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
