Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

November 27, 2020 1:11 PM

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000029317
        C000202044
        C000161295
        C000090152
        C000090150
        C000090151
        C000090154
        C000090153
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Strategic Income Fund
      S000029317
      MM4EWHH604XFXV8H1O93
      2021-03-31
      2020-09-30
      N
    
    
      1962566720.24
      875204851.82
      1087361868.42
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      417116585.95000000
      0.00000000
      0.00000000
      63107381.27000000
      
        
          CNY
          
          
        
        
          JPY
          
          
        
        
          INR
          
          
        
        
          PLN
          
          
        
        
          USD
          
          
        
        
          NZD
          
          
        
        
          COP
          
          
        
        
          IDR
          
          
        
        
          TWD
          
          
        
        
          EUR
          
          
        
        
          CAD
          
          
        
        
          SEK
          
          
        
        
          ZAR
          
          
        
        
          KRW
          
          
        
        
          GBP
          
          
        
        
          NOK
          
          
        
        
          MXN
          
          
        
        
          ARS
          
          
        
        
          CLP
          
          
        
        
          HUF
          
          
        
        
          DOP
          
          
        
        
          MYR
          
          
        
        
          TRY
          
          
        
        
          AUD
          
          
        
        
          CZK
          
          
        
        
          BRL
          
          
        
        
          RUB
          
          
        
        
          ILS
          
          
        
        
          CHF
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        6309.53000000
        0.000580260369
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1610462.92000000
            GBP
            2085444.80000000
            USD
            2020-12-16
            6309.53000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -61553.40000000
        -0.00566080177
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4080860.49000000
            AUD
            2861985.00000000
            USD
            2020-12-16
            -61553.40000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31395NEU7
        
          
        
        535083.58000000
        PA
        USD
        539728.11000000
        0.049636475737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-06-25
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6642.84000000
        0.000610913458
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            872211.26000000
            USD
            68574993.68000000
            RUB
            2020-11-17
            6642.84000000
          
        
        
          N
          N
          N
        
      
      
        Adient US LLC
        213800SOTRCDGZUHL712
        Adient US LLC
        00688JAA5
        
          
        
        980000.00000000
        PA
        USD
        1046150.00000000
        0.096209921497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        23798.82000000
        0.002188675241
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1064101.92000000
            USD
            80248288.61000000
            INR
            2020-10-28
            23798.82000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5565.09000000
        0.000511797421
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2175991.82000000
            USD
            160921123.06000000
            INR
            2020-10-28
            5565.09000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RCT7
        
          
        
        5750000.00000000
        PA
        USD
        6583520.00000000
        0.605458053220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-17
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -4176.97000000
        -0.00038413798
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            43311691.61000000
            NOK
            4640284.00000000
            USD
            2020-12-16
            -4176.97000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        3155.03000000
        0.000290154555
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3762123.42000000
            ILS
            1102679.94000000
            USD
            2020-12-16
            3155.03000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -6620.96000000
        -0.00060890124
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            110810284.00000000
            JPY
            1045215.37000000
            USD
            2020-12-16
            -6620.96000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        9572.36000000
        0.000880328828
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            846524.76000000
            GBP
            1102450.36000000
            USD
            2020-12-16
            9572.36000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        42924.42000000
        0.003947574514
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2774736.60000000
            CHF
            3062734.73000000
            USD
            2020-12-16
            42924.42000000
          
        
        
          N
          N
          N
        
      
      
        FORD MOTOR COMPANY
        20S05OYHG0MQM4VUIC57
        Ford Motor Co
        345370CV0
        
          
        
        1597000.00000000
        PA
        USD
        1740247.71000000
        0.160043106213
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-21
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        34381.97000000
        0.003161962084
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4490655.86000000
            USD
            476709839.00000000
            JPY
            2020-12-16
            34381.97000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -102384.97000000
        -0.00941590587
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            13389653.65000000
            USD
            11312612.71000000
            EUR
            2020-12-16
            -102384.97000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBS7
        
          
        
        300000.00000000
        PA
        USD
        354486.00000000
        0.032600554635
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRIVIUM PACKAGING FIN
        724500GMZWW3PVYET548
        Trivium Packaging Finance BV
        89686QAA4
        
          
        
        875000.00000000
        PA
        USD
        900156.25000000
        0.082783503463
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CNAC HK FINBRIDGE CO LTD
        549300US1UQ7R7WABI28
        CNAC HK Finbridge Co Ltd
        000000000
        
          
        
        210000.00000000
        PA
        USD
        222468.75000000
        0.020459495266
        Long
        DBT
        CORP
        HK
        
        N
        
        2
        
          2029-06-19
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        104766.15000000
        0.009634892765
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            16045168.65000000
            TRY
            2170465.83000000
            USD
            2020-10-23
            104766.15000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M6UY2
        
          
        
        22020.87000000
        PA
        USD
        25230.74000000
        0.002320362772
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -14086.82000000
        -0.00129550432
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4447259578.14000000
            COP
            1147679.89000000
            USD
            2020-10-05
            -14086.82000000
          
        
        
          N
          N
          N
        
      
      
        LPL HOLDINGS INC
        549300Z5YF8CCRMYUL26
        LPL Holdings Inc
        50212YAC8
        
          
        
        825000.00000000
        PA
        USD
        835312.50000000
        0.076820102328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1092.84000000
        -0.00010050380
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2042746.74000000
            USD
            215086932.00000000
            JPY
            2020-12-16
            -1092.84000000
          
        
        
          N
          N
          N
        
      
      
        S TEXAS ST HGR EDU AUTH
        N/A
        South Texas Higher Education Authority Inc
        840555DB9
        
          
        
        5594780.01000000
        PA
        USD
        5385169.34000000
        0.495250890839
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-12-03
          Floating
          0.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        15967.36000000
        0.001468449507
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            20210182335.04000000
            IDR
            1371483.60000000
            USD
            2020-11-05
            15967.36000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296YUA9
        
          
        
        521.70000000
        PA
        USD
        600.87000000
        0.000055259432
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296JQB5
        
          
        
        1326.81000000
        PA
        USD
        1520.22000000
        0.000139808102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379TTV1
        
          
        
        10833169.07000000
        PA
        USD
        1942987.37000000
        0.178688201824
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Floating
          5.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mauser Packaging Solut
        549300DNGHXL0OMHW304
        Mauser Packaging Solutions Holding Co
        12429TAE4
        
          
        
        2010000.00000000
        PA
        USD
        1891912.50000000
        0.173991065435
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214855  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214855  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        109070000.00000000
        OU
        Notional Amount
        
        453331.40000000
        0.041690941458
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-12-16
            723909.85000000
            EUR
            0.00000000
            EUR
            109070000.00000000
            EUR
            -253495.25000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137A7YL8
        
          
        
        424550.73000000
        PA
        USD
        427668.97000000
        0.039330878010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-03-15
          Floating
          0.52000000
          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
        
          
        
        18695000.00000000
        OU
        Notional Amount
        
        53716.73000000
        0.004940096904
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-01-02
            140358.59000000
            BRL
            0.00000000
            BRL
            18695000.00000000
            BRL
            141951.81000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        14407.66000000
        0.001325010598
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1144578.45000000
            USD
            4447259578.14000000
            COP
            2020-11-20
            14407.66000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4283.59000000
        -0.00039394337
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2207809.31000000
            USD
            15029374.86000000
            CNY
            2020-12-16
            -4283.59000000
          
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAY7
        
          
        
        350000.00000000
        PA
        USD
        446670.00000000
        0.041078321115
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banff Merger Sub Inc
        549300DSDR5SWIGOZV63
        Banff Merger Sub Inc
        05988LAA6
        
          
        
        485000.00000000
        PA
        USD
        512887.50000000
        0.047168060136
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-01
          Fixed
          9.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380TZK5
        
          
        
        2536737.13000000
        PA
        USD
        389745.56000000
        0.035843224902
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-07-20
          Floating
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        19196.06000000
        0.001765379176
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            84416315.19000000
            RUB
            1101071.84000000
            USD
            2020-11-17
            19196.06000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHZ5
        
          
        
        3750000.00000000
        PA
        USD
        3920250.00000000
        0.360528552072
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-13
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        POST HOLDINGS INC
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AP9
        
          
        
        775000.00000000
        PA
        USD
        829250.00000000
        0.076262560246
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZH9
        
          
        
        542000.00000000
        PA
        USD
        542646.61000000
        0.049904877645
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-10-12
          Fixed
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERRY GLOBAL INC
        549300AP2Q7ERHX6RI89
        Berry Global Inc
        08576PAA9
        
          
        
        1495000.00000000
        PA
        USD
        1508081.25000000
        0.138691754217
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EGNK6
        
          
        
        18279.16000000
        PA
        USD
        20463.33000000
        0.001881924554
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKG6
        
          
        
        1025000.00000000
        PA
        USD
        1025522.75000000
        0.094312921924
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138APZN1
        
          
        
        25715.66000000
        PA
        USD
        28780.37000000
        0.002646806995
        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 GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1136.99000000
        0.000104564086
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1157259.97000000
            USD
            897274.64000000
            GBP
            2020-12-16
            1136.99000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9109.57000000
        0.000837768020
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1091774.41000000
            USD
            1664214.15000000
            NZD
            2020-12-16
            9109.57000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        50466.20000000
        0.004641159623
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2141087.51000000
            USD
            161658530.27000000
            INR
            2020-10-28
            50466.20000000
          
        
        
          N
          N
          N
        
      
      
        NAVISTAR INTL CORP
        WNDD3CRVXJGC8I7GX671
        Navistar International Corp
        63934EAT5
        
          
        
        460000.00000000
        PA
        USD
        472650.00000000
        0.043467590112
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CASTLE US HOLDING CORP
        N/A
        Castle US Holding Corp
        14852LAA1
        
          
        
        1085000.00000000
        PA
        USD
        1030750.00000000
        0.094793649652
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MATTEL INC
        549300VELLG24KHTJ564
        Mattel Inc
        577081BD3
        
          
        
        1310000.00000000
        PA
        USD
        1408250.00000000
        0.129510703005
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -1354.75000000
        -0.00012459053
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            107817749.00000000
            JPY
            1022075.76000000
            USD
            2020-12-16
            -1354.75000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396W3K0
        
          
        
        217042.08000000
        PA
        USD
        219265.16000000
        0.020164874856
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-25
          Floating
          0.60000000
          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
        
          
        
        20420000.00000000
        OU
        Notional Amount
        USD
        396258.27000000
        0.036442170864
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2045-04-09
            735.12000000
            USD
            0.00000000
            USD
            20420000.00000000
            USD
            395523.15000000
          
        
        
          N
          N
          N
        
      
      
        Getty Images, Inc.
        N/A
        Getty Images, Inc. 2019 USD Term Loan B
        37427UAJ9
        
          
        
        923326.92000000
        PA
        USD
        858694.04000000
        0.078970402120
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-02-19
          Floating
          4.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACRISURE LLC / FIN INC
        N/A
        Acrisure LLC / Acrisure Finance Inc
        00489LAC7
        
          
        
        440000.00000000
        PA
        USD
        458700.00000000
        0.042184668537
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLUESTAR FIN HOLDINGS
        300300294ZKDSAV43I87
        Bluestar Finance Holdings Ltd
        000000000
        
          
        
        3700000.00000000
        PA
        USD
        3737000.00000000
        0.343675836769
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2023-06-24
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -913.36000000
        -0.00008399779
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1100000.00000000
            USD
            7496434.00000000
            CNY
            2020-12-16
            -913.36000000
          
        
        
          N
          N
          N
        
      
      
        TELECOM ITALIA CAPITAL
        549300777DJZOR5C4L39
        Telecom Italia Capital SA
        87927VAR9
        
          
        
        950000.00000000
        PA
        USD
        1199375.00000000
        0.110301366530
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2036-07-18
          Fixed
          7.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Orix Credit Alliance Owner Trust
        N/A
        Orec 2018-CRE1 Ltd
        685785AA5
        
          
        
        3947000.00000000
        PA
        USD
        3889169.74000000
        0.357670234073
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-06-15
          Floating
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CG9
        
          
        
        5310000.00000000
        PA
        USD
        5874187.50000000
        0.540223790313
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-02-11
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02695A SWAPTION EUR006M DEC20 NEG0.15 CALL
        000000000
        
          
        
        -7630000.00000000
        NC
        
        -97963.57000000
        -0.00900928870
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    7630000.00000000
                    OU
                    Notional Amount
                    N/A
                    -97963.57000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7630000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-12-01
            XXXX
            -19348.28000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        12241.70000000
        0.001125816561
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1451587.33000000
            EUR
            1715561.39000000
            USD
            2020-11-09
            12241.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XEJD1
        
          
        
        30751.80000000
        PA
        USD
        34503.19000000
        0.003173110167
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APACHE CORP
        72ZZ1XRHOOU9P9X16K08
        Apache Corp
        037411BH7
        
          
        
        555000.00000000
        PA
        USD
        527250.00000000
        0.048488917563
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31283HZY4
        
          
        
        527.64000000
        PA
        USD
        604.55000000
        0.000055597866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corporation
        N/A
        Banc of America Funding 2006-H Trust
        05950PAU7
        
          
        
        8443691.17000000
        PA
        USD
        7352213.21000000
        0.676151465627
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-20
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        48979.29000000
        0.004504414898
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            78017934.36000000
            RUB
            1048853.71000000
            USD
            2020-11-17
            48979.29000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        35574.59000000
        0.003271642222
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1633502083.00000000
            CLP
            2117992.98000000
            USD
            2020-12-17
            35574.59000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -18655.52000000
        -0.00171566803
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1101394.36000000
            USD
            1511355.61000000
            AUD
            2020-12-16
            -18655.52000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KY6
        
          
        
        6250000.00000000
        PA
        USD
        6891375.00000000
        0.633770155101
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-21
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16039.86000000
        -0.00147511702
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            439115.87000000
            USD
            3286211.44000000
            TRY
            2020-10-23
            -16039.86000000
          
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        5493006T10144GM16690
        OCP CLO 2015-8 Ltd
        67091RAM1
        
          
        
        850000.00000000
        PA
        USD
        846978.25000000
        0.077892951242
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2027-04-17
          Floating
          1.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCER INTL INC
        549300Z5IAG39VRTY874
        Mercer International Inc
        588056AY7
        
          
        
        1000000.00000000
        PA
        USD
        1012500.00000000
        0.093115275549
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2025-01-15
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CZK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25665.77000000
        -0.00236037061
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1101808.07000000
            USD
            24814535.72000000
            CZK
            2020-12-16
            -25665.77000000
          
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AE1
        
          
        
        577000.00000000
        PA
        USD
        602243.75000000
        0.055385770596
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Acadia Healthcare Co Inc
        5493005CW985Y9D0NC11
        Acadia Healthcare Co Inc
        00404AAM1
        
          
        
        535000.00000000
        PA
        USD
        549712.50000000
        0.050554697195
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31396KXS6
        
          
        
        617422.15000000
        PA
        USD
        622722.53000000
        0.057269116021
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-25
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        4549.84000000
        PA
        USD
        5213.07000000
        0.000479423653
        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 ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -11840.69000000
        -0.00108893739
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            18694040.60000000
            ZAR
            1093792.51000000
            USD
            2020-12-17
            -11840.69000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29273RAS8
        
          
        
        6075000.00000000
        PA
        USD
        6255184.50000000
        0.575262447734
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12343.33000000
        -0.00113516303
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1049695.19000000
            USD
            953165.22000000
            CHF
            2020-12-16
            -12343.33000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBF2
        
          
        
        3950000.00000000
        PA
        USD
        4154689.00000000
        0.382088899810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296XES0
        
          
        
        3996.26000000
        PA
        USD
        4602.51000000
        0.000423273073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust 2016-UBS10
        06054MAW3
        
          
        
        1100000.00000000
        PA
        USD
        854402.71000000
        0.078575746935
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468P7
        
          
        
        1975000.00000000
        PA
        USD
        2264752.25000000
        0.208279535615
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GQY6
        
          
        
        6474116.04000000
        PA
        USD
        1144107.08000000
        0.105218613345
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-09-20
          Floating
          5.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHENIERE ENERGY PARTNERS
        5493005UEC8AZ34LDV29
        Cheniere Energy Partners LP
        16411QAG6
        
          
        
        2000000.00000000
        PA
        USD
        2047500.00000000
        0.188299779444
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4332.20000000
        -0.00039841382
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2192107.86000000
            USD
            63109908.45000000
            TWD
            2020-10-26
            -4332.20000000
          
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BX0
        
          
        
        350000.00000000
        PA
        USD
        351277.50000000
        0.032305482673
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-09-17
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        27352.99000000
        0.002515536988
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2976534.89000000
            CAD
            2263559.06000000
            USD
            2020-12-16
            27352.99000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -22078.22000000
        -0.00203043905
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            107241050.12000000
            TWD
            3702966.25000000
            USD
            2020-11-09
            -22078.22000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9439.65000000
        0.000868124060
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2701312.44000000
            USD
            3784638.80000000
            AUD
            2020-10-01
            9439.65000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -9915.67000000
        -0.00091190157
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            933638.59000000
            EUR
            9722436.12000000
            SEK
            2020-12-16
            -9915.67000000
          
        
        
          N
          N
          N
        
      
      
        PTC Inc
        54930050SSMU8SKDJ030
        PTC Inc
        69370CAB6
        
          
        
        672000.00000000
        PA
        USD
        682080.00000000
        0.062727967552
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCP CLO Ltd
        254900NXH68CRC058O44
        OCP CLO 2014-5 Ltd
        67102SAQ7
        
          
        
        2200000.00000000
        PA
        USD
        2091740.20000000
        0.192368360593
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-26
          Floating
          2.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        17179.61000000
        0.001579934932
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8410961.76000000
            PLN
            2193633.65000000
            USD
            2020-12-16
            17179.61000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -26646.01000000
        -0.00245051907
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            155256503.52000000
            RUB
            1963114.51000000
            USD
            2020-11-17
            -26646.01000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296XPM1
        
          
        
        11837.14000000
        PA
        USD
        13633.36000000
        0.001253801553
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NABORS INDUSTRIES LTD
        N/A
        Nabors Industries Ltd
        629571AA8
        
          
        
        520000.00000000
        PA
        USD
        258700.00000000
        0.023791527688
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-01-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4492.72000000
        0.000413176158
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1094296.76000000
            USD
            862225963.00000000
            CLP
            2020-11-16
            4492.72000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10824.47000000
        -0.00099548000
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1065318.17000000
            USD
            1403599.30000000
            CAD
            2020-12-16
            -10824.47000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXB90
        
          
        
        4457.43000000
        PA
        USD
        5107.19000000
        0.000469686325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-01-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -6848.40000000
        -0.00062981792
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            821797.15000000
            GBP
            897452.39000000
            EUR
            2020-12-16
            -6848.40000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        241153.20000000
        0.022177823869
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            101091389.21000000
            SEK
            11540305.26000000
            USD
            2020-12-16
            241153.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -33780.67000000
        -0.00310666310
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4377549.57000000
            NZD
            2861985.00000000
            USD
            2020-12-16
            -33780.67000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296TXJ8
        
          
        
        1463.99000000
        PA
        USD
        1677.39000000
        0.000154262352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WVB1
        
          
        
        2147512.60000000
        PA
        USD
        331361.62000000
        0.030473904743
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02334A SWAPTION MAY21 0.448 PUT
        000000000
        
          
        
        -32000000.00000000
        NC
        USD
        -168640.00000000
        -0.01550909636
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    32000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -168640.00000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  32000000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            167200.00000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        59231.80000000
        0.005447294200
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            81038209.12000000
            RUB
            1097813.93000000
            USD
            2020-11-17
            59231.80000000
          
        
        
          N
          N
          N
        
      
      
        CHS/COMMUNITY HEALTH SYS
        5493007X5NC5XI1BB106
        CHS/Community Health Systems Inc
        12543DAY6
        
          
        
        470000.00000000
        PA
        USD
        459425.00000000
        0.042251343673
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-31
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRIFFON CORPORATION
        5493000C2SGNC7ZN3242
        Griffon Corp
        398433AP7
        
          
        
        527000.00000000
        PA
        USD
        549397.50000000
        0.050525727998
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647AZ0
        
          
        
        1685000.00000000
        PA
        USD
        1674468.75000000
        0.153993697832
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11199.42000000
        -0.00102996254
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2677206.47000000
            USD
            2271999.84000000
            EUR
            2020-11-09
            -11199.42000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -12594.60000000
        -0.00115827125
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1688556.56000000
            NZD
            1104391.98000000
            USD
            2020-12-16
            -12594.60000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412PG70
        
          
        
        7045.25000000
        PA
        USD
        7913.22000000
        0.000727744850
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDY7
        
          
        
        6300000.00000000
        PA
        USD
        7439859.00000000
        0.684211872429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-16
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLARIOS GLOBAL LP/US FIN
        N/A
        Clarios Global LP / Clarios US Finance Co
        69867DAC2
        
          
        
        1570000.00000000
        PA
        USD
        1628875.00000000
        0.149800636504
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2027-05-15
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STERICYCLE INC
        B8PTJH2P0AXSWSMP2136
        Stericycle Inc
        858912AF5
        
          
        
        1000000.00000000
        PA
        USD
        1038750.00000000
        0.095529375286
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -94953.01000000
        -0.00873242043
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1066201.77000000
            USD
            7544102.54000000
            TRY
            2020-10-23
            -94953.01000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9562.86000000
        -0.00087945515
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            849182.99000000
            USD
            1269259.73000000
            NZD
            2020-12-16
            -9562.86000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        15389.24000000
        0.001415282294
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            897555.64000000
            EUR
            828506.68000000
            GBP
            2020-12-16
            15389.24000000
          
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452151LF8
        
          
        
        4280000.00000000
        PA
        USD
        4325325.20000000
        0.397781578112
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31398FHA2
        
          
        
        72030.24000000
        PA
        USD
        73690.98000000
        0.006777042872
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-10-25
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PED6
        
          
        
        700000.00000000
        PA
        USD
        685781.25000000
        0.063068355615
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2030-01-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        13064.10000000
        0.001201449156
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            14967587.59000000
            ZAR
            898301.39000000
            USD
            2020-12-17
            13064.10000000
          
        
        
          N
          N
          N
        
      
      
        Nomura Asset Acceptance Corporation
        N/A
        Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR4
        65538DAE5
        
          
        
        1123623.24000000
        PA
        USD
        1036925.03000000
        0.095361540634
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-25
          Floating
          0.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME SECSRVC BRW/FINANC
        N/A
        Prime Security Services Borrower LLC / Prime Finance Inc
        74166MAE6
        
          
        
        1210000.00000000
        PA
        USD
        1234200.00000000
        0.113504072180
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2652.05000000
        0.000243897645
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1559248.18000000
            USD
            1225631443.00000000
            CLP
            2020-11-16
            2652.05000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378UYN1
        
          
        
        180445.02000000
        PA
        USD
        35018.26000000
        0.003220478942
        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 CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4513.57000000
        -0.00041509364
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1101309.81000000
            USD
            7480812.08000000
            CNY
            2020-12-16
            -4513.57000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -162808.97000000
        -0.01497284158
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10296708.45000000
            USD
            14145540.19000000
            AUD
            2020-12-16
            -162808.97000000
          
        
        
          N
          N
          N
        
      
      
        CHANGE HEALTH / FIN INC
        N/A
        Change Healthcare Holdings LLC / Change Healthcare Finance Inc
        15911NAA3
        
          
        
        2902000.00000000
        PA
        USD
        2923765.00000000
        0.268886107276
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378W2X0
        
          
        
        64091.24000000
        PA
        USD
        12611.32000000
        0.001159808925
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-09-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        48608.67000000
        0.004470330569
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2994219.54000000
            CHF
            3307287.36000000
            USD
            2020-12-16
            48608.67000000
          
        
        
          N
          N
          N
        
      
      
        IndyMac INDX Mortgage Loan Trust
        N/A
        IndyMac INDX Mortgage Loan Trust 2005-AR10
        45660LKW8
        
          
        
        2698012.30000000
        PA
        USD
        2343224.49000000
        0.215496290430
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-06-25
          Floating
          0.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -5643.32000000
        -0.00051899189
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7455310.18000000
            CNY
            1087413.97000000
            USD
            2020-12-16
            -5643.32000000
          
        
        
          N
          N
          N
        
      
      
        CENTURYLINK INC
        8M3THTGWLTYZVE6BBY25
        CenturyLink Inc
        156700BB1
        
          
        
        465000.00000000
        PA
        USD
        474881.25000000
        0.043672788589
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGIZER HOLDINGS INC
        5493000D6NN0V57UME20
        Energizer Holdings Inc
        29272WAC3
        
          
        
        230000.00000000
        PA
        USD
        238050.00000000
        0.021892435895
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BW2
        
          
        
        1350000.00000000
        PA
        USD
        1397844.00000000
        0.128553707886
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AU5
        
          
        
        1000000.00000000
        PA
        USD
        1174740.00000000
        0.108035791406
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2020-C55
        95002EAA5
        
          
        
        800000.00000000
        PA
        USD
        641055.92000000
        0.058955159144
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-02-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AG1
        
          
        
        560000.00000000
        PA
        USD
        604968.00000000
        0.055636308166
        Long
        DBT
        
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5834.87000000
        -0.00053660792
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1258641.67000000
            USD
            970402.90000000
            GBP
            2020-12-16
            -5834.87000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        159.08000000
        0.000014629904
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1101615.46000000
            USD
            81271680.56000000
            INR
            2020-10-28
            159.08000000
          
        
        
          N
          N
          N
        
      
      
        ALCOA NEDERLAND HOLDING
        5493000UL1QLQLT1VQ42
        Alcoa Nederland Holding BV
        013822AE1
        
          
        
        1120000.00000000
        PA
        USD
        1164800.00000000
        0.107121652306
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        14930.97000000
        0.001373137171
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2174790.60000000
            USD
            14935222.21000000
            CNY
            2020-12-16
            14930.97000000
          
        
        
          N
          N
          N
        
      
      
        Buckeye Partners LP
        549300C1PQJLVEIUBK50
        Buckeye Partners LP
        118230AQ4
        
          
        
        1962000.00000000
        PA
        USD
        1829565.00000000
        0.168257233689
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nabors Industries Inc
        549300VFQWRKICUFNU92
        Nabors Industries Inc
        629568AX4
        
          
        
        62000.00000000
        PA
        USD
        47740.00000000
        0.004390442720
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-09-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379M2L7
        
          
        
        2819069.58000000
        PA
        USD
        460206.63000000
        0.042323226826
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Floating
          5.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CCO HLDGS LLC/CAP CORP
        N/A
        CCO Holdings LLC / CCO Holdings Capital Corp
        1248EPCK7
        
          
        
        2395000.00000000
        PA
        USD
        2466850.00000000
        0.226865597520
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -17597.32000000
        -0.00161834992
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            437380.21000000
            USD
            1606934891.54000000
            COP
            2020-10-05
            -17597.32000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS6 Trust
        74922EAN9
        
          
        
        566516.33000000
        PA
        USD
        538312.09000000
        0.049506250461
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sotera Health Holdings, LLC
        549300OVT7MBXFLOFU20
        Sotera Health Holdings, LLC 2019 Term Loan
        83600VAD3
        
          
        
        1974809.16000000
        PA
        USD
        1964935.11000000
        0.180706641189
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-12-11
          Floating
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -46374.81000000
        -0.00426489206
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2643289.80000000
            USD
            3456661.79000000
            CAD
            2020-12-16
            -46374.81000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02686A SWAPTION EUR006M NOV20 0.10 PUT
        000000000
        
          
        
        -24400000.00000000
        NC
        
        -17178.97000000
        -0.00157987607
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                  
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                    IRS Swap
                    N/A
                    
                      
                    
                    24400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -17178.97000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-12-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  24400000.00000000
                  EUR
                
              
            
            1.00000000
            0.10000000
            EUR
            2020-11-30
            XXXX
            61208.35000000
          
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AG6
        
          
        
        110000.00000000
        PA
        USD
        113850.00000000
        0.010470295428
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -195810.64000000
        -0.01800786340
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6263139.17000000
            USD
            56580572.92000000
            NOK
            2020-12-16
            -195810.64000000
          
        
        
          N
          N
          N
        
      
      
        Kraft Heinz Foods Co
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAB2
        
          
        
        734000.00000000
        PA
        USD
        750105.43000000
        0.068983974129
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sprint Capital Corp
        549300L17W0GQBR1PO80
        Sprint Capital Corp
        852060AT9
        
          
        
        1610000.00000000
        PA
        USD
        2366700.00000000
        0.217655232240
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAK9
        
          
        
        5625000.00000000
        PA
        USD
        6615562.50000000
        0.608404864299
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        164321.31000000
        0.015111924996
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12381459.39000000
            AUD
            9034429.00000000
            USD
            2020-12-16
            164321.31000000
          
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAE8
        
          
        
        3750000.00000000
        PA
        USD
        3726825.00000000
        0.342740085728
        Long
        DBT
        
        US
        N
        
        2
        
          2027-01-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005907  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005907  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        3250000.00000000
        OU
        Notional Amount
        USD
        36660.65000000
        0.003371522495
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Saudi Government International Bond
                Saudi Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            36673.20000000
            USD
            0.00000000
            USD
            3250000.00000000
            USD
            -12.55000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NAY5
        
          
        
        200000.00000000
        PA
        USD
        221460.00000000
        0.020366724862
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-27
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        21570.47000000
        0.001983743464
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1512914.24000000
            AUD
            1105425.92000000
            USD
            2020-12-16
            21570.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6773.94000000
        -0.00062297016
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            682203.07000000
            USD
            575607.96000000
            EUR
            2020-11-09
            -6773.94000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        Long: CS005516  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005516  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        2500000.00000000
        OU
        Notional Amount
        USD
        -16383.00000000
        -0.00150667413
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Barclays Capital Securities Limited
              K9WDOH4D2PYBSLSOB484
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            594.74000000
            USD
            0.00000000
            USD
            2500000.00000000
            USD
            -16977.74000000
          
        
        
          N
          N
          N
        
      
      
        RAYMOND JAMES FINANCIAL
        RGUZHJ05YTITL6D76949
        Raymond James Financial Inc
        754730AG4
        
          
        
        400000.00000000
        PA
        USD
        486632.00000000
        0.044753454588
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN AXLE & MFG INC
        RY5TAKFOBLDUGX31MS24
        American Axle & Manufacturing Inc
        02406PAR1
        
          
        
        550000.00000000
        PA
        USD
        543125.00000000
        0.049948873118
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -186820.40000000
        -0.01718106965
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            21378595.53000000
            USD
            18042409.65000000
            EUR
            2020-12-16
            -186820.40000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        4751.33000000
        0.000436959409
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            854768571.00000000
            CLP
            1094425.97000000
            USD
            2020-12-17
            4751.33000000
          
        
        
          N
          N
          N
        
      
      
        GLOBAL PART/GLP FINANCE
        N/A
        Global Partners LP / GLP Finance Corp
        37954FAG9
        
          
        
        445000.00000000
        PA
        USD
        452787.50000000
        0.041640921311
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACRISURE LLC / FIN INC
        N/A
        Acrisure LLC / Acrisure Finance Inc
        00489LAA1
        
          
        
        2555000.00000000
        PA
        USD
        2503900.00000000
        0.230272926862
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002944  CDS USD R F  1.00000 2 CCPCDX / Short: SX002944  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        53700000.00000000
        OU
        Notional Amount
        USD
        374525.28000000
        0.034443481133
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S34.V1
                2I65BYDW2
              
            
            Y
            
            sell protection
            2025-06-20
            831386.98000000
            USD
            0.00000000
            USD
            53700000.00000000
            USD
            -456861.70000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0426A2
        
          
        
        48000000.00000000
        PA
        USD
        51430300.80000000
        4.729823832679
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          4.50000000
          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
        
          
        
        71380000.00000000
        OU
        Notional Amount
        
        644345.83000000
        0.059257718034
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            360791.01000000
            CHF
            0.00000000
            CHF
            71380000.00000000
            CHF
            251305.88000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        Long: CS005490  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005490  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        470000.00000000
        OU
        Notional Amount
        USD
        -3080.00000000
        -0.00028325436
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Barclays Capital Securities Limited
              K9WDOH4D2PYBSLSOB484
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            633.05000000
            USD
            0.00000000
            USD
            470000.00000000
            USD
            -3713.05000000
          
        
        
          N
          N
          N
        
      
      
        Lehman XS Trust
        N/A
        Lehman XS Trust 2007-5H
        525248AY6
        
          
        
        3467413.86000000
        PA
        USD
        3199327.98000000
        0.294228450796
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-05-25
          Variable
          2.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIELSEN CO LUX SARL/THE
        549300MFMRJBOPHHM352
        Nielsen Co Luxembourg SARL/The
        65410CAC4
        
          
        
        1485000.00000000
        PA
        USD
        1503562.50000000
        0.138276184191
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6331.51000000
        0.000582281776
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2525688.48000000
            USD
            1960773.85000000
            GBP
            2021-01-13
            6331.51000000
          
        
        
          N
          N
          N
        
      
      
        AMC Entertainment Holdings, Inc.
        549300ZO77UNR6NRBR11
        AMC Entertainment Holdings, Inc. 2019 Term Loan B
        00164DAQ6
        
          
        
        2400000.00000000
        PA
        USD
        1532256.00000000
        0.140915002125
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-04-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -19044.75000000
        -0.00175146384
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1093982.11000000
            USD
            1500465.80000000
            AUD
            2020-12-16
            -19044.75000000
          
        
        
          N
          N
          N
        
      
      
        TALEN ENERGY SUPPLY LLC
        K5K33XN0PQAU1XF7NN66
        Talen Energy Supply LLC
        87422VAG3
        
          
        
        1125000.00000000
        PA
        USD
        1082812.50000000
        0.099581614129
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214877  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214877  IRS USD P F  1.25000 2 CCPVANILLA
        000000000
        
          
        
        4330000.00000000
        OU
        Notional Amount
        USD
        -136171.14000000
        -0.01252307478
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-12-16
            0.00000000
            USD
            -201801.00000000
            USD
            4330000.00000000
            USD
            65629.86000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296UCR0
        
          
        
        522.57000000
        PA
        USD
        601.85000000
        0.000055349559
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Adjustable Rate Mortgages Trust
        N/A
        MASTR Adjustable Rate Mortgages Trust 2007-3
        57645NAC4
        
          
        
        957846.54000000
        PA
        USD
        1028635.33000000
        0.094599172536
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-05-25
          Floating
          0.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        23282.51000000
        0.002141192428
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2273693.79000000
            USD
            66128110.12000000
            TWD
            2020-11-09
            23282.51000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        -28354.03000000
        -0.00260759833
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            21738000.00000000
            PLN
            5595457.53000000
            USD
            2020-10-07
            -28354.03000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AP3
        
          
        
        2450000.00000000
        PA
        USD
        2829505.00000000
        0.260217419993
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2031-04-01
          Fixed
          4.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        9265.07000000
        0.000852068687
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9354672.58000000
            SEK
            898087.94000000
            EUR
            2020-12-16
            9265.07000000
          
        
        
          N
          N
          N
        
      
      
        CUMULUS MEDIA NEW HLDGS
        5493001D9VBAVY1OKJ46
        Cumulus Media New Holdings Inc
        23110AAA4
        
          
        
        1415000.00000000
        PA
        USD
        1308875.00000000
        0.120371611145
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CF4
        
          
        
        800000.00000000
        PA
        USD
        964048.00000000
        0.088659353247
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-03-31
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        31398E3D4
        
          
        
        143449.19000000
        PA
        USD
        146027.29000000
        0.013429502564
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-06-15
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AB7
        
          
        
        2325000.00000000
        PA
        USD
        2346924.75000000
        0.215836587447
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2025-09-17
          Fixed
          3.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5102.58000000
        -0.00046926236
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1064635.24000000
            USD
            902072.72000000
            EUR
            2020-12-16
            -5102.58000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -17515.32000000
        -0.00161080873
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1514585.26000000
            AUD
            1067537.25000000
            USD
            2020-12-16
            -17515.32000000
          
        
        
          N
          N
          N
        
      
      
        TICP CLO Ltd
        N/A
        TICP CLO VII Ltd
        87248TAN5
        
          
        
        2300000.00000000
        PA
        USD
        2269039.70000000
        0.208673833973
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Asurion LLC
        549300KNQVXGIOXWK278
        Asurion LLC 2017 Term Loan B4
        04649VAT7
        
          
        
        2681227.51000000
        PA
        USD
        2647149.11000000
        0.243446932146
        Long
        LON
        CORP
        US
        N
        
        2
        
          2022-08-04
          Floating
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Access High Yield Corporate Bond ETF
        549300MBOA0YMWNF0550
        Goldman Sachs Access High Yield Corporate Bond ETF
        381430453
        
          
        
        439970.00000000
        NS
        USD
        21292260.16000000
        1.958157700613
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        LABL ESCROW ISSUER LLC
        N/A
        LABL Escrow Issuer LLC
        50168AAA8
        
          
        
        465000.00000000
        PA
        USD
        492900.00000000
        0.045329895623
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382FW34
        
          
        
        15441295.06000000
        PA
        USD
        2458274.25000000
        0.226076922632
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-06-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -6839.40000000
        -0.00062899023
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            936407.67000000
            EUR
            115149114.00000000
            JPY
            2020-12-16
            -6839.40000000
          
        
        
          N
          N
          N
        
      
      
        SASOL FINANCING INT
        N/A
        Sasol Financing International Ltd
        803865AA2
        
          
        
        4008000.00000000
        PA
        USD
        3877740.00000000
        0.356619089984
        Long
        DBT
        CORP
        IM
        
        N
        
        2
        
          2022-11-14
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        6000000.00000000
        PA
        USD
        6204971.40000000
        0.570644564630
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -14779.54000000
        -0.00135921080
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1324314.79000000
            USD
            1116000.00000000
            EUR
            2020-11-09
            -14779.54000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FW6P0
        
          
        
        4050189.91000000
        PA
        USD
        547684.91000000
        0.050368228453
        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 REMICS
        3137FUUT9
        
          
        
        19076691.01000000
        PA
        USD
        2400994.24000000
        0.220809126173
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QO7 Trust
        751150AA1
        
          
        
        3063786.55000000
        PA
        USD
        2729799.50000000
        0.251047933469
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-09-25
          Floating
          1.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        5493008RJIODIVVGSK16
        OZLM XV Ltd
        67111DAS5
        
          
        
        1500000.00000000
        PA
        USD
        1477681.50000000
        0.135896019799
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-20
          Floating
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -19875.57000000
        -0.00182787079
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1094707.76000000
            USD
            1500319.00000000
            AUD
            2020-12-16
            -19875.57000000
          
        
        
          N
          N
          N
        
      
      
        CENOVUS ENERGY INC
        549300EIRQ0Z2B9C1W06
        Cenovus Energy Inc
        15135UAS8
        
          
        
        1890000.00000000
        PA
        USD
        1824832.80000000
        0.167822033584
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-07-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TITAN ACQ/CO-BORROWER
        N/A
        Titan Acquisition Ltd / Titan Co-Borrower LLC
        88827AAA1
        
          
        
        1120000.00000000
        PA
        USD
        1114400.00000000
        0.102486580812
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2026-04-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tronox Finance PLC
        N/A
        Tronox Finance PLC
        89705PAA3
        
          
        
        470000.00000000
        PA
        USD
        461187.50000000
        0.042413433227
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-10-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02746A SWAPTION US0003M MAR21 0.90 CALL
        000000000
        
          
        
        -92000000.00000000
        NC
        USD
        -605461.20000000
        -0.05568166565
        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
                    
                      
                    
                    92000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -605461.20000000
                    -0.06000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  92000000.00000000
                  USD
                
              
            
            1.00000000
            0.90000000
            USD
            2021-03-17
            XXXX
            130538.80000000
          
        
        
          N
          N
          N
        
      
      
        Altice Financing SA
        549300DIYGW8HVDF7Q17
        Altice Financing SA
        02154CAE3
        
          
        
        1535000.00000000
        PA
        USD
        1623262.50000000
        0.149284478989
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2026-05-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        24018.16000000
        0.002208846999
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            846777312.00000000
            CLP
            1103120.44000000
            USD
            2020-11-16
            24018.16000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets Inc.
        MBNUM2BPBDO7JBLYG310
        Long: CX002999  CDS USD R F  3.00000 2 CMBX / Short: CX002999  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        2250000.00000000
        OU
        Notional Amount
        USD
        -631406.25000000
        -0.05806772044
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets Inc.
              MBNUM2BPBDO7JBLYG310
            
            
              
                Markit CMBX.NA.BBB-.8
                137BERAH0
              
            
            Y
            
            sell protection
            2057-10-17
            0.00000000
            USD
            -622131.25000000
            USD
            2250000.00000000
            USD
            -9275.00000000
          
        
        
          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
        
          
        
        6300000.00000000
        OU
        Notional Amount
        
        331378.44000000
        0.030475451606
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-06-17
            276400.90000000
            CAD
            0.00000000
            CAD
            6300000.00000000
            CAD
            149978.14000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2020-GC46
        17328RAG4
        
          
        
        1500000.00000000
        PA
        USD
        1152149.73000000
        0.105958261316
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-02-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378VAL9
        
          
        
        7395926.65000000
        PA
        USD
        1476998.35000000
        0.135833193428
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-07-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDS0
        
          
        
        525000.00000000
        PA
        USD
        751017.75000000
        0.069067876280
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          5.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02706A SWAPTION EUR006M DEC20 NEG0.20 CALL
        000000000
        
          
        
        -15880000.00000000
        NC
        
        -145881.55000000
        -0.01341609948
        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
                    
                      
                    
                    15880000.00000000
                    OU
                    Notional Amount
                    N/A
                    -145881.55000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  15880000.00000000
                  EUR
                
              
            
            1.00000000
            -0.20000000
            EUR
            2020-12-03
            XXXX
            14164.17000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02767A SWAPTION US0003M OCT20 0.7 PUT
        000000000
        
          
        
        -30590000.00000000
        NC
        USD
        -174488.42000000
        -0.01604695042
        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
                    
                      
                    
                    30590000.00000000
                    OU
                    Notional Amount
                    N/A
                    -174488.42000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-28
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  30590000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-26
            XXXX
            -16949.92000000
          
        
        
          N
          N
          N
        
      
      
        Sunac China Holdings Ltd
        549300OLARYHDXP3WK18
        Sunac China Holdings Ltd
        000000000
        
          
        
        240000.00000000
        PA
        USD
        244425.00000000
        0.022478717260
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2023-04-19
          Fixed
          8.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Travelport Finance (Luxembourg) S.a.r.l.
        N/A
        Travelport Finance (Luxembourg) S.a.r.l. 2020 Stub Term Loan
        000000000
        
          
        
        2136419.87000000
        PA
        USD
        1318171.06000000
        0.121226529850
        Long
        LON
        CORP
        LU
        
        N
        
        2
        
          2027-09-23
          Floating
          5.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Flex Acquisition Co Inc
        549300HHED2KGPBEDW39
        Flex Acquisition Co Inc
        33936YAC9
        
          
        
        480000.00000000
        PA
        USD
        487200.00000000
        0.044805691108
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          7.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM PJSC (GAZ FN)
        213800UNP9N6BPNYMQ45
        Gazprom PJSC via Gaz Finance PLC
        000000000
        
          
        
        240000.00000000
        PA
        USD
        240540.00000000
        0.022121430499
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2030-02-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOLERA LLC / SOLERA FINA
        N/A
        Solera LLC / Solera Finance Inc
        83422AAA1
        
          
        
        1000000.00000000
        PA
        USD
        1042500.00000000
        0.095874246676
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-01
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02740A SWAPTION EUR006M OCT20 NEG0.211 PUT
        000000000
        
          
        
        -25550000.00000000
        NC
        
        -54022.82000000
        -0.00496824668
        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
                    
                      
                    
                    25550000.00000000
                    OU
                    Notional Amount
                    N/A
                    -54022.82000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  25550000.00000000
                  EUR
                
              
            
            1.00000000
            -0.21100000
            EUR
            2020-10-14
            XXXX
            80873.50000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R02
        20753KAB8
        
          
        
        2573605.13000000
        PA
        USD
        2557559.99000000
        0.235207805632
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-25
          Floating
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Staples Inc
        XQM2JINI1UL7642TU573
        Staples Inc
        855030AN2
        
          
        
        460000.00000000
        PA
        USD
        425500.00000000
        0.039131407156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AD8
        
          
        
        800000.00000000
        PA
        USD
        876168.00000000
        0.080577407158
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2018-L1
        61691QAN8
        
          
        
        900000.00000000
        PA
        USD
        762320.70000000
        0.070107360037
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11740.00000000
        -0.00107967736
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            652166.31000000
            USD
            4974463.77000000
            TRY
            2020-10-23
            -11740.00000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02702A  SWAPTION EUR006M DEC20 NEG0.20 CALL
        000000000
        
          
        
        -21340000.00000000
        NC
        
        -195008.99000000
        -0.01793413909
        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
                    
                      
                    
                    21340000.00000000
                    OU
                    Notional Amount
                    N/A
                    -195008.99000000
                    -0.02000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  21340000.00000000
                  EUR
                
              
            
            1.00000000
            -0.20000000
            EUR
            2020-12-02
            XXXX
            -795.73000000
          
        
        
          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
        
          
        
        21540000.00000000
        OU
        Notional Amount
        
        -1236668.21000000
        -0.11373106285
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-06-19
            0.00000000
            EUR
            -1027109.78000000
            EUR
            21540000.00000000
            EUR
            261063.69000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3607.42000000
        0.000331758920
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2189227.71000000
            USD
            2918805.36000000
            CAD
            2020-12-16
            3607.42000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380XEJ2
        
          
        
        1219236.36000000
        PA
        USD
        198640.18000000
        0.018268084045
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-06-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379M4U5
        
          
        
        2435594.30000000
        PA
        USD
        361219.34000000
        0.033219790990
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GR/DIAMON
        N/A
        Diamond Sports Group LLC / Diamond Sports Finance Co
        25277LAC0
        
          
        
        2340000.00000000
        PA
        USD
        1216800.00000000
        0.111903868927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02710A SWAPTION EUR006M OCT20 NEG0.191 CALL
        000000000
        
          
        
        -25550000.00000000
        NC
        
        -124446.60000000
        -0.01144481921
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    25550000.00000000
                    OU
                    Notional Amount
                    N/A
                    -124446.60000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  25550000.00000000
                  EUR
                
              
            
            1.00000000
            -0.19100000
            EUR
            2020-10-05
            XXXX
            18316.82000000
          
        
        
          N
          N
          N
        
      
      
        QNB Finance Ltd
        549300MY0DXTHQEX5O57
        QNB Finance Ltd
        000000000
        
          
        
        230000.00000000
        PA
        USD
        244087.50000000
        0.022447678835
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-03-28
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tesla Inc
        54930043XZGB27CTOV49
        Tesla Inc
        88160RAE1
        
          
        
        1085000.00000000
        PA
        USD
        1124331.25000000
        0.103399915212
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -14762.22000000
        -0.00135761795
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            439115.90000000
            USD
            3296135.68000000
            TRY
            2020-10-23
            -14762.22000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02772A SWAPTION EUR006M JAN21 0.0001 PUT
        000000000
        
          
        
        -10670000.00000000
        NC
        
        -32303.42000000
        -0.00297080676
        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
                    
                      
                    
                    10670000.00000000
                    OU
                    Notional Amount
                    N/A
                    -32303.42000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10670000.00000000
                  EUR
                
              
            
            1.00000000
            0.00010000
            EUR
            2021-01-14
            XXXX
            1191.37000000
          
        
        
          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
        
          
        
        312900000.00000000
        OU
        Notional Amount
        USD
        191150.61000000
        0.017579300465
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            4940.77000000
            USD
            0.00000000
            USD
            312900000.00000000
            USD
            186209.84000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02352A SWAPTION MAY21 0.48 PUT
        000000000
        
          
        
        -21600000.00000000
        NC
        USD
        -103073.04000000
        -0.00947918471
        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
                    
                      
                    
                    21600000.00000000
                    OU
                    Notional Amount
                    N/A
                    -103073.04000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  21600000.00000000
                  USD
                
              
            
            1.00000000
            0.48000000
            USD
            2021-05-19
            XXXX
            116544.96000000
          
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAB0
        
          
        
        690000.00000000
        PA
        USD
        554803.13000000
        0.051022860568
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2046-10-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          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
        
          
        
        98400000.00000000
        OU
        Notional Amount
        
        235463.22000000
        0.021654540851
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-09-04
            0.00000000
            AUD
            -31785.74000000
            AUD
            98400000.00000000
            AUD
            258220.16000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MF38
        
          
        
        1099.77000000
        PA
        USD
        1250.75000000
        0.000115026104
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RAH6
        
          
        
        335000.00000000
        PA
        USD
        335896.76000000
        0.030890982087
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAC9
        
          
        
        718000.00000000
        PA
        USD
        713512.50000000
        0.065618679551
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBJ4
        
          
        
        425000.00000000
        PA
        USD
        518291.75000000
        0.047665065793
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-24
          Fixed
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITAU UNIBANCO HLDG SA/KY
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA/Cayman Island
        465562AA4
        
          
        
        860000.00000000
        PA
        USD
        749060.00000000
        0.068887830422
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2025-02-27
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02221A SWAPTION APR21 0.506 PUT
        000000000
        
          
        
        -24000000.00000000
        NC
        USD
        -80121.60000000
        -0.00736843936
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    24000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -80121.60000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  24000000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            185078.40000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -6273.14000000
        -0.00057691373
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            598743.90000000
            GBP
            766715.51000000
            USD
            2020-12-16
            -6273.14000000
          
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS Group AG
        90351DAB3
        
          
        
        5050000.00000000
        PA
        USD
        5754525.50000000
        0.529218990211
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-09-24
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10645.96000000
        -0.00097906320
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1066677.73000000
            USD
            1405646.58000000
            CAD
            2020-12-16
            -10645.96000000
          
        
        
          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
        
          
        
        20120000.00000000
        OU
        Notional Amount
        USD
        570325.54000000
        0.052450389935
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2040-06-19
            792548.81000000
            USD
            0.00000000
            USD
            20120000.00000000
            USD
            -222223.27000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292H4H4
        
          
        
        6400.01000000
        PA
        USD
        7332.94000000
        0.000674378991
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Switzerland AG
        549300WOIFUSNYH0FL22
        Long: CS005510  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005510  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        5910000.00000000
        OU
        Notional Amount
        USD
        -38729.41000000
        -0.00356177746
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              UBS Switzerland AG
              549300WOIFUSNYH0FL22
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            4278.13000000
            USD
            0.00000000
            USD
            5910000.00000000
            USD
            -43007.54000000
          
        
        
          N
          N
          N
        
      
      
        YUZHOU GROUP
        213800MP59KHGJSPHE82
        Yuzhou Group Holdings Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        201000.00000000
        0.018485106553
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-20
          Fixed
          7.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02782A SWAPTION US0003M OCT20 0.703 PUT
        000000000
        
          
        
        -30590000.00000000
        NC
        USD
        -178003.21000000
        -0.01637019056
        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
                    
                      
                    
                    30590000.00000000
                    OU
                    Notional Amount
                    N/A
                    -178003.21000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  30590000.00000000
                  USD
                
              
            
            1.00000000
            0.70300000
            USD
            2020-10-28
            XXXX
            -26582.71000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        19592.95000000
        0.001801879445
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1094535.37000000
            USD
            18837676.11000000
            ZAR
            2020-12-17
            19592.95000000
          
        
        
          N
          N
          N
        
      
      
        Venture CDO Ltd
        549300VI1BOFEK7C6D74
        Venture 39 CLO Ltd
        92332TAB8
        
          
        
        6200000.00000000
        PA
        USD
        6064319.20000000
        0.557709386003
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Simon Property Group LP
        MR92GTD0MJTTTTQDVG45
        Simon Property Group LP
        828807DD6
        
          
        
        899000.00000000
        PA
        USD
        939356.11000000
        0.086388546194
        Long
        DBT
        
        US
        N
        
        2
        
          2023-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5682.02000000
        -0.00052255097
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1047391.04000000
            USD
            957168.78000000
            CHF
            2020-12-16
            -5682.02000000
          
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBD2
        
          
        
        470000.00000000
        PA
        USD
        544318.75000000
        0.050058657178
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2030-04-16
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQC3
        
          
        
        3239132.31000000
        PA
        USD
        495945.17000000
        0.045609946826
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214858  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214858  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        4080000.00000000
        OU
        Notional Amount
        
        -386573.80000000
        -0.03555153176
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-12-16
            0.00000000
            EUR
            -250346.96000000
            EUR
            4080000.00000000
            EUR
            -90826.35000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02771A SWAPTION EUR006M JAN21 0.0001 PUT
        000000000
        
          
        
        -10670000.00000000
        NC
        
        -32303.42000000
        -0.00297080676
        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
                    
                      
                    
                    10670000.00000000
                    OU
                    Notional Amount
                    N/A
                    -32303.42000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10670000.00000000
                  EUR
                
              
            
            1.00000000
            0.00010000
            EUR
            2021-01-14
            XXXX
            1191.37000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214904  IRS SEK R F   .00000 2 CCPVANILLA / Short: SR214904  IRS SEK P V 03MSTIBO 1 CCPVANILLA
        000000000
        
          
        
        868030000.00000000
        OU
        Notional Amount
        
        -371526.17000000
        -0.03416766587
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            0.00000000
            SEK
            -2862536.87000000
            SEK
            868030000.00000000
            SEK
            -45289.51000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214905  IRS CHF R F   .00000 CCPVANILLA / Short: SR214905  IRS CHF P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        95300000.00000000
        OU
        Notional Amount
        
        -185861.12000000
        -0.01709284879
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-12-16
            0.00000000
            CHF
            -344692.28000000
            CHF
            95300000.00000000
            CHF
            189641.12000000
          
        
        
          N
          N
          N
        
      
      
        USI Inc/NY
        N/A
        USI Inc/NY
        91739VAA6
        
          
        
        2250000.00000000
        PA
        USD
        2286562.50000000
        0.210285330616
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        9283.68000000
        0.000853780169
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9352003.62000000
            SEK
            897849.81000000
            EUR
            2020-12-16
            9283.68000000
          
        
        
          N
          N
          N
        
      
      
        Resideo Funding Inc
        5493000IFJ6XJKH66598
        Resideo Funding Inc
        76119LAA9
        
          
        
        1650000.00000000
        PA
        USD
        1636242.30000000
        0.150478175437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-01
          Fixed
          6.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005489  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005489  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        2060000.00000000
        OU
        Notional Amount
        USD
        -13499.59000000
        -0.00124149930
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            2877.82000000
            USD
            0.00000000
            USD
            2060000.00000000
            USD
            -16377.41000000
          
        
        
          N
          N
          N
        
      
      
        TURKIYE VAKIFLAR BANKASI
        789000KAIHOLSQKQ9858
        Turkiye Vakiflar Bankasi TAO
        90015WAJ2
        
          
        
        270000.00000000
        PA
        USD
        242156.25000000
        0.022270070068
        Long
        DBT
        CORP
        TR
        N
        
        2
        
          2025-02-05
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -2350.26000000
        -0.00021614331
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            110709059.00000000
            JPY
            1048525.22000000
            USD
            2020-12-16
            -2350.26000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214061  IRS CNY R F  2.50000 CCPVANILLA / Short: SR214061  IRS CNY P V 03MLIBOR CCPVANILLA
        000000000
        
          
        
        133380000.00000000
        OU
        Notional Amount
        
        -124668.96000000
        -0.01146526870
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-06-17
            1495631.92000000
            CNY
            0.00000000
            CNY
            133380000.00000000
            CNY
            -328824.13000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3728.41000000
        0.000342885851
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            999467.45000000
            CHF
            1452819.90000000
            CAD
            2020-12-16
            3728.41000000
          
        
        
          N
          N
          N
        
      
      
        Easy Tactic Ltd
        549300WYFMC41MKE6E16
        Easy Tactic Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        171687.50000000
        0.015789361847
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-02-27
          Fixed
          8.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XAH3
        
          
        
        655000.00000000
        PA
        USD
        661764.71000000
        0.060859657600
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAJ9
        
          
        
        3225000.00000000
        PA
        USD
        3951334.50000000
        0.363387260005
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379Q8A6
        
          
        
        8886835.68000000
        PA
        USD
        1574149.20000000
        0.144767739767
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Floating
          5.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        137050000.00000000
        PA
        USD
        3563300.00000000
        0.327701393941
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2022-10-28
          Fixed
          6.00000000
          Y
          Y
          N
        
        
          N
          N
          N
        
      
      
        CORNERSTONE BUILDING
        549300IW41QEWQ6T0H29
        Cornerstone Building Brands Inc
        72431PAA0
        
          
        
        1760000.00000000
        PA
        USD
        1843600.00000000
        0.169547972348
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LAY2
        
          
        
        1970000.00000000
        PA
        USD
        2071780.05000000
        0.190532711342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312930J76
        
          
        
        3924.53000000
        PA
        USD
        4496.59000000
        0.000413532066
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7370.74000000
        -0.00067785529
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1161097.56000000
            USD
            893657.23000000
            GBP
            2020-12-16
            -7370.74000000
          
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        85172FAR0
        
          
        
        2755000.00000000
        PA
        USD
        2858312.50000000
        0.262866722018
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-11-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8382.23000000
        -0.00077087768
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1052948.26000000
            USD
            959793.93000000
            CHF
            2020-12-16
            -8382.23000000
          
        
        
          N
          N
          N
        
      
      
        ZIGGO BOND CO BV
        213800JYI4P7V5QDOG59
        Ziggo Bond Co BV
        000000000
        
          
        
        1030000.00000000
        PA
        
        1147121.34000000
        0.105495821889
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2030-02-28
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -43147.14000000
        -0.00396805711
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            163037654.73000000
            INR
            2167102.93000000
            USD
            2020-10-28
            -43147.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        38380.23000000
        0.003529664881
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            15679669.19000000
            TRY
            2057024.49000000
            USD
            2020-10-23
            38380.23000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        19992.84000000
        0.001838655610
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1206481.16000000
            NZD
            818084.71000000
            USD
            2020-12-16
            19992.84000000
          
        
        
          N
          N
          N
        
      
      
        Flex Acquisition Co Inc
        549300HHED2KGPBEDW39
        Flex Acquisition Co Inc
        33936YAA3
        
          
        
        1095000.00000000
        PA
        USD
        1092262.50000000
        0.100450690034
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        POLARIS INTERMEDIATE
        N/A
        Polaris Intermediate Corp
        73107GAA1
        
          
        
        550000.00000000
        PA
        USD
        557562.50000000
        0.051276627973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-01
          Fixed
          8.50000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAB0
        
          
        
        246277.59000000
        PA
        USD
        239866.76000000
        0.022059515508
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-25
          Floating
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIONS GATE CAPITAL HOLD
        549300MWJHNLR35C0837
        Lions Gate Capital Holdings LLC
        53627NAA9
        
          
        
        565000.00000000
        PA
        USD
        553700.00000000
        0.050921410441
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-01
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292HXN9
        
          
        
        21316.03000000
        PA
        USD
        24423.25000000
        0.002246101386
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        169086.56000000
        0.015550164569
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            13866231.62000000
            CAD
            10586485.48000000
            USD
            2020-12-16
            169086.56000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1172.11000000
        0.000107793921
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1102778.18000000
            USD
            81432173.45000000
            INR
            2020-10-28
            1172.11000000
          
        
        
          N
          N
          N
        
      
      
        BURLINGTON COAT FACTORY
        549300SIFDMGE3Y2SW49
        Burlington Coat Factory Warehouse Corp
        121579AH9
        
          
        
        2670000.00000000
        PA
        USD
        2810175.00000000
        0.258439722930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AR9
        
          
        
        1625000.00000000
        PA
        USD
        1625000.00000000
        0.149444269400
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-02-11
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAQ4
        
          
        
        525000.00000000
        PA
        USD
        601161.75000000
        0.055286263704
        Long
        DBT
        
        US
        N
        
        2
        
          2050-07-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FWXZ8
        
          
        
        980000.00000000
        PA
        USD
        103382.16000000
        0.009507613150
        Long
        ABS-MBS
        USGSE
        US
        N
        
        3
        
          2050-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31288JY67
        
          
        
        7663.41000000
        PA
        USD
        8780.17000000
        0.000807474517
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4849.58000000
        0.000445995039
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1071328.28000000
            USD
            1432462.33000000
            CAD
            2020-12-16
            4849.58000000
          
        
        
          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
        
          
        
        45320000.00000000
        OU
        Notional Amount
        
        -869922.54000000
        -0.08000303903
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-18
            0.00000000
            EUR
            -475329.26000000
            EUR
            45320000.00000000
            EUR
            375658.68000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02184A SWAPTION MAR20 0.395 CALL
        000000000
        
          
        
        -43000000.00000000
        NC
        USD
        -4.30000000
        -0.00000039545
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    43000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -4.30000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  43000000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-09-30
            XXXX
            546095.70000000
          
        
        
          N
          N
          N
        
      
      
        Structured Asset Securities Corporation
        N/A
        Structured Asset Securities Corp Mortgage Loan Trust 2007-EQ1
        86363HAA0
        
          
        
        3358359.24000000
        PA
        USD
        2737524.22000000
        0.251758342784
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-03-25
          Floating
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        9851.65000000
        0.000906013930
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9391298.67000000
            SEK
            902072.72000000
            EUR
            2020-12-16
            9851.65000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296KES8
        
          
        
        585.88000000
        PA
        USD
        671.28000000
        0.000061734737
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jeld-Wen Inc
        549300XWE6NM0N1HFW16
        Jeld-Wen Inc
        475795AD2
        
          
        
        560000.00000000
        PA
        USD
        571200.00000000
        0.052530810265
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CG5
        
          
        
        575000.00000000
        PA
        USD
        709509.75000000
        0.065250563828
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -657.54000000
        -0.00006047112
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1102865.13000000
            USD
            3771302.46000000
            ILS
            2020-12-16
            -657.54000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WQE1
        
          
        
        2765872.55000000
        PA
        USD
        223250.72000000
        0.020531409688
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -79761.01000000
        -0.00733527745
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4828623.13000000
            USD
            6628763.21000000
            AUD
            2020-12-16
            -79761.01000000
          
        
        
          N
          N
          N
        
      
      
        HUB International Ltd
        549300JQT6ATTUNS5E06
        HUB International Ltd
        44332PAD3
        
          
        
        2610000.00000000
        PA
        USD
        2704612.50000000
        0.248731593276
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BM2
        
          
        
        675000.00000000
        PA
        USD
        696937.50000000
        0.064094348003
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-11-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QUICKEN LOANS LLC/QUICKN
        N/A
        Quicken Loans LLC / Quicken Loans Co-Issuer Inc
        74841CAB7
        
          
        
        1324000.00000000
        PA
        USD
        1308284.12000000
        0.120317270450
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          3.88000000
          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
        
          
        
        8760000.00000000
        OU
        Notional Amount
        USD
        54322.51000000
        0.004995807888
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            42532.68000000
            USD
            0.00000000
            USD
            8760000.00000000
            USD
            11789.83000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2M4
        
          
        
        475000.00000000
        PA
        USD
        650265.50000000
        0.059802124654
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-04-04
          Fixed
          5.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        230000.00000000
        PA
        
        265702.77000000
        0.024435542363
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        26043.40000000
        0.002395099621
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3293338.76000000
            USD
            22640189.04000000
            CNY
            2020-12-16
            26043.40000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        420000.00000000
        PA
        USD
        417375.00000000
        0.038384185809
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2030-02-24
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        1550000.00000000
        PA
        
        1481097.18000000
        0.136210145216
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2030-01-27
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02709A SWAPTION EUR006M OCT20 NEG0.191 PUT
        000000000
        
          
        
        -25550000.00000000
        NC
        
        -8390.71000000
        -0.00077165755
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    25550000.00000000
                    OU
                    Notional Amount
                    N/A
                    -8390.71000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  25550000.00000000
                  EUR
                
              
            
            1.00000000
            -0.19100000
            EUR
            2020-10-05
            XXXX
            134372.71000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BJMU4
        
          
        
        8483682.25000000
        PA
        USD
        1770325.61000000
        0.162809241469
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-15
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38374YSU8
        
          
        
        8100574.49000000
        PA
        USD
        1781121.11000000
        0.163802057229
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-07-20
          Floating
          5.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CenturyLink Inc
        8M3THTGWLTYZVE6BBY25
        CenturyLink Inc
        156700AS5
        
          
        
        1680000.00000000
        PA
        USD
        1745100.00000000
        0.160489350480
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02687A SWAPTION EUR006M NOV20 NEG0.15 CALL
        000000000
        
          
        
        -24400000.00000000
        NC
        
        -311464.28000000
        -0.02864403185
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                  
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                    IRS Swap
                    N/A
                    
                      
                    
                    24400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -311464.28000000
                    -0.03000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  24400000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-11-30
            XXXX
            -64689.37000000
          
        
        
          N
          N
          N
        
      
      
        CHEMOURS CO
        549300M1BOLNXL8DOV14
        Chemours Co/The
        163851AB4
        
          
        
        1055000.00000000
        PA
        USD
        1066868.75000000
        0.098115335932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296TQ72
        
          
        
        1258.36000000
        PA
        USD
        1441.79000000
        0.000132595232
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        549300818AKCJ4Q9TD76
        CSMC 2014-USA OA LLC
        12649AAQ2
        
          
        
        3550000.00000000
        PA
        USD
        2556249.71000000
        0.235087304809
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-15
          Fixed
          4.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFE9
        
          
        
        925000.00000000
        PA
        USD
        1043853.25000000
        0.095998699266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-22
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Asset Securitization Trust
        N/A
        Residential Asset Securitization Trust 2006-A8
        761119AA4
        
          
        
        881533.26000000
        PA
        USD
        770712.63000000
        0.070879129789
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Allied Universal
        N/A
        Allied Universal Holdco LLC / Allied Universal Finance Corp
        019576AA5
        
          
        
        1500000.00000000
        PA
        USD
        1593750.00000000
        0.146570341142
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -39591.84000000
        -0.00364109144
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1103329.90000000
            USD
            4072004495.44000000
            COP
            2020-10-05
            -39591.84000000
          
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JW97
        
          
        
        2790000.00000000
        PA
        USD
        2788256.25000000
        0.256423949650
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2023-11-20
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2019-GC42
        36257UAA5
        
          
        
        250000.00000000
        PA
        USD
        207340.18000000
        0.019068185672
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-09-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296PBX9
        
          
        
        11322.50000000
        PA
        USD
        12972.48000000
        0.001193023259
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        28222.62000000
        0.002595513123
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4697256.00000000
            EUR
            5540070.55000000
            USD
            2020-11-09
            28222.62000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0KQ1
        
          
        
        282019.00000000
        PA
        USD
        294449.55000000
        0.027079260230
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-12-25
          Floating
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL INTL FINANCE LTD
        N/A
        Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd
        25381XAB9
        
          
        
        551716.00000000
        PA
        USD
        497751.28000000
        0.045776047004
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2025-12-31
          Fixed
          13.00000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAD6
        
          
        
        542159.53000000
        PA
        USD
        503045.11000000
        0.046262897808
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        18823.12000000
        0.001731081486
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1441719.41000000
            CAD
            1101955.63000000
            USD
            2020-12-16
            18823.12000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300OORAXMFXOHG132
        SLM Student Loan Trust 2008-3
        78444GAC8
        
          
        
        11149958.23000000
        PA
        USD
        10743909.09000000
        0.988071165821
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2021-10-25
          Floating
          1.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        17871.29000000
        0.001643545770
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2912154.24000000
            CAD
            2205709.58000000
            USD
            2020-12-16
            17871.29000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -8625.40000000
        -0.00079324098
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3761216.46000000
            ILS
            1090634.44000000
            USD
            2020-12-16
            -8625.40000000
          
        
        
          N
          N
          N
        
      
      
        ASBURY AUTOMOTIVE GROUP
        549300JH4DTA7U42GL91
        Asbury Automotive Group Inc
        043436AS3
        
          
        
        123000.00000000
        PA
        USD
        123615.00000000
        0.011368340530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300MHMWVKFEDI8G73
        SLM Student Loan Trust 2008-2
        784442AC9
        
          
        
        10355636.12000000
        PA
        USD
        10090037.87000000
        0.927937438588
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-04-25
          Floating
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02736A SWAPTION US0003M OCT20 0.6975 PUT
        000000000
        
          
        
        -30590000.00000000
        NC
        USD
        -129573.12000000
        -0.01191628323
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    30590000.00000000
                    OU
                    Notional Amount
                    N/A
                    -129573.12000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  30590000.00000000
                  USD
                
              
            
            1.00000000
            0.69750000
            USD
            2020-10-13
            XXXX
            60084.88000000
          
        
        
          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
        
          
        
        1340000.00000000
        OU
        Notional Amount
        USD
        -3245.21000000
        -0.00029844802
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Russian Foreign Bond - Eurobond
                Russian Foreign Bond - Eurobond
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            4058.20000000
            USD
            0.00000000
            USD
            1340000.00000000
            USD
            -7303.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -77049.49000000
        -0.00708591060
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2717883.82000000
            USD
            58873000.00000000
            MXN
            2020-12-10
            -77049.49000000
          
        
        
          N
          N
          N
        
      
      
        PERFORMANCE FOOD GROUP I
        549300OMUOGBYK0FFO76
        Performance Food Group Inc
        69346VAA7
        
          
        
        1900000.00000000
        PA
        USD
        1957000.00000000
        0.179976883210
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206A8
        
          
        
        68000000.00000000
        PA
        USD
        70657569.20000000
        6.498073111821
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STARWOOD PROPERTY TRUST
        BUGSFQZERKRBFWIG5267
        Starwood Property Trust Inc
        85571BAG0
        
          
        
        1550000.00000000
        PA
        USD
        1530625.00000000
        0.140765006062
        Long
        DBT
        
        US
        N
        
        2
        
          2021-12-15
          Fixed
          5.00000000
          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
        
          
        
        16890000.00000000
        OU
        Notional Amount
        
        -1179461.29000000
        -0.10846998816
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-06-20
            0.00000000
            EUR
            -1017727.62000000
            EUR
            16890000.00000000
            EUR
            189997.60000000
          
        
        
          N
          N
          N
        
      
      
        DISH DBS Corp
        N/A
        DISH DBS Corp
        25470XAW5
        
          
        
        470000.00000000
        PA
        USD
        481750.00000000
        0.044304478020
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT HOLD / CO-ISSUER
        N/A
        Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
        01883LAA1
        
          
        
        1700000.00000000
        PA
        USD
        1780750.00000000
        0.163767927836
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214396  IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR214396  IRS AUD P F  1.36350 2 CCPVANILLA
        000000000
        
          
        
        13540000.00000000
        OU
        Notional Amount
        
        224523.75000000
        0.020648484788
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-04-21
            0.00000000
            AUD
            -9285.09000000
            AUD
            13540000.00000000
            AUD
            230392.40000000
          
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES PARTNERS
        N/A
        Targa Resources Partners LP / Targa Resources Partners Finance Corp
        87612BBG6
        
          
        
        320000.00000000
        PA
        USD
        312000.00000000
        0.028693299724
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XBM5
        
          
        
        1490289.69000000
        PA
        USD
        1578930.33000000
        0.145207439754
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-08-25
          Floating
          6.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        22536.79000000
        0.002072611763
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4127986047.84000000
            COP
            1100899.03000000
            USD
            2020-10-05
            22536.79000000
          
        
        
          N
          N
          N
        
      
      
        ARCHER-DANIELS-MIDLAND C
        549300LO13MQ9HYSTR83
        Archer-Daniels-Midland Co
        039482AB0
        
          
        
        800000.00000000
        PA
        USD
        913776.00000000
        0.084036053363
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-27
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        104435.76000000
        0.009604508216
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12577771.15000000
            NZD
            8424679.16000000
            USD
            2020-12-16
            104435.76000000
          
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2005-64CB
        12668AZX6
        
          
        
        525649.07000000
        PA
        USD
        428728.05000000
        0.039428277048
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-12-25
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214855  IRS EUR R F   .00000 CCPVANILLA / Short: SR214855  IRS EUR P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        38450000.00000000
        OU
        Notional Amount
        
        -159811.06000000
        -0.01469713667
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            0.00000000
            EUR
            -93659.51000000
            EUR
            38450000.00000000
            EUR
            263467.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -43118.42000000
        -0.00396541586
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1102791.36000000
            USD
            82683877.52000000
            RUB
            2020-11-17
            -43118.42000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        8834.80000000
        0.000812498603
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            896341.46000000
            EUR
            1061635.79000000
            USD
            2020-12-16
            8834.80000000
          
        
        
          N
          N
          N
        
      
      
        CLEVELAND-CLIFFS INC
        549300TM2WLI2BJMDD86
        Cleveland-Cliffs Inc
        185899AH4
        
          
        
        585000.00000000
        PA
        USD
        544050.00000000
        0.050033941395
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OUTFRONT MEDIA CAP LLC/C
        N/A
        Outfront Media Capital LLC / Outfront Media Capital Corp
        69007TAB0
        
          
        
        665000.00000000
        PA
        USD
        648375.00000000
        0.059628263490
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        549300664283JRAXM588
        BANK 2018-BNK13
        06539LAJ9
        
          
        
        750000.00000000
        PA
        USD
        505720.19000000
        0.046508913425
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-08-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONSTAR MTG HLD INC
        N/A
        Nationstar Mortgage Holdings Inc
        63861CAC3
        
          
        
        2016000.00000000
        PA
        USD
        2016000.00000000
        0.185402859760
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAV3
        
          
        
        850000.00000000
        PA
        USD
        880438.50000000
        0.080970146698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YJG0
        
          
        
        2587691.44000000
        PA
        USD
        404306.09000000
        0.037182294297
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380Y2Z7
        
          
        
        3294369.44000000
        PA
        USD
        603470.17000000
        0.055498559175
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEALED AIR CORP
        Q0M0CZB4YN6JZ65WXI09
        Sealed Air Corp
        81211KAY6
        
          
        
        500000.00000000
        PA
        USD
        521875.00000000
        0.047994601903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
        
        5700000.00000000
        PA
        USD
        6175779.00000000
        0.567959865005
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Waste Pro USA Inc
        549300BY1QXU5BI3UF28
        Waste Pro USA Inc
        94107JAA1
        
          
        
        2825000.00000000
        PA
        USD
        2860312.50000000
        0.263050653427
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -5020.53000000
        -0.00046171657
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            31957286.85000000
            TWD
            1105023.75000000
            USD
            2020-11-09
            -5020.53000000
          
        
        
          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
        
          
        
        3110000.00000000
        OU
        Notional Amount
        USD
        97951.63000000
        0.009008190635
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            99190.78000000
            USD
            0.00000000
            USD
            3110000.00000000
            USD
            -1239.15000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02333A SWAPTION MAY21 0.448 CALL
        000000000
        
          
        
        -32000000.00000000
        NC
        USD
        -223510.40000000
        -0.02055529134
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    32000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -223510.40000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  32000000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            112329.60000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        16764.48000000
        0.001541757209
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            84087483.34000000
            RUB
            1094425.97000000
            USD
            2020-11-17
            16764.48000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        94105.00000000
        0.008654432598
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12906327.00000000
            USD
            10069914.14000000
            GBP
            2020-12-16
            94105.00000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -7137.87000000
        -0.00065643924
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            897037.79000000
            GBP
            1150953.31000000
            USD
            2020-12-16
            -7137.87000000
          
        
        
          N
          N
          N
        
      
      
        CHEMOURS CO
        549300M1BOLNXL8DOV14
        Chemours Co/The
        163851AD0
        
          
        
        490000.00000000
        PA
        USD
        493062.50000000
        0.045344840050
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        145522.09000000
        0.013383041490
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6245822.03000000
            USD
            8510257.30000000
            CAD
            2020-10-05
            145522.09000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7159.31000000
        0.000658410986
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1155870.25000000
            USD
            900862.97000000
            GBP
            2020-12-16
            7159.31000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4352.03000000
        0.000400237503
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1102210.23000000
            USD
            3786202.36000000
            ILS
            2020-12-16
            4352.03000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -36483.65000000
        -0.00335524456
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            108736603.86000000
            TWD
            3740509.25000000
            USD
            2020-11-09
            -36483.65000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4425.44000000
        0.000406988706
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1086933.80000000
            USD
            4177738753.68000000
            COP
            2020-10-05
            4425.44000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WBD3
        
          
        
        1205000.00000000
        PA
        USD
        1229838.79000000
        0.113102990431
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.25000000
          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
        
          
        
        1718430000.00000000
        OU
        Notional Amount
        
        1101250.64000000
        0.101277290659
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            6821421.46000000
            NOK
            0.00000000
            NOK
            1718430000.00000000
            NOK
            690998.81000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        13005.01000000
        0.001196014903
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6841896.93000000
            TRY
            894950.55000000
            USD
            2020-10-19
            13005.01000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25600.61000000
        -0.00235437812
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1104236.20000000
            USD
            18237565.08000000
            ZAR
            2020-12-17
            -25600.61000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296XB38
        
          
        
        1422.70000000
        PA
        USD
        1638.59000000
        0.000150694083
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226B2
        
          
        
        73000000.00000000
        PA
        USD
        76518249.60000000
        7.037054712170
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        31397GX39
        
          
        
        174242.52000000
        PA
        USD
        175696.52000000
        0.016158054195
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-12-15
          Floating
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152GS4
        
          
        
        4470000.00000000
        PA
        USD
        5064286.50000000
        0.465740674478
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-07-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        16796.34000000
        0.001544687236
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1497325.15000000
            AUD
            1089483.73000000
            USD
            2020-12-16
            16796.34000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        12347137.54000000
        NS
        USD
        12347137.54000000
        1.135513199294
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10423.27000000
        -0.00095858336
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1061951.79000000
            USD
            1399652.46000000
            CAD
            2020-12-16
            -10423.27000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BV4
        
          
        
        950000.00000000
        PA
        USD
        1003950.50000000
        0.092329014761
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -26696.47000000
        -0.00245515966
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2200000.00000000
            USD
            62567670.00000000
            TWD
            2020-11-09
            -26696.47000000
          
        
        
          N
          N
          N
        
      
      
        GFL Environmental Inc
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        44485HAA2
        
          
        
        1465000.00000000
        PA
        USD
        1543743.75000000
        0.141971481144
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2026-06-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAMB WESTON HLD
        5493005SMYID1D2OY946
        Lamb Weston Holdings Inc
        513272AC8
        
          
        
        1195000.00000000
        PA
        USD
        1290600.00000000
        0.118690937900
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        62490.40000000
        0.005746973644
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            80755154.47000000
            RUB
            1097444.91000000
            USD
            2020-11-17
            62490.40000000
          
        
        
          N
          N
          N
        
      
      
        IHEARTCOMMUNICATIONS INC
        54930076J6KDZL504O62
        iHeartCommunications Inc
        45174HBE6
        
          
        
        1300000.00000000
        PA
        USD
        1267500.00000000
        0.116566530132
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        220000.00000000
        PA
        USD
        226325.00000000
        0.020814138013
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2029-11-13
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALCON FINANCE CORP
        549300CUZUI9VU7XNK42
        Alcon Finance Corp
        01400EAB9
        
          
        
        5575000.00000000
        PA
        USD
        6036219.75000000
        0.555125200295
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-09-23
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296M6W4
        
          
        
        1219.82000000
        PA
        USD
        1385.89000000
        0.000127454349
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31292HX33
        
          
        
        21206.35000000
        PA
        USD
        24297.59000000
        0.002234544975
        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 EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4983.54000000
        0.000458314765
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            964766.26000000
            CHF
            898180.54000000
            EUR
            2020-12-16
            4983.54000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -16272.71000000
        -0.00149653123
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            917953.46000000
            GBP
            1168820.96000000
            USD
            2020-12-16
            -16272.71000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005905  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005905  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        520000.00000000
        OU
        Notional Amount
        USD
        13486.36000000
        0.001240282595
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Qatar Government International Bond
                Qatar Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            9277.56000000
            USD
            0.00000000
            USD
            520000.00000000
            USD
            4208.80000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBF5
        
          
        
        1375000.00000000
        PA
        USD
        1551550.00000000
        0.142689388423
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAD2
        
          
        
        325000.00000000
        PA
        USD
        435685.25000000
        0.040068100846
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-05-25
          Fixed
          5.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIGICEL INTL FINANCE LTD
        N/A
        Digicel International Finance Ltd / Digicel Holdings Bermuda Ltd
        25381XAA1
        
          
        
        1089262.00000000
        PA
        USD
        1097431.47000000
        0.100926058000
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2024-05-25
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBA Communications Corp
        5299001HX8ZN8Y8QIT49
        SBA Communications Corp
        78410GAB0
        
          
        
        2935000.00000000
        PA
        USD
        2953343.75000000
        0.271606337850
        Long
        DBT
        
        US
        N
        
        2
        
          2022-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOURYON HOLDING BV
        N/A
        Nouryon Holding BV
        85529VAA2
        
          
        
        1330000.00000000
        PA
        USD
        1409800.00000000
        0.129653249846
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-10-01
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AV6
        
          
        
        350000.00000000
        PA
        USD
        388965.50000000
        0.035771486135
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-09
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX002968  CDS USD R F  3.00000 2 CMBX / Short: CX002968  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1950000.00000000
        OU
        Notional Amount
        USD
        -479830.65000000
        -0.04412796364
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -371220.39000000
            USD
            1950000.00000000
            USD
            -108610.26000000
          
        
        
          N
          N
          N
        
      
      
        MPH Acquisition Holdings LLC
        5493002WXOPRPTXWTU06
        MPH Acquisition Holdings LLC 2016 Term Loan B
        55328HAE1
        
          
        
        1977046.26000000
        PA
        USD
        1943159.69000000
        0.178704049354
        Long
        LON
        CORP
        US
        N
        
        2
        
          2023-06-07
          Floating
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USA COM PART/USA COM FIN
        N/A
        USA Compression Partners LP / USA Compression Finance Corp
        91740PAC2
        
          
        
        545000.00000000
        PA
        USD
        538187.50000000
        0.049494792454
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YUM! BRANDS INC
        549300JE8XHZZ7OHN517
        Yum! Brands Inc
        988498AM3
        
          
        
        72000.00000000
        PA
        USD
        79560.00000000
        0.007316791429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICAHN ENTERPRISES/FIN
        N/A
        Icahn Enterprises LP / Icahn Enterprises Finance Corp
        451102BW6
        
          
        
        1475000.00000000
        PA
        USD
        1489750.00000000
        0.137005907901
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RC1
        95001FAC9
        
          
        
        756000.00000000
        PA
        USD
        541081.98000000
        0.049760985345
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIVE NATION ENTERTAINMEN
        5493007B9BM9ZXJINO78
        Live Nation Entertainment Inc
        538034AV1
        
          
        
        1400000.00000000
        PA
        USD
        1506750.00000000
        0.138569324873
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          6.50000000
          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
        
          
        
        32430000.00000000
        OU
        Notional Amount
        
        90600.80000000
        0.008332166377
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            0.00000000
            PLN
            -25504.52000000
            PLN
            32430000.00000000
            PLN
            97457.06000000
          
        
        
          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
        
          
        
        395080000.00000000
        OU
        Notional Amount
        
        380022.12000000
        0.034949001895
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-24
            224265.75000000
            CAD
            0.00000000
            CAD
            395080000.00000000
            CAD
            215366.28000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2017 CO
        5493006V07LYI3HE6G83
        Huarong Finance 2017 Co Ltd
        000000000
        
          
        
        250000.00000000
        PA
        USD
        266328.13000000
        0.024493054036
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2027-11-07
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        191.00000000
        NC
        USD
        67963.32000000
        0.006250294586
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            33571911.68000000
            USD
            67963.32000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02773A SWAPTION EUR006M JAN21 NEG0.25 CALL
        000000000
        
          
        
        -10670000.00000000
        NC
        
        -87575.28000000
        -0.00805392229
        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
                    
                      
                    
                    10670000.00000000
                    OU
                    Notional Amount
                    N/A
                    -87575.28000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  10670000.00000000
                  EUR
                
              
            
            1.00000000
            -0.25000000
            EUR
            2021-01-14
            XXXX
            8567.16000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002952  CDS USD R F  5.00000 2 CCPCDX / Short: SX002952  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        62408200.00000000
        OU
        Notional Amount
        USD
        3130183.12000000
        0.287869495051
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.HY.S34.V1
                2I65BRTL4
              
            
            Y
            
            sell protection
            2025-06-20
            0.00000000
            USD
            -1839014.58000000
            USD
            62408200.00000000
            USD
            4969197.70000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02739A SWAPTION EUR006M OCT20 NEG0.211 CALL
        000000000
        
          
        
        -25550000.00000000
        NC
        
        -103165.79000000
        -0.00948771453
        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
                    
                      
                    
                    25550000.00000000
                    OU
                    Notional Amount
                    N/A
                    -103165.79000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  25550000.00000000
                  EUR
                
              
            
            1.00000000
            -0.21100000
            EUR
            2020-10-14
            XXXX
            31730.53000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6544.12000000
        0.000601834604
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1094393.01000000
            USD
            3766955.46000000
            ILS
            2020-12-16
            6544.12000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        3692.29000000
        0.000339564050
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            18515055.73000000
            ZAR
            1098739.68000000
            USD
            2020-12-17
            3692.29000000
          
        
        
          N
          N
          N
        
      
      
        GENESIS ENERGY LP/GENESI
        N/A
        Genesis Energy LP / Genesis Energy Finance Corp
        37185LAG7
        
          
        
        595000.00000000
        PA
        USD
        539962.50000000
        0.049658031579
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        78677.23000000
        0.007235606865
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            60388330.20000000
            MXN
            2787483.91000000
            USD
            2020-12-10
            78677.23000000
          
        
        
          N
          N
          N
        
      
      
        B&G FOODS INC
        549300TRW1LZMDJZAQ78
        B&G Foods Inc
        05508WAB1
        
          
        
        475000.00000000
        PA
        USD
        494000.00000000
        0.045431057897
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-09-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MATCH GROUP HLD II LLC
        N/A
        Match Group Holdings II LLC
        57665RAN6
        
          
        
        2597000.00000000
        PA
        USD
        2668417.50000000
        0.245402894611
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13820.58000000
        0.001271019372
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            751848.58000000
            USD
            12945930.33000000
            ZAR
            2020-12-17
            13820.58000000
          
        
        
          N
          N
          N
        
      
      
        KBR INC
        254900OFQDXZRKRCV808
        KBR Inc
        48242WAC0
        
          
        
        1257000.00000000
        PA
        USD
        1264856.25000000
        0.116323395801
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-30
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERITAS US INC/BERMUDA L
        N/A
        Veritas US Inc / Veritas Bermuda Ltd
        92346LAB9
        
          
        
        475000.00000000
        PA
        USD
        476187.50000000
        0.043792918790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296USS1
        
          
        
        4597.15000000
        PA
        USD
        5294.72000000
        0.000486932653
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -33562.34000000
        -0.00308658423
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10393750.78000000
            GBP
            13388273.53000000
            USD
            2021-01-13
            -33562.34000000
          
        
        
          N
          N
          N
        
      
      
        Dun & Bradstreet Corp
        RI37BMPWE56BCJ747E14
        Dun & Bradstreet Corp/The
        26483EAK6
        
          
        
        249000.00000000
        PA
        USD
        282615.00000000
        0.025990887505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          10.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -7106.40000000
        -0.00065354508
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1246237839.00000000
            KRW
            1061694.16000000
            USD
            2020-11-02
            -7106.40000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31288GH39
        
          
        
        356.23000000
        PA
        USD
        408.14000000
        0.000037534882
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL AIR LEASE CO LTD
        N/A
        Global Aircraft Leasing Co Ltd
        37960JAA6
        
          
        
        3290093.00000000
        PA
        USD
        1743749.29000000
        0.160365131484
        Long
        DBT
        CORP
        KY
        N
        
        2
        
          2024-09-15
          Fixed
          6.50000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        20144.21000000
        0.001852576459
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5001702077.71000000
            COP
            1323621.81000000
            USD
            2020-11-20
            20144.21000000
          
        
        
          N
          N
          N
        
      
      
        Apidos CLO
        635400C39IXGGYE6DH05
        Apidos CLO XXIII
        03765YAU8
        
          
        
        4800000.00000000
        PA
        USD
        4758316.80000000
        0.437601955539
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -9676.21000000
        -0.00088987946
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1100000.00000000
            USD
            1001838.20000000
            CHF
            2020-12-16
            -9676.21000000
          
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BW2
        
          
        
        200000.00000000
        PA
        USD
        215500.00000000
        0.019818609265
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2027-06-05
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortgage Trust
        N/A
        DBJPM 17-C6 Mortgage Trust
        23312JAQ6
        
          
        
        1100000.00000000
        PA
        USD
        956054.55000000
        0.087924229988
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-06-10
          Variable
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214841  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214841  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        254210000.00000000
        OU
        Notional Amount
        
        -2548254.70000000
        -0.23435203808
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-12-16
            0.00000000
            EUR
            -2023840.60000000
            EUR
            254210000.00000000
            EUR
            -32616.87000000
          
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AB7
        
          
        
        870000.00000000
        PA
        USD
        928725.00000000
        0.085410848676
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        63889.04000000
        0.005875600557
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6824733.00000000
            USD
            5864885.79000000
            EUR
            2020-12-16
            63889.04000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2C6
        
          
        
        865000.00000000
        PA
        USD
        940713.45000000
        0.086513374923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        11440.79000000
        0.001052160309
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1099108.83000000
            USD
            7574618.41000000
            CNY
            2020-12-16
            11440.79000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -21817.75000000
        -0.00200648474
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10454411.85000000
            NOK
            935882.98000000
            EUR
            2020-12-16
            -21817.75000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2296.28000000
        0.000211179007
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            651814.88000000
            USD
            2503946861.52000000
            COP
            2020-10-05
            2296.28000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        13649.42000000
        0.001255278522
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7805515.80000000
            TRY
            1019808.96000000
            USD
            2020-10-19
            13649.42000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        26503.30000000
        0.002437394649
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1511316.79000000
            AUD
            1109214.33000000
            USD
            2020-12-16
            26503.30000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -93210.14000000
        -0.00857213616
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            31664569.05000000
            NOK
            3302290.00000000
            USD
            2020-12-16
            -93210.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -8317.41000000
        -0.00076491646
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2047772.89000000
            CAD
            1530129.93000000
            USD
            2020-12-16
            -8317.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        1814.61000000
        0.000166881886
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            867896304.00000000
            CLP
            1107830.16000000
            USD
            2020-11-16
            1814.61000000
          
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        000000000
        
          
        
        630000.00000000
        PA
        USD
        680400.00000000
        0.062573465169
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2024-06-18
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380UM67
        
          
        
        2742944.56000000
        PA
        USD
        454507.56000000
        0.041799107840
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-01-20
          Floating
          5.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISH DBS Corp
        N/A
        DISH DBS Corp
        25470XAY1
        
          
        
        450000.00000000
        PA
        USD
        492750.00000000
        0.045316100767
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -41022.80000000
        -0.00377269069
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1103754.31000000
            USD
            4068151410.54000000
            COP
            2020-10-05
            -41022.80000000
          
        
        
          N
          N
          N
        
      
      
        FIDELITY NATL INFO SERV
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        000000000
        
          
        
        2100000.00000000
        PA
        
        2620411.18000000
        0.240987959584
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-21
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WOLVERINE ESCROW LLC
        N/A
        Wolverine Escrow LLC
        97789LAC0
        
          
        
        460000.00000000
        PA
        USD
        378350.00000000
        0.034795224201
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-15
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378YE47
        
          
        
        4659634.36000000
        PA
        USD
        340611.82000000
        0.031324605900
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-12-16
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -163028.09000000
        -0.01499299310
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9534023.39000000
            CAD
            6997181.31000000
            USD
            2020-10-05
            -163028.09000000
          
        
        
          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
        
          
        
        331710000.00000000
        OU
        Notional Amount
        USD
        -4987956.44000000
        -0.45872092675
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-12-16
            0.00000000
            USD
            -5019409.18000000
            USD
            331710000.00000000
            USD
            31452.74000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -2014.47000000
        -0.00018526215
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            107887250.00000000
            JPY
            1022075.76000000
            USD
            2020-12-16
            -2014.47000000
          
        
        
          N
          N
          N
        
      
      
        BEACON ROOFING SUPPLY IN
        549300HDXQWWCBOYXP31
        Beacon Roofing Supply Inc
        073685AD1
        
          
        
        1635000.00000000
        PA
        USD
        1594125.00000000
        0.146604828281
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2005-QO5 Trust
        761118QM3
        
          
        
        2644700.79000000
        PA
        USD
        2276853.59000000
        0.209392443870
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-01-25
          Floating
          2.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11329.74000000
        -0.00104194751
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1048746.07000000
            USD
            1380868.22000000
            CAD
            2020-12-16
            -11329.74000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -32628.98000000
        -0.00300074712
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1036455.44000000
            USD
            3879312.79000000
            PLN
            2020-12-16
            -32628.98000000
          
        
        
          N
          N
          N
        
      
      
        CONSTELLIUM SE
        724500KRJEMC79KAAU28
        Constellium SE
        21039CAA2
        
          
        
        485000.00000000
        PA
        USD
        494700.00000000
        0.045495433890
        Long
        DBT
        CORP
        FR
        
        N
        
        2
        
          2028-06-15
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP World Crescent Ltd
        21380096JRTWB8TL9236
        DP World Crescent Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        221660.00000000
        0.020385118003
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-09-26
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214463  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214463  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        181170000.00000000
        OU
        Notional Amount
        
        -676279.64000000
        -0.06219453336
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-05-18
            131167.53000000
            EUR
            0.00000000
            EUR
            181170000.00000000
            EUR
            -465198.25000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -298.98000000
        -0.00002749590
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1160001.56000000
            USD
            898285.95000000
            GBP
            2020-12-16
            -298.98000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -25225.52000000
        -0.00231988271
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2806346.56000000
            EUR
            344595503.00000000
            JPY
            2020-12-16
            -25225.52000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        22749.94000000
        0.002092214253
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1065379.42000000
            USD
            80265152.81000000
            INR
            2020-10-28
            22749.94000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BA5V2
        
          
        
        3204883.52000000
        PA
        USD
        479728.44000000
        0.044118563831
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        549300GL0Y86051URC66
        BANK 2018-BNK10
        065404AA3
        
          
        
        500000.00000000
        PA
        USD
        325514.02000000
        0.029936126091
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-02-15
          Variable
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7LA2
        
          
        
        3121.60000000
        PA
        USD
        3576.62000000
        0.000328926377
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJB6
        
          
        
        4775000.00000000
        PA
        USD
        5051711.25000000
        0.464584182756
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameren Corp
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AJ1
        
          
        
        1425000.00000000
        PA
        USD
        1628561.25000000
        0.149771782264
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -6940.36000000
        -0.00063827509
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7556519.75000000
            CNY
            1100955.73000000
            USD
            2020-12-16
            -6940.36000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02751A SWAPTION US0003M OCT20 0.70 PUT
        000000000
        
          
        
        -30590000.00000000
        NC
        USD
        -149291.44000000
        -0.01372969241
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    30590000.00000000
                    OU
                    Notional Amount
                    N/A
                    -149291.44000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  30590000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-19
            XXXX
            8629.43000000
          
        
        
          N
          N
          N
        
      
      
        Energizer Holdings Inc
        5493000D6NN0V57UME20
        Energizer Holdings Inc
        29272WAB5
        
          
        
        500000.00000000
        PA
        USD
        543750.00000000
        0.050006351684
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        457698.70000000
        0.042092583278
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            93723959.83000000
            NOK
            10508039.77000000
            USD
            2020-12-16
            457698.70000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -3594.28000000
        -0.00033055049
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            31896445.32000000
            TWD
            1104336.66000000
            USD
            2020-11-09
            -3594.28000000
          
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00912XBE3
        
          
        
        575000.00000000
        PA
        USD
        589863.75000000
        0.054247235178
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -53622.86000000
        -0.00493146408
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            165606040.96000000
            INR
            2191446.01000000
            USD
            2020-10-28
            -53622.86000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -76442.26000000
        -0.00703006627
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            34168217.31000000
            SEK
            3742596.00000000
            USD
            2020-12-16
            -76442.26000000
          
        
        
          N
          N
          N
        
      
      
        ARD FINANCE SA
        6354006P6QPGGPVJW880
        ARD Finance SA
        00191AAD8
        
          
        
        2400000.00000000
        PA
        USD
        2388000.00000000
        0.219614101740
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2027-06-30
          Variable
          6.50000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        11344.97000000
        0.001043348155
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1382238.30000000
            CAD
            1049790.61000000
            USD
            2020-12-16
            11344.97000000
          
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2017-COR2 Mortgage Trust
        12595EAN5
        
          
        
        800000.00000000
        PA
        USD
        588755.37000000
        0.054145302230
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        549300KB1O80CETXGJ21
        Freddie Mac STACR Trust 2019-DNA3
        35564TBD1
        
          
        
        1335000.00000000
        PA
        USD
        1235534.22000000
        0.113626774662
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-07-25
          Floating
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CPG International Inc.
        N/A
        CPG International Inc. 2017 Term Loan
        12626JAE7
        
          
        
        1580669.23000000
        PA
        USD
        1573951.39000000
        0.144749548031
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-05-05
          Floating
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296MF20
        
          
        
        438.16000000
        PA
        USD
        498.91000000
        0.000045882609
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137A3MV8
        
          
        
        3126660.85000000
        PA
        USD
        74076.54000000
        0.006812501169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-11-15
          Floating
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        493581.33000000
        0.045392554616
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            19637340.67000000
            GBP
            25845725.20000000
            USD
            2020-12-16
            493581.33000000
          
        
        
          N
          N
          N
        
      
      
        REALOGY GROUP/CO-ISSUER
        N/A
        Realogy Group LLC / Realogy Co-Issuer Corp
        75606DAG6
        
          
        
        1585000.00000000
        PA
        USD
        1640475.00000000
        0.150867438673
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          9.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3402.97000000
        0.000312956532
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            776623.72000000
            USD
            1038627.83000000
            CAD
            2020-10-05
            3402.97000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac Structured Agency Credit Risk Debt Notes
        3137G0HW2
        
          
        
        1975854.67000000
        PA
        USD
        2085949.29000000
        0.191835795477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-25
          Floating
          5.73000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        24756.87000000
        0.002276782984
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1511550.13000000
            AUD
            116688646.00000000
            JPY
            2020-12-16
            24756.87000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        12780.57000000
        0.001175374120
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            897452.39000000
            EUR
            826392.11000000
            GBP
            2020-12-16
            12780.57000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226A4
        
          
        
        93000000.00000000
        PA
        USD
        97656528.60000000
        8.981051426964
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296XSF3
        
          
        
        644.60000000
        PA
        USD
        742.41000000
        0.000068276258
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GFL Environmental Inc
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        36168QAE4
        
          
        
        930000.00000000
        PA
        USD
        1009050.00000000
        0.092797993869
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-05-01
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        8716.34000000
        0.000801604346
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            448990.80000000
            USD
            35713850.71000000
            RUB
            2020-11-17
            8716.34000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QS2 Trust
        761118UQ9
        
          
        
        346551.53000000
        PA
        USD
        319226.15000000
        0.029357857698
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-02-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -32545.82000000
        -0.00299309925
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1103169.12000000
            USD
            83538308.99000000
            RUB
            2020-11-17
            -32545.82000000
          
        
        
          N
          N
          N
        
      
      
        ENCOMPASS HEALTH CORP
        549300FVRPM9DRQZRG64
        Encompass Health Corp
        29261AAA8
        
          
        
        1100000.00000000
        PA
        USD
        1105500.00000000
        0.101668086044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Truist Bank
        JJKC32MCHWDI71265Z06
        Truist Bank
        07330MAC1
        
          
        
        4025000.00000000
        PA
        USD
        4166559.25000000
        0.383180555710
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-17
          Fixed
          2.64000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO II, Ltd.
        549300RT6H1EOIYTDV62
        Halseypoint Clo 2 Ltd
        40638TAA0
        
          
        
        5800000.00000000
        PA
        USD
        5812075.60000000
        0.534511625687
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BG65
        
          
        
        1031964.36000000
        PA
        USD
        158863.07000000
        0.014609954111
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206B0
        
          
        
        42000000.00000000
        PA
        USD
        43346205.00000000
        3.986364269236
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -970.38000000
        -0.00008924168
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            900862.97000000
            GBP
            1162059.18000000
            USD
            2020-12-16
            -970.38000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RZ3
        
          
        
        10000.00000000
        PA
        USD
        12993.75000000
        0.001194979369
        Long
        DBT
        UST
        US
        N
        
        1
        
          2047-11-15
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -53294.41000000
        -0.00490125794
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            165694009.13000000
            INR
            2192967.02000000
            USD
            2020-10-28
            -53294.41000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABC8
        
          
        
        5000000.00000000
        PA
        USD
        5596795.00000000
        0.514713193698
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2017-P8
        17326DAM4
        
          
        
        1000000.00000000
        PA
        USD
        698090.40000000
        0.064200375263
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBD6
        
          
        
        775000.00000000
        PA
        USD
        828614.50000000
        0.076204116041
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSX CORP
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408HQ9
        
          
        
        5100000.00000000
        PA
        USD
        5451696.00000000
        0.501369061977
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382ET64
        
          
        
        9927399.13000000
        PA
        USD
        1944505.48000000
        0.178827815879
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-07-20
          Floating
          6.28000000
          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
        
          
        
        46700000.00000000
        OU
        Notional Amount
        
        401556.96000000
        0.036929468621
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-21
            13513.60000000
            AUD
            0.00000000
            AUD
            46700000.00000000
            AUD
            393017.10000000
          
        
        
          N
          N
          N
        
      
      
        Acis CLO LTD
        549300GLSPRHLAVL0K92
        ACIS CLO 2014-4 Ltd
        00100VAC4
        
          
        
        11182881.04000000
        PA
        USD
        11164462.83000000
        1.026747686694
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-05-01
          Floating
          1.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PetSmart Inc
        N/A
        PetSmart Inc
        716768AD8
        
          
        
        485000.00000000
        PA
        USD
        500762.50000000
        0.046052975972
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          8.88000000
          N
          N
          N
        
        
          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
        
          
        
        245910000.00000000
        OU
        Notional Amount
        
        1049505.99000000
        0.096518557481
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-05-16
            0.00000000
            AUD
            -190562.82000000
            AUD
            245910000.00000000
            AUD
            1784380.16000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02349A SWAPTION MAY21 0.49 CALL
        000000000
        
          
        
        -22200000.00000000
        NC
        USD
        -183309.84000000
        -0.01685821853
        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
                    
                      
                    
                    22200000.00000000
                    OU
                    Notional Amount
                    N/A
                    -183309.84000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-20
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  22200000.00000000
                  USD
                
              
            
            1.00000000
            0.49000000
            USD
            2021-05-18
            XXXX
            40910.16000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DH7
        
          
        
        825000.00000000
        PA
        USD
        938833.50000000
        0.086340483997
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296RH27
        
          
        
        565.43000000
        PA
        USD
        647.85000000
        0.000059579981
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        -12000000.00000000
        PA
        USD
        -12409942.80000000
        -1.14128912926
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -19598.12000000
        -0.00180235490
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1540922.17000000
            AUD
            1084322.28000000
            USD
            2020-12-16
            -19598.12000000
          
        
        
          N
          N
          N
        
      
      
        ING Groep NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        45685NAA4
        
          
        
        4000000.00000000
        PA
        USD
        4691440.00000000
        0.431451583530
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-01-06
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        468000.00000000
        PA
        USD
        376301.25000000
        0.034606809465
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2046-10-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTICE FRANCE SA
        5493001ZMCICV4N02J21
        Altice France SA/France
        02156LAA9
        
          
        
        420000.00000000
        PA
        USD
        457800.00000000
        0.042101899404
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-02-01
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M4EM1
        
          
        
        1085.31000000
        PA
        USD
        1250.00000000
        0.000114957130
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICE CORP INTL
        549300RKVM2ME20JHZ15
        Service Corp International/US
        817565CF9
        
          
        
        780000.00000000
        PA
        USD
        780000.00000000
        0.071733249312
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005809  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005809  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        12040000.00000000
        OU
        Notional Amount
        USD
        8833.75000000
        0.000812402039
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Colombia Government International Bond
                Colombia Government International Bond
                
                  
                  
                
              
            
            Y
            
            sell protection
            2023-12-20
            0.00000000
            USD
            -152951.36000000
            USD
            12040000.00000000
            USD
            161785.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1518.57000000
        0.000139656359
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1103169.12000000
            USD
            3779788.36000000
            ILS
            2020-12-16
            1518.57000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BX0
        
          
        
        1175000.00000000
        PA
        USD
        1192648.50000000
        0.109682759220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-05-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNIVISION COMMUNICATIONS
        549300YQDE2JSGTL8V47
        Univision Communications Inc
        914906AS1
        
          
        
        485000.00000000
        PA
        USD
        457112.50000000
        0.042038672982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: IBX00036  TRS USD R E IBOXHY INDEX / Short: IBX00036  TRS USD P V 03MLIBOR US0003M+ 0.00 BPS
        000000000
        
          
        
        5500000.00000000
        OU
        Notional Amount
        USD
        36040.68000000
        0.003314506517
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Markit iBoxx USD Liquid High Yield Index
                IBOXHY Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-03-22
            0.00000000
            USD
            0.00000000
            USD
            5500000.00000000
            USD
            36040.68000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BDB6
        
          
        
        8023063.12000000
        PA
        USD
        693976.51000000
        0.063822038472
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        OPS02258A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -35130000.00000000
        NC
        
        -115886.07000000
        -0.01065754403
        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
                    
                      
                    
                    35130000.00000000
                    OU
                    Notional Amount
                    N/A
                    -115886.07000000
                    -0.01000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  35130000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-21
            XXXX
            248127.13000000
          
        
        
          N
          N
          N
        
      
      
        CEDAR FAIR/CAN/MAGNUM/MI
        N/A
        Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp / Millennium Op
        150190AF3
        
          
        
        703000.00000000
        PA
        USD
        718817.50000000
        0.066106557612
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEE4
        
          
        
        2110000.00000000
        PA
        USD
        1991312.50000000
        0.183132456437
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2060-01-30
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSC HOLDINGS LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307BA4
        
          
        
        1000000.00000000
        PA
        USD
        1062500.00000000
        0.097713560761
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9853.62000000
        0.000906195102
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1100922.39000000
            USD
            7576162.57000000
            CNY
            2020-12-16
            9853.62000000
          
        
        
          N
          N
          N
        
      
      
        UPC Holding BV
        213800G1DU7LKI6ZCD69
        UPC Holding BV
        90320LAG2
        
          
        
        465000.00000000
        PA
        USD
        480112.50000000
        0.044153884180
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BY8
        
          
        
        1225000.00000000
        PA
        USD
        1246523.25000000
        0.114637388545
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        8767.25000000
        0.000806286320
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            898180.54000000
            EUR
            823945.92000000
            GBP
            2020-12-16
            8767.25000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        86046.70000000
        0.007913345363
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12206404.55000000
            USD
            1295001872.00000000
            JPY
            2020-12-16
            86046.70000000
          
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAK6
        
          
        
        475000.00000000
        PA
        USD
        544122.00000000
        0.050040562925
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        33795.65000000
        0.003108040752
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8492818.12000000
            EUR
            9999427.07000000
            USD
            2020-11-09
            33795.65000000
          
        
        
          N
          N
          N
        
      
      
        ZIGGO BOND CO BV
        213800JYI4P7V5QDOG59
        Ziggo Bond Co BV
        98953GAD7
        
          
        
        400000.00000000
        PA
        USD
        404000.00000000
        0.037154144515
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2030-02-28
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -54744.73000000
        -0.00503463764
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1102414.00000000
            USD
            23372279.21000000
            MXN
            2020-12-16
            -54744.73000000
          
        
        
          N
          N
          N
        
      
      
        eG Global Finance PLC
        549300TL8Q5207VYET27
        eG Global Finance PLC
        28228PAA9
        
          
        
        1413000.00000000
        PA
        USD
        1443026.25000000
        0.132708925327
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-02-07
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -5862.25000000
        -0.00053912594
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            544860.40000000
            GBP
            593895.37000000
            EUR
            2020-12-16
            -5862.25000000
          
        
        
          N
          N
          N
        
      
      
        STATION CASINOS LLC
        5493004E7Q60TX54WL62
        Station Casinos LLC
        857691AG4
        
          
        
        2153000.00000000
        PA
        USD
        1991525.00000000
        0.183151999149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -18761.99000000
        -0.00172545962
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            872867.05000000
            EUR
            3889517.40000000
            PLN
            2020-12-16
            -18761.99000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE II
        549300BHVD63HE2GHX17
        Huarong Finance II Co Ltd
        000000000
        
          
        
        450000.00000000
        PA
        USD
        491484.38000000
        0.045199707132
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2026-06-03
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -16376.16000000
        -0.00150604508
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            18770726.40000000
            ZAR
            1093792.51000000
            USD
            2020-12-17
            -16376.16000000
          
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BN6
        
          
        
        1600000.00000000
        PA
        USD
        2241808.00000000
        0.206169451505
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        OPS02214A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -8240000.00000000
        NC
        
        -4066.92000000
        -0.00037401716
        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
                    
                      
                    
                    8240000.00000000
                    OU
                    Notional Amount
                    N/A
                    -4066.92000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8240000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-02
            XXXX
            87878.42000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02777A SWAPTION EUR006M OCT20 NEG0.234 PUT
        000000000
        
          
        
        -25550000.00000000
        NC
        
        -126807.14000000
        -0.01166190793
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    25550000.00000000
                    OU
                    Notional Amount
                    N/A
                    -126807.14000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  25550000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23400000
            EUR
            2020-10-28
            XXXX
            -3812.63000000
          
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GR/DIAMON
        N/A
        Diamond Sports Group LLC / Diamond Sports Finance Co
        25277LAA4
        
          
        
        875000.00000000
        PA
        USD
        619062.50000000
        0.056932518785
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        23291.19000000
        0.002141990691
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1171156.63000000
            USD
            20195717.72000000
            ZAR
            2020-12-17
            23291.19000000
          
        
        
          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
        
          
        
        531100000.00000000
        OU
        Notional Amount
        
        7430573.81000000
        0.683357953392
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-12-16
            9703603.90000000
            CAD
            0.00000000
            CAD
            531100000.00000000
            CAD
            77943.52000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02763A SWAPTION EUR006M OCT20 NEG0.23 PUT
        000000000
        
          
        
        -25550000.00000000
        NC
        
        -100325.95000000
        -0.00922654664
        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
                    
                      
                    
                    25550000.00000000
                    OU
                    Notional Amount
                    N/A
                    -100325.95000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  25550000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23000000
            EUR
            2020-10-21
            XXXX
            27432.62000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296YGA5
        
          
        
        634.07000000
        PA
        USD
        730.29000000
        0.000067161634
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02353A SWAPTION MAY21 0.48 CALL
        000000000
        
          
        
        -21600000.00000000
        NC
        USD
        -171953.28000000
        -0.01581380449
        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
                    
                      
                    
                    21600000.00000000
                    OU
                    Notional Amount
                    N/A
                    -171953.28000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  21600000.00000000
                  USD
                
              
            
            1.00000000
            0.48000000
            USD
            2021-05-19
            XXXX
            47664.72000000
          
        
        
          N
          N
          N
        
      
      
        Dominion Energy Inc
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDG1
        
          
        
        2700000.00000000
        PA
        USD
        3042063.00000000
        0.279765466157
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -6431.78000000
        -0.00059150317
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10274369.33000000
            NOK
            1095324.02000000
            USD
            2020-12-16
            -6431.78000000
          
        
        
          N
          N
          N
        
      
      
        CHEMOURS CO
        549300M1BOLNXL8DOV14
        Chemours Co/The
        163851AE8
        
          
        
        550000.00000000
        PA
        USD
        547250.00000000
        0.050328231648
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599ED3
        
          
        
        1100000.00000000
        PA
        USD
        1013375.00000000
        0.093195745540
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214846  IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214846  IRS GBP P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        36550000.00000000
        OU
        Notional Amount
        
        -683994.31000000
        -0.06290401841
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-12-16
            0.00000000
            GBP
            -509952.58000000
            GBP
            36550000.00000000
            GBP
            -12514.60000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -5475.00000000
        -0.00050351223
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            112452729.00000000
            JPY
            1061951.79000000
            USD
            2020-12-16
            -5475.00000000
          
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Series 2006-QO1 Trust
        761118RM2
        
          
        
        1643657.04000000
        PA
        USD
        1090023.55000000
        0.100244783420
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2046-02-25
          Floating
          0.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT DEC20 XCBT 20201221
        000000000
        
          
        
        -533.00000000
        NC
        USD
        102118.01000000
        0.009391354705
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US 10 Year Ultra Bond
                UXYZ0 Comdty
              
            
            2020-12-21
            -85273852.39000000
            USD
            102118.01000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LK75
        
          
        
        6706.21000000
        PA
        USD
        7683.77000000
        0.000706643319
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENESIS ENERGY LP/FIN
        N/A
        Genesis Energy LP / Genesis Energy Finance Corp
        37185LAL6
        
          
        
        2620000.00000000
        PA
        USD
        2253200.00000000
        0.207217124808
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        14008219.85000000
        PA
        USD
        15104971.01000000
        1.389139296557
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BBVK5
        
          
        
        3761429.11000000
        PA
        USD
        625764.40000000
        0.057548863738
        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
        31296MGU7
        
          
        
        1120.75000000
        PA
        USD
        1284.12000000
        0.000118095000
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SOUTH AFRICA
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205BB9
        
          
        
        670000.00000000
        PA
        USD
        567196.88000000
        0.052162660515
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2049-09-30
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET CORP
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BK8
        
          
        
        175000.00000000
        PA
        USD
        199118.50000000
        0.018312073081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-30
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MILEAGE PLUS HLDINGS LLC
        N/A
        Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
        599191AA1
        
          
        
        870000.00000000
        PA
        USD
        904800.00000000
        0.083210569202
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERC HOLDINGS INC
        549300TP80QLITMSBP82
        Herc Holdings Inc
        42704LAA2
        
          
        
        2330000.00000000
        PA
        USD
        2399900.00000000
        0.220708493621
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2639.00000000
        0.000242697493
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1155348.30000000
            USD
            896957.32000000
            GBP
            2020-12-16
            2639.00000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02694A SWAPTION EUR006M DEC20 0.10 PUT
        000000000
        
          
        
        -7630000.00000000
        NC
        
        -5586.65000000
        -0.00051378020
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    7630000.00000000
                    OU
                    Notional Amount
                    N/A
                    -5586.65000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-12-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7630000.00000000
                  EUR
                
              
            
            1.00000000
            0.10000000
            EUR
            2020-12-01
            XXXX
            16225.68000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        17470.16000000
        0.001606655567
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            84467350.00000000
            RUB
            1100000.00000000
            USD
            2020-11-17
            17470.16000000
          
        
        
          N
          N
          N
        
      
      
        SCRIPPS ESCROW INC
        N/A
        Scripps Escrow Inc
        81104PAA7
        
          
        
        1555000.00000000
        PA
        USD
        1508350.00000000
        0.138716470000
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAX8
        
          
        
        1900000.00000000
        PA
        USD
        1968818.00000000
        0.181063733903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911363AM1
        
          
        
        1070000.00000000
        PA
        USD
        1086050.00000000
        0.099879353096
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OC8
        232434AD2
        
          
        
        325858.09000000
        PA
        USD
        346611.21000000
        0.031876344027
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
        
        4797515.60000000
        PA
        
        6165392.91000000
        0.567004700924
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        31543.77000000
        0.002900945022
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7656385.69000000
            TRY
            1012213.87000000
            USD
            2020-11-10
            31543.77000000
          
        
        
          N
          N
          N
        
      
      
        SIRIUS XM RADIO INC
        WP5O65E6BMU84LNO4227
        Sirius XM Radio Inc
        82967NBE7
        
          
        
        1310000.00000000
        PA
        USD
        1352575.00000000
        0.124390512421
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAW9
        
          
        
        3725000.00000000
        PA
        USD
        4270340.00000000
        0.392724825471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAP6
        
          
        
        1550000.00000000
        PA
        USD
        1592144.50000000
        0.146422690204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WOLVERINE ESCROW LLC
        N/A
        Wolverine Escrow LLC
        97789LAB2
        
          
        
        460000.00000000
        PA
        USD
        378350.00000000
        0.034795224201
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-15
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378VX75
        
          
        
        10152739.72000000
        PA
        USD
        1612789.10000000
        0.148321285382
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-04-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297CWV8
        
          
        
        298527.73000000
        PA
        USD
        342042.54000000
        0.031456183073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABA2
        
          
        
        2575000.00000000
        PA
        USD
        2824981.00000000
        0.259801367147
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        120000.00000000
        PA
        
        143331.99000000
        0.013181627401
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arch Capital Finance LLC
        549300XG4URFY0200M65
        Arch Capital Finance LLC
        03939CAA1
        
          
        
        2253000.00000000
        PA
        USD
        2612759.04000000
        0.240284225139
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Envision Healthcare Corp
        549300OL60X0LPKY8N60
        Envision Healthcare Corp
        29373TAA2
        
          
        
        1175000.00000000
        PA
        USD
        564000.00000000
        0.051868657195
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-15
          Fixed
          8.75000000
          N
          N
          N
        
        
          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
        
          
        
        68450000.00000000
        OU
        Notional Amount
        
        -180130.53000000
        -0.01656583104
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-09-08
            22611.99000000
            EUR
            0.00000000
            EUR
            68450000.00000000
            EUR
            -206795.07000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13279.79000000
        0.001221285239
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1184237.39000000
            USD
            26715211.28000000
            MXN
            2020-12-16
            13279.79000000
          
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AH4
        
          
        
        261000.00000000
        PA
        USD
        275028.75000000
        0.025293212681
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GT2
        
          
        
        1890000.00000000
        PA
        USD
        2012661.00000000
        0.185095786274
        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 COP
        000000000
        
          
        
        1.00000000
        NC
        
        -9328.60000000
        -0.00085791126
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11834596036.44000000
            COP
            3082247.12000000
            USD
            2020-10-05
            -9328.60000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EG4G6
        
          
        
        6238.73000000
        PA
        USD
        6984.19000000
        0.000642305951
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-10-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO II, Ltd.
        549300RT6H1EOIYTDV62
        Halseypoint Clo 2 Ltd
        40638TAG7
        
          
        
        2800000.00000000
        PA
        USD
        2810782.80000000
        0.258495619685
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
        
        310000.00000000
        PA
        USD
        264129.70000000
        0.024290873872
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BX002990  CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX002990  CDS EUR P F  1.00000 2 CCPCDX
        000000000
        
          
        
        16950000.00000000
        OU
        Notional Amount
        
        -420566.84000000
        -0.03867772562
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S34.V1
                2I666VCX1
              
            
            Y
            buy protection
            
            2025-12-20
            0.00000000
            EUR
            -367352.65000000
            EUR
            16950000.00000000
            EUR
            9682.68000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NBE8
        
          
        
        42000.00000000
        PA
        USD
        44135.70000000
        0.004058970732
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-15
          Fixed
          5.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP Transmission Co LLC
        549300X123Z1I0LA3Y84
        AEP Transmission Co LLC
        00115AAM1
        
          
        
        575000.00000000
        PA
        USD
        677033.75000000
        0.062263885617
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAD4
        
          
        
        2425000.00000000
        PA
        USD
        2429704.50000000
        0.223449485453
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417YF44
        
          
        
        5793.04000000
        PA
        USD
        6384.48000000
        0.000587153199
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-09-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Greywolf CLO Ltd
        5493002TWMA4NNPZ2B66
        Greywolf CLO III Ltd
        39809CAS3
        
          
        
        6000000.00000000
        PA
        USD
        5769924.00000000
        0.530635124108
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-15
          Floating
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        iHeartCommunications Inc
        54930076J6KDZL504O62
        iHeartCommunications Inc
        45174HBD8
        
          
        
        430000.00000000
        PA
        USD
        423550.00000000
        0.038952074033
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          8.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138AFFB1
        
          
        
        4371.47000000
        PA
        USD
        4893.81000000
        0.000450062683
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        N/A
        Access Group Inc 2015-1
        00435TAA9
        
          
        
        17780852.24000000
        PA
        USD
        17412164.49000000
        1.601321969778
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2056-07-25
          Floating
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GROUP 1 AUTOMOTIVE INC
        549300US8QAZJLWYAF63
        Group 1 Automotive Inc
        398905AN9
        
          
        
        631000.00000000
        PA
        USD
        619957.50000000
        0.057014828090
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAJ0
        
          
        
        1500000.00000000
        PA
        USD
        1333125.00000000
        0.122601779473
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-02-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMMIT MATERIALS LLC/FIN
        N/A
        Summit Materials LLC / Summit Materials Finance Corp
        86614RAM9
        
          
        
        520000.00000000
        PA
        USD
        551200.00000000
        0.050691496180
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LABL ESCROW ISSUER LLC
        N/A
        LABL Escrow Issuer LLC
        50168AAB6
        
          
        
        450000.00000000
        PA
        USD
        472500.00000000
        0.043453795256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -27008.92000000
        -0.00248389434
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10411087.71000000
            NOK
            1089407.66000000
            USD
            2020-12-16
            -27008.92000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
        
        3325000.00000000
        PA
        USD
        3654507.50000000
        0.336089355911
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BS58
        
          
        
        32107.41000000
        PA
        USD
        35892.38000000
        0.003300868003
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297BBH4
        
          
        
        7793.90000000
        PA
        USD
        8976.58000000
        0.000825537501
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3100.81000000
        0.000285168175
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1065318.18000000
            USD
            112557257.00000000
            JPY
            2020-12-16
            3100.81000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YRQ0
        
          
        
        2219981.40000000
        PA
        USD
        342840.39000000
        0.031529557910
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -12582.40000000
        -0.00115714927
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            233241132.00000000
            JPY
            2201395.28000000
            USD
            2020-12-16
            -12582.40000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3793.76000000
        -0.00034889581
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1045342.44000000
            USD
            7103990.42000000
            CNY
            2020-12-16
            -3793.76000000
          
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        55342UAJ3
        
          
        
        2270000.00000000
        PA
        USD
        2358507.30000000
        0.216901784814
        Long
        DBT
        
        US
        N
        
        2
        
          2029-08-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1506.37000000
        -0.00013853437
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            900414.54000000
            EUR
            970372.25000000
            CHF
            2020-12-16
            -1506.37000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02752A SWAPTION US0003M OCT20 0.70 CALL
        000000000
        
          
        
        -30590000.00000000
        NC
        USD
        -98255.08000000
        -0.00903609762
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    30590000.00000000
                    OU
                    Notional Amount
                    N/A
                    -98255.08000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  30590000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-19
            XXXX
            59665.79000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CP9
        
          
        
        1915000.00000000
        PA
        USD
        1915000.00000000
        0.176114323631
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        000000000
        
          
        
        450000.00000000
        PA
        USD
        470250.00000000
        0.043246872421
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-04-06
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PetSmart Inc
        N/A
        PetSmart Inc
        716768AC0
        
          
        
        565000.00000000
        PA
        USD
        575593.75000000
        0.052934884578
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
        
        810000.00000000
        PA
        USD
        877278.60000000
        0.080679544269
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAH3
        
          
        
        480000.00000000
        PA
        USD
        492600.00000000
        0.045302305911
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-02-14
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NOVELIS CORP
        549300G5F3W3B52WYL23
        Novelis Corp</