5365.21000000
          
        
        
          N
          N
          N
        
      
      
        HUNTINGTON NATIONAL BANK
        2WHM8VNJH63UN14OL754
        Huntington National Bank/The
        44644MAA9
        
          
        
        300000.00000000
        PA
        USD
        307860.00000000
        0.043738513085
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-03
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7626.04000000
        -0.00108345238
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            189544.64000000
            USD
            696387007.36000000
            COP
            2020-10-05
            -7626.04000000
          
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAA2
        
          
        
        900000.00000000
        PA
        USD
        939843.00000000
        0.133526068192
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2535.10000000
        -0.00036016859
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            546847.86000000
            USD
            421615.43000000
            GBP
            2020-12-16
            -2535.10000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3828.30000000
        -0.00054389706
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            630307.26000000
            CAD
            655648.06000000
            AUD
            2020-12-16
            -3828.30000000
          
        
        
          N
          N
          N
        
      
      
        FREDDIEMAC STRIP
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325UP26
        
          
        
        210708.36000000
        PA
        USD
        12168.64000000
        0.001728832001
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -482.28000000
        -0.00006851884
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            391400.75000000
            EUR
            421969.15000000
            CHF
            2020-12-16
            -482.28000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBL2
        
          
        
        620000.00000000
        PA
        USD
        641383.80000000
        0.091123152501
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-21
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EAS4
        
          
        
        900000.00000000
        PA
        USD
        928665.00000000
        0.131937979128
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-01-10
          Fixed
          3.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -2468.95000000
        -0.00035077048
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3261698.19000000
            CNY
            475743.61000000
            USD
            2020-12-16
            -2468.95000000
          
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        000000000
        
          
        
        1370000.00000000
        PA
        USD
        1723203.13000000
        0.244820186611
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2047-10-11
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        13568.78000000
        0.001927753724
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3293449.88000000
            TRY
            435411.14000000
            USD
            2020-11-10
            13568.78000000
          
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAC4
        
          
        
        600000.00000000
        PA
        USD
        689862.00000000
        0.098010583103
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBA7
        
          
        
        900000.00000000
        PA
        USD
        972144.00000000
        0.138115159698
        Long
        DBT
        
        US
        N
        
        2
        
          2030-01-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659X2D3
        
          
        
        1250000.00000000
        PA
        USD
        1354337.50000000
        0.192414436645
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0406A0
        
          
        
        1000000.00000000
        PA
        USD
        1066289.20000000
        0.151490626021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WVB1
        
          
        
        318072.16000000
        PA
        USD
        49078.60000000
        0.006972731073
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YEC4
        
          
        
        1125763.68000000
        PA
        USD
        172833.09000000
        0.024554870293
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -285.00000000
        NC
        USD
        -33412.09000000
        -0.00474694710
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVZ0 Comdty
              
            
            2020-12-31
            -35876587.91000000
            USD
            -33412.09000000
          
        
        
          N
          N
          N
        
      
      
        SINGAPORE GOVERNMENT
        549300ZSV6VOGFH1ER70
        Singapore Government Bond
        000000000
        
          
        
        2150000.00000000
        PA
        
        1678749.86000000
        0.238504588834
        Long
        DBT
        NUSS
        SG
        N
        
        2
        
          2023-07-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00772BAP6
        
          
        
        2149000.00000000
        PA
        USD
        2200769.41000000
        0.312669335532
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-07-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -8600.88000000
        -0.00122195056
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            567543375.00000000
            KRW
            478136.61000000
            USD
            2020-11-02
            -8600.88000000
          
        
        
          N
          N
          N
        
      
      
        AIB Group PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        00135TAB0
        
          
        
        2250000.00000000
        PA
        USD
        2418367.50000000
        0.343584091937
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-04-10
          Fixed
          4.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        2151559.51000000
        PA
        USD
        2143568.62000000
        0.304542662688
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
        
        3400000.00000000
        PA
        USD
        3924960.00000000
        0.557629813290
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214890  IRS CHF R F   .00000 CCPVANILLA / Short: SR214890  IRS CHF P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        3750000.00000000
        OU
        Notional Amount
        
        17206.32000000
        0.002444548991
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            9896.67000000
            CHF
            0.00000000
            CHF
            3750000.00000000
            CHF
            6425.05000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296UXF3
        
          
        
        571.99000000
        PA
        USD
        658.79000000
        0.000093596098
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418ACX4
        
          
        
        60965.41000000
        PA
        USD
        68461.99000000
        0.009726582360
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAT7
        
          
        
        150000.00000000
        PA
        USD
        168073.50000000
        0.023878662310
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        26757.42000000
        0.003801499918
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2016146.94000000
            AUD
            1471130.00000000
            USD
            2020-12-16
            26757.42000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        133.00000000
        NC
        USD
        37624.53000000
        0.005345419988
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            23387000.47000000
            USD
            37624.53000000
          
        
        
          N
          N
          N
        
      
      
        COMMONWEALTH BANK AUST
        MSFSBD3QN1GSN7Q6C537
        Commonwealth Bank of Australia
        202712BK0
        
          
        
        1000000.00000000
        PA
        USD
        1082870.00000000
        0.153846305673
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2034-09-12
          Fixed
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TV77
        
          
        
        399088.52000000
        PA
        USD
        433171.80000000
        0.061541903600
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-04-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAQ7
        
          
        
        450000.00000000
        PA
        USD
        491125.50000000
        0.069775544430
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THAILAND GOVERNMENT BOND
        254900PHJ6MSKT6C7026
        Thailand Government Bond
        000000000
        
          
        
        126490000.00000000
        PA
        
        4079288.63000000
        0.579555704288
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2022-06-17
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABE4
        
          
        
        1250000.00000000
        PA
        USD
        1422798.75000000
        0.202140913872
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAN1
        
          
        
        2443000.00000000
        PA
        USD
        2675402.59000000
        0.380101770906
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
        
        540000.00000000
        PA
        USD
        460096.90000000
        0.065367226275
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BTA2
        
          
        
        1045358.21000000
        PA
        USD
        166971.83000000
        0.023722145037
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297BBH4
        
          
        
        1282.20000000
        PA
        USD
        1476.77000000
        0.000209808757
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A3B75
        
          
        
        415948.70000000
        PA
        USD
        68909.85000000
        0.009790211056
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Floating
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        11878.58000000
        0.001687622382
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1292620.32000000
            CAD
            982996.18000000
            USD
            2020-12-16
            11878.58000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6035.41000000
        0.000857467222
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            328330.21000000
            USD
            5653452.22000000
            ZAR
            2020-12-17
            6035.41000000
          
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAD0
        
          
        
        450000.00000000
        PA
        USD
        492300.00000000
        0.069942408860
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6535.30000000
        0.000928487963
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            951908.34000000
            USD
            6537163.89000000
            CNY
            2020-12-16
            6535.30000000
          
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAF6
        
          
        
        200000.00000000
        PA
        USD
        208576.00000000
        0.029632963377
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8111.63000000
        -0.00115244148
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478898.80000000
            USD
            657154.62000000
            AUD
            2020-12-16
            -8111.63000000
          
        
        
          N
          N
          N
        
      
      
        KOREA TREASURY BOND
        549300O0QCVSQGPGDT58
        Korea Treasury Bond
        000000000
        
          
        
        2641660000.00000000
        PA
        
        2250062.99000000
        0.319672609403
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2029-12-10
          Fixed
          1.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        450000.00000000
        PA
        
        553312.46000000
        0.078610616098
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2025-07-24
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ABYE3
        
          
        
        9961.72000000
        PA
        USD
        11186.66000000
        0.001589319413
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOTAL CAPITAL INTL SA
        549300U37G2I8G4RUG09
        Total Capital International SA
        89153VAU3
        
          
        
        350000.00000000
        PA
        USD
        382312.00000000
        0.054316112566
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2049-07-12
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1961.89000000
        -0.00027873108
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478700.00000000
            USD
            3251641.56000000
            CNY
            2020-12-16
            -1961.89000000
          
        
        
          N
          N
          N
        
      
      
        CHINA DEVELOPMENT BANK
        300300C1020111000029
        China Development Bank
        000000000
        
          
        
        590000.00000000
        PA
        
        85795.85000000
        0.012189251308
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2029-05-21
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        635400C39IXGGYE6DH05
        Apidos CLO XXIII
        03765YAU8
        
          
        
        2100000.00000000
        PA
        USD
        2081763.60000000
        0.295761854281
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDH1
        
          
        
        900000.00000000
        PA
        USD
        1056825.00000000
        0.150146021215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214356  IRS USD R F   .84500 2 CCPVANILLA / Short: SR214356  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        2520000.00000000
        OU
        Notional Amount
        USD
        -40841.64000000
        -0.00580248361
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-04-10
            90.72000000
            USD
            0.00000000
            USD
            2520000.00000000
            USD
            -40932.36000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR212877  IRS EUR R F   .08000 2 CCPVANILLA / Short: SR212877  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        4960000.00000000
        OU
        Notional Amount
        
        131221.08000000
        0.018642938103
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-01-15
            22152.82000000
            EUR
            0.00000000
            EUR
            4960000.00000000
            EUR
            106795.27000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0506A9
        
          
        
        1000000.00000000
        PA
        USD
        1095550.30000000
        0.155647830612
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AQ3
        
          
        
        2300000.00000000
        PA
        USD
        2797651.00000000
        0.397469937217
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-01-23
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FUAM6
        
          
        
        2271576.39000000
        PA
        USD
        420917.65000000
        0.059800922959
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AHF6
        
          
        
        770973.48000000
        PA
        USD
        130194.60000000
        0.018497103279
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RXE4
        
          
        
        662490.89000000
        PA
        USD
        721288.68000000
        0.102475457573
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2M4
        
          
        
        625000.00000000
        PA
        USD
        855612.50000000
        0.121559210443
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-04-04
          Fixed
          5.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        31329KAK0
        
          
        
        55249.03000000
        PA
        USD
        60387.63000000
        0.008579435928
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCS3
        
          
        
        200000.00000000
        PA
        USD
        233406.00000000
        0.033160629458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-17
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
        
        305000.00000000
        PA
        USD
        326752.60000000
        0.046422636493
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296XPM1
        
          
        
        1947.36000000
        PA
        USD
        2242.86000000
        0.000318649260
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -106627.55000000
        -0.01514886796
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7211706000.00000000
            KRW
            6078287.69000000
            USD
            2020-11-02
            -106627.55000000
          
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 3YR BOND FUT DEC20 XSFE 20201215
        000000000
        
          
        
        44.00000000
        NC
        
        8522.91000000
        0.001210873158
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                3 Year Commonwealth Treasury Bond
                YMZ0 Comdty
              
            
            2020-12-15
            5147411.28000000
            AUD
            8522.91000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659T2A8
        
          
        
        950000.00000000
        PA
        USD
        1054196.00000000
        0.149772511987
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2033-03-01
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBE4
        
          
        
        800000.00000000
        PA
        USD
        837320.00000000
        0.118960344886
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-02-15
          Fixed
          4.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        674.66000000
        0.000095850793
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8060227.39000000
            ZAR
            477385.67000000
            USD
            2020-12-17
            674.66000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -129.95000000
        -0.00001846235
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            504170.30000000
            USD
            390421.11000000
            GBP
            2020-12-16
            -129.95000000
          
        
        
          N
          N
          N
        
      
      
        WPC EUROBOND BV
        5493005XDMOLBARL5M14
        WPC Eurobond BV
        000000000
        
          
        
        1200000.00000000
        PA
        
        1423175.81000000
        0.202194483818
        Long
        DBT
        
        NL
        
        N
        
        2
        
          2028-04-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AF5
        
          
        
        2800000.00000000
        PA
        USD
        3119872.00000000
        0.443248756891
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2029-01-12
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROLOGIS EURO FINANCE
        549300MI5D1784PRQH06
        Prologis Euro Finance LLC
        000000000
        
          
        
        800000.00000000
        PA
        
        952788.96000000
        0.135365336174
        Long
        DBT
        
        US
        N
        
        2
        
          2035-02-06
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQL3
        
          
        
        924830.78000000
        PA
        USD
        146142.41000000
        0.020762852309
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164Q6M5
        
          
        
        1350000.00000000
        PA
        USD
        1443015.00000000
        0.205013091859
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2025-11-15
          Fixed
          3.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
        
        550000.00000000
        PA
        USD
        567116.00000000
        0.080571722818
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FY45
        
          
        
        150920.47000000
        PA
        USD
        29886.77000000
        0.004246095240
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214395  IRS AUD R F   .96000 2 CCPVANILLA / Short: SR214395  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        5860000.00000000
        OU
        Notional Amount
        
        50388.10000000
        0.007158775323
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-21
            1695.88000000
            AUD
            0.00000000
            AUD
            5860000.00000000
            AUD
            49316.39000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CY1
        
          
        
        150000.00000000
        PA
        USD
        166254.00000000
        0.023620160964
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OFSI Fund LTD
        5493003TQHS9OKKCKV08
        OFSI Fund VII Ltd
        67106MAN3
        
          
        
        81641.00000000
        PA
        USD
        81611.94000000
        0.011594831759
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-10-18
          Floating
          1.17000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5281.31000000
        0.000750330171
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            285855.10000000
            USD
            6494913.73000000
            MXN
            2020-12-16
            5281.31000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        2164786.02000000
        PA
        USD
        2352535.10000000
        0.334231102628
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2117.80000000
        0.000300881644
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            467846.11000000
            USD
            625552.36000000
            CAD
            2020-12-16
            2117.80000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377DKS4
        
          
        
        620681.31000000
        PA
        USD
        117324.35000000
        0.016668591625
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-08-20
          Floating
          5.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LOGISTICS PARTNER
        5493006LL0CKP8WQW329
        Sunoco Logistics Partners Operations LP
        86765BAP4
        
          
        
        250000.00000000
        PA
        USD
        234022.50000000
        0.033248217301
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        24703DAZ4
        
          
        
        950000.00000000
        PA
        USD
        1071277.00000000
        0.152199256423
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBK5
        
          
        
        1000000.00000000
        PA
        USD
        1185110.00000000
        0.168371822395
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-05-30
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAY2
        
          
        
        2050000.00000000
        PA
        USD
        2253114.00000000
        0.320106074747
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          4.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAC4
        
          
        
        200000.00000000
        PA
        USD
        200832.00000000
        0.028532752094
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABK0
        
          
        
        550000.00000000
        PA
        USD
        542547.50000000
        0.077081208757
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAD2
        
          
        
        50000.00000000
        PA
        USD
        67028.50000000
        0.009522922511
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-05-25
          Fixed
          5.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8636.96000000
        -0.00122707655
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            475706.90000000
            USD
            651965.87000000
            AUD
            2020-12-16
            -8636.96000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02698A SWAPTION EUR006M DEC20 NEG0.15 CALL
        000000000
        
          
        
        -1170000.00000000
        NC
        
        -15108.77000000
        -0.00214654431
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1170000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15108.77000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1170000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-12-02
            XXXX
            -1803.90000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND DEC20 XEUR 20201208
        000000000
        
          
        
        5.00000000
        NC
        
        21330.50000000
        0.003030482535
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-Buxl (FGBX)
                UBZ0 Comdty
              
            
            2020-12-08
            1095306.90000000
            EUR
            21330.50000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        7757.45000000
        0.001102122160
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1264088.71000000
            CAD
            957439.87000000
            USD
            2020-12-16
            7757.45000000
          
        
        
          N
          N
          N
        
      
      
        Dominion Energy Inc
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDG1
        
          
        
        2200000.00000000
        PA
        USD
        2478718.00000000
        0.352158252705
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AC5
        
          
        
        600000.00000000
        PA
        USD
        601824.00000000
        0.085502783405
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2027-09-17
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        21567.76000000
        0.003064190713
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            915037.40000000
            USD
            69088068.81000000
            INR
            2020-10-28
            21567.76000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206A8
        
          
        
        19000000.00000000
        PA
        USD
        19742556.10000000
        2.804878997980
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -14146.51000000
        -0.00200983340
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479508.17000000
            USD
            36311115.80000000
            RUB
            2020-11-17
            -14146.51000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNK6
        
          
        
        590897.98000000
        PA
        USD
        63442.12000000
        0.009013395685
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300P6T1S83Z2MDF55
        Magnetite XXIV Ltd
        55954WAA7
        
          
        
        1400000.00000000
        PA
        USD
        1396904.60000000
        0.198462061086
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
        
        505000.00000000
        PA
        USD
        546945.30000000
        0.077706016244
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02752A SWAPTION US0003M OCT20 0.70 CALL
        000000000
        
          
        
        -3970000.00000000
        NC
        USD
        -12751.64000000
        -0.00181166040
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3970000.00000000
                    OU
                    Notional Amount
                    N/A
                    -12751.64000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3970000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-19
            XXXX
            7743.48000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E22U8
        
          
        
        26669.35000000
        PA
        USD
        29948.73000000
        0.004254898067
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687FS0
        
          
        
        50000.00000000
        PA
        USD
        65763.50000000
        0.009343200497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-23
          Fixed
          4.70000000
          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
        
          
        
        54170000.00000000
        OU
        Notional Amount
        
        -50632.16000000
        -0.00719344959
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-06-17
            897671.29000000
            CNY
            0.00000000
            CNY
            54170000.00000000
            CNY
            -173998.99000000
          
        
        
          N
          N
          N
        
      
      
        Tower Bridge Funding
        213800PP6P7OPYHE7T05
        Tower Bridge Funding No.1 PLC
        000000000
        
          
        
        395450.77000000
        PA
        
        510251.22000000
        0.072492787834
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-03-20
          Floating
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRBUS SE
        MINO79WLOO247M1IL051
        Airbus SE
        000000000
        
          
        
        550000.00000000
        PA
        
        655538.95000000
        0.093134213416
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2040-06-09
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AK6U8
        
          
        
        39492.24000000
        PA
        USD
        44348.38000000
        0.006300695767
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DW4
        
          
        
        675000.00000000
        PA
        USD
        929373.75000000
        0.132038673181
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379EW73
        
          
        
        426733.18000000
        PA
        USD
        59681.24000000
        0.008479077167
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-10-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
        
        1700000.00000000
        PA
        
        3747727.50000000
        0.532449906772
        Long
        DBT
        NUSS
        FR
        N
        
        1
        
          2041-04-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128L0HG0
        
          
        
        251.13000000
        PA
        USD
        287.74000000
        0.000040880009
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02333A SWAPTION MAY21 0.448 CALL
        000000000
        
          
        
        -4700000.00000000
        NC
        USD
        -32828.09000000
        -0.00466397662
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    4700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -32828.09000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4700000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            16498.41000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1649.01000000
        -0.00023427936
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            454372.99000000
            USD
            3087850.68000000
            CNY
            2020-12-16
            -1649.01000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        5272.95000000
        0.000749142443
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            609238.83000000
            CAD
            462980.86000000
            USD
            2020-12-16
            5272.95000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
        
        1000000.00000000
        PA
        USD
        1090170.00000000
        0.154883436660
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        000000000
        
          
        
        600000.00000000
        PA
        
        697237.12000000
        0.099058386593
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-09-14
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        939377.21000000
        PA
        USD
        1019602.65000000
        0.144857740040
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMERSON ELECTRIC CO
        FGLT0EWZSUIRRITFOA30
        Emerson Electric Co
        291011BN3
        
          
        
        1600000.00000000
        PA
        USD
        1657648.00000000
        0.235506589810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214872  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214872  IRS USD P F   .75000 2 CCPVANILLA
        000000000
        
          
        
        59720000.00000000
        OU
        Notional Amount
        USD
        -898015.61000000
        -0.12758353637
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-12-16
            0.00000000
            USD
            -903678.26000000
            USD
            59720000.00000000
            USD
            5662.65000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -18525.78000000
        -0.00263200828
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            70002318.84000000
            INR
            930473.58000000
            USD
            2020-10-28
            -18525.78000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AV6
        
          
        
        250000.00000000
        PA
        USD
        277832.50000000
        0.039472423948
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-09
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B8QW0
        
          
        
        213143.22000000
        PA
        USD
        43738.10000000
        0.006213991616
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-15
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        145000000.00000000
        PA
        
        1664327.50000000
        0.236455564662
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2045-09-20
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Montreal Exchange / Bourse De Montreal
        N/A
        CAN 10YR BOND FUT DEC20 XMOD 20201218
        000000000
        
          
        
        22.00000000
        NC
        
        -1142.62000000
        -0.00016233515
        N/A
        DIR
        
        CA
        N
        
        1
        
          
            
              The Montreal Exchange / Bourse De Montreal
              N/A
            
            Long
            
              
                Canadian Government Bond
                CNZ0 Comdty
              
            
            2020-12-18
            3342001.45000000
            CAD
            -1142.62000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -6434.79000000
        -0.00091420823
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            405558.94000000
            EUR
            4204249.06000000
            SEK
            2020-12-16
            -6434.79000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002944  CDS USD R F  1.00000 2 CCPCDX / Short: SX002944  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        14100000.00000000
        OU
        Notional Amount
        USD
        98339.04000000
        0.013971296653
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S34.V1
                2I65BYDW2
              
            
            Y
            
            sell protection
            2025-06-20
            143363.90000000
            USD
            0.00000000
            USD
            14100000.00000000
            USD
            -45024.86000000
          
        
        
          N
          N
          N
        
      
      
        MACQUARIE GROUP LTD
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        000000000
        
          
        
        350000.00000000
        PA
        
        412117.85000000
        0.058550711280
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2027-02-03
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEA FINANCE LLC/WESTFIEL
        N/A
        WEA Finance LLC / Westfield UK & Europe Finance PLC
        92890HAC6
        
          
        
        400000.00000000
        PA
        USD
        420288.00000000
        0.059711466860
        Long
        DBT
        
        US
        
        N
        
        2
        
          2024-09-17
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214856  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214856  IRS EUR P F   .00000 2 CCPVANILLA
        000000000
        
          
        
        770000.00000000
        OU
        Notional Amount
        
        -5347.83000000
        -0.00075978084
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-12-16
            1007.42000000
            EUR
            0.00000000
            EUR
            770000.00000000
            EUR
            -6537.96000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418RGD7
        
          
        
        94626.75000000
        PA
        USD
        106245.66000000
        0.015094611804
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        OPS02258A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -7950000.00000000
        NC
        
        -26225.29000000
        -0.00372589875
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                  
                  
                    Morgan Stanley & Co. International PLC
                    4PQUHN3JPFGFNF3BB653
                    IRS Swap
                    N/A
                    
                      
                    
                    7950000.00000000
                    OU
                    Notional Amount
                    N/A
                    -26225.29000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7950000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-21
            XXXX
            56151.74000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FW6P0
        
          
        
        373773.83000000
        PA
        USD
        50543.38000000
        0.007180836378
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296USS1
        
          
        
        749.32000000
        PA
        USD
        863.02000000
        0.000122611614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BN6
        
          
        
        350000.00000000
        PA
        USD
        490395.50000000
        0.069671831331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLACKSTONE PP EUR HOLD
        213800Y3B5GQFBGVHP79
        Blackstone Property Partners Europe Holdings Sarl
        000000000
        
          
        
        600000.00000000
        PA
        
        702463.90000000
        0.099800969538
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-03-12
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MetLife Inc
        C4BXATY60WC6XEOZDX54
        MetLife Inc
        59156RBH0
        
          
        
        110000.00000000
        PA
        USD
        121554.40000000
        0.017269566410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-10
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8161.77000000
        -0.00115956500
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            379711.23000000
            EUR
            1692002.73000000
            PLN
            2020-12-16
            -8161.77000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TUC7
        
          
        
        105270.50000000
        PA
        USD
        114589.87000000
        0.016280096564
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        1750000.00000000
        PA
        
        2560938.08000000
        0.363839484580
        Long
        DBT
        NUSS
        IT
        N
        
        1
        
          2038-09-01
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        12964000000.00000000
        PA
        
        966636.96000000
        0.137332759448
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2031-05-15
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        42936.66000000
        PA
        USD
        47089.59000000
        0.006690146977
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BJ9
        
          
        
        625000.00000000
        PA
        USD
        673950.00000000
        0.095749921697
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHUBB INA HOLDINGS INC
        CZCBJZWDMLTHWJDXU843
        Chubb INA Holdings Inc
        000000000
        
          
        
        100000.00000000
        PA
        
        120319.14000000
        0.017094069639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226B2
        
          
        
        11000000.00000000
        PA
        USD
        11530147.20000000
        1.638119580924
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214873  IRS USD R F  1.00000 2 CCPVANILLA / Short: SR214873  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1730000.00000000
        OU
        Notional Amount
        USD
        54487.56000000
        0.007741196829
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            55633.53000000
            USD
            0.00000000
            USD
            1730000.00000000
            USD
            -1145.97000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B5SN6
        
          
        
        1128372.57000000
        PA
        USD
        224733.79000000
        0.031928544840
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Floating
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -8564.63000000
        -0.00121680043
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            673403.00000000
            AUD
            473862.92000000
            USD
            2020-12-16
            -8564.63000000
          
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DL1
        
          
        
        600000.00000000
        PA
        USD
        703032.00000000
        0.099881681060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CG5
        
          
        
        200000.00000000
        PA
        USD
        246786.00000000
        0.035061562691
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -15678.26000000
        -0.00222745332
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            46727810.89000000
            TWD
            1607423.84000000
            USD
            2020-11-09
            -15678.26000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        285.00000000
        NC
        USD
        44560.80000000
        0.006330874858
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            39712939.20000000
            USD
            44560.80000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        149409.54000000
        PA
        USD
        188759.34000000
        0.026817556235
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BBVP4
        
          
        
        2037632.12000000
        PA
        USD
        173934.32000000
        0.024711325054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        31941.35000000
        0.004537995046
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1281445.88000000
            USD
            96881152.65000000
            INR
            2020-10-28
            31941.35000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526BV0
        
          
        
        100000.00000000
        PA
        USD
        100458.00000000
        0.014272343102
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2021-01-13
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1578.76000000
        0.000224298755
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            958099.65000000
            USD
            1277394.02000000
            CAD
            2020-12-16
            1578.76000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416RH63
        
          
        
        7517.40000000
        PA
        USD
        8449.26000000
        0.001200409501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAM2
        
          
        
        250000.00000000
        PA
        USD
        254700.00000000
        0.036185926339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DB2
        
          
        
        27000.00000000
        PA
        USD
        29175.12000000
        0.004144989176
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-16
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AJ3
        
          
        
        50000.00000000
        PA
        USD
        40500.00000000
        0.005753945884
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        200000.00000000
        PA
        USD
        162554.00000000
        0.023094491834
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005871  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005871  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        110000.00000000
        OU
        Notional Amount
        USD
        682.13000000
        0.000096912076
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -185.94000000
            USD
            110000.00000000
            USD
            868.07000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCS8
        
          
        
        750000.00000000
        PA
        USD
        860070.00000000
        0.122192499672
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.95000000
          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
        
          
        
        13600000.00000000
        OU
        Notional Amount
        USD
        465609.60000000
        0.066150430657
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-06-18
            473324.07000000
            USD
            0.00000000
            USD
            13600000.00000000
            USD
            -7714.47000000
          
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AA9
        
          
        
        400000.00000000
        PA
        USD
        405400.00000000
        0.057596287938
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-09-15
          Fixed
          3.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        5527.34000000
        0.000785284327
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10529342.54000000
            MXN
            477508.21000000
            USD
            2020-12-16
            5527.34000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379TYF0
        
          
        
        274716.21000000
        PA
        USD
        45887.83000000
        0.006519409643
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAN4
        
          
        
        1150000.00000000
        PA
        USD
        1146343.00000000
        0.162864088565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-09-15
          Fixed
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380WG86
        
          
        
        763736.53000000
        PA
        USD
        96166.50000000
        0.013662637947
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        5594.53000000
        0.000794830194
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2943265.74000000
            TRY
            384992.25000000
            USD
            2020-10-19
            5594.53000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        63535.36000000
        PA
        USD
        70165.02000000
        0.009968536495
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BB8
        
          
        
        1500000.00000000
        PA
        USD
        1606845.00000000
        0.228288868507
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        2752.23000000
        0.000391016851
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            702486.79000000
            GBP
            909674.73000000
            USD
            2020-12-16
            2752.23000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRXV8
        
          
        
        21583.01000000
        PA
        USD
        23643.59000000
        0.003359109564
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJB6
        
          
        
        2200000.00000000
        PA
        USD
        2327490.00000000
        0.330672876700
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Aviva PLC
        YF0Y5B0IB8SM0ZFG9G81
        Aviva PLC
        000000000
        
          
        
        450000.00000000
        PA
        
        702693.86000000
        0.099833640585
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2036-11-14
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -9487.76000000
        -0.00134795203
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            46085120.84000000
            TWD
            1591290.34000000
            USD
            2020-11-09
            -9487.76000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JG3
        
          
        
        250000.00000000
        PA
        USD
        236822.50000000
        0.033646020967
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ASU83
        
          
        
        33529.41000000
        PA
        USD
        37652.34000000
        0.005349371031
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468P7
        
          
        
        1100000.00000000
        PA
        USD
        1261381.00000000
        0.179207852186
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        000000000
        
          
        
        1100000.00000000
        PA
        
        1398377.33000000
        0.198671295869
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-23
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02709A SWAPTION EUR006M OCT20 NEG0.191 PUT
        000000000
        
          
        
        -3320000.00000000
        NC
        
        -1090.30000000
        -0.00015490190
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1090.30000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3320000.00000000
                  EUR
                
              
            
            1.00000000
            -0.19100000
            EUR
            2020-10-05
            XXXX
            17460.56000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -139129.55000000
        -0.01976651608
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3194194.80000000
            USD
            28489860.28000000
            NOK
            2020-12-16
            -139129.55000000
          
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BV0
        
          
        
        3275000.00000000
        PA
        USD
        3541716.00000000
        0.503181288932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-06
          Fixed
          3.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02763A SWAPTION EUR006M OCT20 NEG0.23 PUT
        000000000
        
          
        
        -3320000.00000000
        NC
        
        -13036.48000000
        -0.00185212840
        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
                    
                      
                    
                    3320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -13036.48000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3320000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23000000
            EUR
            2020-10-21
            XXXX
            3564.63000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CJ56
        
          
        
        49235.08000000
        PA
        USD
        53816.21000000
        0.007645816297
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (40 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Forty Year Bond
        000000000
        
          
        
        576350000.00000000
        PA
        
        5231770.47000000
        0.743291954660
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2060-03-20
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCTS EU
        815600DE60799F5A9309
        Italy Certificati di Credito del Tesoro/ CCTS-eu
        000000000
        
          
        
        4320000.00000000
        PA
        
        5302125.53000000
        0.753287490658
        Long
        DBT
        NUSS
        IT
        N
        
        1
        
          2025-01-15
          Floating
          1.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4915.71000000
        -0.00069838837
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            455026.60000000
            USD
            599126.70000000
            CAD
            2020-12-16
            -4915.71000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3579.48000000
        -0.00050854652
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            390123.30000000
            EUR
            4067589.38000000
            SEK
            2020-12-16
            -3579.48000000
          
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        000000000
        
          
        
        500000.00000000
        PA
        
        623327.06000000
        0.088557782012
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2040-07-09
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAC3
        
          
        
        170000.00000000
        PA
        USD
        185412.20000000
        0.026342018891
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        10410.63000000
        0.001479066707
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            657960.76000000
            AUD
            481775.32000000
            USD
            2020-12-16
            10410.63000000
          
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBQ7
        
          
        
        500000.00000000
        PA
        USD
        587350.00000000
        0.083446422596
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2050-04-02
          Fixed
          5.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAA8
        
          
        
        500000.00000000
        PA
        USD
        553750.00000000
        0.078672778603
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2027-10-11
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        15371.51000000
        0.002183872511
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            705823667.00000000
            CLP
            915168.45000000
            USD
            2020-12-17
            15371.51000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0426A6
        
          
        
        3000000.00000000
        PA
        USD
        3245389.80000000
        0.461081414390
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02184A SWAPTION MAR20 0.395 CALL
        000000000
        
          
        
        -9900000.00000000
        NC
        USD
        -0.99000000
        -0.00000014065
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    9900000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.99000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9900000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-09-30
            XXXX
            125729.01000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02740A SWAPTION EUR006M OCT20 NEG0.211 PUT
        000000000
        
          
        
        -3320000.00000000
        NC
        
        -7019.80000000
        -0.00099732220
        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
                    
                      
                    
                    3320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7019.80000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3320000.00000000
                  EUR
                
              
            
            1.00000000
            -0.21100000
            EUR
            2020-10-14
            XXXX
            10508.80000000
          
        
        
          N
          N
          N
        
      
      
        DP World Crescent Ltd
        21380096JRTWB8TL9236
        DP World Crescent Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        221660.00000000
        0.031491843079
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-09-26
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02748A SWAPTION US0003M MAR21 1.10 CALL
        000000000
        
          
        
        21000000.00000000
        NC
        USD
        223015.80000000
        0.031684465297
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    21000000.00000000
                    OU
                    Notional Amount
                    N/A
                    223015.80000000
                    0.03000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  21000000.00000000
                  USD
                
              
            
            1.00000000
            1.10000000
            USD
            2021-03-17
            XXXX
            -28984.20000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B06N1
        
          
        
        2454789.02000000
        PA
        USD
        145694.18000000
        0.020699171046
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-25
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGRICUL DEV BANK CHINA
        300300C1020311000158
        Agricultural Development Bank of China
        000000000
        
          
        
        32800000.00000000
        PA
        
        4478448.79000000
        0.636265481074
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2030-04-17
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTHPEAK PROPERTIES
        PZ9HF5U52KPF0MH0QN75
        Healthpeak Properties Inc
        40414LAQ2
        
          
        
        200000.00000000
        PA
        USD
        223144.00000000
        0.031702679022
        Long
        DBT
        
        US
        N
        
        2
        
          2026-07-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TELEFONICA EMISIONES SAU
        549300Y5MFC4SW5Z3K71
        Telefonica Emisiones SA
        000000000
        
          
        
        500000.00000000
        PA
        
        646002.24000000
        0.091779306916
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-03-12
          Fixed
          1.79000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -7114.59000000
        -0.00101078928
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            401337.79000000
            GBP
            511019.39000000
            USD
            2020-12-16
            -7114.59000000
          
        
        
          N
          N
          N
        
      
      
        Commerzbank AG
        851WYGNLUQLFZBSYGB56
        Commerzbank AG
        000000000
        
          
        
        550000.00000000
        PA
        
        686452.93000000
        0.097526247194
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-03-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BZ1
        
          
        
        2150000.00000000
        PA
        USD
        2313894.50000000
        0.328741326792
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-11
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NXRK5
        
          
        
        13431.49000000
        PA
        USD
        14713.82000000
        0.002090432692
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005913  CDS EUR R F  1.00000 2 CCPCORPORATE / Short: SS005913  CDS EUR P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1200000.00000000
        OU
        Notional Amount
        
        -42509.14000000
        -0.00603938990
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Unibail-Rodamco-Westfield SE
                Unibail-Rodamco-Westfield SE
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            16976.67000000
            EUR
            0.00000000
            EUR
            1200000.00000000
            EUR
            -61165.11000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Austria
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        280000.00000000
        PA
        
        699288.44000000
        0.099349823242
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2117-09-20
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31283HZN8
        
          
        
        2699.33000000
        PA
        USD
        3092.81000000
        0.000439403984
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJL7
        
          
        
        100000.00000000
        PA
        USD
        119582.00000000
        0.016989342141
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-07-15
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VBE2
        
          
        
        500000.00000000
        PA
        USD
        556240.00000000
        0.079026539721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213542  IRS NZD R V 03MNZDBB 1 CCPVANILLA / Short: BR213542  IRS NZD P F  1.75000 2 CCPVANILLA
        000000000
        
          
        
        7060000.00000000
        OU
        Notional Amount
        
        -211313.99000000
        -0.03002195711
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-03-19
            0.00000000
            NZD
            -309947.50000000
            NZD
            7060000.00000000
            NZD
            -8508.41000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378WUZ4
        
          
        
        514963.89000000
        PA
        USD
        104293.01000000
        0.014817193472
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PAY7
        
          
        
        1820000.00000000
        PA
        USD
        2525818.75000000
        0.358849985214
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2048-04-23
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        60262949.72000000
        NS
        USD
        60262949.72000000
        8.561722259762
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02349A SWAPTION MAY21 0.49 CALL
        000000000
        
          
        
        -4700000.00000000
        NC
        USD
        -38808.84000000
        -0.00551367815
        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
                    
                      
                    
                    4700000.00000000
                    OU
                    Notional Amount
                    N/A
                    -38808.84000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4700000.00000000
                  USD
                
              
            
            1.00000000
            0.49000000
            USD
            2021-05-18
            XXXX
            8661.16000000
          
        
        
          N
          N
          N
        
      
      
        Higher Education Funding
        N/A
        Higher Education Funding I
        429827AY4
        
          
        
        2707389.71000000
        PA
        USD
        2707382.40000000
        0.384645230070
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2034-05-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAW9
        
          
        
        1850000.00000000
        PA
        USD
        2120840.00000000
        0.301313545416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        000000000
        
          
        
        150000.00000000
        PA
        
        179683.79000000
        0.025528167998
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-10-01
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        19679.08000000
        0.002795860774
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3013894.01000000
            TRY
            407696.18000000
            USD
            2020-10-23
            19679.08000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AM0
        
          
        
        1550000.00000000
        PA
        USD
        1617192.50000000
        0.229758966162
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-11
          Fixed
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02762A SWAPTION EUR006M OCT20 NEG0.23 CALL
        000000000
        
          
        
        -3320000.00000000
        NC
        
        -11273.95000000
        -0.00160172094
        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
                    
                      
                    
                    3320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -11273.95000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3320000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23000000
            EUR
            2020-10-21
            XXXX
            5327.16000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GEN5
        
          
        
        750000.00000000
        PA
        USD
        1106407.50000000
        0.157190342741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-02-07
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214891  IRS CHF R F   .00000 CCPVANILLA / Short: SR214891  IRS CHF P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        12540000.00000000
        OU
        Notional Amount
        
        113198.33000000
        0.016082396667
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            63174.44000000
            CHF
            0.00000000
            CHF
            12540000.00000000
            CHF
            44377.08000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN WATER CAPITAL C
        5IDHQUFVC8Q2KIBBFF06
        American Water Capital Corp
        03040WAX3
        
          
        
        300000.00000000
        PA
        USD
        337758.00000000
        0.047986203802
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2910.05000000
        0.000413438770
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            382092.55000000
            USD
            30040880.47000000
            RUB
            2020-11-17
            2910.05000000
          
        
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BG3
        
          
        
        700000.00000000
        PA
        USD
        771253.00000000
        0.109574025312
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4700.75000000
        -0.00066784842
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            462635.90000000
            USD
            609541.30000000
            CAD
            2020-12-16
            -4700.75000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02773A SWAPTION EUR006M JAN21 NEG0.25 CALL
        000000000
        
          
        
        -2460000.00000000
        NC
        
        -20190.73000000
        -0.00286855229
        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
                    
                      
                    
                    2460000.00000000
                    OU
                    Notional Amount
                    N/A
                    -20190.73000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2460000.00000000
                  EUR
                
              
            
            1.00000000
            -0.25000000
            EUR
            2021-01-14
            XXXX
            1975.19000000
          
        
        
          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
        
          
        
        740000.00000000
        OU
        Notional Amount
        
        -70113.88000000
        -0.00996127089
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-12-16
            0.00000000
            EUR
            -45406.07000000
            EUR
            740000.00000000
            EUR
            -16473.41000000
          
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AK0
        
          
        
        150000.00000000
        PA
        USD
        144643.50000000
        0.020549898062
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BIOGEN INC
        W8J5WZB5IY3K0NDQT671
        Biogen Inc
        09062XAH6
        
          
        
        1600000.00000000
        PA
        USD
        1634928.00000000
        0.232278697205
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2920.59000000
        0.000414936217
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            464211.95000000
            USD
            397710.74000000
            EUR
            2020-12-16
            2920.59000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468N2
        
          
        
        925000.00000000
        PA
        USD
        1394974.00000000
        0.198187775458
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-24
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16633.52000000
        -0.00236316972
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            479038.43000000
            USD
            10315714.15000000
            MXN
            2020-12-16
            -16633.52000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
        
        1000000.00000000
        PA
        
        1457882.67000000
        0.207125382442
        Long
        DBT
        NUSS
        IT
        N
        
        1
        
          2067-03-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        18629.54000000
        0.002646749753
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1204257.47000000
            CHF
            1329250.92000000
            USD
            2020-12-16
            18629.54000000
          
        
        
          N
          N
          N
        
      
      
        Voya CLO Ltd
        549300KSCKXTOBY0IP86
        Voya CLO 2019-1 Ltd
        92917NAJ7
        
          
        
        2100000.00000000
        PA
        USD
        2065566.30000000
        0.293460659524
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-15
          Floating
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harben Finance
        213800J7WLPUU61CJY65
        Harben Finance 2017-1 PLC
        000000000
        
          
        
        759290.05000000
        PA
        
        977881.92000000
        0.138930361702
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-08-20
          Floating
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140QBUW6
        
          
        
        948258.50000000
        PA
        USD
        1042225.31000000
        0.148071803285
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: IR212738  IRS MYR R F  3.56500 2 NDF / Short: IR212738  IRS MYR P V 03MKLIBO 1 NDF
        000000000
        
          
        
        10040000.00000000
        OU
        Notional Amount
        
        128834.79000000
        0.018303911350
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-03-14
            0.00000000
            MYR
            0.00000000
            MYR
            10040000.00000000
            MYR
            128834.79000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AW1
        
          
        
        25000.00000000
        PA
        USD
        31352.00000000
        0.004454264478
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK TSY 3.5% 2045
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
        
        1820000.00000000
        PA
        
        3774311.73000000
        0.536226801113
        Long
        DBT
        NUSS
        GB
        N
        
        1
        
          2045-01-22
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        000000000
        
          
        
        300000.00000000
        PA
        
        349385.34000000
        0.049638131830
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2028-03-18
          Fixed
          0.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Federal Home Loan Mortgage Corp
        3134A4AA2
        
          
        
        1160000.00000000
        PA
        USD
        1809797.20000000
        0.257122843221
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2031-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAF6
        
          
        
        600000.00000000
        PA
        USD
        655092.00000000
        0.093070714006
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-05-28
          Fixed
          3.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138NYHT5
        
          
        
        12790.49000000
        PA
        USD
        14011.63000000
        0.001990670636
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          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
        
          
        
        33570000.00000000
        OU
        Notional Amount
        
        -8008.20000000
        -0.00113774689
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2021-12-16
            0.00000000
            PLN
            -6243.41000000
            PLN
            33570000.00000000
            PLN
            -6331.99000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        8702.74000000
        0.001236422098
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2160846132.34000000
            COP
            571833.95000000
            USD
            2020-11-20
            8702.74000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        12124.69000000
        0.001722587904
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            36392236.51000000
            RUB
            478525.99000000
            USD
            2020-11-17
            12124.69000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Home Loans
        N/A
        CHL Mortgage Pass-Through Trust 2004-HYB5
        12669F3A9
        
          
        
        16364.48000000
        PA
        USD
        16132.60000000
        0.002292002651
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-04-20
          Variable
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CV0
        
          
        
        389000.00000000
        PA
        USD
        416747.37000000
        0.059208439862
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-09
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAB0
        
          
        
        200000.00000000
        PA
        USD
        160812.50000000
        0.022847072161
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2046-10-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPA4
        
          
        
        1833197.41000000
        PA
        USD
        1950927.73000000
        0.277173644017
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214893  IRS NOK R F   .75000 2 CCPVANILLA / Short: SR214893  IRS NOK P V 06MNIBOR 1 CCPVANILLA
        000000000
        
          
        
        278320000.00000000
        OU
        Notional Amount
        
        178360.52000000
        0.025340167407
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            1064554.25000000
            NOK
            0.00000000
            NOK
            278320000.00000000
            NOK
            61760.29000000
          
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING INT
        N/A
        Sasol Financing International Ltd
        803865AA2
        
          
        
        560000.00000000
        PA
        USD
        541800.00000000
        0.076975009386
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2022-11-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        22176.53000000
        0.003150680333
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2098000.00000000
            EUR
            2484008.92000000
            USD
            2020-11-09
            22176.53000000
          
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CF4
        
          
        
        450000.00000000
        PA
        USD
        542277.00000000
        0.077042778082
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-03-31
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EM1
        
          
        
        1200000.00000000
        PA
        USD
        1239480.00000000
        0.176096317154
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-02-04
          Fixed
          2.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOGICOR FINANCING SARL
        254900IS16Q1A2TQFN22
        Logicor Financing Sarl
        000000000
        
          
        
        600000.00000000
        PA
        
        742076.29000000
        0.105428810240
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2025-05-13
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
        
        674031.12000000
        PA
        
        866212.23000000
        0.123065143105
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEGAL & GENERAL GROUP
        213800JH9QQWHLO99821
        Legal & General Group PLC
        000000000
        
          
        
        500000.00000000
        PA
        
        662587.87000000
        0.094135672780
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2049-11-26
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TSJ5
        
          
        
        323694.92000000
        PA
        USD
        352350.92000000
        0.050059459900
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-02-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        3790889.64000000
        PA
        USD
        4080669.53000000
        0.579751892532
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5812.58000000
        0.000825809154
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            518342.07000000
            USD
            11693278.76000000
            MXN
            2020-12-16
            5812.58000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213187  IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187  IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
        000000000
        
          
        
        28200000.00000000
        OU
        Notional Amount
        USD
        17227.38000000
        0.002447541043
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            452.31000000
            USD
            0.00000000
            USD
            28200000.00000000
            USD
            16775.07000000
          
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BD4
        
          
        
        100000.00000000
        PA
        USD
        103938.00000000
        0.014766756230
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-09
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02771A SWAPTION EUR006M JAN21 0.0001 PUT
        000000000
        
          
        
        -2470000.00000000
        NC
        
        -7477.92000000
        -0.00106240856
        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
                    
                      
                    
                    2470000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7477.92000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2470000.00000000
                  EUR
                
              
            
            1.00000000
            0.00010000
            EUR
            2021-01-14
            XXXX
            275.79000000
          
        
        
          N
          N
          N
        
      
      
        SANTANDER UK GROUP HLDGS
        549300F5XIFGNNW4CF72
        Santander UK Group Holdings PLC
        80281LAM7
        
          
        
        1000000.00000000
        PA
        USD
        984770.00000000
        0.139908970087
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-08-21
          Fixed
          1.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTHEM INC
        8MYN82XMYQH89CTMTH67
        Anthem Inc
        036752AN3
        
          
        
        1400000.00000000
        PA
        USD
        1438304.00000000
        0.204343787191
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Macquarie Group Ltd
        ACMHD8HWFMFUIQQ8Y590
        Macquarie Group Ltd
        55608JAK4
        
          
        
        300000.00000000
        PA
        USD
        326064.00000000
        0.046324805205
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2028-11-28
          Fixed
          3.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABA2
        
          
        
        500000.00000000
        PA
        USD
        548540.00000000
        0.077932579639
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE TELEKOM INT FIN
        529900ERDFHS6C1M4U58
        Deutsche Telekom International Finance BV
        25156PBB8
        
          
        
        1300000.00000000
        PA
        USD
        1538303.00000000
        0.218550918907
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-06-21
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
        
        310000.00000000
        PA
        USD
        345553.13000000
        0.049093679263
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-02-11
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SNAP-ON INC
        HHWAT5TDOYZMM26KKQ73
        Snap-on Inc
        833034AM3
        
          
        
        900000.00000000
        PA
        USD
        952686.00000000
        0.135350708364
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -424.54000000
        -0.00006031556
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            394127.55000000
            GBP
            508400.89000000
            USD
            2020-12-16
            -424.54000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468J1
        
          
        
        900000.00000000
        PA
        USD
        956277.00000000
        0.135860891566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-22
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP CAPITAL MARKETS PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        000000000
        
          
        
        400000.00000000
        PA
        
        482706.95000000
        0.068579497982
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-03-22
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7UE3
        
          
        
        2581603.79000000
        PA
        USD
        2864262.04000000
        0.406933550043
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        793.89000000
        0.000112790125
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            379704637.00000000
            CLP
            484675.70000000
            USD
            2020-11-16
            793.89000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        890000.00000000
        PA
        
        1147473.55000000
        0.163024708899
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2030-10-31
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02699A SWAPTION EUR006M DEC20 0.10 PUT
        000000000
        
          
        
        -1170000.00000000
        NC
        
        -889.87000000
        -0.00012642626
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1170000.00000000
                    OU
                    Notional Amount
                    N/A
                    -889.87000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-12-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1170000.00000000
                  EUR
                
              
            
            1.00000000
            0.10000000
            EUR
            2020-12-02
            XXXX
            1743.39000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214462  IRS AUD R F   .55300 2 CCPVANILLA / Short: SR214462  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        45750000.00000000
        OU
        Notional Amount
        
        195253.95000000
        0.027740263259
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-05-16
            0.00000000
            AUD
            -39794.06000000
            AUD
            45750000.00000000
            AUD
            223301.97000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCD2
        
          
        
        842431.62000000
        PA
        USD
        917863.96000000
        0.130403445803
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02204A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -4800000.00000000
        NC
        
        -1843.24000000
        -0.00026187415
        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
                    
                      
                    
                    4800000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1843.24000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4800000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-02
            XXXX
            52004.97000000
          
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAE7
        
          
        
        500000.00000000
        PA
        USD
        564480.00000000
        0.080197219081
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-18
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIZENS BANK NA/RI
        DRMSV1Q0EKMEXLAU1P80
        Citizens Bank NA/Providence RI
        17401QAS0
        
          
        
        250000.00000000
        PA
        USD
        258962.50000000
        0.036791511384
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-02-14
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02222A SWAPTION APR21 0.506 CALL
        000000000
        
          
        
        -3500000.00000000
        NC
        USD
        -29918.35000000
        -0.00425058189
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    3500000.00000000
                    OU
                    Notional Amount
                    N/A
                    -29918.35000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3500000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            8756.65000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJA8
        
          
        
        600000.00000000
        PA
        USD
        739494.00000000
        0.105061937229
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-03-20
          Fixed
          4.08000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KFW
        549300GDPG70E3MBBU98
        Kreditanstalt fuer Wiederaufbau
        000000000
        
          
        
        3000000.00000000
        PA
        
        3804927.81000000
        0.540576511422
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2028-01-07
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138E23U7
        
          
        
        69085.75000000
        PA
        USD
        77580.84000000
        0.011022122346
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2017-2
        63939RAA2
        
          
        
        4654645.63000000
        PA
        USD
        4602372.10000000
        0.653871605013
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Scholar Funding Trust
        N/A
        Scholar Funding Trust 2010-A
        80705RAA8
        
          
        
        592920.81000000
        PA
        USD
        576634.82000000
        0.081924087637
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-10-28
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        000000000
        
          
        
        150000.00000000
        PA
        
        184307.35000000
        0.026185049826
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2039-07-02
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE II
        549300BHVD63HE2GHX17
        Huarong Finance II Co Ltd
        000000000
        
          
        
        370000.00000000
        PA
        USD
        410468.75000000
        0.058316419128
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2025-11-19
          Fixed
          5.00000000
          N
          N
          N
        
        
          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
        
          
        
        6750000.00000000
        OU
        Notional Amount
        
        18857.70000000
        0.002679165069
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            0.00000000
            PLN
            -5307.07000000
            PLN
            6750000.00000000
            PLN
            20284.39000000
          
        
        
          N
          N
          N
        
      
      
        Banco de Sabadell SA
        SI5RG2M0WQQLZCXKRM20
        Banco de Sabadell SA
        000000000
        
          
        
        400000.00000000
        PA
        
        473378.94000000
        0.067254242063
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-03-05
          Fixed
          0.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CR7
        
          
        
        50000.00000000
        PA
        USD
        65734.50000000
        0.009339080388
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-26
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Austria
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
        
        450000.00000000
        PA
        
        856388.39000000
        0.121669443260
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2086-11-02
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2049.10000000
        0.000291121247
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            341044.00000000
            EUR
            402236.50000000
            USD
            2020-11-09
            2049.10000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214698  IRS CAD R F   .84000 2 CCPVANILLA / Short: SR214698  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        50320000.00000000
        OU
        Notional Amount
        
        48402.14000000
        0.006876624549
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-24
            33320.61000000
            CAD
            0.00000000
            CAD
            50320000.00000000
            CAD
            23891.88000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -22941.14000000
        -0.00325931057
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            71324735.09000000
            INR
            943985.80000000
            USD
            2020-10-28
            -22941.14000000
          
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBY0
        
          
        
        550000.00000000
        PA
        USD
        642680.50000000
        0.091307378220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2060-04-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        1903269.10000000
        PA
        USD
        2027729.96000000
        0.288085147109
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02710A SWAPTION EUR006M OCT20 NEG0.191 CALL
        000000000
        
          
        
        -3320000.00000000
        NC
        
        -16170.76000000
        -0.00229742414
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -16170.76000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3320000.00000000
                  EUR
                
              
            
            1.00000000
            -0.19100000
            EUR
            2020-10-05
            XXXX
            2380.10000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -2880.51000000
        -0.00040924194
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            48209015.00000000
            JPY
            454730.39000000
            USD
            2020-12-16
            -2880.51000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        19456.83000000
        PA
        USD
        21314.42000000
        0.003028198005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Osaka Exchange
        3538001249AILNPRUX57
        JPN 10Y BOND(OSE) DEC20 XOSE 20201214
        000000000
        
          
        
        9.00000000
        NC
        
        15327.18000000
        0.002177574426
        N/A
        DIR
        
        JP
        N
        
        1
        
          
            
              Osaka Exchange
              3538001249AILNPRUX57
            
            Long
            
              
                Japan Government Ten Year Bond
                JBZ0 Comdty
              
            
            2020-12-14
            1367193519.00000000
            JPY
            15327.18000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -22738.19000000
        -0.00323047690
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            472777.98000000
            USD
            35115584.46000000
            RUB
            2020-11-17
            -22738.19000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE  DEC20 XEUR 20201208
        000000000
        
          
        
        72.00000000
        NC
        
        60921.24000000
        0.008655247362
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Long
            
              
                Euro-Bund (FGBL)
                RXZ0 Comdty
              
            
            2020-12-08
            12511319.36000000
            EUR
            60921.24000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214055  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214055  IRS EUR P F   .75000 2 CCPVANILLA
        000000000
        
          
        
        3840000.00000000
        OU
        Notional Amount
        
        -220464.52000000
        -0.03132199796
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-06-19
            0.00000000
            EUR
            -183516.84000000
            EUR
            3840000.00000000
            EUR
            47635.00000000
          
        
        
          N
          N
          N
        
      
      
        CHUBB INA HOLDINGS INC
        CZCBJZWDMLTHWJDXU843
        Chubb INA Holdings Inc
        000000000
        
          
        
        550000.00000000
        PA
        
        686627.04000000
        0.097550983478
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RGL0
        
          
        
        1600000.00000000
        PA
        USD
        1850064.00000000
        0.262843657742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VER1
        
          
        
        3084000.00000000
        PA
        USD
        3742742.40000000
        0.531741659967
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBC4
        
          
        
        1050000.00000000
        PA
        USD
        1192411.50000000
        0.169409166490
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cooperatieve Rabobank UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        000000000
        
          
        
        550000.00000000
        PA
        
        710415.46000000
        0.100930669438
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2023-07-25
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        250000.00000000
        PA
        
        349081.40000000
        0.049594950242
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-21
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5125.57000000
        0.000728203763
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4226661.48000000
            SEK
            406577.08000000
            EUR
            2020-12-16
            5125.57000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        10420.92000000
        0.001480528635
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            367397041.00000000
            CLP
            478618.38000000
            USD
            2020-11-16
            10420.92000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132DMC60
        
          
        
        6575524.31000000
        PA
        USD
        7204909.43000000
        1.023621208935
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        21054.85000000
        0.002991320185
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            33537764.75000000
            RUB
            450873.37000000
            USD
            2020-11-17
            21054.85000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        79336.37000000
        PA
        USD
        86910.79000000
        0.012347653887
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MQ1
        
          
        
        1700000.00000000
        PA
        USD
        1833110.00000000
        0.260434956544
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-08
          Fixed
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        63400000.00000000
        PA
        
        570470.75000000
        0.081048341335
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2050-03-20
          Fixed
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214052  IRS USD R F  1.75000 2 CCPVANILLA / Short: SR214052  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        3630000.00000000
        OU
        Notional Amount
        USD
        102896.71000000
        0.014618817309
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2040-06-19
            141966.94000000
            USD
            0.00000000
            USD
            3630000.00000000
            USD
            -39070.23000000
          
        
        
          N
          N
          N
        
      
      
        WALGREENS BOOTS ALLIANCE
        549300RPTUOIXG4LIH86
        Walgreens Boots Alliance Inc
        931427AS7
        
          
        
        1350000.00000000
        PA
        USD
        1414044.00000000
        0.200897102570
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02776A SWAPTION EUR006M OCT20 NEG0.234 CALL
        000000000
        
          
        
        -3320000.00000000
        NC
        
        -12560.03000000
        -0.00178443785
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -12560.03000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3320000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23400000
            EUR
            2020-10-28
            XXXX
            3422.04000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306A1
        
          
        
        7000000.00000000
        PA
        USD
        7333592.00000000
        1.041903493973
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FWBW9
        
          
        
        1346452.94000000
        PA
        USD
        113866.29000000
        0.016177295573
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDD3
        
          
        
        350000.00000000
        PA
        USD
        382403.00000000
        0.054329041185
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -219461.05000000
        -0.03117943223
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            159946421.22000000
            CNY
            23267485.80000000
            USD
            2020-11-23
            -219461.05000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        380000.00000000
        PA
        USD
        397100.00000000
        0.056417084214
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-29
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        Long: CS005536  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005536  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        100000.00000000
        OU
        Notional Amount
        USD
        -655.32000000
        -0.00009310310
        N/A
        DCR
        
        DE
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            0.00000000
            USD
            -3.41000000
            USD
            100000.00000000
            USD
            -651.91000000
          
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
        
        1110000.00000000
        PA
        
        2258769.28000000
        0.320909535860
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2066-07-30
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AF5
        
          
        
        1400000.00000000
        PA
        USD
        1499890.00000000
        0.213093478826
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-05-30
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416SFG1
        
          
        
        11884.24000000
        PA
        USD
        13352.24000000
        0.001896989293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAJ2
        
          
        
        1000000.00000000
        PA
        USD
        1143230.00000000
        0.162421816132
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-12-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMEREN CORP
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AH5
        
          
        
        150000.00000000
        PA
        USD
        159225.00000000
        0.022621531689
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        000000000
        
          
        
        800000.00000000
        PA
        
        925916.42000000
        0.131547480842
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-09-18
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JAPAN (30 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Thirty Year Bond
        000000000
        
          
        
        3000000.00000000
        PA
        
        28478.17000000
        0.004045971581
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2050-06-20
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        7340.21000000
        0.001042843731
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            36817097.53000000
            RUB
            479186.51000000
            USD
            2020-11-17
            7340.21000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214841  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214841  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        44310000.00000000
        OU
        Notional Amount
        
        -444172.79000000
        -0.06310484436
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-12-16
            0.00000000
            EUR
            -354935.63000000
            EUR
            44310000.00000000
            EUR
            -9331.08000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214471  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214471  IRS EUR P F   .26000 2 CCPVANILLA
        000000000
        
          
        
        3560000.00000000
        OU
        Notional Amount
        
        7502.62000000
        0.001065917764
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-05-21
            711.82000000
            EUR
            0.00000000
            EUR
            3560000.00000000
            EUR
            38028.45000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214854  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214854  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        11610000.00000000
        OU
        Notional Amount
        
        -92203.21000000
        -0.01309956248
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-12-16
            0.00000000
            EUR
            -59096.09000000
            EUR
            11610000.00000000
            EUR
            -22390.01000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (2 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Two Year Bond
        000000000
        
          
        
        0.00000000
        PA
        
        0.00000000
        0.000000
        Long
        DBT
        NUSS
        JP
        N
        
        1
        
          2022-05-01
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
        
        750000.00000000
        PA
        USD
        802920.00000000
        0.114073042702
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        N/A
        BANK 2017-BNK4
        06541FBF5
        
          
        
        900000.00000000
        PA
        USD
        940872.77000000
        0.133672370435
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-05-15
          Variable
          4.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        28417.59000000
        PA
        USD
        31130.68000000
        0.004422820939
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR214906  IRS MXN R F  5.10000 2 CCPVANILLA / Short: SR214906  IRS MXN P V 01MTIIE 1 CCPVANILLA
        000000000
        
          
        
        4010000.00000000
        OU
        Notional Amount
        
        -364.10000000
        -0.00005172868
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-10
            38.09000000
            MXN
            0.00000000
            MXN
            4010000.00000000
            MXN
            -365.85000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAY7
        
          
        
        1850000.00000000
        PA
        USD
        2018812.50000000
        0.286818219152
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306B9
        
          
        
        6000000.00000000
        PA
        USD
        6287107.80000000
        0.893226618525
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        3976301.00000000
        PA
        USD
        4323645.60000000
        0.614272168037
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292MA78
        
          
        
        6610.42000000
        PA
        USD
        7310.65000000
        0.001038644061
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YXM1
        
          
        
        1067856.69000000
        PA
        USD
        171058.57000000
        0.024302759378
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-09-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214054  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214054  IRS EUR P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        3080000.00000000
        OU
        Notional Amount
        
        -215082.34000000
        -0.03055733691
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-06-20
            0.00000000
            EUR
            -185452.24000000
            EUR
            3080000.00000000
            EUR
            33904.42000000
          
        
        
          N
          N
          N
        
      
      
        LA MONDIALE
        969500L0T16HX3R78P61
        La Mondiale SAM
        000000000
        
          
        
        600000.00000000
        PA
        
        700909.23000000
        0.099580093315
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2031-06-23
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2019-C53
        95002BAJ2
        
          
        
        1300000.00000000
        PA
        USD
        1424719.67000000
        0.202413824235
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-10-15
          Variable
          3.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM PJSC (GAZ FN)
        213800UNP9N6BPNYMQ45
        Gazprom PJSC via Gaz Finance PLC
        000000000
        
          
        
        400000.00000000
        PA
        USD
        400900.00000000
        0.056956960618
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2030-02-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BT0
        
          
        
        650000.00000000
        PA
        USD
        743509.00000000
        0.105632359272
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-01
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BA4U5
        
          
        
        920919.58000000
        PA
        USD
        113743.33000000
        0.016159826309
        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 ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8560.72000000
        0.001216244928
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478233.92000000
            USD
            8230721.40000000
            ZAR
            2020-12-17
            8560.72000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005898  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005898  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1580000.00000000
        OU
        Notional Amount
        USD
        -3826.44000000
        -0.00054363280
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Russian Foreign Bond - Eurobond
                Russian Foreign Bond - Eurobond
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            7941.25000000
            USD
            0.00000000
            USD
            1580000.00000000
            USD
            -11767.69000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -18256.71000000
        -0.00259378077
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1088842.48000000
            USD
            912364.69000000
            EUR
            2020-11-09
            -18256.71000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -3965.05000000
        -0.00056332550
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5030209374.18000000
            COP
            1310086.83000000
            USD
            2020-10-05
            -3965.05000000
          
        
        
          N
          N
          N
        
      
      
        Erste Group Bank AG
        PQOH26KWDF7CG10L6792
        Erste Group Bank AG
        000000000
        
          
        
        200000.00000000
        PA
        
        251490.48000000
        0.035729941045
        Long
        DBT
        CORP
        AT
        N
        
        2
        
          2024-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DC6
        
          
        
        300000.00000000
        PA
        USD
        271875.00000000
        0.038626025612
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005868  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005868  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1130000.00000000
        OU
        Notional Amount
        USD
        14104.89000000
        0.002003920339
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Saudi Government International Bond
                Saudi Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            4015.26000000
            USD
            0.00000000
            USD
            1130000.00000000
            USD
            10089.63000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DT9
        
          
        
        210000.00000000
        PA
        USD
        218925.00000000
        0.031103274141
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2051-05-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 10Y BOND FUT DEC20 XSFE 20201215
        000000000
        
          
        
        31.00000000
        NC
        
        27688.51000000
        0.003933782423
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                10 Year Commonwealth Treasury Bond
                XMZ0 Comdty
              
            
            2020-12-15
            4577519.52000000
            AUD
            27688.51000000
          
        
        
          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
        
          
        
        10980000.00000000
        OU
        Notional Amount
        
        -210762.34000000
        -0.02994358268
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-18
            0.00000000
            EUR
            -115606.67000000
            EUR
            10980000.00000000
            EUR
            255865.90000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214363  IRS CAD R F  1.75000 2 CCPVANILLA / Short: SR214363  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        890000.00000000
        OU
        Notional Amount
        
        46813.78000000
        0.006650961895
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-06-17
            38985.63000000
            CAD
            0.00000000
            CAD
            890000.00000000
            CAD
            21731.17000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAD1
        
          
        
        800000.00000000
        PA
        USD
        846080.00000000
        0.120204902069
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2024-06-27
          Fixed
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W02X6
        
          
        
        7609.17000000
        PA
        USD
        8335.63000000
        0.001184265776
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CZ1
        
          
        
        100000.00000000
        PA
        USD
        127219.00000000
        0.018074351641
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-25
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4627.42000000
        -0.00065743022
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            463646.67000000
            USD
            610984.31000000
            CAD
            2020-12-16
            -4627.42000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B9HA6
        
          
        
        277406.55000000
        PA
        USD
        48360.98000000
        0.006870776835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962GXZ2
        
          
        
        300000.00000000
        PA
        USD
        374988.00000000
        0.053275571834
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAJ3
        
          
        
        200000.00000000
        PA
        USD
        213618.00000000
        0.030349294121
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2048-04-24
          Fixed
          5.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AD6
        
          
        
        50000.00000000
        PA
        USD
        42875.00000000
        0.006091368636
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02739A SWAPTION EUR006M OCT20 NEG0.211 CALL
        000000000
        
          
        
        -3320000.00000000
        NC
        
        -13405.50000000
        -0.00190455608
        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
                    
                      
                    
                    3320000.00000000
                    OU
                    Notional Amount
                    N/A
                    -13405.50000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3320000.00000000
                  EUR
                
              
            
            1.00000000
            -0.21100000
            EUR
            2020-10-14
            XXXX
            4123.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02782A SWAPTION US0003M OCT20 0.703 PUT
        000000000
        
          
        
        -3970000.00000000
        NC
        USD
        -23101.43000000
        -0.00328208340
        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
                    
                      
                    
                    3970000.00000000
                    OU
                    Notional Amount
                    N/A
                    -23101.43000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3970000.00000000
                  USD
                
              
            
            1.00000000
            0.70300000
            USD
            2020-10-28
            XXXX
            -3449.93000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        6820.93000000
        0.000969068200
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8633379727.02000000
            IDR
            585869.96000000
            USD
            2020-11-05
            6820.93000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WN5M7
        
          
        
        78340.42000000
        PA
        USD
        85917.68000000
        0.012206560030
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CL2
        
          
        
        200000.00000000
        PA
        USD
        207278.00000000
        0.029448552963
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBB0
        
          
        
        50000.00000000
        PA
        USD
        54012.50000000
        0.007673703755
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-08-15
          Fixed
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A2K28
        
          
        
        284480.05000000
        PA
        USD
        50781.77000000
        0.007214705098
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        9687.95000000
        0.001376393580
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1774507688.82000000
            COP
            473246.22000000
            USD
            2020-10-05
            9687.95000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR211154  IRS CAD R F  2.75000 2 CCPVANILLA / Short: SR211154  IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        8010000.00000000
        OU
        Notional Amount
        
        474390.76000000
        0.067397994100
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-06-21
            0.00000000
            CAD
            -67439.39000000
            CAD
            8010000.00000000
            CAD
            526586.24000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376MCG0
        
          
        
        646173.47000000
        PA
        USD
        78023.12000000
        0.011084958276
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YRQ0
        
          
        
        380568.24000000
        PA
        USD
        58772.64000000
        0.008349989877
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA TREASURY BOND
        549300O0QCVSQGPGDT58
        Korea Treasury Bond
        000000000
        
          
        
        2598070000.00000000
        PA
        
        2306908.66000000
        0.327748829377
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2029-06-10
          Fixed
          1.88000000
          N
          N
          N
        
        
          N
          N
          N