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Form NPORT-P GOLDMAN SACHS TRUST For: Sep 30

FREE Breaking News Alerts from StreetInsider.com!

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StreetInsider.com Top Tickers, 4/24/2024

1. TSLA
2. ENPH
3. TXN
4. BA
5. SPOT
6. META
7. V
8. IBM
9. KMB
10. HCP


November 27, 2020 6:03 AM EST 

  
    NPORT-P
    false
    
      
      
        
          0000822977
          XXXXXXXX
        
      
      
      
      
        S000013795
        C000058985
        C000161293
        C000037820
        C000202041
        C000041010
        C000058984
        C000037818
        C000037819
      
      
      
    
  
  
    
      GOLDMAN SACHS TRUST
      811-05349
      0000822977
      S2FHCT8U6D2VORP0J605
      71  SOUTH WACKER DRIVE
      C/O GOLDMAN SACHS & CO
      CHICAGO
      
      60606
      312-655-4400
      Goldman Sachs Bond Fund
      S000013795
      K5ZYN8ZUQE8S5OUPBU26
      2021-03-31
      2020-09-30
      N
    
    
      768558322.44
      264762477.02
      503795845.42
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      114174158.90000000
      0.00000000
      0.00000000
      15445166.41000000
      
        
          MXN
          
          
        
        
          AUD
          
          
        
        
          CZK
          
          
        
        
          GBP
          
          
        
        
          COP
          
          
        
        
          KRW
          
          
        
        
          INR
          
          
        
        
          SGD
          
          
        
        
          TWD
          
          
        
        
          USD
          
          
        
        
          CHF
          
          
        
        
          ZAR
          
          
        
        
          HUF
          
          
        
        
          RUB
          
          
        
        
          CAD
          
          
        
        
          CLP
          
          
        
        
          BRL
          
          
        
        
          ILS
          
          
        
        
          NOK
          
          
        
        
          CNY
          
          
        
        
          NZD
          
          
        
        
          IDR
          
          
        
        
          TRY
          
          
        
        
          PLN
          
          
        
        
          EUR
          
          
        
        
          JPY
          
          
        
        
          SEK
          
          
        
        
          MYR
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        387.22000000
        0.000076860498
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1743852.79000000
            PLN
            384515.08000000
            EUR
            2020-12-16
            387.22000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHERN CO
        549300FC3G3YU2FBZD92
        Southern Co/The
        842587CV7
        
          
        
        1050000.00000000
        PA
        USD
        1170771.00000000
        0.232389967214
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USU7
        
          
        
        1825785.55000000
        PA
        USD
        1941328.20000000
        0.385340255908
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAU0
        
          
        
        175000.00000000
        PA
        USD
        189679.00000000
        0.037649973044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WMG ACQUISITION CORP
        549300NAS11NXI33CP80
        WMG Acquisition Corp
        92933BAQ7
        
          
        
        1141000.00000000
        PA
        USD
        1172377.50000000
        0.232708846382
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) DEC20 XCBT 20201221
        000000000
        
          
        
        42.00000000
        NC
        USD
        -27874.57000000
        -0.00553290985
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Long Bond
                USZ0 Comdty
              
            
            2020-12-21
            7425124.57000000
            USD
            -27874.57000000
          
        
        
          N
          N
          N
        
      
      
        Entercom Media Corp
        549300S5JUSXRHNCHD80
        Entercom Media Corp
        124847AC8
        
          
        
        400000.00000000
        PA
        USD
        341000.00000000
        0.067686147692
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-11-01
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAH7
        
          
        
        1125000.00000000
        PA
        USD
        1177920.00000000
        0.233808994398
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          2.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4948.92000000
        0.000982326481
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            267864.22000000
            USD
            6086142.94000000
            MXN
            2020-12-16
            4948.92000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AR2
        
          
        
        20000.00000000
        PA
        USD
        25593.40000000
        0.005080113350
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-01-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206B0
        
          
        
        14000000.00000000
        PA
        USD
        14448735.00000000
        2.867974226336
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAK6
        
          
        
        30000.00000000
        PA
        USD
        36329.10000000
        0.007211075742
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Coca-Cola Co/The
        UWJKFUJFZ02DKWI3RY53
        Coca-Cola Co/The
        191216BE9
        
          
        
        30000.00000000
        PA
        USD
        32612.40000000
        0.006473336431
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Welltower Inc
        T6IZ0MBEG5ACZDTR7D06
        Welltower Inc
        95040QAG9
        
          
        
        65000.00000000
        PA
        USD
        70344.30000000
        0.013962858296
        Long
        DBT
        
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BZ2
        
          
        
        1875000.00000000
        PA
        USD
        2043018.75000000
        0.405525128595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-04
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7LA2
        
          
        
        638.85000000
        PA
        USD
        731.97000000
        0.000145290995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAR2
        
          
        
        75000.00000000
        PA
        USD
        82138.50000000
        0.016303925637
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214846  IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214846  IRS GBP P F   .50000 2 CCPVANILLA
        000000000
        
          
        
        5040000.00000000
        OU
        Notional Amount
        
        -94318.23000000
        -0.01872151802
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-12-16
            0.00000000
            GBP
            -70319.04000000
            GBP
            5040000.00000000
            GBP
            -1725.68000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAK1
        
          
        
        400000.00000000
        PA
        USD
        412752.00000000
        0.081928424728
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2024-01-16
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAQ1
        
          
        
        225000.00000000
        PA
        USD
        257071.50000000
        0.051026919403
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Pool
        3132DMC60
        
          
        
        9418907.41000000
        PA
        USD
        10320450.75000000
        2.048538280699
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIS NORTH AMERICA INC
        5493004KVU1HWZCP0C66
        Willis North America Inc
        970648AJ0
        
          
        
        205000.00000000
        PA
        USD
        221404.10000000
        0.043947186546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: CS005629  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005629  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        140000.00000000
        OU
        Notional Amount
        USD
        -2084.68000000
        -0.00041379459
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2022-06-20
            0.00000000
            USD
            -526.60000000
            USD
            140000.00000000
            USD
            -1558.08000000
          
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDK4
        
          
        
        550000.00000000
        PA
        USD
        621857.50000000
        0.123434424013
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005453  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005453  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        120000.00000000
        OU
        Notional Amount
        USD
        -242.47000000
        -0.00004812862
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2020-12-20
            37.16000000
            USD
            0.00000000
            USD
            120000.00000000
            USD
            -279.63000000
          
        
        
          N
          N
          N
        
      
      
        Johnson & Johnson
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160BU7
        
          
        
        60000.00000000
        PA
        USD
        72630.00000000
        0.014416553979
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-03-01
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MAY6
        
          
        
        4585.71000000
        PA
        USD
        5058.62000000
        0.001004101174
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312933AN4
        
          
        
        5708.85000000
        PA
        USD
        6521.99000000
        0.001294570024
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAQ4
        
          
        
        50000.00000000
        PA
        USD
        57253.50000000
        0.011364424800
        Long
        DBT
        
        US
        N
        
        2
        
          2050-07-01
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138YDZ28
        
          
        
        17966.76000000
        PA
        USD
        19287.39000000
        0.003828413865
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214875  IRS USD R F  1.00000 2 CCPVANILLA / Short: SR214875  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        1510000.00000000
        OU
        Notional Amount
        USD
        39390.16000000
        0.007818675036
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            44063.66000000
            USD
            0.00000000
            USD
            1510000.00000000
            USD
            -4673.50000000
          
        
        
          N
          N
          N
        
      
      
        MARSH & MCLENNAN COS INC
        549300XMP3KDCKJXIU47
        Marsh & McLennan Cos Inc
        571748BG6
        
          
        
        575000.00000000
        PA
        USD
        695635.00000000
        0.138078748827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Magnetite CLO Ltd
        549300P6T1S83Z2MDF55
        Magnetite XXIV Ltd
        55954WAA7
        
          
        
        2000000.00000000
        PA
        USD
        1995578.00000000
        0.396108466979
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2018-R07
        20753QAE9
        
          
        
        341234.43000000
        PA
        USD
        339512.25000000
        0.067390839580
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-04-25
          Floating
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse First Boston Mortgage Securities
        N/A
        Credit Suisse First Boston Mortgage Securities Corp
        22540A7A0
        
          
        
        859.72000000
        PA
        USD
        825.72000000
        0.000163899723
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-01-25
          Floating
          0.77000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348AW6
        
          
        
        500000.00000000
        PA
        USD
        562805.00000000
        0.111712910123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUMMIT MATERIALS LLC/FIN
        N/A
        Summit Materials LLC / Summit Materials Finance Corp
        86614RAN7
        
          
        
        413000.00000000
        PA
        USD
        430036.25000000
        0.085359229122
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1896.86000000
        0.000376513624
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            392678.56000000
            USD
            6671479.15000000
            ZAR
            2020-12-17
            1896.86000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        5023.82000000
        0.000997193614
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2643015.24000000
            TRY
            345718.15000000
            USD
            2020-10-19
            5023.82000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        7573.70000000
        0.001503327204
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            580092.37000000
            CAD
            443384.51000000
            USD
            2020-12-16
            7573.70000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        5122.62000000
        0.001016804732
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            9758365.58000000
            MXN
            442544.22000000
            USD
            2020-12-16
            5122.62000000
          
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AZ7
        
          
        
        25000.00000000
        PA
        USD
        34090.75000000
        0.006766778708
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-10-23
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CZK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10354.73000000
        -0.00205534247
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            444519.12000000
            USD
            10011304.04000000
            CZK
            2020-12-16
            -10354.73000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -5076.41000000
        -0.00100763236
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            94101829.00000000
            JPY
            888159.48000000
            USD
            2020-12-16
            -5076.41000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        16445.96000000
        0.003264409611
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2518735.56000000
            TRY
            340714.99000000
            USD
            2020-10-23
            16445.96000000
          
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0426A6
        
          
        
        -5000000.00000000
        PA
        USD
        -5408983.00000000
        -1.07364581291
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-10-11
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214051  IRS USD R F  1.75000 2 CCPVANILLA / Short: SR214051  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        8210000.00000000
        OU
        Notional Amount
        USD
        281077.56000000
        0.055791956713
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-06-18
            285835.77000000
            USD
            0.00000000
            USD
            8210000.00000000
            USD
            -4758.21000000
          
        
        
          N
          N
          N
        
      
      
        Mars Inc
        54930073HKEO6GZBSS03
        Mars Inc
        571676AA3
        
          
        
        225000.00000000
        PA
        USD
        242860.50000000
        0.048206133934
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Commercial Mortgage Trust
        N/A
        Banc of America Commercial Mortgage Trust 2016-UBS10
        06054MAW3
        
          
        
        500000.00000000
        PA
        USD
        388364.87000000
        0.077087747652
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214840  IRS EUR R F   .00000 CCPVANILLA / Short: SR214840  IRS EUR P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        4180000.00000000
        OU
        Notional Amount
        
        -1401.64000000
        -0.00027821587
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-12-16
            0.00000000
            EUR
            -4777.37000000
            EUR
            4180000.00000000
            EUR
            4240.40000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage Securities LLC
        N/A
        BBCMS MORTGAGE TRUST 2017-C1
        07332VAA3
        
          
        
        150000.00000000
        PA
        USD
        114280.68000000
        0.022683926641
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-02-15
          Variable
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -6415.94000000
        -0.00127351983
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            175646.35000000
            USD
            1314484.59000000
            TRY
            2020-10-23
            -6415.94000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DT9
        
          
        
        470000.00000000
        PA
        USD
        489975.00000000
        0.097256657523
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2051-05-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382AES0
        
          
        
        1094096.67000000
        PA
        USD
        131564.91000000
        0.026114727065
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROCTER & GAMBLE CO/THE
        2572IBTT8CCZW6AU4141
        Procter & Gamble Co/The
        742718FG9
        
          
        
        45000.00000000
        PA
        USD
        50494.50000000
        0.010022809925
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-25
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LUKOIL SECURITIES BV
        724500IVNQ6LF8OFIO42
        Lukoil Securities BV
        54988LAB2
        
          
        
        210000.00000000
        PA
        USD
        221942.70000000
        0.044054094931
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-05-06
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAM6
        
          
        
        65000.00000000
        PA
        USD
        71105.45000000
        0.014113941320
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-04
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BURLINGTON COAT FACTORY
        549300SIFDMGE3Y2SW49
        Burlington Coat Factory Warehouse Corp
        121579AH9
        
          
        
        538000.00000000
        PA
        USD
        566245.00000000
        0.112395726393
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214324  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214324  IRS USD P F   .85500 2 CCPVANILLA
        000000000
        
          
        
        2560000.00000000
        OU
        Notional Amount
        USD
        49677.82000000
        0.009860704579
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2045-04-09
            92.16000000
            USD
            0.00000000
            USD
            2560000.00000000
            USD
            49585.66000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005864  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005864  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        825000.00000000
        OU
        Notional Amount
        USD
        18973.68000000
        0.003766144594
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Prudential Financial Inc
                Prudential Financial Inc
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            10356.02000000
            USD
            0.00000000
            USD
            825000.00000000
            USD
            8617.66000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312941Z42
        
          
        
        3174.68000000
        PA
        USD
        3640.15000000
        0.000722544664
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PFIZER INC
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081EW9
        
          
        
        200000.00000000
        PA
        USD
        222152.00000000
        0.044095639537
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR214655  IRS BRL R F  4.93000 2 CCPNDFPREDISWAP / Short: SR214655  IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
        000000000
        
          
        
        4840000.00000000
        OU
        Notional Amount
        
        -9014.13000000
        -0.00178924262
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-02
            620.68000000
            BRL
            0.00000000
            BRL
            4840000.00000000
            BRL
            -9128.49000000
          
        
        
          N
          N
          N
        
      
      
        STRYKER CORP
        5493002F0SC4JTBU5137
        Stryker Corp
        863667AY7
        
          
        
        850000.00000000
        PA
        USD
        866277.50000000
        0.171950107940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1731.29000000
        -0.00034364912
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            892327.10000000
            USD
            6074400.73000000
            CNY
            2020-12-16
            -1731.29000000
          
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAC3
        
          
        
        105000.00000000
        PA
        USD
        114519.30000000
        0.022731291065
        Long
        DBT
        
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VCK8
        
          
        
        925000.00000000
        PA
        USD
        1258675.25000000
        0.249838354453
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-21
          Fixed
          4.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851BD0
        
          
        
        1125000.00000000
        PA
        USD
        1125022.50000000
        0.223309205549
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-01-15
          Floating
          0.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        473.95000000
        0.000094075805
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445910.31000000
            USD
            32927243.54000000
            INR
            2020-10-28
            473.95000000
          
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        American Express Co
        025816BL2
        
          
        
        345000.00000000
        PA
        USD
        311793.75000000
        0.061888908539
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-12-15
          Variable
          3.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135AN6
        
          
        
        50000.00000000
        PA
        USD
        56270.50000000
        0.011169306081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHG7
        
          
        
        55000.00000000
        PA
        USD
        63088.85000000
        0.012522701521
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-05
          Fixed
          3.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179N5W4
        
          
        
        4728.16000000
        PA
        USD
        5183.26000000
        0.001028841354
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ING GROEP NV
        549300NYKK9MWM7GGW15
        ING Groep NV
        456837AU7
        
          
        
        950000.00000000
        PA
        USD
        959690.00000000
        0.190491844806
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2026-07-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214841  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214841  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        40520000.00000000
        OU
        Notional Amount
        
        -406181.04000000
        -0.08062413449
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-12-16
            0.00000000
            EUR
            -322270.66000000
            EUR
            40520000.00000000
            EUR
            -6430.86000000
          
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152BM2
        
          
        
        115000.00000000
        PA
        USD
        126804.75000000
        0.025169868142
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-02-01
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREAT-WEST LIFECO FIN 18
        N/A
        Great-West Lifeco Finance 2018 LP
        39138QAA3
        
          
        
        325000.00000000
        PA
        USD
        379307.50000000
        0.075289922187
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2028-05-17
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        149820.00000000
        PA
        USD
        75284.55000000
        0.014943463842
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2040-07-31
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4884.87000000
        0.000969612997
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356495.13000000
            USD
            8061966.25000000
            MXN
            2020-12-16
            4884.87000000
          
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN INC/DELAWA
        549300WR7IX8XE0TBO16
        Kinder Morgan Inc
        28368EAE6
        
          
        
        500.00000000
        PA
        USD
        695.83000000
        0.000138117454
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANADIAN PACIFIC RAILWAY
        54930036474DURYNB481
        Canadian Pacific Railway Co
        13648TAA5
        
          
        
        200000.00000000
        PA
        USD
        208812.00000000
        0.041447741560
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-03-05
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US Bancorp
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        91159HHR4
        
          
        
        60000.00000000
        PA
        USD
        67652.40000000
        0.013428534716
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-27
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        70000.00000000
        PA
        
        80866.07000000
        0.016051357059
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2032-01-28
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        000000000
        
          
        
        200000.00000000
        PA
        USD
        177000.00000000
        0.035133279007
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2026-10-31
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVANGRID INC
        549300OX0Q38NLSKPB49
        Avangrid Inc
        05351WAC7
        
          
        
        275000.00000000
        PA
        USD
        302626.50000000
        0.060069272653
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WPX ENERGY INC
        ZXZE9GCS2BB547GJW219
        WPX Energy Inc
        98212BAM5
        
          
        
        340000.00000000
        PA
        USD
        355300.00000000
        0.070524599047
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROSS STORES INC
        549300ENZFLPGRDFZQ60
        Ross Stores Inc
        778296AC7
        
          
        
        30000.00000000
        PA
        USD
        35359.50000000
        0.007018616830
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEDANTA HD MAURITIUS II
        894500ANJHA7BPW5U641
        Vedanta Holdings Mauritius II Ltd
        92243WAA1
        
          
        
        200000.00000000
        PA
        USD
        206000.00000000
        0.040889578957
        Long
        DBT
        CORP
        MU
        
        N
        
        2
        
          2023-08-21
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAJ9
        
          
        
        2050000.00000000
        PA
        USD
        2511701.00000000
        0.498555322127
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2046-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        XLIT Ltd
        635400XCGXK8NVDIVE95
        XLIT Ltd
        98420EAC9
        
          
        
        775000.00000000
        PA
        USD
        873401.75000000
        0.173364222420
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-03-31
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PAY4
        
          
        
        500000.00000000
        PA
        USD
        562780.00000000
        0.111707947795
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MVJ0
        
          
        
        283527.83000000
        PA
        USD
        50545.67000000
        0.010032966817
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          6.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANTERO MIDSTREAM PART/FI
        N/A
        Antero Midstream Partners LP / Antero Midstream Finance Corp
        03690AAD8
        
          
        
        900000.00000000
        PA
        USD
        742500.00000000
        0.147381128040
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -4951.76000000
        -0.00098289020
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            641686.05000000
            NZD
            419526.00000000
            USD
            2020-12-16
            -4951.76000000
          
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BG3
        
          
        
        372000.00000000
        PA
        USD
        456127.80000000
        0.090538221810
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-12-15
          Fixed
          4.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214905  IRS CHF R F   .00000 CCPVANILLA / Short: SR214905  IRS CHF P V 06MLIBOR CCPVANILLA
        000000000
        
          
        
        16310000.00000000
        OU
        Notional Amount
        
        -31808.96000000
        -0.00631385913
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-12-16
            0.00000000
            CHF
            -59515.83000000
            CHF
            16310000.00000000
            CHF
            33075.57000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002967  CDS USD R F  1.00000 2 CCPCDX / Short: SX002967  CDS USD P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        12475000.00000000
        OU
        Notional Amount
        USD
        104927.23000000
        0.020827331339
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S34.V1
                2I65BYDW2
              
            
            Y
            
            sell protection
            2023-06-20
            145104.98000000
            USD
            0.00000000
            USD
            12475000.00000000
            USD
            -40177.75000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214650  IRS PLN R F   .75000 2 CCPVANILLA / Short: SR214650  IRS PLN P V 06MWIBOR 1 CCPVANILLA
        000000000
        
          
        
        3690000.00000000
        OU
        Notional Amount
        
        10308.87000000
        0.002046239581
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            0.00000000
            PLN
            -2900.18000000
            PLN
            3690000.00000000
            PLN
            11088.49000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAY5
        
          
        
        155000.00000000
        PA
        USD
        196239.30000000
        0.038952147339
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-15
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        05565AHN6
        
          
        
        200000.00000000
        PA
        USD
        211762.00000000
        0.042033296210
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-03-25
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAX8
        
          
        
        650000.00000000
        PA
        USD
        673543.00000000
        0.133693639223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHL6
        
          
        
        875000.00000000
        PA
        USD
        947765.00000000
        0.188124814568
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-23
          Fixed
          3.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02773A SWAPTION EUR006M JAN21 NEG0.25 CALL
        000000000
        
          
        
        -2340000.00000000
        NC
        
        -19205.83000000
        -0.00381222476
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    2340000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19205.83000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2340000.00000000
                  EUR
                
              
            
            1.00000000
            -0.25000000
            EUR
            2021-01-14
            XXXX
            1878.83000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        45014.35000000
        0.008935037954
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11983628.60000000
            EUR
            14106828.00000000
            USD
            2020-11-09
            45014.35000000
          
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAH8
        
          
        
        275000.00000000
        PA
        USD
        298729.75000000
        0.059295794658
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2029-11-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BW8
        
          
        
        580000.00000000
        PA
        USD
        657511.20000000
        0.130511437515
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206B6
        
          
        
        25000000.00000000
        PA
        USD
        25927242.50000000
        5.146378783331
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -2898.46000000
        -0.00057532431
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            364258.06000000
            GBP
            467364.95000000
            USD
            2020-12-16
            -2898.46000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2069.65000000
        -0.00041081124
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            431826.16000000
            USD
            365889.26000000
            EUR
            2020-12-16
            -2069.65000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAR0
        
          
        
        53000.00000000
        PA
        USD
        57334.34000000
        0.011380470982
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NRG Energy Inc
        5E2UPK5SW04M13XY7I38
        NRG Energy Inc
        629377CK6
        
          
        
        675000.00000000
        PA
        USD
        721872.00000000
        0.143286612337
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPLIED MATERIALS INC
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222AN5
        
          
        
        275000.00000000
        PA
        USD
        282936.50000000
        0.056160943479
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bombardier Inc
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BM2
        
          
        
        150000.00000000
        PA
        USD
        112125.00000000
        0.022256039032
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-03-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TICP CLO Ltd
        N/A
        TICP CLO VIII Ltd
        87248WAA6
        
          
        
        2000000.00000000
        PA
        USD
        1990906.00000000
        0.395181107208
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-10-20
          Floating
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CK4
        
          
        
        125000.00000000
        PA
        USD
        131091.25000000
        0.026020708823
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCELORMITTAL
        2EULGUTUI56JI9SAL165
        ArcelorMittal SA
        03938LBC7
        
          
        
        325000.00000000
        PA
        USD
        342875.00000000
        0.068058322258
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-07-16
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        942.42000000
        0.000187063868
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            267513.61000000
            USD
            1027653532.82000000
            COP
            2020-10-05
            942.42000000
          
        
        
          N
          N
          N
        
      
      
        Dollar Tree Inc
        549300PMSTQITB1WHR43
        Dollar Tree Inc
        256746AG3
        
          
        
        525000.00000000
        PA
        USD
        591648.75000000
        0.117438195526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        9031.14000000
        0.001792618990
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1654202080.89000000
            COP
            441161.73000000
            USD
            2020-10-05
            9031.14000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GEN5
        
          
        
        5000.00000000
        PA
        USD
        7376.05000000
        0.001464095043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-02-07
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2721.12000000
        0.000540123549
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            432509.67000000
            USD
            370550.00000000
            EUR
            2020-12-16
            2721.12000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -2318.53000000
        -0.00046021221
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3062981.28000000
            CNY
            446759.23000000
            USD
            2020-12-16
            -2318.53000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABC8
        
          
        
        1050000.00000000
        PA
        USD
        1175326.95000000
        0.233294291861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Non Gold Pool
        3128QJ4T0
        
          
        
        23672.87000000
        PA
        USD
        24835.71000000
        0.004929717111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-09-01
          Floating
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214854  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214854  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        14900000.00000000
        OU
        Notional Amount
        
        -118331.42000000
        -0.02348797058
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-12-16
            0.00000000
            EUR
            -75837.83000000
            EUR
            14900000.00000000
            EUR
            -28745.05000000
          
        
        
          N
          N
          N
        
      
      
        NEWCREST FINANCE PTY LTD
        549300I0XDZ4K7PDSS04
        Newcrest Finance Pty Ltd
        65120FAD6
        
          
        
        150000.00000000
        PA
        USD
        163626.00000000
        0.032478632264
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2030-05-13
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -7142.61000000
        -0.00141775881
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            617636.06000000
            AUD
            435333.37000000
            USD
            2020-12-16
            -7142.61000000
          
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CQ7
        
          
        
        625000.00000000
        PA
        USD
        634375.00000000
        0.125919061414
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENESIS ENERGY LP/FIN
        N/A
        Genesis Energy LP / Genesis Energy Finance Corp
        37185LAJ1
        
          
        
        400000.00000000
        PA
        USD
        342000.00000000
        0.067884640794
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Mortgage Loan Trust
        N/A
        Morgan Stanley Mortgage Loan Trust 2007-7AX
        61754HAA0
        
          
        
        2868912.12000000
        PA
        USD
        1101171.38000000
        0.218574922761
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        925524AX8
        
          
        
        10000.00000000
        PA
        USD
        13670.40000000
        0.002713480097
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-04-30
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3398.62000000
        -0.00067460262
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            426922.66000000
            USD
            389152.81000000
            CHF
            2020-12-16
            -3398.62000000
          
        
        
          N
          N
          N
        
      
      
        IHEARTCOMMUNICATIONS INC
        54930076J6KDZL504O62
        iHeartCommunications Inc
        45174HBG1
        
          
        
        300000.00000000
        PA
        USD
        282750.00000000
        0.056123924516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214858  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214858  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        640000.00000000
        OU
        Notional Amount
        
        -60639.03000000
        -0.01203642915
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-12-16
            0.00000000
            EUR
            -39270.11000000
            EUR
            640000.00000000
            EUR
            -14247.26000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J7R98
        
          
        
        433820.13000000
        PA
        USD
        477492.85000000
        0.094779036854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-12-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PED6
        
          
        
        150000.00000000
        PA
        USD
        146953.13000000
        0.029169182583
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2030-01-30
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HKK5
        
          
        
        1710000.00000000
        PA
        USD
        1688436.90000000
        0.335143077369
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2020-11-01
          Variable
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -15305.66000000
        -0.00303806792
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            872397.62000000
            USD
            1140844.83000000
            CAD
            2020-12-16
            -15305.66000000
          
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTALEXCHANGE
        5493000F4ZO33MV32P92
        Intercontinental Exchange Inc
        45866FAL8
        
          
        
        350000.00000000
        PA
        USD
        366919.00000000
        0.072830890396
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered PLC
        U4LOSYZ7YG4W3S5F2G91
        Standard Chartered PLC
        853254BM1
        
          
        
        1325000.00000000
        PA
        USD
        1373680.50000000
        0.272666103241
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-01-20
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6A9
        
          
        
        1040266.90000000
        PA
        USD
        1158330.75000000
        0.229920663405
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW YORK LIFE INSURANCE
        TAE73CY392TBWJ3O3305
        New York Life Insurance Co
        64952GAT5
        
          
        
        275000.00000000
        PA
        USD
        309735.25000000
        0.061480310490
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mill City Mortgage Trust
        N/A
        Mill City Mortgage Loan Trust 2017-2
        59980AAQ0
        
          
        
        325095.98000000
        PA
        USD
        339822.83000000
        0.067452487567
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2059-07-25
          Variable
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAG5
        
          
        
        540000.00000000
        PA
        USD
        568350.00000000
        0.112813554372
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2050-01-31
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02777A SWAPTION EUR006M OCT20 NEG0.234 PUT
        000000000
        
          
        
        -3050000.00000000
        NC
        
        -15137.45000000
        -0.00300467940
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3050000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15137.45000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3050000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23400000
            EUR
            2020-10-28
            XXXX
            -455.13000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR ULTRA FUT DEC20 XCBT 20201221
        000000000
        
          
        
        -71.00000000
        NC
        USD
        16662.52000000
        0.003307395277
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US 10 Year Ultra Bond
                UXYZ0 Comdty
              
            
            2020-12-21
            -11362240.65000000
            USD
            16662.52000000
          
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FUNDING LLC
        N/A
        NXP BV / NXP Funding LLC
        62947QAW8
        
          
        
        1325000.00000000
        PA
        USD
        1399597.50000000
        0.277810448959
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2022-09-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LZ2
        
          
        
        570000.00000000
        PA
        USD
        616665.90000000
        0.122403927226
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          4.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FEG0
        
          
        
        213414.03000000
        PA
        USD
        36430.59000000
        0.007231220807
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Floating
          6.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132Y1WP9
        
          
        
        2691125.56000000
        PA
        USD
        3010079.38000000
        0.597479992612
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        19627.40000000
        0.003895903505
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            31264017.70000000
            RUB
            420305.68000000
            USD
            2020-11-17
            19627.40000000
          
        
        
          N
          N
          N
        
      
      
        Valero Energy Corp
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAL4
        
          
        
        35000.00000000
        PA
        USD
        43816.85000000
        0.008697342464
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-06-15
          Fixed
          6.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13339.13000000
        0.002647725288
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1829437.00000000
            USD
            1427383.14000000
            GBP
            2020-12-16
            13339.13000000
          
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFR0
        
          
        
        125000.00000000
        PA
        USD
        152352.50000000
        0.030240920282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        613.22000000
        0.000121719939
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445472.10000000
            USD
            1526321.06000000
            ILS
            2020-12-16
            613.22000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1826.73000000
        -0.00036259330
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445720.67000000
            USD
            3027624.51000000
            CNY
            2020-12-16
            -1826.73000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAF9
        
          
        
        1025000.00000000
        PA
        USD
        1113703.50000000
        0.221062462131
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-09-12
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -7971.11000000
        -0.00158221034
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            525986855.00000000
            KRW
            443126.61000000
            USD
            2020-11-02
            -7971.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        419.70000000
        0.000083307554
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2867001.68000000
            CNY
            420763.99000000
            USD
            2020-12-16
            419.70000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -7257.27000000
        -0.00144051803
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6100272.35000000
            CNY
            887131.69000000
            USD
            2020-12-16
            -7257.27000000
          
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        000000000
        
          
        
        200000.00000000
        PA
        USD
        187250.00000000
        0.037167833300
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2024-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FQHS5
        
          
        
        659378.08000000
        PA
        USD
        79855.10000000
        0.015850686488
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2786.96000000
        -0.00055319233
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            381573.61000000
            EUR
            46921725.00000000
            JPY
            2020-12-16
            -2786.96000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -17317.73000000
        -0.00343744994
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            442916.21000000
            USD
            33208484.39000000
            RUB
            2020-11-17
            -17317.73000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NDL8
        
          
        
        2038.81000000
        PA
        USD
        2336.01000000
        0.000463681870
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-09-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAX9
        
          
        
        325000.00000000
        PA
        USD
        380149.25000000
        0.075457003755
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGG8
        
          
        
        5000.00000000
        PA
        USD
        6465.25000000
        0.001283307526
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-01-20
          Fixed
          4.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9517.52000000
        0.001889162065
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            478571.82000000
            USD
            8252612.11000000
            ZAR
            2020-12-17
            9517.52000000
          
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HCA1
        
          
        
        65000.00000000
        PA
        USD
        70826.60000000
        0.014058591519
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-29
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R02
        20753KAB8
        
          
        
        615415.67000000
        PA
        USD
        611578.86000000
        0.121394184878
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-25
          Floating
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -11096.49000000
        -0.00220257671
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4277349.45000000
            NOK
            447578.33000000
            USD
            2020-12-16
            -11096.49000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDC3
        
          
        
        400000.00000000
        PA
        USD
        447012.00000000
        0.088728798393
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CJ4
        
          
        
        30000.00000000
        PA
        USD
        33528.00000000
        0.006655076715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage Trust
        N/A
        Citigroup Commercial Mortgage Trust 2020-GC46
        17328RAG4
        
          
        
        650000.00000000
        PA
        USD
        499264.88000000
        0.099100634619
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-02-15
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DR5
        
          
        
        650000.00000000
        PA
        USD
        719147.00000000
        0.142745718635
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-30
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -1453.35000000
        -0.00028847994
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12897384.03000000
            TWD
            446540.48000000
            USD
            2020-11-09
            -1453.35000000
          
        
        
          N
          N
          N
        
      
      
        HEALTHPEAK PROPERTIES
        PZ9HF5U52KPF0MH0QN75
        Healthpeak Properties Inc
        40414LAR0
        
          
        
        65000.00000000
        PA
        USD
        72462.65000000
        0.014383336158
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBQ7
        
          
        
        100000.00000000
        PA
        USD
        117470.00000000
        0.023316984661
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2050-04-02
          Fixed
          5.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONCHO RESOURCES INC
        SYHS7HRDXLL4I0IQ8776
        Concho Resources Inc
        20605PAM3
        
          
        
        175000.00000000
        PA
        USD
        167604.50000000
        0.033268337070
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FY67
        
          
        
        8668.53000000
        PA
        USD
        9562.49000000
        0.001898088300
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WHGK2
        
          
        
        95310.53000000
        PA
        USD
        103091.94000000
        0.020463038934
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hyundai Capital America
        549300RIPPWJB5Z0FK07
        Hyundai Capital America
        44891CAK9
        
          
        
        70000.00000000
        PA
        USD
        72142.70000000
        0.014319828290
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-27
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9365.22000000
        0.001858931566
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1000408.00000000
            USD
            859708.16000000
            EUR
            2020-12-16
            9365.22000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SSU4
        
          
        
        16281.88000000
        PA
        USD
        18479.36000000
        0.003668025484
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005468  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005468  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        310000.00000000
        OU
        Notional Amount
        USD
        -2031.49000000
        -0.00040323675
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            417.60000000
            USD
            0.00000000
            USD
            310000.00000000
            USD
            -2449.09000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8029.47000000
        -0.00159379440
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            442247.39000000
            USD
            606108.94000000
            AUD
            2020-12-16
            -8029.47000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAD6
        
          
        
        240099.21000000
        PA
        USD
        222777.11000000
        0.044219719560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-25
          Floating
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833DF4
        
          
        
        175000.00000000
        PA
        USD
        189682.50000000
        0.037650667770
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-13
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918BX1
        
          
        
        45000.00000000
        PA
        USD
        48385.35000000
        0.009604158200
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-06
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599CW3
        
          
        
        1500000.00000000
        PA
        USD
        1272975.00000000
        0.252676756184
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAC8
        
          
        
        250000.00000000
        PA
        USD
        213007.83000000
        0.042280584871
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-04-30
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214941  IRS PLN R F  1.55250 2 CCPVANILLA / Short: SR214941  IRS PLN P V 06MWIBOR 1 CCPVANILLA
        000000000
        
          
        
        3580000.00000000
        OU
        Notional Amount
        
        8548.41000000
        0.001696800415
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-09-17
            54.42000000
            PLN
            0.00000000
            PLN
            3580000.00000000
            PLN
            8533.93000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0406A6
        
          
        
        -3000000.00000000
        PA
        USD
        -3187659.00000000
        -0.63272832219
        Short
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-18
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290XLG3
        
          
        
        14874.64000000
        PA
        USD
        16661.42000000
        0.003307176935
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-08-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAK3
        
          
        
        1275000.00000000
        PA
        USD
        1369031.25000000
        0.271743259188
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        949746SH5
        
          
        
        2750000.00000000
        PA
        USD
        3001735.00000000
        0.595823690744
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-23
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02702A  SWAPTION EUR006M DEC20 NEG0.20 CALL
        000000000
        
          
        
        -4560000.00000000
        NC
        
        -41670.15000000
        -0.00827123732
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    4560000.00000000
                    OU
                    Notional Amount
                    N/A
                    -41670.15000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  4560000.00000000
                  EUR
                
              
            
            1.00000000
            -0.20000000
            EUR
            2020-12-02
            XXXX
            -170.04000000
          
        
        
          N
          N
          N
        
      
      
        UDR INC
        P3CH2EG5X6Z1XWU1OO74
        UDR Inc
        90265EAT7
        
          
        
        150000.00000000
        PA
        USD
        148926.00000000
        0.029560783669
        Long
        DBT
        
        US
        N
        
        2
        
          2032-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BM2
        
          
        
        200000.00000000
        PA
        USD
        206500.00000000
        0.040988825508
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-11-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBE2
        
          
        
        35000.00000000
        PA
        USD
        44627.10000000
        0.008858171500
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-02-14
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2D4
        
          
        
        75000.00000000
        PA
        USD
        88093.50000000
        0.017485952057
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-24
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        80000.00000000
        PA
        
        95554.66000000
        0.018966940848
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02740A SWAPTION EUR006M OCT20 NEG0.211 PUT
        000000000
        
          
        
        -3050000.00000000
        NC
        
        -6448.91000000
        -0.00128006414
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3050000.00000000
                    OU
                    Notional Amount
                    N/A
                    -6448.91000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3050000.00000000
                  EUR
                
              
            
            1.00000000
            -0.21100000
            EUR
            2020-10-14
            XXXX
            9654.17000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02204A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -3430000.00000000
        NC
        
        -1317.15000000
        -0.00026144518
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3430000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1317.15000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3430000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-02
            XXXX
            37161.88000000
          
        
        
          N
          N
          N
        
      
      
        PROSUS NV
        635400Z5LQ5F9OLVT688
        Prosus NV
        74365PAD0
        
          
        
        200000.00000000
        PA
        USD
        204250.00000000
        0.040542216029
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2050-08-03
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AM3
        
          
        
        225000.00000000
        PA
        USD
        254112.75000000
        0.050439627938
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2505.65000000
        0.000497354240
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446413.57000000
            USD
            523446696.00000000
            KRW
            2020-11-02
            2505.65000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        23466.15000000
        0.004657868899
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            32105301.15000000
            RUB
            434926.28000000
            USD
            2020-11-17
            23466.15000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4566.79000000
        -0.00090647631
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            422728.26000000
            USD
            556599.96000000
            CAD
            2020-12-16
            -4566.79000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LVE8
        
          
        
        10207.10000000
        PA
        USD
        11694.98000000
        0.002321372854
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFB0
        
          
        
        625000.00000000
        PA
        USD
        691993.75000000
        0.137355985820
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-22
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        5272.75000000
        0.001046604502
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3015259.88000000
            TRY
            393950.78000000
            USD
            2020-10-19
            5272.75000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBC2
        
          
        
        725000.00000000
        PA
        USD
        790445.75000000
        0.156898028672
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-14
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8QW8
        
          
        
        1195580.02000000
        PA
        USD
        1310334.90000000
        0.260092438616
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325DS1
        
          
        
        530000.00000000
        PA
        USD
        541395.00000000
        0.107463172815
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2031-04-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AR0
        
          
        
        380000.00000000
        PA
        USD
        428537.40000000
        0.085061717736
        Long
        DBT
        
        US
        N
        
        2
        
          2031-08-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -3537.20000000
        -0.00070210979
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1542443.82000000
            ILS
            447260.18000000
            USD
            2020-12-16
            -3537.20000000
          
        
        
          N
          N
          N
        
      
      
        EOG RESOURCES INC
        XWTZDRYZPBUHIQBKDB46
        EOG Resources Inc
        26875PAU5
        
          
        
        30000.00000000
        PA
        USD
        35441.70000000
        0.007034932963
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN ELECTRIC POWER
        1B4S6S7G0TW5EE83BO58
        American Electric Power Co Inc
        025537AN1
        
          
        
        250000.00000000
        PA
        USD
        257712.50000000
        0.051154153481
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379VUJ1
        
          
        
        410759.57000000
        PA
        USD
        36223.41000000
        0.007190097006
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-06-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXELON GENERATION CO LLC
        S2PEWKCZFFECR4533P43
        Exelon Generation Co LLC
        30161MAS2
        
          
        
        35000.00000000
        PA
        USD
        38333.75000000
        0.007608984938
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MJGD5
        
          
        
        13970.55000000
        PA
        USD
        15304.35000000
        0.003037807901
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4995.57000000
        -0.00099158618
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            424831.27000000
            USD
            385763.79000000
            CHF
            2020-12-16
            -4995.57000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJ3P3
        
          
        
        1214263.97000000
        PA
        USD
        1302209.86000000
        0.258479674224
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDJ7
        
          
        
        225000.00000000
        PA
        USD
        247844.25000000
        0.049195373930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JZN2
        
          
        
        425000.00000000
        PA
        USD
        480411.50000000
        0.095358368745
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-23
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WPGT5
        
          
        
        16015.75000000
        PA
        USD
        17564.83000000
        0.003486497588
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust 2006-OC8
        232434AE0
        
          
        
        1799598.32000000
        PA
        USD
        1500408.80000000
        0.297820796586
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-25
          Floating
          0.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005452  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005452  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        600000.00000000
        OU
        Notional Amount
        USD
        -1212.36000000
        -0.00024064509
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2020-12-20
            229.24000000
            USD
            0.00000000
            USD
            600000.00000000
            USD
            -1441.60000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMWQ0
        
          
        
        65498.78000000
        PA
        USD
        71833.97000000
        0.014258547515
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -45154.96000000
        -0.00896294806
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2413000.00000000
            AUD
            1683159.19000000
            USD
            2020-10-01
            -45154.96000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        64.33000000
        0.000012769061
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445440.16000000
            USD
            32862347.80000000
            INR
            2020-10-28
            64.33000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1510.77000000
        0.000299877423
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            432332.86000000
            USD
            605714.35000000
            AUD
            2020-10-01
            1510.77000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2768.82000000
        -0.00054959166
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            332253.48000000
            GBP
            362840.97000000
            EUR
            2020-12-16
            -2768.82000000
          
        
        
          N
          N
          N
        
      
      
        ABU DHABI GOVT INT'L
        213800FER4348CINTA77
        Abu Dhabi Government International Bond
        29135LAJ9
        
          
        
        480000.00000000
        PA
        USD
        584700.00000000
        0.116058916586
        Long
        DBT
        NUSS
        AE
        N
        
        2
        
          2050-04-16
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132GEV56
        
          
        
        3390.80000000
        PA
        USD
        3880.54000000
        0.000770260421
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Benefit Street Partners CLO Ltd
        N/A
        Benefit Street Partners CLO V-B Ltd
        08181JAA0
        
          
        
        2009000.00000000
        PA
        USD
        1976048.38000000
        0.392231972130
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          1.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEG ENERGY CORP
        5493002WXPTG5ZC1T326
        MEG Energy Corp
        552704AE8
        
          
        
        825000.00000000
        PA
        USD
        738375.00000000
        0.146562343995
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-02-01
          Fixed
          7.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REGENCY CENTERS LP
        5493008PTR2GAOYBXW28
        Regency Centers LP
        75884RAZ6
        
          
        
        700000.00000000
        PA
        USD
        724136.00000000
        0.143736000719
        Long
        DBT
        
        US
        N
        
        2
        
          2029-09-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBC4
        
          
        
        1200000.00000000
        PA
        USD
        1362756.00000000
        0.270497665351
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBD6
        
          
        
        325000.00000000
        PA
        USD
        347483.50000000
        0.068973077717
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2711.99000000
        0.000538311306
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356086.25000000
            USD
            27996213.15000000
            RUB
            2020-11-17
            2711.99000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        12722.55000000
        0.002525338411
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3088051.96000000
            TRY
            408256.47000000
            USD
            2020-11-10
            12722.55000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -826.11000000
        -0.00016397713
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            44243671.00000000
            JPY
            419144.84000000
            USD
            2020-12-16
            -826.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        3853.81000000
        0.000764954700
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            340808.67000000
            GBP
            443843.65000000
            USD
            2020-12-16
            3853.81000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        8082.47000000
        0.001604314540
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            487742.08000000
            NZD
            330725.71000000
            USD
            2020-12-16
            8082.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        14464.97000000
        0.002871196761
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            33649904.84000000
            RUB
            445720.67000000
            USD
            2020-11-17
            14464.97000000
          
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAN1
        
          
        
        65000.00000000
        PA
        USD
        70405.40000000
        0.013974986225
        Long
        DBT
        
        US
        N
        
        2
        
          2029-11-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29273RAN9
        
          
        
        350000.00000000
        PA
        USD
        355474.00000000
        0.070559136847
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Equity Asset Trust
        N/A
        Home Equity Asset Trust
        22541NAD1
        
          
        
        256.60000000
        PA
        USD
        216.48000000
        0.000042969786
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-11-25
          Floating
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHZ5
        
          
        
        75000.00000000
        PA
        USD
        78405.00000000
        0.015562851641
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-13
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        14651.70000000
        0.002908261378
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5790875.96000000
            TRY
            761817.03000000
            USD
            2020-10-16
            14651.70000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -15679.11000000
        -0.00311219517
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            443868.68000000
            USD
            33410661.35000000
            RUB
            2020-11-17
            -15679.11000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        24722.73000000
        0.004907291361
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            31948712.18000000
            RUB
            434176.02000000
            USD
            2020-11-17
            24722.73000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        19790.45000000
        0.003928267805
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1719478.56000000
            AUD
            1251629.08000000
            USD
            2020-12-16
            19790.45000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAE9
        
          
        
        800000.00000000
        PA
        USD
        839384.00000000
        0.166611933709
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2025-05-28
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HHF0
        
          
        
        5000.00000000
        PA
        USD
        7652.30000000
        0.001518928762
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-05-15
          Fixed
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306B9
        
          
        
        10000000.00000000
        PA
        USD
        10478513.00000000
        2.079912546969
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005472  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005472  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        250000.00000000
        OU
        Notional Amount
        USD
        -1638.30000000
        -0.00032519124
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            336.48000000
            USD
            0.00000000
            USD
            250000.00000000
            USD
            -1974.78000000
          
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBL3
        
          
        
        30000.00000000
        PA
        USD
        37321.50000000
        0.007408060296
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2038-05-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAK6
        
          
        
        100000.00000000
        PA
        USD
        114552.00000000
        0.022737781790
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214839  IRS PLN R V 03MWIBOR 1 CCPZERO / Short: BR214839  IRS PLN P F   .25000 2 CCPZERO
        000000000
        
          
        
        18330000.00000000
        OU
        Notional Amount
        
        -4372.66000000
        -0.00086794284
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2021-12-16
            0.00000000
            PLN
            -3408.52000000
            PLN
            18330000.00000000
            PLN
            -3457.55000000
          
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAB6
        
          
        
        425000.00000000
        PA
        USD
        467062.25000000
        0.092708634707
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          4.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominion Energy Inc
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDG1
        
          
        
        225000.00000000
        PA
        USD
        253505.25000000
        0.050319043379
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3805.28000000
        0.000755321830
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445975.50000000
            USD
            3067776.27000000
            CNY
            2020-12-16
            3805.28000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -10940.18000000
        -0.00217155026
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            63744393.86000000
            RUB
            806005.17000000
            USD
            2020-11-17
            -10940.18000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        Bank of Nova Scotia/The
        064159MK9
        
          
        
        50000.00000000
        PA
        USD
        54318.50000000
        0.010781847546
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-02-11
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities Trust 2001-3
        07384YBM7
        
          
        
        5242.10000000
        PA
        USD
        4979.79000000
        0.000988453963
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-10-27
          Floating
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRK75
        
          
        
        56966.05000000
        PA
        USD
        62404.72000000
        0.012386906435
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -30355.72000000
        -0.00602540101
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1812307.28000000
            USD
            15942785.60000000
            SEK
            2020-12-16
            -30355.72000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4367.08000000
        -0.00086683525
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            429797.45000000
            USD
            566275.33000000
            CAD
            2020-12-16
            -4367.08000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36213X3S1
        
          
        
        16067.35000000
        PA
        USD
        18146.76000000
        0.003602006678
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -265.64000000
        -0.00005272770
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445541.53000000
            USD
            1523551.54000000
            ILS
            2020-12-16
            -265.64000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4298.95000000
        -0.00085331191
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            430736.47000000
            USD
            567615.91000000
            CAD
            2020-12-16
            -4298.95000000
          
        
        
          N
          N
          N
        
      
      
        XEROX HOLDINGS CORP
        5493000Y33XDVO2CXC18
        Xerox Holdings Corp
        98421MAA4
        
          
        
        1215000.00000000
        PA
        USD
        1201331.25000000
        0.238455966026
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -76378.86000000
        -0.01516067682
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2443030.99000000
            USD
            22070097.69000000
            NOK
            2020-12-16
            -76378.86000000
          
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122CR7
        
          
        
        75000.00000000
        PA
        USD
        98601.75000000
        0.019571767194
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-10-26
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -21240.00000000
        -0.00421599348
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            66035825.18000000
            INR
            873986.86000000
            USD
            2020-10-28
            -21240.00000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCA7
        
          
        
        350000.00000000
        PA
        USD
        393134.00000000
        0.078034387058
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0306A1
        
          
        
        14000000.00000000
        PA
        USD
        14667184.00000000
        2.911334845918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAE9
        
          
        
        1000000.00000000
        PA
        USD
        987899.00000000
        0.196091136713
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          3.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARCHER-DANIELS-MIDLAND C
        549300LO13MQ9HYSTR83
        Archer-Daniels-Midland Co
        039482AB0
        
          
        
        175000.00000000
        PA
        USD
        199888.50000000
        0.039676488366
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-27
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -17333.79000000
        -0.00344063774
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5368014.26000000
            GBP
            6914582.11000000
            USD
            2021-01-13
            -17333.79000000
          
        
        
          N
          N
          N
        
      
      
        AUTONATION INC
        N/A
        AutoNation Inc
        05329WAQ5
        
          
        
        225000.00000000
        PA
        USD
        265149.00000000
        0.052630247432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAR4
        
          
        
        100000.00000000
        PA
        USD
        132266.00000000
        0.026253888594
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-07-15
          Fixed
          8.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ABDT7
        
          
        
        74704.77000000
        PA
        USD
        94379.67000000
        0.018733713439
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        Long: CS005631  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005631  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        80000.00000000
        OU
        Notional Amount
        USD
        -1191.25000000
        -0.00023645490
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2022-06-20
            0.00000000
            USD
            -415.11000000
            USD
            80000.00000000
            USD
            -776.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13598.40000000
        0.002699188594
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2495462.32000000
            USD
            3502241.05000000
            AUD
            2020-12-21
            13598.40000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAK9
        
          
        
        310000.00000000
        PA
        USD
        364591.00000000
        0.072368798455
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -2852.30000000
        -0.00056616187
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            524230816.00000000
            KRW
            446739.40000000
            USD
            2020-11-02
            -2852.30000000
          
        
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBD0
        
          
        
        25000.00000000
        PA
        USD
        31650.25000000
        0.006282356293
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-14
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -448.70000000
        -0.00008906385
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            838700.15000000
            USD
            88309254.00000000
            JPY
            2020-12-16
            -448.70000000
          
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CF4
        
          
        
        200000.00000000
        PA
        USD
        241012.00000000
        0.047839219436
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-03-31
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARRIER GLOBAL CORP
        549300JE3W6CWY2NAN77
        Carrier Global Corp
        14448CAA2
        
          
        
        500000.00000000
        PA
        USD
        522135.00000000
        0.103640195675
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-15
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        10633.45000000
        0.002110666472
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            429637.81000000
            USD
            32476322.06000000
            INR
            2020-10-28
            10633.45000000
          
        
        
          N
          N
          N
        
      
      
        Energizer Holdings Inc
        5493000D6NN0V57UME20
        Energizer Holdings Inc
        29272WAB5
        
          
        
        1075000.00000000
        PA
        USD
        1169062.50000000
        0.232050841750
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-15
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1871.97000000
        0.000371573131
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            431446.83000000
            EUR
            393975.67000000
            GBP
            2020-12-16
            1871.97000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CC1
        
          
        
        300000.00000000
        PA
        USD
        301947.00000000
        0.059934396590
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2024-09-18
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -9401.15000000
        -0.00186606342
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2421248.07000000
            AUD
            1725219.15000000
            USD
            2020-12-21
            -9401.15000000
          
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NDH1
        
          
        
        75000.00000000
        PA
        USD
        88068.75000000
        0.017481039353
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DAL3
        
          
        
        15000.00000000
        PA
        USD
        17522.10000000
        0.003478015977
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-11
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Becton Dickinson and Co
        ICE2EP6D98PQUILVRZ91
        Becton Dickinson and Co
        075887BX6
        
          
        
        175000.00000000
        PA
        USD
        216076.00000000
        0.042889595451
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-06-06
          Fixed
          4.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MN5G1
        
          
        
        25279.84000000
        PA
        USD
        27693.36000000
        0.005496940923
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -11554.56000000
        -0.00229350045
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            673007.01000000
            CAD
            493884.85000000
            USD
            2020-10-05
            -11554.56000000
          
        
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XAT7
        
          
        
        925000.00000000
        PA
        USD
        1001747.25000000
        0.198839918809
        Long
        DBT
        
        US
        N
        
        2
        
          2024-05-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3745.88000000
        0.000743531339
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3782104.19000000
            SEK
            363097.92000000
            EUR
            2020-12-16
            3745.88000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00772BAP6
        
          
        
        1150000.00000000
        PA
        USD
        1177703.50000000
        0.233766020642
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2022-07-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        East Bay Municipal Utility District Water System Revenue
        N/A
        EAST BAY CA MUNI UTILITY DIST WTR SYS REVENUE
        271014TU6
        
          
        
        900000.00000000
        PA
        USD
        1403631.00000000
        0.278611070885
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2040-06-01
          Fixed
          5.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAMARK SERVICES INC
        42YMHYH0XMHJEXDUB065
        Aramark Services Inc
        038522AR9
        
          
        
        343000.00000000
        PA
        USD
        356720.00000000
        0.070806459251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140JAEL8
        
          
        
        3048724.38000000
        PA
        USD
        3438392.82000000
        0.682497255834
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank
        549300GL0Y86051URC66
        BANK 2018-BNK10
        065404AA3
        
          
        
        200000.00000000
        PA
        USD
        130205.61000000
        0.025844915392
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2061-02-15
          Variable
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY36
        
          
        
        1156.72000000
        PA
        USD
        1198.38000000
        0.000237870163
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BALL CORP
        0BGI85ALH27ZJP15DY16
        Ball Corp
        058498AW6
        
          
        
        239000.00000000
        PA
        USD
        231729.86000000
        0.045996778676
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1566.02000000
        -0.00031084416
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            453698.54000000
            EUR
            530812.32000000
            USD
            2020-11-09
            -1566.02000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        15530.54000000
        0.003082705056
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1870428.65000000
            NZD
            1252826.20000000
            USD
            2020-12-16
            15530.54000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9CT8
        
          
        
        660343.23000000
        PA
        USD
        726407.33000000
        0.144186844056
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1818.17000000
        0.000360894202
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446561.96000000
            USD
            1716405549.46000000
            COP
            2020-10-05
            1818.17000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BA5V2
        
          
        
        656767.84000000
        PA
        USD
        98309.41000000
        0.019513739720
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DH EUROPE FINANCE II
        222100KDGL314CKTZ511
        DH Europe Finance II Sarl
        23291KAG0
        
          
        
        700000.00000000
        PA
        USD
        739606.00000000
        0.146806689003
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-15
          Fixed
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCJ6
        
          
        
        65000.00000000
        PA
        USD
        71209.45000000
        0.014134584603
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38377DKS4
        
          
        
        291399.68000000
        PA
        USD
        55081.85000000
        0.010933367255
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-08-20
          Floating
          5.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -20877.10000000
        -0.00414396033
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1320353.64000000
            USD
            1813891.84000000
            AUD
            2020-12-16
            -20877.10000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10824.20000000
        -0.00214852903
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            892000.00000000
            USD
            25368346.20000000
            TWD
            2020-11-09
            -10824.20000000
          
        
        
          N
          N
          N
        
      
      
        Arch Capital Finance LLC
        549300XG4URFY0200M65
        Arch Capital Finance LLC
        03939CAA1
        
          
        
        1000000.00000000
        PA
        USD
        1159680.00000000
        0.230188480223
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-15
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380WG86
        
          
        
        469991.71000000
        PA
        USD
        59179.38000000
        0.011746698695
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-04-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HCA Inc
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119BU2
        
          
        
        30000.00000000
        PA
        USD
        33771.30000000
        0.006703370086
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FWXZ8
        
          
        
        1340000.00000000
        PA
        USD
        141359.28000000
        0.028058841946
        Long
        ABS-MBS
        USGSE
        US
        N
        
        3
        
          2050-08-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CF5
        
          
        
        950000.00000000
        PA
        USD
        1034835.00000000
        0.205407608936
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-12
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -9022.85000000
        -0.00179097348
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            598195.69000000
            AUD
            419526.00000000
            USD
            2020-12-16
            -9022.85000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2B6
        
          
        
        450000.00000000
        PA
        USD
        465930.00000000
        0.092483890892
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2022-04-08
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        7083.35000000
        0.001405996112
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            34247671.00000000
            RUB
            446000.00000000
            USD
            2020-11-17
            7083.35000000
          
        
        
          N
          N
          N
        
      
      
        Bacardi Ltd
        549300R32WTQNHNN5055
        Bacardi Ltd
        067316AH2
        
          
        
        600000.00000000
        PA
        USD
        759744.00000000
        0.150803943086
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2048-05-15
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PBB0
        
          
        
        125000.00000000
        PA
        USD
        131126.25000000
        0.026027656081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DE5
        
          
        
        300000.00000000
        PA
        USD
        354774.00000000
        0.070420191675
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-20
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBP9
        
          
        
        30000.00000000
        PA
        USD
        35117.10000000
        0.006970502103
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -19632.58000000
        -0.00389693169
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            66055059.48000000
            INR
            875855.03000000
            USD
            2020-10-28
            -19632.58000000
          
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBS7
        
          
        
        750000.00000000
        PA
        USD
        886215.00000000
        0.175907564156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-11-21
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CQ6
        
          
        
        50000.00000000
        PA
        USD
        45076.50000000
        0.008947374300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NAK7
        
          
        
        25000.00000000
        PA
        USD
        37790.25000000
        0.007501103937
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967GT2
        
          
        
        780000.00000000
        PA
        USD
        830622.00000000
        0.164872737151
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAF7
        
          
        
        50000.00000000
        PA
        USD
        66652.50000000
        0.013230061463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-15
          Fixed
          5.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQM MIDSTREAM PARTNERS L
        549300NELT611CL6XM83
        EQM Midstream Partners LP
        26885BAD2
        
          
        
        425000.00000000
        PA
        USD
        421812.50000000
        0.083726871476
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GBH4
        
          
        
        15000.00000000
        PA
        USD
        16426.35000000
        0.003260517161
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-19
          Fixed
          2.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAG8
        
          
        
        550000.00000000
        PA
        USD
        591492.00000000
        0.117407081733
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGL CLO 3 Ltd.
        549300LS0REDUXQSHW18
        AGL CLO 3 LTD
        00119MAA7
        
          
        
        1300000.00000000
        PA
        USD
        1285082.50000000
        0.255080011413
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-15
          Floating
          1.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRUBHUB HOLDINGS INC
        N/A
        GrubHub Holdings Inc
        40010PAA6
        
          
        
        495000.00000000
        PA
        USD
        512943.75000000
        0.101815795954
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128P7FQ1
        
          
        
        98177.55000000
        PA
        USD
        109514.47000000
        0.021737866835
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-08-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAN3
        
          
        
        175000.00000000
        PA
        USD
        229516.00000000
        0.045557342738
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          8.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -7577.35000000
        -0.00150405170
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            352522.03000000
            EUR
            1570846.98000000
            PLN
            2020-12-16
            -7577.35000000
          
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DE7
        
          
        
        195000.00000000
        PA
        USD
        207762.75000000
        0.041239472673
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Fixed
          2.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416MVP6
        
          
        
        6903.44000000
        PA
        USD
        7765.05000000
        0.001541308859
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M7EV4
        
          
        
        32917.40000000
        PA
        USD
        37606.14000000
        0.007464559372
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-03-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCS8
        
          
        
        550000.00000000
        PA
        USD
        630718.00000000
        0.125193172141
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291NPZ8
        
          
        
        21707.25000000
        PA
        USD
        24663.00000000
        0.004895435368
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -2897.12000000
        -0.00057505833
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            508064053.00000000
            KRW
            432829.61000000
            USD
            2020-11-02
            -2897.12000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M9UC4
        
          
        
        24423.33000000
        PA
        USD
        26971.81000000
        0.005353718226
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        27302.88000000
        0.005419433337
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1095356.16000000
            USD
            82812212.03000000
            INR
            2020-10-28
            27302.88000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AH6P0
        
          
        
        330863.82000000
        PA
        USD
        61589.11000000
        0.012225013477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-02-25
          Floating
          6.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT CAPITAL CORP
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DBK0
        
          
        
        25000.00000000
        PA
        USD
        27221.75000000
        0.005403329592
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2049-09-06
          Fixed
          4.76000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        American Express Co
        025816BR9
        
          
        
        30000.00000000
        PA
        USD
        32528.70000000
        0.006456722558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHX0
        
          
        
        525000.00000000
        PA
        USD
        564327.75000000
        0.112015165494
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-22
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSX Corp
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408HH9
        
          
        
        65000.00000000
        PA
        USD
        73260.20000000
        0.014541644331
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDQ2
        
          
        
        60000.00000000
        PA
        USD
        69459.60000000
        0.013787251449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCT6
        
          
        
        375000.00000000
        PA
        USD
        451173.75000000
        0.089554877060
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-15
          Fixed
          4.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5452.35000000
        0.001082253863
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            486217.93000000
            USD
            10968590.28000000
            MXN
            2020-12-16
            5452.35000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31394EZ35
        
          
        
        41479.83000000
        PA
        USD
        47539.34000000
        0.009436231051
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-25
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31417MFB4
        
          
        
        7549.05000000
        PA
        USD
        8557.24000000
        0.001698553109
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AN8
        
          
        
        65000.00000000
        PA
        USD
        70917.60000000
        0.014076654391
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2027-03-27
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        12713.60000000
        0.002523561898
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1803525.47000000
            USD
            191339624.00000000
            JPY
            2020-12-16
            12713.60000000
          
        
        
          N
          N
          N
        
      
      
        Home Equity Loan Trust
        N/A
        Home Equity Loan Trust
        43710XAD0
        
          
        
        1205167.02000000
        PA
        USD
        1107712.39000000
        0.219873268124
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2037-04-25
          Floating
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RCM2
        
          
        
        1375000.00000000
        PA
        USD
        1429793.75000000
        0.283804196282
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-30
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLY FINANCIAL INC
        549300JBN1OSM8YNAI90
        Ally Financial Inc
        02005NBL3
        
          
        
        275000.00000000
        PA
        USD
        274485.75000000
        0.054483527900
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBN9
        
          
        
        50000.00000000
        PA
        USD
        55425.50000000
        0.011001579410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABD3
        
          
        
        175000.00000000
        PA
        USD
        189736.75000000
        0.037661436021
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McKesson Corp
        549300WZWOM80UCFSF54
        McKesson Corp
        581557BE4
        
          
        
        65000.00000000
        PA
        USD
        71124.30000000
        0.014117682915
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2D5
        
          
        
        550000.00000000
        PA
        USD
        595908.50000000
        0.118283726516
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-09
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMCAST CORP
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCR0
        
          
        
        550000.00000000
        PA
        USD
        607046.00000000
        0.120494443437
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        58013MFH2
        
          
        
        75000.00000000
        PA
        USD
        93387.75000000
        0.018536824161
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1081.71000000
        0.000214711973
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            473570.33000000
            USD
            367657.42000000
            GBP
            2020-12-16
            1081.71000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGA1
        
          
        
        1300000.00000000
        PA
        USD
        1437150.00000000
        0.285264361162
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-21
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2365.02000000
        -0.00046944015
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            219814.92000000
            GBP
            239597.27000000
            EUR
            2020-12-16
            -2365.02000000
          
        
        
          N
          N
          N
        
      
      
        BP CAP MARKETS AMERICA
        5493009NTB34VXE1T760
        BP Capital Markets America Inc
        10373QAE0
        
          
        
        225000.00000000
        PA
        USD
        266370.75000000
        0.052872756379
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-06
          Fixed
          4.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DTE ENERGY CO
        549300IX8SD6XXD71I78
        DTE Energy Co
        233331BE6
        
          
        
        323000.00000000
        PA
        USD
        333529.80000000
        0.066203364523
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities 2019-3 Trust
        949831AA9
        
          
        
        236583.83000000
        PA
        USD
        242285.67000000
        0.048092034144
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-07-25
          Variable
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -11890.62000000
        -0.00236020604
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            802983.49000000
            USD
            17648359.02000000
            MXN
            2020-12-16
            -11890.62000000
          
        
        
          N
          N
          N
        
      
      
        Telefonica Emisiones SAU
        549300Y5MFC4SW5Z3K71
        Telefonica Emisiones SA
        87938WAR4
        
          
        
        325000.00000000
        PA
        USD
        356310.50000000
        0.070725176326
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2023-04-27
          Fixed
          4.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIRGIN MEDIA FINANCE PLC
        2138001LVYC87DDHT482
        Virgin Media Finance PLC
        92769VAJ8
        
          
        
        950000.00000000
        PA
        USD
        945250.00000000
        0.187625604417
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHM4
        
          
        
        750000.00000000
        PA
        USD
        879862.50000000
        0.174646636727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-07-23
          Fixed
          4.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        24652.01000000
        0.004893253928
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2021629.67000000
            CAD
            1543458.51000000
            USD
            2020-12-16
            24652.01000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        21444.09000000
        0.004256503938
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            984662699.00000000
            CLP
            1276710.14000000
            USD
            2020-12-17
            21444.09000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -6089.24000000
        -0.00120867213
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1922395895.39000000
            COP
            496102.17000000
            USD
            2020-10-05
            -6089.24000000
          
        
        
          N
          N
          N
        
      
      
        VIACOMCBS INC
        5KYC8KF17ROCY24M3H09
        ViacomCBS Inc
        92556HAA5
        
          
        
        60000.00000000
        PA
        USD
        68889.00000000
        0.013673991285
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wyeth LLC
        549300Q9GR3WRH4N4836
        Wyeth LLC
        983024AN0
        
          
        
        45000.00000000
        PA
        USD
        66517.65000000
        0.013203294668
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-04-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAMDEN PROPERTY TRUST
        5493002MYX22OHYJBD89
        Camden Property Trust
        133131AX0
        
          
        
        65000.00000000
        PA
        USD
        72092.80000000
        0.014309923484
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02746A SWAPTION US0003M MAR21 0.90 CALL
        000000000
        
          
        
        -20000000.00000000
        NC
        USD
        -131622.00000000
        -0.02612605903
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    20000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -131622.00000000
                    -0.03000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20000000.00000000
                  USD
                
              
            
            1.00000000
            0.90000000
            USD
            2021-03-17
            XXXX
            28378.00000000
          
        
        
          N
          N
          N
        
      
      
        EXPEDIA GROUP INC
        N/A
        Expedia Group Inc
        30212PAZ8
        
          
        
        300000.00000000
        PA
        USD
        306375.00000000
        0.060813324044
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128MJ3T5
        
          
        
        1314583.80000000
        PA
        USD
        1399575.93000000
        0.277806167463
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CINEMARK USA INC
        54930008H2137JSCPQ09
        Cinemark USA Inc
        172441BC0
        
          
        
        665000.00000000
        PA
        USD
        699912.50000000
        0.138927803070
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -2622.10000000
        -0.00052046876
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4188636.82000000
            NOK
            446539.77000000
            USD
            2020-12-16
            -2622.10000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MPDQ5
        
          
        
        20404.60000000
        PA
        USD
        22352.67000000
        0.004436850800
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Halliburton Co
        ENYF8GB5SMQZ25S06U51
        Halliburton Co
        406216BG5
        
          
        
        2000.00000000
        PA
        USD
        2166.30000000
        0.000429995606
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE NEW YORK
        549300D0YARF5HYP1809
        Credit Suisse AG/New York NY
        22550L2C4
        
          
        
        300000.00000000
        PA
        USD
        327051.00000000
        0.064917367416
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2025-04-09
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1469.99000000
        0.000291782874
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            892092.79000000
            USD
            1189389.85000000
            CAD
            2020-12-16
            1469.99000000
          
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BY8
        
          
        
        375000.00000000
        PA
        USD
        381588.75000000
        0.075742734575
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -3645.74000000
        -0.00072365424
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            692133.32000000
            CAD
            516339.00000000
            USD
            2020-12-16
            -3645.74000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        20224.19000000
        0.004014362203
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            858035.07000000
            USD
            64784221.89000000
            INR
            2020-10-28
            20224.19000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY ENERG
        549300JD0S5IZJE9LY15
        Berkshire Hathaway Energy Co
        084659AU5
        
          
        
        400000.00000000
        PA
        USD
        469896.00000000
        0.093271114534
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312946ZH2
        
          
        
        758.29000000
        PA
        USD
        867.84000000
        0.000172260253
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BP Capital Markets PLC
        549300CRVT18MXX0AG93
        BP Capital Markets PLC
        05565QCP1
        
          
        
        65000.00000000
        PA
        USD
        71412.25000000
        0.014174839004
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-02-10
          Fixed
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        7730.78000000
        0.001534506501
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            33996752.45000000
            RUB
            443431.66000000
            USD
            2020-11-17
            7730.78000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A9EA2
        
          
        
        27138.05000000
        PA
        USD
        33549.01000000
        0.006659247055
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296LKE0
        
          
        
        584.63000000
        PA
        USD
        669.85000000
        0.000132960604
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-08-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSX CORP
        549300JVQR4N1MMP3Q88
        CSX Corp
        126408HS5
        
          
        
        25000.00000000
        PA
        USD
        29688.25000000
        0.005892912827
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAT7
        
          
        
        50000.00000000
        PA
        USD
        58531.00000000
        0.011617999737
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-01
          Fixed
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        19643.43000000
        0.003899085349
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1210005.23000000
            CHF
            1336520.24000000
            USD
            2020-12-16
            19643.43000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AYTL7
        
          
        
        646046.49000000
        PA
        USD
        116932.22000000
        0.023210239040
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-25
          Floating
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        N/A
        CSAIL 2018-C14 Commercial Mortgage Trust
        12596GAG4
        
          
        
        250000.00000000
        PA
        USD
        211156.72000000
        0.041913152305
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-11-15
          Variable
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBL2
        
          
        
        390000.00000000
        PA
        USD
        403451.10000000
        0.080082260238
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-11-21
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3644.39000000
        -0.00072338627
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2032550.38000000
            NOK
            182463.34000000
            EUR
            2020-12-16
            -3644.39000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQHG1
        
          
        
        13129.05000000
        PA
        USD
        14382.51000000
        0.002854829020
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7M1
        
          
        
        529438.55000000
        PA
        USD
        576845.11000000
        0.114499775106
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEALTHCARE REALTY TRUST
        549300CB86LH2IOKHH22
        Healthcare Realty Trust Inc
        421946AM6
        
          
        
        175000.00000000
        PA
        USD
        172975.25000000
        0.034334393896
        Long
        DBT
        
        US
        N
        
        2
        
          2031-03-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BR9
        
          
        
        450000.00000000
        PA
        USD
        449433.00000000
        0.089209350193
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-05-18
          Floating
          1.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -10342.28000000
        -0.00205287123
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446095.42000000
            USD
            7367711.96000000
            ZAR
            2020-12-17
            -10342.28000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LQ2
        
          
        
        1450000.00000000
        PA
        USD
        1511712.00000000
        0.300064403814
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-27
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        Westpac Banking Corp
        961214EF6
        
          
        
        300000.00000000
        PA
        USD
        337575.00000000
        0.067006308819
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2034-07-24
          Fixed
          4.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175AY0
        
          
        
        1900000.00000000
        PA
        USD
        2193360.00000000
        0.435366829627
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXXON MOBIL CORPORATION
        J3WHBG0MTS7O8ZVMDC91
        Exxon Mobil Corp
        30231GAC6
        
          
        
        35000.00000000
        PA
        USD
        37836.05000000
        0.007510194922
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-15
          Fixed
          3.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON BANCSHARES
        549300XTVCVV9I7B5T19
        Huntington Bancshares Inc/OH
        446150AM6
        
          
        
        825000.00000000
        PA
        USD
        939147.00000000
        0.186414201017
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQM MIDSTREAM PARTNERS L
        549300NELT611CL6XM83
        EQM Midstream Partners LP
        26885BAC4
        
          
        
        325000.00000000
        PA
        USD
        326625.00000000
        0.064832809355
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Mexican States
        254900EGTWEU67VP6075
        Mexico Government International Bond
        91087BAF7
        
          
        
        200000.00000000
        PA
        USD
        224187.50000000
        0.044499672245
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2029-04-22
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Access High Yield Corporate Bond ETF
        549300MBOA0YMWNF0550
        Goldman Sachs Access High Yield Corporate Bond ETF
        381430453
        
          
        
        98956.00000000
        NS
        USD
        4788955.83000000
        0.950574696781
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YJG0
        
          
        
        672403.92000000
        PA
        USD
        105057.73000000
        0.020853234689
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKG6
        
          
        
        100000.00000000
        PA
        USD
        100051.00000000
        0.019859433321
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063BFV9
        
          
        
        65.62000000
        PA
        USD
        60.92000000
        0.000012092199
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2036-03-01
          Fixed
          7.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Applied Materials Inc
        41BNNE1AFPNAZELZ6K07
        Applied Materials Inc
        038222AM7
        
          
        
        15000.00000000
        PA
        USD
        19889.25000000
        0.003947878923
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-04-01
          Fixed
          4.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -13663.26000000
        -0.00271206285
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4641568.31000000
            NOK
            484068.00000000
            USD
            2020-12-16
            -13663.26000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        -3708.46000000
        -0.00073610372
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4704677129.98000000
            COP
            1225303.97000000
            USD
            2020-10-05
            -3708.46000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02739A SWAPTION EUR006M OCT20 NEG0.211 CALL
        000000000
        
          
        
        -3050000.00000000
        NC
        
        -12315.30000000
        -0.00244450209
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3050000.00000000
                    OU
                    Notional Amount
                    N/A
                    -12315.30000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-16
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3050000.00000000
                  EUR
                
              
            
            1.00000000
            -0.21100000
            EUR
            2020-10-14
            XXXX
            3787.78000000
          
        
        
          N
          N
          N
        
      
      
        Boston Scientific Corp
        Y6ZDD9FP4P8JSSJMW954
        Boston Scientific Corp
        101137AV9
        
          
        
        65000.00000000
        PA
        USD
        70495.75000000
        0.013992920076
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTUIT INC
        VI90HBPH7XSFMB9E4M29
        Intuit Inc
        46124HAD8
        
          
        
        125000.00000000
        PA
        USD
        127195.00000000
        0.025247330075
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        47559.17000000
        0.009440167169
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1772776.50000000
            USD
            2541476.60000000
            AUD
            2020-10-01
            47559.17000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BG65
        
          
        
        210535.80000000
        PA
        USD
        32410.39000000
        0.006433238839
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOWE'S COS INC
        WAFCR4OKGSC504WU3E95
        Lowe's Cos Inc
        548661DV6
        
          
        
        325000.00000000
        PA
        USD
        427466.00000000
        0.084849052227
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YRQ0
        
          
        
        317140.20000000
        PA
        USD
        48977.20000000
        0.009721636342
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AGREE LP
        549300DXY3G299V1BO77
        Agree LP
        008513AA1
        
          
        
        175000.00000000
        PA
        USD
        180293.75000000
        0.035787065661
        Long
        DBT
        
        US
        N
        
        2
        
          2030-10-01
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AJ9
        
          
        
        45000.00000000
        PA
        USD
        55819.35000000
        0.011079755918
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-08-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB Group PLC
        635400AKJBGNS5WNQL34
        AIB Group PLC
        00135TAA2
        
          
        
        1300000.00000000
        PA
        USD
        1409213.00000000
        0.279719059379
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-10-12
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chevron Corp
        N/A
        Chevron Corp
        166764BT6
        
          
        
        65000.00000000
        PA
        USD
        69771.00000000
        0.013849062201
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-03-03
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05964HAB1
        
          
        
        600000.00000000
        PA
        USD
        677472.00000000
        0.134473518620
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-04-11
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828ZQ6
        
          
        
        40000.00000000
        PA
        USD
        39856.25000000
        0.007911190686
        Long
        DBT
        UST
        US
        N
        
        1
        
          2030-05-15
          Fixed
          0.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN EXPRESS CO
        R4PP93JZOLY261QX3811
        American Express Co
        025816CG2
        
          
        
        165000.00000000
        PA
        USD
        175340.55000000
        0.034803889629
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-30
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERFORMANCE FOOD GROUP I
        549300OMUOGBYK0FFO76
        Performance Food Group Inc
        71376LAD2
        
          
        
        255000.00000000
        PA
        USD
        271575.00000000
        0.053905764104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Agricole SA
        969500TJ5KRTCJQWXH05
        Credit Agricole SA
        225313AL9
        
          
        
        250000.00000000
        PA
        USD
        269227.50000000
        0.053439801548
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-09-23
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XBH7
        
          
        
        30000.00000000
        PA
        USD
        35310.60000000
        0.007008910518
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        American Campus Communities Operating Partnership LP
        024836AA6
        
          
        
        800000.00000000
        PA
        USD
        841232.00000000
        0.166978748961
        Long
        DBT
        
        US
        N
        
        2
        
          2023-04-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1760.14000000
        -0.00034937564
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            890637.53000000
            USD
            25641098.23000000
            TWD
            2020-10-26
            -1760.14000000
          
        
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AP3
        
          
        
        55000.00000000
        PA
        USD
        62003.70000000
        0.012307306732
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468G7
        
          
        
        700000.00000000
        PA
        USD
        835177.00000000
        0.165776873230
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-23
          Fixed
          4.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W0FU8
        
          
        
        17341.95000000
        PA
        USD
        18997.62000000
        0.003770896519
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAKEDA PHARMACEUTICAL
        549300ZLMVP4X0OGR454
        Takeda Pharmaceutical Co Ltd
        874060AX4
        
          
        
        680000.00000000
        PA
        USD
        691471.60000000
        0.137252342647
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2030-03-31
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SOUTH AFRICA
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205BA1
        
          
        
        330000.00000000
        PA
        USD
        314221.88000000
        0.062370875595
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2029-09-30
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02699A SWAPTION EUR006M DEC20 0.10 PUT
        000000000
        
          
        
        -1100000.00000000
        NC
        
        -836.62000000
        -0.00016606329
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -836.62000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-12-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1100000.00000000
                  EUR
                
              
            
            1.00000000
            0.10000000
            EUR
            2020-12-02
            XXXX
            1639.09000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2E3
        
          
        
        1750000.00000000
        PA
        USD
        1858465.00000000
        0.368892482321
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-03-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378UYD3
        
          
        
        273616.39000000
        PA
        USD
        53950.91000000
        0.010708883467
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-06-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380ABR7
        
          
        
        854496.23000000
        PA
        USD
        93566.31000000
        0.018572267090
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CAW9
        
          
        
        909000.00000000
        PA
        USD
        1042077.60000000
        0.206845215075
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -4827.19000000
        -0.00095816391
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7621153.65000000
            ZAR
            445915.41000000
            USD
            2020-12-17
            -4827.19000000
          
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEE4
        
          
        
        200000.00000000
        PA
        USD
        188750.00000000
        0.037465572952
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2060-01-30
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        711.45000000
        0.000141217917
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            613153.00000000
            USD
            64670227.00000000
            JPY
            2020-12-16
            711.45000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -5307.14000000
        -0.00105343067
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4058756.46000000
            SEK
            381716.79000000
            EUR
            2020-12-16
            -5307.14000000
          
        
        
          N
          N
          N
        
      
      
        HILTON DOMESTIC OPERATIN
        5493003EG7H0N1E4XV50
        Hilton Domestic Operating Co Inc
        432833AF8
        
          
        
        1204000.00000000
        PA
        USD
        1240120.00000000
        0.246155265326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-01-15
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Asset Backed Securities Trust
        N/A
        Bear Stearns Asset Backed Securities Trust 2002-2
        07384YEM4
        
          
        
        1369.09000000
        PA
        USD
        1317.87000000
        0.000261588103
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2032-10-25
          Floating
          0.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITAU UNIBANCO HLDG SA/KY
        5493002W2IVG62O3ZJ94
        Itau Unibanco Holding SA/Cayman Island
        465562AA4
        
          
        
        200000.00000000
        PA
        USD
        174200.00000000
        0.034577498322
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2025-02-27
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JW97
        
          
        
        200000.00000000
        PA
        USD
        199875.00000000
        0.039673808709
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2023-11-20
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XBD1
        
          
        
        290000.00000000
        PA
        USD
        299052.87000000
        0.059359931749
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          6.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8G58
        
          
        
        920362.65000000
        PA
        USD
        1008701.45000000
        0.200220279537
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOOKING HOLDINGS INC
        FXM8FAOHMYDIPD38UZ17
        Booking Holdings Inc
        09857LAP3
        
          
        
        175000.00000000
        PA
        USD
        197107.75000000
        0.039124528674
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-13
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SBB8
        
          
        
        775000.00000000
        PA
        USD
        845819.50000000
        0.167889336065
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-14
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        3660.52000000
        0.000726587968
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            36355676.17000000
            RUB
            469593.27000000
            USD
            2020-11-17
            3660.52000000
          
        
        
          N
          N
          N
        
      
      
        Reynolds American Inc
        02S2RPPVO9RP4NEU2740
        Reynolds American Inc
        761713AY2
        
          
        
        700000.00000000
        PA
        USD
        780038.00000000
        0.154832162093
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-09-15
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687FM3
        
          
        
        50000.00000000
        PA
        USD
        48283.50000000
        0.009583941677
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-09-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ameren Corp
        XRZQ5S7HYJFPHJ78L959
        Ameren Corp
        023608AJ1
        
          
        
        125000.00000000
        PA
        USD
        142856.25000000
        0.028355980165
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINDER MORGAN ENER PART
        549300PDHUGWPWGOT525
        Kinder Morgan Energy Partners LP
        494550BQ8
        
          
        
        1025000.00000000
        PA
        USD
        1093418.75000000
        0.217036079185
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAS9
        
          
        
        225000.00000000
        PA
        USD
        256578.75000000
        0.050929111927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAE0
        
          
        
        275000.00000000
        PA
        USD
        277612.50000000
        0.055104166206
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          3.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJY9
        
          
        
        625000.00000000
        PA
        USD
        657593.75000000
        0.130527823120
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02706A SWAPTION EUR006M DEC20 NEG0.20 CALL
        000000000
        
          
        
        -3400000.00000000
        NC
        
        -31234.09000000
        -0.00619975140
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3400000.00000000
                    OU
                    Notional Amount
                    N/A
                    -31234.09000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3400000.00000000
                  EUR
                
              
            
            1.00000000
            -0.20000000
            EUR
            2020-12-03
            XXXX
            3032.63000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UGE6
        
          
        
        2302410.81000000
        PA
        USD
        2503534.91000000
        0.496934409594
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-11-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BB2
        
          
        
        575000.00000000
        PA
        USD
        575000.00000000
        0.114133533499
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YCK3
        
          
        
        30000.00000000
        PA
        USD
        36602.70000000
        0.007265383454
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-03-15
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BW2
        
          
        
        210000.00000000
        PA
        USD
        217442.40000000
        0.043160816425
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAPITAL ONE FINANCIAL CO
        ZUE8T73ROZOF6FLBAR73
        Capital One Financial Corp
        14040HBT1
        
          
        
        320000.00000000
        PA
        USD
        346579.20000000
        0.068793580405
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-30
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36292MYM8
        
          
        
        471.89000000
        PA
        USD
        522.12000000
        0.000103637218
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2036-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEB0
        
          
        
        310000.00000000
        PA
        USD
        310871.88000000
        0.061705923704
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2049-06-05
          Fixed
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DH7
        
          
        
        1075000.00000000
        PA
        USD
        1223328.50000000
        0.242822268409
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214961  IRS NZD R F   .50000 2 CCPVANILLA / Short: SR214961  IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        1370000.00000000
        OU
        Notional Amount
        
        -3005.01000000
        -0.00059647375
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            0.00000000
            NZD
            -7033.85000000
            NZD
            1370000.00000000
            NZD
            1719.98000000
          
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164Q6M5
        
          
        
        1600000.00000000
        PA
        USD
        1710240.00000000
        0.339470842315
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2025-11-15
          Fixed
          3.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square Government Fund
        549300BRJMXN4GUWZ402
        Goldman Sachs Financial Square Government Fund
        38141W273
        
          
        
        45068195.44000000
        NS
        USD
        45068195.44000000
        8.945725902608
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fiserv Inc
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AQ1
        
          
        
        300000.00000000
        PA
        USD
        327006.00000000
        0.064908435226
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIEMAC STRIP
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Strips
        31325UP26
        
          
        
        175590.38000000
        PA
        USD
        10140.54000000
        0.002012827237
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-12-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Port Authority of New York & New Jersey
        54930006MR4KZ4W74Z83
        PORT AUTH OF NEW YORK & NEW JERSEY NY
        73358WXQ2
        
          
        
        375000.00000000
        PA
        USD
        501453.75000000
        0.099535110215
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2065-10-15
          Fixed
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        312940FB0
        
          
        
        16754.99000000
        PA
        USD
        19211.58000000
        0.003813366103
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAD0
        
          
        
        275000.00000000
        PA
        USD
        300850.00000000
        0.059716649657
        Long
        DBT
        CORP
        XX
        
        N
        
        2
        
          2030-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WMKE0
        
          
        
        13353.55000000
        PA
        USD
        14628.44000000
        0.002903644429
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-03-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CATERPILLAR FINL SERVICE
        EDBQKYOPJUCJKLOJDE72
        Caterpillar Financial Services Corp
        14913R2C0
        
          
        
        35000.00000000
        PA
        USD
        36128.40000000
        0.007171238176
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELL CANADA
        549300O5ZKB2MUUSKB97
        Bell Canada Inc
        0778FPAA7
        
          
        
        55000.00000000
        PA
        USD
        68230.80000000
        0.013543343126
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2048-04-01
          Fixed
          4.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002992  CDS EUR R F  5.00000 2 CCPCDX / Short: SX002992  CDS EUR P V 03MEVENT 1 CCPCDX
        000000000
        
          
        
        2350000.00000000
        OU
        Notional Amount
        
        197375.87000000
        0.039177748644
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S34.V1
                2I667KIK6
              
            
            Y
            
            sell protection
            2025-12-20
            195152.15000000
            EUR
            0.00000000
            EUR
            2350000.00000000
            EUR
            -31189.55000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1831.58000000
        0.000363555995
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446120.98000000
            USD
            351510765.00000000
            CLP
            2020-11-16
            1831.58000000
          
        
        
          N
          N
          N
        
      
      
        American Express Co
        R4PP93JZOLY261QX3811
        American Express Co
        025816BM0
        
          
        
        195000.00000000
        PA
        USD
        201745.05000000
        0.040045000734
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        13820.52000000
        0.002743277882
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1805109.38000000
            USD
            191623101.00000000
            JPY
            2020-12-16
            13820.52000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UEB4
        
          
        
        3945658.44000000
        PA
        USD
        4290326.30000000
        0.851600174753
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381YEC4
        
          
        
        750509.12000000
        PA
        USD
        115222.06000000
        0.022870784078
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-08-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WXWH6
        
          
        
        14927.17000000
        PA
        USD
        16370.96000000
        0.003249522628
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-07-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5367.34000000
        -0.00106537996
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445720.67000000
            USD
            404616.31000000
            CHF
            2020-12-16
            -5367.34000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        03523TBU1
        
          
        
        55000.00000000
        PA
        USD
        71024.80000000
        0.014097932852
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2039-01-23
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -447.84000000
        -0.00008889315
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            363443.56000000
            EUR
            391828.50000000
            CHF
            2020-12-16
            -447.84000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FQJA2
        
          
        
        234934.28000000
        PA
        USD
        28889.38000000
        0.005734342643
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-12-25
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBN1
        
          
        
        250000.00000000
        PA
        USD
        242697.50000000
        0.048173779558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379QCY9
        
          
        
        333506.84000000
        PA
        USD
        62626.41000000
        0.012430910371
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-09-20
          Floating
          6.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL ELECTRIC CO
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BV4
        
          
        
        125000.00000000
        PA
        USD
        132098.75000000
        0.026220690623
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Renaissance Home Equity Loan Trust
        N/A
        Renaissance Home Equity Loan Trust 2003-2
        759950AW8
        
          
        
        759.19000000
        PA
        USD
        685.72000000
        0.000136110689
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-08-25
          Floating
          1.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBP0
        
          
        
        275000.00000000
        PA
        USD
        294404.00000000
        0.058437163123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-05-13
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIG GLOBAL FUNDING
        54930057MDZ7KOVOTV71
        AIG Global Funding
        00138CAK4
        
          
        
        150000.00000000
        PA
        USD
        154665.00000000
        0.030699935580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-07-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379FY45
        
          
        
        150920.47000000
        PA
        USD
        29886.77000000
        0.005932317678
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-11-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAD1
        
          
        
        800000.00000000
        PA
        USD
        882688.00000000
        0.175207478986
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AD6
        
          
        
        100000.00000000
        PA
        USD
        85750.00000000
        0.017020783474
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-04-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mylan Inc
        30ZMPDNA1RHIBH89C294
        Mylan Inc
        628530BC0
        
          
        
        60000.00000000
        PA
        USD
        75588.00000000
        0.015003696574
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-11-29
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marathon Petroleum Corp
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585AAF9
        
          
        
        40000.00000000
        PA
        USD
        48438.00000000
        0.009614608861
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-03-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GFL ENVIRONMENTAL INC
        549300FYK4MBXWIVZU26
        GFL Environmental Inc
        36168QAK0
        
          
        
        400000.00000000
        PA
        USD
        400500.00000000
        0.079496487245
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-08-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CP2
        
          
        
        200000.00000000
        PA
        USD
        240112.00000000
        0.047660575644
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-05-04
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GMAC Mortgage Corporation Loan Trust
        N/A
        GMACM Home Equity Loan Trust 2007-HE3
        36186MAC5
        
          
        
        19113.51000000
        PA
        USD
        19447.31000000
        0.003860156882
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-09-25
          Variable
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YR64
        
          
        
        891173.03000000
        PA
        USD
        163475.71000000
        0.032448800736
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214480  IRS USD R F   .98000 2 CCPVANILLA / Short: SR214480  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        9590000.00000000
        OU
        Notional Amount
        USD
        -26382.09000000
        -0.00523666287
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            0.00000000
            USD
            -13690.33000000
            USD
            9590000.00000000
            USD
            -12691.76000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GV20
        
          
        
        206012.37000000
        PA
        USD
        33227.90000000
        0.006595508935
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Floating
          5.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382ET31
        
          
        
        1743189.12000000
        PA
        USD
        179869.92000000
        0.035702938330
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-05-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214058  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214058  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        7420000.00000000
        OU
        Notional Amount
        
        -142427.75000000
        -0.02827092587
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-18
            0.00000000
            EUR
            -77801.64000000
            EUR
            7420000.00000000
            EUR
            63347.13000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX002968  CDS USD R F  3.00000 2 CMBX / Short: CX002968  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        600000.00000000
        OU
        Notional Amount
        USD
        -147640.20000000
        -0.02930556123
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.10
                137BERAJ6
              
            
            Y
            
            sell protection
            2059-11-17
            0.00000000
            USD
            -114221.66000000
            USD
            600000.00000000
            USD
            -33418.54000000
          
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BP6
        
          
        
        25000.00000000
        PA
        USD
        30488.00000000
        0.006051657685
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-15
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAN1
        
          
        
        2331000.00000000
        PA
        USD
        2552748.03000000
        0.506702874429
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        124740.00000000
        PA
        USD
        84511.35000000
        0.016774919993
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2030-07-31
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBG3
        
          
        
        1330000.00000000
        PA
        USD
        1461803.00000000
        0.290157811599
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAH3
        
          
        
        130000.00000000
        PA
        USD
        133412.50000000
        0.026481460935
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-02-14
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: CS005457  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005457  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        930000.00000000
        OU
        Notional Amount
        USD
        -1879.16000000
        -0.00037300029
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2020-12-20
            178.56000000
            USD
            0.00000000
            USD
            930000.00000000
            USD
            -2057.72000000
          
        
        
          N
          N
          N
        
      
      
        SUNOCO LOGISTICS PARTNER
        5493006LL0CKP8WQW329
        Sunoco Logistics Partners Operations LP
        86765BAU3
        
          
        
        35000.00000000
        PA
        USD
        35670.95000000
        0.007080437507
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3332.00000000
        -0.00066137901
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            363151.81000000
            EUR
            3786373.29000000
            SEK
            2020-12-16
            -3332.00000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RJF7
        
          
        
        100644.91000000
        PA
        USD
        109829.02000000
        0.021800302840
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-07-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7673.25000000
        -0.00152308719
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            440772.19000000
            USD
            604546.99000000
            AUD
            2020-12-16
            -7673.25000000
          
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BH4
        
          
        
        225000.00000000
        PA
        USD
        292317.75000000
        0.058023056890
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-06-01
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH CO/INBEV
        N/A
        Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
        03522AAH3
        
          
        
        385000.00000000
        PA
        USD
        463894.20000000
        0.092079798636
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2036-02-01
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZJ5
        
          
        
        250000.00000000
        PA
        USD
        253016.50000000
        0.050222029875
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-09
          Fixed
          4.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CG4
        
          
        
        545000.00000000
        PA
        USD
        572250.00000000
        0.113587677469
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BB9
        
          
        
        30000.00000000
        PA
        USD
        36807.30000000
        0.007305995143
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2038-07-26
          Fixed
          4.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61761JVL0
        
          
        
        1050000.00000000
        PA
        USD
        1163778.00000000
        0.231001904954
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-23
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -2028.22000000
        -0.00040258767
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12910280.44000000
            TWD
            446413.57000000
            USD
            2020-11-09
            -2028.22000000
          
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687EH5
        
          
        
        45000.00000000
        PA
        USD
        67743.45000000
        0.013446607512
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-11-15
          Fixed
          6.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4199.28000000
        0.000833528112
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446432.83000000
            USD
            12973338.04000000
            TWD
            2020-11-09
            4199.28000000
          
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAN5
        
          
        
        295000.00000000
        PA
        USD
        318027.70000000
        0.063126304611
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2025-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1251.01000000
        0.000248316855
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            429797.45000000
            USD
            45410679.00000000
            JPY
            2020-12-16
            1251.01000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468C6
        
          
        
        50000.00000000
        PA
        USD
        56503.00000000
        0.011215455727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-23
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        23292.10000000
        0.004623321174
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1755038.55000000
            AUD
            1280606.00000000
            USD
            2020-12-16
            23292.10000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468J1
        
          
        
        835000.00000000
        PA
        USD
        887212.55000000
        0.176105570950
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-22
          Fixed
          2.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96949LAA3
        
          
        
        915000.00000000
        PA
        USD
        946503.45000000
        0.187874405595
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BBWT5
        
          
        
        1020659.10000000
        PA
        USD
        157308.27000000
        0.031224606441
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0206A2
        
          
        
        3000000.00000000
        PA
        USD
        3102485.70000000
        0.615822009689
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        7223.01000000
        0.001433717658
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1177001.17000000
            CAD
            891478.45000000
            USD
            2020-12-16
            7223.01000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN CAMPUS CMNTYS
        RDKVCX5HITZ2GPIR7153
        American Campus Communities Operating Partnership LP
        024836AG3
        
          
        
        175000.00000000
        PA
        USD
        190746.50000000
        0.037861864430
        Long
        DBT
        
        US
        N
        
        2
        
          2031-01-30
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        369604BD4
        
          
        
        75000.00000000
        PA
        USD
        77953.50000000
        0.015473232006
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-10-09
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        7987.62000000
        0.001585487469
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446218.26000000
            USD
            7679710.76000000
            ZAR
            2020-12-17
            7987.62000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SSM2
        
          
        
        18972.06000000
        PA
        USD
        21489.36000000
        0.004265489720
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-03-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W4AP6
        
          
        
        14190.08000000
        PA
        USD
        15562.58000000
        0.003089064775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EPK94
        
          
        
        1795451.48000000
        PA
        USD
        2043653.62000000
        0.405651145911
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BJ9
        
          
        
        850000.00000000
        PA
        USD
        916572.00000000
        0.181933219245
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-25
          Fixed
          4.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912810RE0
        
          
        
        1100000.00000000
        PA
        USD
        1607203.13000000
        0.319018734396
        Long
        DBT
        UST
        US
        N
        
        1
        
          2044-02-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300IZGFDRVV7YTH38
        SLM Student Loan Trust 2007-7
        78444EAD1
        
          
        
        675050.84000000
        PA
        USD
        635161.95000000
        0.126075265561
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-01-25
          Floating
          0.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017CX5
        
          
        
        100000.00000000
        PA
        USD
        130381.00000000
        0.025879729097
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-16
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VBJ8
        
          
        
        3424563.31000000
        PA
        USD
        3675456.24000000
        0.729552709378
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Simon Property Group LP
        MR92GTD0MJTTTTQDVG45
        Simon Property Group LP
        828807DD6
        
          
        
        370000.00000000
        PA
        USD
        386609.30000000
        0.076739279117
        Long
        DBT
        
        US
        N
        
        2
        
          2023-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AJ6
        
          
        
        95000.00000000
        PA
        USD
        93337.50000000
        0.018526849883
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2030-01-30
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AL1
        
          
        
        700000.00000000
        PA
        USD
        710003.00000000
        0.140930697713
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3923.27000000
        -0.00077874203
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446000.00000000
            USD
            406199.85000000
            CHF
            2020-12-16
            -3923.27000000
          
        
        
          N
          N
          N
        
      
      
        US FOODS INC
        5493000JOOFAOUY1JZ87
        US Foods Inc
        90290MAC5
        
          
        
        374000.00000000
        PA
        USD
        395972.50000000
        0.078597809727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02735A SWAPTION US0003M OCT20 0.6975 CALL
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -9418.25000000
        -0.00186945765
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -9418.25000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            0.69750000
            USD
            2020-10-13
            XXXX
            14017.75000000
          
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874DK0
        
          
        
        375000.00000000
        PA
        USD
        435232.50000000
        0.086390648902
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-04-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET CORP
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BK8
        
          
        
        25000.00000000
        PA
        USD
        28445.50000000
        0.005646235525
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-30
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MP3
        
          
        
        450000.00000000
        PA
        USD
        539113.50000000
        0.107010310803
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-31
          Fixed
          4.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        4776.69000000
        0.000948140014
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            348996546.00000000
            CLP
            449525.22000000
            USD
            2020-11-16
            4776.69000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        94974BGL8
        
          
        
        600000.00000000
        PA
        USD
        686736.00000000
        0.136312358714
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-22
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CAY0
        
          
        
        24434.36000000
        PA
        USD
        26429.25000000
        0.005246023809
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Crown City CLO I
        549300K60T4GC7BSX929
        Crown City CLO I
        22823RAC3
        
          
        
        1200000.00000000
        PA
        USD
        1203883.20000000
        0.238962510497
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-20
          Floating
          2.86000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Union Pacific Corp
        549300LMMRSZZCZ8CL11
        Union Pacific Corp
        907818EM6
        
          
        
        5000.00000000
        PA
        USD
        5905.05000000
        0.001172111690
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-10-01
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B9HA6
        
          
        
        604129.94000000
        PA
        USD
        105319.48000000
        0.020905190258
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-03-15
          Floating
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: CS005451  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005451  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        230000.00000000
        OU
        Notional Amount
        USD
        -464.74000000
        -0.00009224768
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2020-12-20
            92.60000000
            USD
            0.00000000
            USD
            230000.00000000
            USD
            -557.34000000
          
        
        
          N
          N
          N
        
      
      
        ZOETIS INC
        549300HD9Q1LOC9KLJ48
        Zoetis Inc
        98978VAS2
        
          
        
        1175000.00000000
        PA
        USD
        1213258.00000000
        0.240823343628
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Post Holdings Inc
        JM1I5YUAURL6DC8N1468
        Post Holdings Inc
        737446AM6
        
          
        
        450000.00000000
        PA
        USD
        473062.50000000
        0.093899642940
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QORVO INC
        254900YAUJV2EUEVBR11
        Qorvo Inc
        74736KAH4
        
          
        
        600000.00000000
        PA
        USD
        637500.00000000
        0.126539352357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          4.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AG1
        
          
        
        235000.00000000
        PA
        USD
        253870.50000000
        0.050391542984
        Long
        DBT
        
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKY7
        
          
        
        5085908.36000000
        PA
        USD
        5484101.42000000
        1.088556301100
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967LD1
        
          
        
        60000.00000000
        PA
        USD
        67880.40000000
        0.013473791143
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-10
          Fixed
          3.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1181.93000000
        0.000234604951
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            694902.28000000
            USD
            546220989.00000000
            CLP
            2020-11-16
            1181.93000000
          
        
        
          N
          N
          N
        
      
      
        Bausch Health Cos Inc
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        91911KAP7
        
          
        
        650000.00000000
        PA
        USD
        706875.00000000
        0.140309811290
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2025-12-15
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        3101.35000000
        0.000615596581
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            617975.43000000
            AUD
            445820.45000000
            USD
            2020-12-16
            3101.35000000
          
        
        
          N
          N
          N
        
      
      
        EAST OHIO GAS CO/THE
        BC95Y6MXLT75BGO7UM71
        East Ohio Gas Co/The
        27409LAA1
        
          
        
        150000.00000000
        PA
        USD
        153169.50000000
        0.030403089146
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RXE4
        
          
        
        573741.08000000
        PA
        USD
        624662.09000000
        0.123991115782
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2046-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1757.40000000
        0.000348831776
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445084.89000000
            USD
            1528911.11000000
            ILS
            2020-12-16
            1757.40000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RHW5
        
          
        
        40000.00000000
        PA
        USD
        45090.00000000
        0.008950053957
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202F2M7
        
          
        
        1432.11000000
        PA
        USD
        1579.80000000
        0.000313579402
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-01-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABA2
        
          
        
        625000.00000000
        PA
        USD
        685675.00000000
        0.136101757534
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOWMET AEROSPACE INC
        549300HO5WFZUT5N2T22
        Howmet Aerospace Inc
        443201AA6
        
          
        
        1358000.00000000
        PA
        USD
        1500399.88000000
        0.297819026028
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT DEC20 XCBT 20201221
        000000000
        
          
        
        213.00000000
        NC
        USD
        -194473.10000000
        -0.03860156882
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US Treasury Ultra Long Bond
                WNZ0 Comdty
              
            
            2020-12-21
            47354004.35000000
            USD
            -194473.10000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EP2E3
        
          
        
        203790.99000000
        PA
        USD
        232090.30000000
        0.046068323530
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CK4
        
          
        
        475000.00000000
        PA
        USD
        495676.75000000
        0.098388415566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-03-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        500000.00000000
        PA
        
        662434.12000000
        0.131488603175
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2030-05-26
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QORVO INC
        254900YAUJV2EUEVBR11
        Qorvo Inc
        74736KAJ0
        
          
        
        725000.00000000
        PA
        USD
        736781.25000000
        0.146245995614
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DENTSPLY SIRONA INC
        9NHEHR1SOZCYXDO8HO28
        DENTSPLY SIRONA Inc
        24906PAA7
        
          
        
        350000.00000000
        PA
        USD
        380320.50000000
        0.075490995699
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -3857.98000000
        -0.00076578241
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12860522.27000000
            TWD
            442855.45000000
            USD
            2020-11-09
            -3857.98000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FTLA3
        
          
        
        6150137.50000000
        PA
        USD
        795447.71000000
        0.157890883228
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Weyerhaeuser Co
        08IRJODWFYBI7QWRGS31
        Weyerhaeuser Co
        962166BR4
        
          
        
        50000.00000000
        PA
        USD
        72812.00000000
        0.014452679723
        Long
        DBT
        
        US
        N
        
        2
        
          2032-03-15
          Fixed
          7.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -555.57000000
        -0.00011027681
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            44215170.00000000
            JPY
            419144.84000000
            USD
            2020-12-16
            -555.57000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1535.40000000
        -0.00030476630
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            423069.62000000
            USD
            2875117.68000000
            CNY
            2020-12-16
            -1535.40000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: CS005455  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005455  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        5110000.00000000
        OU
        Notional Amount
        USD
        -10325.27000000
        -0.00204949486
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2020-12-20
            1897.82000000
            USD
            0.00000000
            USD
            5110000.00000000
            USD
            -12223.09000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493003FQV7GR462GO02
        Freddie Mac Stacr Remic Trust 2020-DNA1
        35565HAH8
        
          
        
        970000.00000000
        PA
        USD
        948441.75000000
        0.188259144775
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-01-25
          Floating
          1.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9ME0
        
          
        
        955343.18000000
        PA
        USD
        1047039.50000000
        0.207830117996
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUNTINGTON NATIONAL BANK
        2WHM8VNJH63UN14OL754
        Huntington National Bank/The
        44644MAA9
        
          
        
        250000.00000000
        PA
        USD
        256550.00000000
        0.050923405250
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-03
          Fixed
          1.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        05583JAE2
        
          
        
        525000.00000000
        PA
        USD
        623889.00000000
        0.123837662750
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-12
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR COMPANY
        20S05OYHG0MQM4VUIC57
        Ford Motor Co
        345370CW8
        
          
        
        27000.00000000
        PA
        USD
        30933.95000000
        0.006140175684
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-22
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2246.76000000
        -0.00044596636
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            363953.15000000
            EUR
            390725.54000000
            CHF
            2020-12-16
            -2246.76000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        203247.42000000
        0.040343210815
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2030-09-30
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378W2X0
        
          
        
        86980.96000000
        PA
        USD
        17115.36000000
        0.003397280893
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-09-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALERO ENERGY CORP
        549300XTO5VR8SKV1V74
        Valero Energy Corp
        91913YAY6
        
          
        
        350000.00000000
        PA
        USD
        367045.00000000
        0.072855900527
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-15
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300MHMWVKFEDI8G73
        SLM Student Loan Trust 2008-2
        784442AC9
        
          
        
        189818.18000000
        PA
        USD
        184949.78000000
        0.036711255497
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-04-25
          Floating
          0.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EQUITABLE HOLDINGS INC
        549300FIBAKMNHPZ4009
        Equitable Holdings Inc
        054561AM7
        
          
        
        35000.00000000
        PA
        USD
        41219.15000000
        0.008181716934
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-04-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBD3
        
          
        
        425000.00000000
        PA
        USD
        444554.25000000
        0.088240951973
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MKQH2
        
          
        
        30830.04000000
        PA
        USD
        33811.99000000
        0.006711446771
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYALTY PHARMA PLC
        549300FGFN7VOK8BZR03
        Royalty Pharma PLC
        78081BAB9
        
          
        
        425000.00000000
        PA
        USD
        423682.50000000
        0.084098053576
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2025-09-02
          Fixed
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE II
        549300BHVD63HE2GHX17
        Huarong Finance II Co Ltd
        000000000
        
          
        
        200000.00000000
        PA
        USD
        222777.70000000
        0.044219836670
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2025-01-16
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UKZ4
        
          
        
        4513338.36000000
        PA
        USD
        4904774.33000000
        0.973563870085
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FVA93
        
          
        
        1994962.85000000
        PA
        USD
        275160.84000000
        0.054617528608
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WILLIAMS COMPANIES INC
        D71FAKCBLFS2O0RBPG08
        Williams Cos Inc/The
        96950FAQ7
        
          
        
        450000.00000000
        PA
        USD
        491125.50000000
        0.097485023837
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple Inc
        037833BW9
        
          
        
        40000.00000000
        PA
        USD
        53381.20000000
        0.010595799962
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-02-23
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Harben Finance
        213800J7WLPUU61CJY65
        Harben Finance 2017-1 PLC
        000000000
        
          
        
        726510.13000000
        PA
        
        935664.99000000
        0.185723046052
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-08-20
          Floating
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOODYEAR TIRE & RUBBER
        5493002BI0S2ZQUY3437
        Goodyear Tire & Rubber Co/The
        382550BE0
        
          
        
        1200000.00000000
        PA
        USD
        1197000.00000000
        0.237596242780
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-11-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2C6
        
          
        
        345000.00000000
        PA
        USD
        375197.85000000
        0.074474185011
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962G6S8
        
          
        
        250000.00000000
        PA
        USD
        262282.50000000
        0.052061266956
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-09
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ANZG1
        
          
        
        38257.09000000
        PA
        USD
        42732.76000000
        0.008482158078
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-08-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214463  IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214463  IRS EUR P F   .00000 CCPVANILLA
        000000000
        
          
        
        30430000.00000000
        OU
        Notional Amount
        
        -113590.49000000
        -0.02254692868
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-05-18
            24961.21000000
            EUR
            0.00000000
            EUR
            30430000.00000000
            EUR
            -141683.23000000
          
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAG5
        
          
        
        225000.00000000
        PA
        USD
        241796.25000000
        0.047994887651
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALGREENS BOOTS ALLIANCE
        549300RPTUOIXG4LIH86
        Walgreens Boots Alliance Inc
        931427AQ1
        
          
        
        10000.00000000
        PA
        USD
        10924.20000000
        0.002168378342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4197.74000000
        -0.00083322243
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            427676.95000000
            USD
            563678.22000000
            CAD
            2020-12-16
            -4197.74000000
          
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397YQ0
        
          
        
        330000.00000000
        PA
        USD
        325595.49000000
        0.064628458721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-08-03
          Fixed
          2.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3132L5TH6
        
          
        
        15506.10000000
        PA
        USD
        17089.74000000
        0.003392195500
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297KFM9
        
          
        
        98088.58000000
        PA
        USD
        112972.98000000
        0.022424357212
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FUKH6
        
          
        
        553911.67000000
        PA
        USD
        72695.87000000
        0.014429628719
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        459.58000000
        0.000091223459
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            467770.97000000
            USD
            362683.44000000
            GBP
            2020-12-16
            459.58000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381RAZ2
        
          
        
        456728.24000000
        PA
        USD
        39238.62000000
        0.007788595391
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Floating
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380YR23
        
          
        
        664564.35000000
        PA
        USD
        106691.35000000
        0.021177496990
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          6.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -2204.93000000
        -0.00043766339
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            45287781.00000000
            JPY
            427676.95000000
            USD
            2020-12-16
            -2204.93000000
          
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABH7
        
          
        
        1175000.00000000
        PA
        USD
        1202295.25000000
        0.238647313377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIFTH THIRD BANCORP
        THRNG6BD57P9QWTQLG42
        Fifth Third Bancorp
        316773CY4
        
          
        
        375000.00000000
        PA
        USD
        397057.50000000
        0.078813174743
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-28
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -5904.89000000
        -0.00117207993
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            175646.35000000
            USD
            1318454.20000000
            TRY
            2020-10-23
            -5904.89000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300JQFJDGC1WO7674
        SLM Student Loan Trust 2008-6
        78445CAD4
        
          
        
        957564.36000000
        PA
        USD
        923219.40000000
        0.183252682290
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-07-25
          Floating
          1.34000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJE0
        
          
        
        50000.00000000
        PA
        USD
        50907.00000000
        0.010104688330
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-19
          Fixed
          2.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BX002990  CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX002990  CDS EUR P F  1.00000 2 CCPCDX
        000000000
        
          
        
        7650000.00000000
        OU
        Notional Amount
        
        -189813.36000000
        -0.03767664257
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe S34.V1
                2I666VCX1
              
            
            Y
            buy protection
            
            2025-12-20
            0.00000000
            EUR
            -165796.33000000
            EUR
            7650000.00000000
            EUR
            4370.06000000
          
        
        
          N
          N
          N
        
      
      
        VEREIT OPERATING PARTNER
        5493005TQOUJE1LCS698
        VEREIT Operating Partnership LP
        92340LAF6
        
          
        
        200000.00000000
        PA
        USD
        208576.00000000
        0.041400897188
        Long
        DBT
        
        US
        N
        
        2
        
          2028-01-15
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        APPALACHIAN POWER CO
        3SCHO1ABYYIG382BEI70
        Appalachian Power Co
        037735CY1
        
          
        
        30000.00000000
        PA
        USD
        34214.40000000
        0.006791322380
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: CS005471  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005471  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        10000.00000000
        OU
        Notional Amount
        USD
        -65.53000000
        -0.00001300725
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            13.81000000
            USD
            0.00000000
            USD
            10000.00000000
            USD
            -79.34000000
          
        
        
          N
          N
          N
        
      
      
        BMW US Capital LLC
        KK5MZM9DIXLXZL9DZL15
        BMW US Capital LLC
        05565EBJ3
        
          
        
        30000.00000000
        PA
        USD
        34073.40000000
        0.006763334852
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2029-04-18
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPA4
        
          
        
        2444263.37000000
        PA
        USD
        2601237.14000000
        0.516327628273
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COSTAR GROUP INC
        N/A
        CoStar Group Inc
        22160NAA7
        
          
        
        625000.00000000
        PA
        USD
        645496.88000000
        0.128126677873
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FirstEnergy Corp
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AJ6
        
          
        
        25000.00000000
        PA
        USD
        30005.25000000
        0.005955835140
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-07-15
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02710A SWAPTION EUR006M OCT20 NEG0.191 CALL
        000000000
        
          
        
        -3050000.00000000
        NC
        
        -14855.67000000
        -0.00294874801
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3050000.00000000
                    OU
                    Notional Amount
                    N/A
                    -14855.67000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3050000.00000000
                  EUR
                
              
            
            1.00000000
            -0.19100000
            EUR
            2020-10-05
            XXXX
            2186.54000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1988.77000000
        0.000394757125
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            439342.88000000
            USD
            587440.97000000
            CAD
            2020-12-16
            1988.77000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -889.48000000
        -0.00017655564
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            996647494.00000000
            KRW
            853856.99000000
            USD
            2020-11-02
            -889.48000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140E0EH4
        
          
        
        473647.49000000
        PA
        USD
        516917.28000000
        0.102604514249
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-11-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Adobe Inc
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724FAC5
        
          
        
        30000.00000000
        PA
        USD
        33262.80000000
        0.006602436344
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1490.72000000
        -0.00029589763
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            208532.54000000
            USD
            3086907257.87000000
            IDR
            2020-11-05
            -1490.72000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0506A5
        
          
        
        1000000.00000000
        PA
        USD
        1084266.70000000
        0.215219460393
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Corp
        549300ZFEEJ2IP5VME73
        State Street Corp
        857477BD4
        
          
        
        60000.00000000
        PA
        USD
        72498.60000000
        0.014390471985
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-03
          Fixed
          4.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WWKV0
        
          
        
        19504.30000000
        PA
        USD
        21390.80000000
        0.004245926240
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AD8
        
          
        
        300000.00000000
        PA
        USD
        328563.00000000
        0.065217488986
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-15
          Fixed
          5.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SASOL Financing USA LLC
        549300XRB1PFMESFEL85
        SASOL Financing USA LLC
        80386WAA3
        
          
        
        310000.00000000
        PA
        USD
        297212.50000000
        0.058994631000
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-27
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RAH6
        
          
        
        155000.00000000
        PA
        USD
        155414.92000000
        0.030848789527
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Electric Co
        3C7474T6CDKPR9K6YT90
        General Electric Co
        36962G4B7
        
          
        
        55000.00000000
        PA
        USD
        70220.15000000
        0.013938215377
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-01-10
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL AIR LEASE CO LTD
        N/A
        Global Aircraft Leasing Co Ltd
        37960JAA6
        
          
        
        932625.00000000
        PA
        USD
        494291.25000000
        0.098113403374
        Long
        DBT
        CORP
        KY
        N
        
        2
        
          2024-09-15
          Fixed
          6.50000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: IBX00036  TRS USD R E IBOXHY INDEX / Short: IBX00036  TRS USD P V 03MLIBOR US0003M+ 0.00 BPS
        000000000
        
          
        
        1250000.00000000
        OU
        Notional Amount
        USD
        8188.04000000
        0.001625269456
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Markit iBoxx USD Liquid High Yield Index
                IBOXHY Index
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2021-03-22
            0.00000000
            USD
            0.00000000
            USD
            1250000.00000000
            USD
            8188.04000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38376VHU4
        
          
        
        649630.69000000
        PA
        USD
        128796.95000000
        0.025565306099
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2040-02-20
          Floating
          6.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RFW7
        
          
        
        175000.00000000
        PA
        USD
        211828.75000000
        0.042046545624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -4896.66000000
        -0.00097195323
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1547095.33000000
            ILS
            447260.18000000
            USD
            2020-12-16
            -4896.66000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W7WP5
        
          
        
        18176.03000000
        PA
        USD
        19934.06000000
        0.003956773399
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179MQQ6
        
          
        
        2736.76000000
        PA
        USD
        3010.44000000
        0.000597551573
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2042-10-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02782A SWAPTION US0003M OCT20 0.703 PUT
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -21995.82000000
        -0.00436601853
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -21995.82000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            0.70300000
            USD
            2020-10-28
            XXXX
            -3284.82000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BD2
        
          
        
        826000.00000000
        PA
        USD
        886991.84000000
        0.176061761537
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-09-12
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAM RESEARCH CORP
        549300I4GMO6D34U1T02
        Lam Research Corp
        512807AV0
        
          
        
        375000.00000000
        PA
        USD
        388346.25000000
        0.077084051710
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Target Corp
        8WDDFXB5T1Z6J0XC1L66
        Target Corp
        87612EBD7
        
          
        
        65000.00000000
        PA
        USD
        72073.30000000
        0.014306052869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BBF9
        
          
        
        2213885.43000000
        PA
        USD
        231687.10000000
        0.045988291111
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-12-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME DEPOT INC
        QEKMOTMBBKA8I816DO57
        Home Depot Inc/The
        437076BW1
        
          
        
        275000.00000000
        PA
        USD
        329172.25000000
        0.065338420908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-12-06
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG
        25152R2Y8
        
          
        
        65000.00000000
        PA
        USD
        69289.35000000
        0.013753457998
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-01-13
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BBVP4
        
          
        
        1953852.83000000
        PA
        USD
        166782.83000000
        0.033105241243
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED PARCEL SERVICE
        D01LMJZU09ULLNCY6Z23
        United Parcel Service Inc
        911312BX3
        
          
        
        60000.00000000
        PA
        USD
        68281.80000000
        0.013553466274
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Inflation Indexed Bonds
        912828TE0
        
          
        
        1239172.00000000
        PA
        USD
        1270863.06000000
        0.252257550663
        Long
        DBT
        UST
        US
        N
        
        1
        
          2022-07-15
          Fixed
          0.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Glencore Funding LLC
        213800STG1QDNBY87K49
        Glencore Funding LLC
        378272AT5
        
          
        
        300000.00000000
        PA
        USD
        324537.00000000
        0.064418355758
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-03-12
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTUIT INC
        VI90HBPH7XSFMB9E4M29
        Intuit Inc
        46124HAC0
        
          
        
        175000.00000000
        PA
        USD
        177520.00000000
        0.035236495420
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          1.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AEP Transmission Co LLC
        549300X123Z1I0LA3Y84
        AEP Transmission Co LLC
        00115AAM1
        
          
        
        50000.00000000
        PA
        USD
        58872.50000000
        0.011685785132
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dupont De Nemours Inc
        5493004JF0SDFLM8GD76
        DuPont de Nemours Inc
        26078JAE0
        
          
        
        55000.00000000
        PA
        USD
        69839.55000000
        0.013862668903
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-11-15
          Fixed
          5.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XZSV4
        
          
        
        555432.53000000
        PA
        USD
        597178.67000000
        0.118535846499
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NIELSEN FINANCE LLC/CO
        N/A
        Nielsen Finance LLC / Nielsen Finance Co
        65409QBF8
        
          
        
        83000.00000000
        PA
        USD
        85905.00000000
        0.017051549904
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-01
          Fixed
          5.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UH62
        
          
        
        2857636.89000000
        PA
        USD
        3105476.02000000
        0.616415567581
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-12-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        22797.25000000
        0.004525096863
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1538370.22000000
            USD
            164632535.00000000
            JPY
            2020-10-09
            22797.25000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        33659.96000000
        0.006681269864
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            14110249.97000000
            SEK
            1610785.98000000
            USD
            2020-12-16
            33659.96000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02751A SWAPTION US0003M OCT20 0.70 PUT
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -18447.91000000
        -0.00366178287
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -18447.91000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-19
            XXXX
            1066.34000000
          
        
        
          N
          N
          N
        
      
      
        HP ENTERPRISE CO
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co
        42824CBF5
        
          
        
        550000.00000000
        PA
        USD
        620620.00000000
        0.123188788800
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pennsylvania Higher Education Assistance Agency
        N/A
        PHEAA Student Loan Trust 2016-1
        69343FAA5
        
          
        
        1338748.15000000
        PA
        USD
        1333776.04000000
        0.264745343203
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2065-09-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RGL0
        
          
        
        25000.00000000
        PA
        USD
        28907.25000000
        0.005737889715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEGNA INC
        549300YC5EDBGX85AO10
        TEGNA Inc
        87901JAE5
        
          
        
        950000.00000000
        PA
        USD
        926250.00000000
        0.183854235484
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AC1
        
          
        
        225000.00000000
        PA
        USD
        235937.25000000
        0.046831916567
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2023-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214470  IRS EUR R F   .05000 2 CCPVANILLA / Short: SR214470  IRS EUR P V 06MEURIB 1 CCPVANILLA
        000000000
        
          
        
        6990000.00000000
        OU
        Notional Amount
        
        52092.58000000
        0.010340017781
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-05-21
            13853.78000000
            EUR
            0.00000000
            EUR
            6990000.00000000
            EUR
            93962.69000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VFE9
        
          
        
        575000.00000000
        PA
        USD
        648881.75000000
        0.128798551218
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-22
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR PRODUCTS & CHEMICALS
        7QEON6Y1RL5XR3R1W237
        Air Products and Chemicals Inc
        009158BC9
        
          
        
        200000.00000000
        PA
        USD
        210660.00000000
        0.041814556812
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTERN MIDSTREAM OPERAT
        L6D8A6MLSY454J2JXJ60
        Western Midstream Operating LP
        958254AJ3
        
          
        
        75000.00000000
        PA
        USD
        60750.00000000
        0.012058455930
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-01
          Fixed
          5.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02767A SWAPTION US0003M OCT20 0.7 PUT
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -21561.50000000
        -0.00427980901
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Put
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -21561.50000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-28
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-26
            XXXX
            -2094.50000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3995.93000000
        0.000793164540
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3809199.91000000
            SEK
            365889.26000000
            EUR
            2020-12-16
            3995.93000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JJ7
        
          
        
        275000.00000000
        PA
        USD
        247238.75000000
        0.049075186357
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-08-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AID-ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government AID Bond
        46513EFG2
        
          
        
        40000.00000000
        PA
        USD
        60024.00000000
        0.011914349938
        Long
        DBT
        NUSS
        IL
        
        N
        
        2
        
          2033-09-18
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEVEL 3 FINANCING INC
        N/A
        Level 3 Financing Inc
        527298BR3
        
          
        
        645000.00000000
        PA
        USD
        655481.25000000
        0.130108506443
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgage Trust
        N/A
        Wells Fargo Commercial Mortgage Trust 2017-RC1
        95001FAC9
        
          
        
        150000.00000000
        PA
        USD
        107357.54000000
        0.021309731109
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2060-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAL7
        
          
        
        265000.00000000
        PA
        USD
        267668.55000000
        0.053130360727
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-07-15
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226B2
        
          
        
        13000000.00000000
        PA
        USD
        13626537.60000000
        2.704773714169
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-11-19
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214061  IRS CNY R F  2.50000 CCPVANILLA / Short: SR214061  IRS CNY P V 03MLIBOR CCPVANILLA
        000000000
        
          
        
        18280000.00000000
        OU
        Notional Amount
        
        -17086.13000000
        -0.00339147894
        N/A
        DIR
        
        CN
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-06-17
            186935.85000000
            CNY
            0.00000000
            CNY
            18280000.00000000
            CNY
            -43561.36000000
          
        
        
          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
        
          
        
        41300000.00000000
        OU
        Notional Amount
        
        176262.04000000
        0.034986799038
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-05-16
            0.00000000
            AUD
            -36147.55000000
            AUD
            41300000.00000000
            AUD
            201739.20000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2019-GC42
        36257UAA5
        
          
        
        200000.00000000
        PA
        USD
        165872.14000000
        0.032924475560
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-09-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379LKS4
        
          
        
        1186674.71000000
        PA
        USD
        195387.06000000
        0.038782983578
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-04-20
          Floating
          5.44000000
          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
        
          
        
        2430000.00000000
        OU
        Notional Amount
        USD
        15068.92000000
        0.002991076670
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Indonesia Government International Bond
                Indonesia Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            5575.34000000
            USD
            0.00000000
            USD
            2430000.00000000
            USD
            9493.58000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137BPDJ5
        
          
        
        1165809.44000000
        PA
        USD
        201997.94000000
        0.040095197655
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-05-15
          Floating
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASX Clear (Futures)
        549300ZD7BBOVZFVHK49
        AUST 10Y BOND FUT DEC20 XSFE 20201215
        000000000
        
          
        
        8.00000000
        NC
        
        -2308.06000000
        -0.00045813398
        N/A
        DIR
        
        AU
        N
        
        1
        
          
            
              ASX Clear (Futures)
              549300ZD7BBOVZFVHK49
            
            Long
            
              
                10 Year Commonwealth Treasury Bond
                XMZ0 Comdty
              
            
            2020-12-15
            1194493.95000000
            AUD
            -2308.06000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -115180.97000000
        -0.02286262799
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2644373.34000000
            USD
            23585858.68000000
            NOK
            2020-12-16
            -115180.97000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38380Y2Z7
        
          
        
        765245.10000000
        PA
        USD
        140179.36000000
        0.027824635966
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Floating
          6.04000000
          N
          N
          N
        
        
          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
        
          
        
        92300000.00000000
        OU
        Notional Amount
        
        1291361.26000000
        0.256326301961
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-12-16
            1686182.03000000
            CAD
            0.00000000
            CAD
            92300000.00000000
            CAD
            13405.56000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCD2
        
          
        
        421215.81000000
        PA
        USD
        458931.98000000
        0.091094832196
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRONOX INC
        549300EPZ4YXC7E5P181
        Tronox Inc
        897051AB4
        
          
        
        1250000.00000000
        PA
        USD
        1300000.00000000
        0.258041032259
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STEEL DYNAMICS INC
        549300HGGKEL4FYTTQ83
        Steel Dynamics Inc
        858119BL3
        
          
        
        150000.00000000
        PA
        USD
        157035.00000000
        0.031170364231
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAG5
        
          
        
        750000.00000000
        PA
        USD
        815310.00000000
        0.161833410777
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-25
          Fixed
          4.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQC3
        
          
        
        587070.07000000
        PA
        USD
        89886.59000000
        0.017841868053
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Marble Point CLO Ltd.
        254900N4UCG37B1HFL93
        Marble Point CLO XIV Ltd
        56608KAA1
        
          
        
        3000000.00000000
        PA
        USD
        2963631.00000000
        0.588260309596
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-01-20
          Floating
          1.60000000
          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
        
          
        
        2890000.00000000
        OU
        Notional Amount
        
        -201814.27000000
        -0.04005874042
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2050-06-20
            0.00000000
            EUR
            -174700.18000000
            EUR
            2890000.00000000
            EUR
            31645.06000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -398.47000000
        -0.00007909354
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            369922.12000000
            GBP
            477177.34000000
            USD
            2020-12-16
            -398.47000000
          
        
        
          N
          N
          N
        
      
      
        KEURIG DR PEPPER INC
        DYTQ8KRTKO7Y2BVU5K74
        Keurig Dr Pepper Inc
        49271VAD2
        
          
        
        50000.00000000
        PA
        USD
        67028.50000000
        0.013304694869
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-05-25
          Fixed
          5.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUST F/1401
        N/A
        Trust Fibra Uno
        898324AA6
        
          
        
        300000.00000000
        PA
        USD
        323250.00000000
        0.064162895136
        Long
        DBT
        
        MX
        N
        
        2
        
          2024-12-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02709A SWAPTION EUR006M OCT20 NEG0.191 PUT
        000000000
        
          
        
        -3050000.00000000
        NC
        
        -1001.64000000
        -0.00019881863
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3050000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1001.64000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-07
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3050000.00000000
                  EUR
                
              
            
            1.00000000
            -0.19100000
            EUR
            2020-10-05
            XXXX
            16040.57000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        9681.23000000
        0.001921657371
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            341318756.00000000
            CLP
            444645.47000000
            USD
            2020-11-16
            9681.23000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDC5
        
          
        
        50000.00000000
        PA
        USD
        61905.50000000
        0.012287814709
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-08-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DUKE REALTY LP
        2549009GZDBNY1KE9O81
        Duke Realty LP
        26441YBE6
        
          
        
        300000.00000000
        PA
        USD
        299358.00000000
        0.059420497950
        Long
        DBT
        
        US
        N
        
        2
        
          2030-07-01
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Motor Credit Co LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZB2
        
          
        
        900000.00000000
        PA
        USD
        904968.00000000
        0.179629905293
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-02-15
          Fixed
          4.14000000
          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
        
          
        
        1530000.00000000
        OU
        Notional Amount
        
        25370.85000000
        0.005035938710
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-04-21
            0.00000000
            AUD
            -1043.99000000
            AUD
            1530000.00000000
            AUD
            26030.69000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7067.65000000
        -0.00140287977
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            175665.85000000
            USD
            645396332.90000000
            COP
            2020-10-05
            -7067.65000000
          
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348BJ4
        
          
        
        475000.00000000
        PA
        USD
        522333.75000000
        0.103679646179
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -2529.73000000
        -0.00050213395
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            241451.50000000
            GBP
            309188.30000000
            USD
            2020-12-16
            -2529.73000000
          
        
        
          N
          N
          N
        
      
      
        FREEPORT-MCMORAN INC
        549300IRDTHJQ1PVET45
        Freeport-McMoRan Inc
        35671DCH6
        
          
        
        950000.00000000
        PA
        USD
        999875.00000000
        0.198468290100
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-01
          Fixed
          4.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
        
        240000.00000000
        PA
        USD
        338625.00000000
        0.067214726575
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2037-08-16
          Fixed
          7.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bacardi Ltd
        549300R32WTQNHNN5055
        Bacardi Ltd
        067316AC3
        
          
        
        975000.00000000
        PA
        USD
        976725.75000000
        0.193873323664
        Long
        DBT
        CORP
        BM
        N
        
        2
        
          2021-01-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LOGISTICS PARTNER
        5493006LL0CKP8WQW329
        Sunoco Logistics Partners Operations LP
        86765BAN9
        
          
        
        200000.00000000
        PA
        USD
        210490.00000000
        0.041780812984
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NBY6
        
          
        
        256000.00000000
        PA
        USD
        288668.16000000
        0.057298638451
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Time Warner Cable LLC
        549300U5NFR7S6E3GM41
        Time Warner Cable LLC
        88732JAY4
        
          
        
        30000.00000000
        PA
        USD
        37736.10000000
        0.007490355536
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-11-15
          Fixed
          5.88000000
          N
          N
          N
        
        
          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
        
          
        
        3590000.00000000
        OU
        Notional Amount
        
        -206111.37000000
        -0.04091168513
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-06-19
            0.00000000
            EUR
            -170690.54000000
            EUR
            3590000.00000000
            EUR
            40840.94000000
          
        
        
          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
        
          
        
        145560000.00000000
        OU
        Notional Amount
        
        -62301.24000000
        -0.01236636636
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            0.00000000
            SEK
            -479450.98000000
            SEK
            145560000.00000000
            SEK
            -7661.92000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        9682.83000000
        0.001921974960
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            611963.50000000
            AUD
            448094.97000000
            USD
            2020-12-16
            9682.83000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -31940.47000000
        -0.00633996296
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1933632.73000000
            USD
            2654502.77000000
            AUD
            2020-12-16
            -31940.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        4577.07000000
        0.000908516821
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            557657.34000000
            CAD
            423532.93000000
            USD
            2020-12-16
            4577.07000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        Long: CS005589  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005589  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        690000.00000000
        OU
        Notional Amount
        USD
        -7498.51000000
        -0.00148840250
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Barclays Capital Securities Limited
              K9WDOH4D2PYBSLSOB484
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-12-20
            0.00000000
            USD
            -669.64000000
            USD
            690000.00000000
            USD
            -6828.87000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005922  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005922  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        475000.00000000
        OU
        Notional Amount
        USD
        -8288.13000000
        -0.00164513663
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                General Electric Co
                General Electric Co
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            0.00000000
            USD
            -6382.31000000
            USD
            475000.00000000
            USD
            -1905.82000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300L7X3DWAOC00Z83
        SLM Student Loan Trust 2005-4
        78442GPG5
        
          
        
        166413.90000000
        PA
        USD
        164762.13000000
        0.032704146232
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-01-25
          Floating
          0.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02184A SWAPTION MAR20 0.395 CALL
        000000000
        
          
        
        -8300000.00000000
        NC
        USD
        -0.83000000
        -0.00000016474
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    8300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.83000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8300000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-09-30
            XXXX
            105409.17000000
          
        
        
          N
          N
          N
        
      
      
        VMware Inc
        549300BUDHS3LRWBE814
        VMware Inc
        928563AC9
        
          
        
        35000.00000000
        PA
        USD
        38997.70000000
        0.007740774433
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-21
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Fannie Mae Connecticut Avenue Securities
        30711XAB0
        
          
        
        109826.49000000
        PA
        USD
        106967.61000000
        0.021232332694
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-25
          Floating
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONWIDE BLDG SOCIETY
        549300XFX12G42QIKN82
        Nationwide Building Society
        63861VAE7
        
          
        
        400000.00000000
        PA
        USD
        451584.00000000
        0.089636308855
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-07-18
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381Y7J7
        
          
        
        573267.77000000
        PA
        USD
        66541.20000000
        0.013207969181
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate Lending
        N/A
        Cantor Commercial Real Estate Lending 2019-CF2
        12528YAV5
        
          
        
        500000.00000000
        PA
        USD
        323653.74000000
        0.064243034741
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-11-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CL2
        
          
        
        450000.00000000
        PA
        USD
        507181.50000000
        0.100672029078
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-20
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATIONAL RETAIL PROP INC
        5493008JKH5SOTI0JS97
        National Retail Properties Inc
        637417AH9
        
          
        
        400000.00000000
        PA
        USD
        442904.00000000
        0.087913388732
        Long
        DBT
        
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        6024.85000000
        0.001195891164
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2461360.28000000
            TRY
            322907.22000000
            USD
            2020-10-23
            6024.85000000
          
        
        
          N
          N
          N
        
      
      
        Telefonica Emisiones SAU
        549300Y5MFC4SW5Z3K71
        Telefonica Emisiones SA
        87938WAP8
        
          
        
        150000.00000000
        PA
        USD
        152710.50000000
        0.030311980812
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2021-02-16
          Fixed
          5.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214052  IRS USD R F  1.75000 2 CCPVANILLA / Short: SR214052  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        3380000.00000000
        OU
        Notional Amount
        USD
        95810.16000000
        0.019017655836
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2040-06-19
            133089.01000000
            USD
            0.00000000
            USD
            3380000.00000000
            USD
            -37278.85000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A2K28
        
          
        
        276352.05000000
        PA
        USD
        49330.86000000
        0.009791835412
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-12-25
          Floating
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GFH7
        
          
        
        425000.00000000
        PA
        USD
        473033.50000000
        0.093893886640
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-26
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -7991.96000000
        -0.00158634892
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            628376.06000000
            AUD
            442178.18000000
            USD
            2020-12-16
            -7991.96000000
          
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582CB6
        
          
        
        30000.00000000
        PA
        USD
        35028.30000000
        0.006952875915
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2028-11-13
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AH0
        
          
        
        95000.00000000
        PA
        USD
        92387.50000000
        0.018338281436
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2028-01-30
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2939.84000000
        0.000583537960
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            474635.97000000
            USD
            369922.12000000
            GBP
            2020-12-16
            2939.84000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308HL4
        
          
        
        35000.00000000
        PA
        USD
        34053.60000000
        0.006759404689
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-03-15
          Fixed
          4.30000000
          N
          N
          N
        
        
          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
        
          
        
        100000.00000000
        OU
        Notional Amount
        USD
        2593.53000000
        0.000514797814
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Qatar Government International Bond
                Qatar Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-12-20
            1780.99000000
            USD
            0.00000000
            USD
            100000.00000000
            USD
            812.54000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        5296.90000000
        0.001051398110
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6068676.39000000
            ZAR
            364220.38000000
            USD
            2020-12-17
            5296.90000000
          
        
        
          N
          N
          N
        
      
      
        SCHLUMBERGER HLDGS CORP
        529900IKZG65COT1D505
        Schlumberger Holdings Corp
        806851AH4
        
          
        
        30000.00000000
        PA
        USD
        33302.10000000
        0.006610237123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2979.47000000
        -0.00059140424
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            469350.84000000
            USD
            361243.35000000
            GBP
            2020-12-16
            -2979.47000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CW3
        
          
        
        1000000.00000000
        PA
        USD
        1206240.00000000
        0.239430319040
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-01
          Fixed
          5.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -26822.41000000
        -0.00532406335
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3069393.92000000
            USD
            2590406.95000000
            EUR
            2020-12-16
            -26822.41000000
          
        
        
          N
          N
          N
        
      
      
        Air Lease Corp
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAB8
        
          
        
        875000.00000000
        PA
        USD
        889236.25000000
        0.176507261440
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2L7
        
          
        
        350000.00000000
        PA
        USD
        360892.00000000
        0.071634572472
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-09
          Fixed
          2.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -68945.84000000
        -0.01368527363
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4514699.07000000
            USD
            39781000.00000000
            SEK
            2020-12-10
            -68945.84000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        62081.47000000
        0.012322743540
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2653594.39000000
            USD
            3616000.00000000
            CAD
            2020-10-05
            62081.47000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM CRP /  CAYMN FI
        N/A
        Broadcom Corp / Broadcom Cayman Finance Ltd
        11134LAP4
        
          
        
        500000.00000000
        PA
        USD
        533590.00000000
        0.105913934156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          3.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FAY7
        
          
        
        825000.00000000
        PA
        USD
        900281.25000000
        0.178699617748
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-10-15
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XCS3
        
          
        
        125000.00000000
        PA
        USD
        145878.75000000
        0.028955925565
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-17
          Fixed
          5.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214872  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214872  IRS USD P F   .75000 2 CCPVANILLA
        000000000
        
          
        
        57180000.00000000
        OU
        Notional Amount
        USD
        -859821.38000000
        -0.17066861265
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2023-12-16
            0.00000000
            USD
            -865651.47000000
            USD
            57180000.00000000
            USD
            5830.09000000
          
        
        
          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
        
          
        
        24700000.00000000
        OU
        Notional Amount
        USD
        15089.23000000
        0.002995108065
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
              
                
              
            
            2024-07-25
            394.62000000
            USD
            0.00000000
            USD
            24700000.00000000
            USD
            14694.61000000
          
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAC3
        
          
        
        400000.00000000
        PA
        USD
        435340.00000000
        0.086411986910
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-06-27
          Fixed
          3.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FWBW9
        
          
        
        1426242.75000000
        PA
        USD
        120613.93000000
        0.023941033078
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EAST OHIO GAS CO/THE
        BC95Y6MXLT75BGO7UM71
        East Ohio Gas Co/The
        27409LAC7
        
          
        
        125000.00000000
        PA
        USD
        128750.00000000
        0.025555986848
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KREF 2018--FL1 Ltd.
        549300N45646UZ8P3S07
        KREF 2018-FL1 Ltd
        48275PAA9
        
          
        
        1950000.00000000
        PA
        USD
        1936234.37000000
        0.384329165792
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2036-06-15
          Floating
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Walmart Inc
        Y87794H0US1R65VBXU25
        Walmart Inc
        931142DP5
        
          
        
        65000.00000000
        PA
        USD
        70857.15000000
        0.014064655483
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-22
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADOBE INC
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724PAC3
        
          
        
        450000.00000000
        PA
        USD
        482193.00000000
        0.095711984206
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-02-01
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IHS Markit Ltd
        549300HLPTRASHS0E726
        IHS Markit Ltd
        44962LAC1
        
          
        
        550000.00000000
        PA
        USD
        613409.50000000
        0.121757554290
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2026-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        General Motors Co
        54930070NSV60J38I987
        General Motors Co
        37045VAP5
        
          
        
        35000.00000000
        PA
        USD
        37366.35000000
        0.007416962712
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-01
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8DN2
        
          
        
        1299342.56000000
        PA
        USD
        1429741.46000000
        0.283793817078
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-01-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -17.82000000
        -0.00000353714
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            95696462.00000000
            CLP
            121934.28000000
            USD
            2020-11-16
            -17.82000000
          
        
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp
        68389XAU9
        
          
        
        30000.00000000
        PA
        USD
        32820.00000000
        0.006514543599
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-08
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -69.00000000
        NC
        USD
        230.10000000
        0.000045673262
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                5 Year US Treasury Note
                FVZ0 Comdty
              
            
            2020-12-31
            -8694230.10000000
            USD
            230.10000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3739.08000000
        0.000742181586
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            448126.16000000
            USD
            683087.90000000
            NZD
            2020-12-16
            3739.08000000
          
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AU8
        
          
        
        375000.00000000
        PA
        USD
        401655.00000000
        0.079725746778
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-06
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647AZ0
        
          
        
        50000.00000000
        PA
        USD
        49687.50000000
        0.009862625992
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5103.91000000
        0.001013090926
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2035987.88000000
            USD
            1580603.40000000
            GBP
            2021-01-13
            5103.91000000
          
        
        
          N
          N
          N
        
      
      
        TD AMERITRADE HOLDING CO
        ZI85ER3E6RXD4HPHW309
        TD Ameritrade Holding Corp
        87236YAF5
        
          
        
        55000.00000000
        PA
        USD
        61659.95000000
        0.012239074728
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MRXV8
        
          
        
        15497.19000000
        PA
        USD
        16976.74000000
        0.003369765779
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-01-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02763A SWAPTION EUR006M OCT20 NEG0.23 PUT
        000000000
        
          
        
        -3050000.00000000
        NC
        
        -11976.29000000
        -0.00237721094
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3050000.00000000
                    OU
                    Notional Amount
                    N/A
                    -11976.29000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3050000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23000000
            EUR
            2020-10-21
            XXXX
            3274.73000000
          
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK CORP
        MP3J6QPYPGN75NVW2S34
        Kimberly-Clark Corp
        494368CA9
        
          
        
        10000.00000000
        PA
        USD
        11006.20000000
        0.002184654776
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-02-07
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3977.28000000
        0.000789462643
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            444372.31000000
            USD
            3058014.71000000
            CNY
            2020-12-16
            3977.28000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U4E9
        
          
        
        2843190.67000000
        PA
        USD
        3060527.38000000
        0.607493572609
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPIRIT REALTY LP
        549300GTBVIBJRX5BW73
        Spirit Realty LP
        84861TAD0
        
          
        
        725000.00000000
        PA
        USD
        753333.00000000
        0.149531403811
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02762A SWAPTION EUR006M OCT20 NEG0.23 CALL
        000000000
        
          
        
        -3050000.00000000
        NC
        
        -10357.09000000
        -0.00205581091
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    3050000.00000000
                    OU
                    Notional Amount
                    N/A
                    -10357.09000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-23
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3050000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23000000
            EUR
            2020-10-21
            XXXX
            4893.93000000
          
        
        
          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
        
          
        
        5290000.00000000
        OU
        Notional Amount
        
        45486.86000000
        0.009028827929
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-04-21
            1529.35000000
            AUD
            0.00000000
            AUD
            5290000.00000000
            AUD
            44520.39000000
          
        
        
          N
          N
          N
        
      
      
        CENTENE CORP
        549300Z7JJ4TQSQGT333
        Centene Corp
        15135BAW1
        
          
        
        1050000.00000000
        PA
        USD
        1070590.50000000
        0.212504829035
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005911  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005911  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        1125000.00000000
        OU
        Notional Amount
        USD
        -10869.75000000
        -0.00215757039
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                General Electric Co
                General Electric Co
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            0.00000000
            USD
            -14296.81000000
            USD
            1125000.00000000
            USD
            3427.06000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02776A SWAPTION EUR006M OCT20 NEG0.234 CALL
        000000000
        
          
        
        -3050000.00000000
        NC
        
        -11538.59000000
        -0.00229033051
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                  
                  
                    UBS AG
                    BFM8T61CT2L1QCEMIK50
                    IRS Swap
                    N/A
                    
                      
                    
                    3050000.00000000
                    OU
                    Notional Amount
                    N/A
                    -11538.59000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3050000.00000000
                  EUR
                
              
            
            1.00000000
            -0.23400000
            EUR
            2020-10-28
            XXXX
            3143.73000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        64094.41000000
        0.012722298244
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2550023.20000000
            GBP
            3356218.13000000
            USD
            2020-12-16
            64094.41000000
          
        
        
          N
          N
          N
        
      
      
        BOEING CO
        RVHJWBXLJ1RFUBSY1F30
        Boeing Co/The
        097023CJ2
        
          
        
        35000.00000000
        PA
        USD
        34051.85000000
        0.006759057326
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-05-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JM SMUCKER CO
        5493000WDH6A0LHDJD55
        J M Smucker Co/The
        832696AH1
        
          
        
        150000.00000000
        PA
        USD
        155323.50000000
        0.030830643287
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM Mortgage Trust
        N/A
        COMM 2017-COR2 Mortgage Trust
        12595EAN5
        
          
        
        350000.00000000
        PA
        USD
        257580.47000000
        0.051127946437
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-10
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        London Wall Mortgage Capital
        213800QSO8J75OTK5919
        London Wall Mortgage Capital PLC
        000000000
        
          
        
        614557.78000000
        PA
        
        789781.74000000
        0.156766227268
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2049-11-15
          Floating
          0.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AN4
        
          
        
        525000.00000000
        PA
        USD
        536431.35000000
        0.106477922530
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2021-06-01
          Fixed
          3.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214873  IRS USD R F  1.00000 2 CCPVANILLA / Short: SR214873  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        2270000.00000000
        OU
        Notional Amount
        USD
        71495.24000000
        0.014191311947
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            72399.70000000
            USD
            0.00000000
            USD
            2270000.00000000
            USD
            -904.46000000
          
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAA4
        
          
        
        375000.00000000
        PA
        USD
        402472.50000000
        0.079888014889
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523CL2
        
          
        
        525000.00000000
        PA
        USD
        544104.75000000
        0.108001039497
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KIMBERLY-CLARK CORP
        MP3J6QPYPGN75NVW2S34
        Kimberly-Clark Corp
        494368CB7
        
          
        
        100000.00000000
        PA
        USD
        114369.00000000
        0.022701457552
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-26
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: IBX00037  TRS USD R E IBOXHY INDEX / Short: IBX00037  TRS USD P V 03MLIBOR US0003M+0.00 BPS
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        7389.99000000
        0.001466862036
        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
            1000000.00000000
            USD
            7389.99000000
          
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAD2
        
          
        
        1150000.00000000
        PA
        USD
        1155658.00000000
        0.229390140968
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VEN0
        
          
        
        925000.00000000
        PA
        USD
        1030690.50000000
        0.204584954276
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3803.39000000
        0.000754946678
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            239597.27000000
            EUR
            220929.05000000
            GBP
            2020-12-16
            3803.39000000
          
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH AMERICAS
        KOO0397YRO83WY5MGD97
        Bausch Health Americas Inc
        91911XAV6
        
          
        
        200000.00000000
        PA
        USD
        220000.00000000
        0.043668482382
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-04-01
          Fixed
          9.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Regions Financial Corp
        CW05CS5KW59QTC0DG824
        Regions Financial Corp
        7591EPAP5
        
          
        
        138000.00000000
        PA
        USD
        149782.44000000
        0.029730781101
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-08-14
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        4280000.00000000
        PA
        USD
        111280.00000000
        0.022088312361
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2022-10-28
          Fixed
          6.00000000
          Y
          Y
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        26937.85000000
        0.005346977400
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3346876.76000000
            USD
            23011451.16000000
            CNY
            2020-12-16
            26937.85000000
          
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2017-2
        63939RAA2
        
          
        
        3240576.07000000
        PA
        USD
        3204183.10000000
        0.636008242054
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-12-27
          Floating
          1.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBL8
        
          
        
        825000.00000000
        PA
        USD
        856671.75000000
        0.170043432828
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-05-07
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202FP67
        
          
        
        5609.50000000
        PA
        USD
        6196.76000000
        0.001230014113
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2041-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRISTOL-MYERS SQUIBB CO
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co
        110122DC9
        
          
        
        1345000.00000000
        PA
        USD
        1534470.15000000
        0.304581739597
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSDIGM INC
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BH9
        
          
        
        425000.00000000
        PA
        USD
        439875.00000000
        0.087312153126
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED KRW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1505.92000000
        -0.00029891473
        N/A
        DFE
        
        KR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445402.55000000
            USD
            517590277.00000000
            KRW
            2020-11-02
            -1505.92000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02334A SWAPTION MAY21 0.448 PUT
        000000000
        
          
        
        -9300000.00000000
        NC
        USD
        -49011.00000000
        -0.00972834540
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    9300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -49011.00000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9300000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            48592.50000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TRY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -37554.05000000
        -0.00745421986
        N/A
        DFE
        
        TR
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            421684.30000000
            USD
            2983703.17000000
            TRY
            2020-10-23
            -37554.05000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290QX75
        
          
        
        18262.02000000
        PA
        USD
        20798.28000000
        0.004128315108
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BA4U5
        
          
        
        880420.25000000
        PA
        USD
        108741.23000000
        0.021584384029
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Metropolitan Transportation Authority
        5493000TKYODLXADQD60
        MET TRANSPRTN AUTH NY REVENUE
        59261AG76
        
          
        
        800000.00000000
        PA
        USD
        873448.00000000
        0.173373402726
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2049-11-15
          Fixed
          5.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CEMEX SAB DE CV
        549300RIG2CXWN6IV731
        Cemex SAB de CV
        151290BX0
        
          
        
        200000.00000000
        PA
        USD
        200730.00000000
        0.039843520311
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2030-09-17
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017BS7
        
          
        
        10000.00000000
        PA
        USD
        14060.90000000
        0.002790991654
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-15
          Fixed
          5.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENTERPRISE PRODUCTS OPER
        5493004LGN656HWLDA30
        Enterprise Products Operating LLC
        29379VAN3
        
          
        
        475000.00000000
        PA
        USD
        367882.75000000
        0.073022188123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2067-06-01
          Variable
          3.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -42973.07000000
        -0.00852985795
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            13467122.61000000
            USD
            11440204.40000000
            EUR
            2020-11-09
            -42973.07000000
          
        
        
          N
          N
          N
        
      
      
        BAT Capital Corp
        2138005GYEXN7XRHFA84
        BAT Capital Corp
        05526DAZ8
        
          
        
        840000.00000000
        PA
        USD
        897565.20000000
        0.178160500559
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-08-15
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Note/Bond
        912828YG9
        
          
        
        60000.00000000
        PA
        USD
        64448.44000000
        0.012792570757
        Long
        DBT
        UST
        US
        N
        
        1
        
          2026-09-30
          Fixed
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128M4EM1
        
          
        
        2702.45000000
        PA
        USD
        3112.53000000
        0.000617815733
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-11-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418BZY5
        
          
        
        69873.75000000
        PA
        USD
        76257.03000000
        0.015136494414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140HBH76
        
          
        
        713656.86000000
        PA
        USD
        785054.73000000
        0.155827948391
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        2550.02000000
        0.000506161379
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            650875.52000000
            GBP
            842841.49000000
            USD
            2020-12-16
            2550.02000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0226A4
        
          
        
        17000000.00000000
        PA
        USD
        17851193.40000000
        3.543338747686
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -22836.16000000
        -0.00453282023
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            441468.91000000
            USD
            1602532143.30000000
            COP
            2020-10-05
            -22836.16000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1204.32000000
        0.000239049212
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            458241.60000000
            USD
            33890728.48000000
            INR
            2020-10-28
            1204.32000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -17370.41000000
        -0.00344790655
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            65636580.96000000
            INR
            872444.02000000
            USD
            2020-10-28
            -17370.41000000
          
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JG3
        
          
        
        425000.00000000
        PA
        USD
        402598.25000000
        0.079912975396
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16009.03000000
        -0.00317768202
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446133.40000000
            USD
            1646522232.71000000
            COP
            2020-10-05
            -16009.03000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02766A SWAPTION US0003M OCT20 0.7 CALL
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -14500.46000000
        -0.00287824128
        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
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -14500.46000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-28
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-26
            XXXX
            4966.54000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382BDB6
        
          
        
        1609494.55000000
        PA
        USD
        139217.58000000
        0.027633729270
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        17308CC53
        
          
        
        550000.00000000
        PA
        USD
        593081.50000000
        0.117722586518
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-05
          Fixed
          2.98000000
          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
        
          
        
        16030000.00000000
        OU
        Notional Amount
        
        66626.05000000
        0.013224811321
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-12-16
            106231.33000000
            EUR
            0.00000000
            EUR
            16030000.00000000
            EUR
            -41181.01000000
          
        
        
          N
          N
          N
        
      
      
        Whitehorse Ltd
        5493006SRQWF2ZFME608
        WhiteHorse IX Ltd
        965249AF2
        
          
        
        653656.37000000
        PA
        USD
        652042.49000000
        0.129425936304
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2026-07-17
          Floating
          1.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERCK & CO INC
        4YV9Y5M8S0BRK1RP0397
        Merck & Co Inc
        58933YBB0
        
          
        
        35000.00000000
        PA
        USD
        34795.25000000
        0.006906617098
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-06-24
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MUL4
        
          
        
        105078.59000000
        PA
        USD
        119112.04000000
        0.023642918273
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0206A8
        
          
        
        24000000.00000000
        PA
        USD
        24937965.60000000
        4.950014142972
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-10-21
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QT50
        
          
        
        394451.14000000
        PA
        USD
        432418.09000000
        0.085832007931
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-11-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GN7
        
          
        
        725000.00000000
        PA
        USD
        806185.50000000
        0.160022260470
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-01
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VER1
        
          
        
        630000.00000000
        PA
        USD
        764568.00000000
        0.151761473809
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-21
          Fixed
          4.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIDELITY NATIONAL INFORM
        6WQI0GK1PRFVBA061U48
        Fidelity National Information Services Inc
        31620MAY2
        
          
        
        60000.00000000
        PA
        USD
        71544.60000000
        0.014201109566
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-05-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BM8
        
          
        
        75000.00000000
        PA
        USD
        101731.50000000
        0.020193000979
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AC2
        
          
        
        875000.00000000
        PA
        USD
        992827.50000000
        0.197069409965
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2028-01-09
          Fixed
          4.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISOURCE INC
        549300D8GOWWH0SJB189
        NiSource Inc
        65473PAJ4
        
          
        
        100000.00000000
        PA
        USD
        113957.00000000
        0.022619678394
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-05-01
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NISSAN MOTOR CO
        353800DRBDH1LUTNAY26
        Nissan Motor Co Ltd
        654744AA9
        
          
        
        625000.00000000
        PA
        USD
        633437.50000000
        0.125732974131
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-09-15
          Fixed
          3.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISTRA OPERATIONS CO LLC
        549300ZH5GKBTJZ7NM23
        Vistra Operations Co LLC
        92840VAD4
        
          
        
        1175000.00000000
        PA
        USD
        1245500.00000000
        0.247223158214
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-07-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -4882.72000000
        -0.00096918623
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            443491.29000000
            USD
            583816.37000000
            CAD
            2020-12-16
            -4882.72000000
          
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trust
        N/A
        CSAIL 2020-C19 Commercial Mortgage Trust
        12597NAE3
        
          
        
        387000.00000000
        PA
        USD
        259767.55000000
        0.051562066730
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-03-15
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NUTRITION & BIOSCIENCES
        N/A
        Nutrition & Biosciences Inc
        67079BAC4
        
          
        
        650000.00000000
        PA
        USD
        652704.00000000
        0.129557241476
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-10-15
          Fixed
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SX002829  CDS USD R F  1.00000 2I65BYDN2 / Short: SX002829  CDS USD P V 03MEVENT 2I65BYDN2
        000000000
        
          
        
        11100000.00000000
        OU
        Notional Amount
        USD
        32692.83000000
        0.006489301231
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Markit CDX.NA.IG.S28.V1
                2I65BYDN2
              
            
            Y
            
            sell protection
            2022-06-20
            131838.69000000
            USD
            0.00000000
            USD
            11100000.00000000
            USD
            -99145.86000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HRX0
        
          
        
        425000.00000000
        PA
        USD
        474147.00000000
        0.094114908709
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-12-01
          Fixed
          3.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJX1
        
          
        
        2175000.00000000
        PA
        USD
        2282162.25000000
        0.452993463671
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR214911  IRS MXN R F  4.50000 2 CCPVANILLA / Short: SR214911  IRS MXN P V 01MTIIE 1 CCPVANILLA
        000000000
        
          
        
        44420000.00000000
        OU
        Notional Amount
        
        -1184.25000000
        -0.00023506545
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-12-14
            19807.43000000
            MXN
            0.00000000
            MXN
            44420000.00000000
            MXN
            -2106.47000000
          
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAE2
        
          
        
        50000.00000000
        PA
        USD
        47423.00000000
        0.009413138363
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -973.41000000
        -0.00019321517
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            350329183.00000000
            CLP
            445473.39000000
            USD
            2020-11-16
            -973.41000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPC0
        
          
        
        516136.10000000
        PA
        USD
        560899.91000000
        0.111334762900
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of California
        N/A
        CALIFORNIA ST
        13063A5G5
        
          
        
        210000.00000000
        PA
        USD
        367420.20000000
        0.072930375139
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2039-04-01
          Fixed
          7.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379GQY6
        
          
        
        225072.85000000
        PA
        USD
        39774.92000000
        0.007895047242
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-09-20
          Floating
          5.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOUTHERN CAL EDISON
        9R1Z5I36FERIBVKW4P77
        Southern California Edison Co
        842400GQ0
        
          
        
        450000.00000000
        PA
        USD
        518130.00000000
        0.102845230803
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-01
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02752A SWAPTION US0003M OCT20 0.70 CALL
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -12141.36000000
        -0.00240997620
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -12141.36000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2020-10-19
            XXXX
            7372.89000000
          
        
        
          N
          N
          N
        
      
      
        ANHEUSER-BUSCH INBEV WOR
        549300CRGMZK3K53BF92
        Anheuser-Busch InBev Worldwide Inc
        035240AN0
        
          
        
        925000.00000000
        PA
        USD
        1111489.25000000
        0.220622948780
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2048-04-15
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0406B8
        
          
        
        -5000000.00000000
        PA
        USD
        -5338087.00000000
        -1.05957344597
        Short
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-11-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALEXANDRIA REAL ESTATE E
        MGCJBT4MKTQBVLNUIS88
        Alexandria Real Estate Equities Inc
        015271AP4
        
          
        
        325000.00000000
        PA
        USD
        371946.25000000
        0.073828764842
        Long
        DBT
        
        US
        N
        
        2
        
          2026-04-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QDZ1
        
          
        
        5660.28000000
        PA
        USD
        6205.10000000
        0.001231669545
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRUIST FINANCIAL CORP
        549300DRQQI75D2JP341
        Truist Financial Corp
        05531FBF9
        
          
        
        65000.00000000
        PA
        USD
        71195.80000000
        0.014131875172
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-06
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pfizer Inc
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081DK6
        
          
        
        25000.00000000
        PA
        USD
        32894.75000000
        0.006529380958
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-05-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSC HOLDINGS LLC
        3HG2WD2W22M120IUNG49
        CSC Holdings LLC
        126307BF3
        
          
        
        243000.00000000
        PA
        USD
        234495.00000000
        0.046545639891
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BA1
        
          
        
        25000.00000000
        PA
        USD
        33449.50000000
        0.006639495006
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-10-23
          Fixed
          6.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zoetis Inc
        549300HD9Q1LOC9KLJ48
        Zoetis Inc
        98978VAP8
        
          
        
        50000.00000000
        PA
        USD
        65443.00000000
        0.012989984057
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        326898.00000000
        PA
        USD
        182245.64000000
        0.036174502361
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2035-07-31
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com Inc
        023135BF2
        
          
        
        440000.00000000
        PA
        USD
        547791.20000000
        0.108732774392
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-08-22
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179VDP2
        
          
        
        1000000.75000000
        PA
        USD
        1053320.89000000
        0.209076930581
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2050-01-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDS8
        
          
        
        225000.00000000
        PA
        USD
        288452.25000000
        0.057255781805
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-03-01
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WK2U8
        
          
        
        163741.02000000
        PA
        USD
        179661.99000000
        0.035661665659
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-06-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO DO BRASIL (CAYMAN)
        QE0Q0253K88YAGNPE356
        Banco do Brasil SA/Cayman
        000000000
        
          
        
        200000.00000000
        PA
        USD
        216000.00000000
        0.042874509975
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2024-06-18
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIZENS FINANCIAL GROUP
        2138004JDDA4ZQUPFW65
        Citizens Financial Group Inc
        174610AR6
        
          
        
        65000.00000000
        PA
        USD
        71740.50000000
        0.014239994365
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-27
          Fixed
          2.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418QAH6
        
          
        
        98949.17000000
        PA
        USD
        111098.81000000
        0.022052347396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-06-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADOBE INC
        FU4LY2G4933NH2E1CP29
        Adobe Inc
        00724PAD1
        
          
        
        600000.00000000
        PA
        USD
        647076.00000000
        0.128440122300
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-02-01
          Fixed
          2.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214885  IRS AUD R F  1.00000 2 CCPVANILLA / Short: SR214885  IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        6500000.00000000
        OU
        Notional Amount
        
        84943.71000000
        0.016860740471
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            87181.32000000
            AUD
            0.00000000
            AUD
            6500000.00000000
            AUD
            21462.61000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CZK
        000000000
        
          
        
        1.00000000
        NC
        
        -768.99000000
        -0.00015263921
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            10287545.90000000
            CZK
            445375.30000000
            USD
            2020-12-16
            -768.99000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        
        6979.95000000
        0.001385471925
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3417312.79000000
            PLN
            891257.45000000
            USD
            2020-12-16
            6979.95000000
          
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 15 Ltd
        549300BTYXZYFTGVBO58
        Zais Clo 15 Ltd
        98888DAA0
        
          
        
        1275000.00000000
        PA
        USD
        1283685.30000000
        0.254802676852
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-28
          Floating
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KN0
        
          
        
        1050000.00000000
        PA
        USD
        1167663.00000000
        0.231773050654
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-05-01
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3542.60000000
        0.000703181662
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            362930.39000000
            EUR
            332934.19000000
            GBP
            2020-12-16
            3542.60000000
          
        
        
          N
          N
          N
        
      
      
        HUARONG FINANCE 2019
        549300M6T6OW4AGYHK10
        Huarong Finance 2019 Co Ltd
        000000000
        
          
        
        480000.00000000
        PA
        USD
        501600.00000000
        0.099564139831
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2024-05-29
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6130.28000000
        0.001216818291
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            892914.02000000
            USD
            6132024.53000000
            CNY
            2020-12-16
            6130.28000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAQ1
        
          
        
        350000.00000000
        PA
        USD
        376019.00000000
        0.074637177622
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-24
          Fixed
          3.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2303.80000000
        -0.00045728840
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            424669.46000000
            USD
            388088.43000000
            CHF
            2020-12-16
            -2303.80000000
          
        
        
          N
          N
          N
        
      
      
        FIRST HORIZON NATIONAL
        TF3RXI1ZB1TQ30H9JV10
        First Horizon National Corp
        320517AD7
        
          
        
        700000.00000000
        PA
        USD
        761089.00000000
        0.151070916308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-26
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02698A SWAPTION EUR006M DEC20 NEG0.15 CALL
        000000000
        
          
        
        -1100000.00000000
        NC
        
        -14204.83000000
        -0.00281956076
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1100000.00000000
                    OU
                    Notional Amount
                    N/A
                    -14204.83000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-04
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1100000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-12-02
            XXXX
            -1695.98000000
          
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BH6
        
          
        
        60000.00000000
        PA
        USD
        68727.60000000
        0.013641954498
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2029-03-07
          Fixed
          3.74000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED PLN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -13164.00000000
        -0.00261296319
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            418152.92000000
            USD
            1565089.93000000
            PLN
            2020-12-16
            -13164.00000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967JC6
        
          
        
        125000.00000000
        PA
        USD
        142858.75000000
        0.028356476397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-20
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAH4
        
          
        
        675000.00000000
        PA
        USD
        618158.25000000
        0.122700148407
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2025-02-15
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16565.47000000
        -0.00328813152
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445708.41000000
            USD
            1642765315.07000000
            COP
            2020-10-05
            -16565.47000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        3304.82000000
        0.000655983972
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            564523.51000000
            CHF
            617527.10000000
            USD
            2020-12-10
            3304.82000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SOUTH AFRICA
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205BB9
        
          
        
        200000.00000000
        PA
        USD
        169312.50000000
        0.033607363287
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2049-09-30
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AWKF3
        
          
        
        858456.75000000
        PA
        USD
        162408.34000000
        0.032236935154
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-05-25
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        8969.05000000
        0.001780294554
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            2697894.88000000
            TRY
            356303.55000000
            USD
            2020-10-23
            8969.05000000
          
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CJ6
        
          
        
        1050000.00000000
        PA
        USD
        1045747.50000000
        0.207573664909
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-04-18
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        8716.64000000
        0.001730192910
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            611369.44000000
            AUD
            446703.20000000
            USD
            2020-12-16
            8716.64000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300EQOYJZL2D96G46
        SLM Student Loan Trust 2008-4
        78445AAD8
        
          
        
        436298.64000000
        PA
        USD
        430097.88000000
        0.085371462252
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2022-07-25
          Floating
          1.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SHELL INTERNATIONAL FIN
        213800ITMMKU4Z7I4F78
        Shell International Finance BV
        822582AD4
        
          
        
        35000.00000000
        PA
        USD
        52170.30000000
        0.010355444665
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2038-12-15
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BK6
        
          
        
        225000.00000000
        PA
        USD
        244527.75000000
        0.048537071558
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-22
          Fixed
          4.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYMOND JAMES FINANCIAL
        RGUZHJ05YTITL6D76949
        Raymond James Financial Inc
        754730AG4
        
          
        
        75000.00000000
        PA
        USD
        91243.50000000
        0.018111205328
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          4.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -187.08000000
        -0.00003713408
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            444519.12000000
            USD
            1520322.07000000
            ILS
            2020-12-16
            -187.08000000
          
        
        
          N
          N
          N
        
      
      
        Alphabet Inc
        5493006MHB84DD0ZWV18
        Alphabet Inc
        02079KAC1
        
          
        
        65000.00000000
        PA
        USD
        69512.95000000
        0.013797841056
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        1490.34000000
        0.000295822209
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7473349.78000000
            ZAR
            443491.29000000
            USD
            2020-12-17
            1490.34000000
          
        
        
          N
          N
          N
        
      
      
        SHERWIN-WILLIAMS CO
        Z15BMIOX8DDH0X2OBP21
        Sherwin-Williams Co/The
        824348AU0
        
          
        
        12000.00000000
        PA
        USD
        12408.60000000
        0.002463021502
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRST HORIZON NATIONAL
        TF3RXI1ZB1TQ30H9JV10
        First Horizon National Corp
        320517AC9
        
          
        
        700000.00000000
        PA
        USD
        735490.00000000
        0.145989691397
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-26
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        11035.43000000
        0.002190456729
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1200868.57000000
            CAD
            913221.93000000
            USD
            2020-12-16
            11035.43000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        6416.60000000
        0.001273650836
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            8121609269.50000000
            IDR
            551140.69000000
            USD
            2020-11-05
            6416.60000000
          
        
        
          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
        
          
        
        46640000.00000000
        OU
        Notional Amount
        
        44862.39000000
        0.008904874942
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-06-24
            23957.71000000
            CAD
            0.00000000
            CAD
            46640000.00000000
            CAD
            27238.18000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -10288.06000000
        -0.00204210894
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1144549.18000000
            EUR
            140540910.00000000
            JPY
            2020-12-16
            -10288.06000000
          
        
        
          N
          N
          N
        
      
      
        Starbucks Corp
        OQSJ1DU9TAOC51A47K68
        Starbucks Corp
        855244AQ2
        
          
        
        850000.00000000
        PA
        USD
        960831.50000000
        0.190718424682
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-15
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNOCO LOGISTICS PARTNER
        5493006LL0CKP8WQW329
        Sunoco Logistics Partners Operations LP
        86765BAV1
        
          
        
        100000.00000000
        PA
        USD
        94052.00000000
        0.018668673204
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2047-10-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        -596.91000000
        -0.00011848251
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            6189421.96000000
            NOK
            663116.00000000
            USD
            2020-12-16
            -596.91000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        3558.59000000
        0.000706355566
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            361039.80000000
            EUR
            427619.15000000
            USD
            2020-12-16
            3558.59000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -7506.65000000
        -0.00149001824
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            443181.84000000
            USD
            608143.09000000
            AUD
            2020-12-16
            -7506.65000000
          
        
        
          N
          N
          N
        
      
      
        Stratton Mortgage Funding PLC
        213800RHNWAD2QXB3483
        Stratton Mortgage Funding 2019-1 PLC
        000000000
        
          
        
        1337454.65000000
        PA
        
        1726416.93000000
        0.342681851328
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2051-05-25
          Floating
          1.26000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -15452.85000000
        -0.00306728412
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445035.70000000
            USD
            9583492.22000000
            MXN
            2020-12-16
            -15452.85000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4607.52000000
        0.000914560936
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            442641.10000000
            USD
            3050505.40000000
            CNY
            2020-12-16
            4607.52000000
          
        
        
          N
          N
          N
        
      
      
        The Bancorp Commercial Mortgage Trust
        5493007HKNHP2VEB5M24
        Bancorp Commercial Mortgage 2018 CRE4 Trust
        05972LAA4
        
          
        
        206019.06000000
        PA
        USD
        203914.88000000
        0.040475697021
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-09-15
          Floating
          1.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        11262.26000000
        0.002235480919
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            33803667.65000000
            RUB
            444488.58000000
            USD
            2020-11-17
            11262.26000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -2664.01000000
        -0.00052878760
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            44585790.00000000
            JPY
            420554.41000000
            USD
            2020-12-16
            -2664.01000000
          
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911363AM1
        
          
        
        400000.00000000
        PA
        USD
        406000.00000000
        0.080588199305
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        354.60000000
        0.000070385653
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            444869.50000000
            USD
            3036697.00000000
            CNY
            2020-12-16
            354.60000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED TWD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9215.43000000
        0.001829199284
        N/A
        DFE
        
        TW
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            899948.69000000
            USD
            26174107.63000000
            TWD
            2020-11-09
            9215.43000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        -2802.59000000
        -0.00055629478
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3051407.69000000
            CNY
            444578.31000000
            USD
            2020-12-16
            -2802.59000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        3153.26000000
        0.000625900357
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            617975.43000000
            AUD
            445872.36000000
            USD
            2020-12-16
            3153.26000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        6787.18000000
        0.001347208410
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            605049.64000000
            AUD
            440246.22000000
            USD
            2020-12-16
            6787.18000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        14797.79000000
        0.002937259235
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1429115.19000000
            EUR
            1693370.02000000
            USD
            2020-12-16
            14797.79000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -370.33000000
        -0.00007350795
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446000.00000000
            USD
            3039463.24000000
            CNY
            2020-12-16
            -370.33000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -4023.59000000
        -0.00079865485
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            378853.35000000
            EUR
            3945185.57000000
            SEK
            2020-12-16
            -4023.59000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        71934.59000000
        0.014278519891
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            41505473.34000000
            SEK
            4710407.53000000
            USD
            2020-12-10
            71934.59000000
          
        
        
          N
          N
          N
        
      
      
        Barclays PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBE4
        
          
        
        1275000.00000000
        PA
        USD
        1334478.75000000
        0.264884826290
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-02-15
          Fixed
          4.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae
        21H0426A2
        
          
        
        2000000.00000000
        PA
        USD
        2142929.20000000
        0.425356663712
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-10-21
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAS5
        
          
        
        330000.00000000
        PA
        USD
        337088.40000000
        0.066909722075
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-18
          Fixed
          3.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZIMMER BIOMET HOLDINGS
        2P2YLDVPES3BXQ1FRB91
        Zimmer Biomet Holdings Inc
        98956PAT9
        
          
        
        800000.00000000
        PA
        USD
        894560.00000000
        0.177563989090
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-20
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468P7
        
          
        
        400000.00000000
        PA
        USD
        458684.00000000
        0.091045609877
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-01
          Fixed
          3.62000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AM46
        
          
        
        1484.40000000
        PA
        USD
        1514.32000000
        0.000300582073
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -949.06000000
        -0.00018838186
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            44705563.00000000
            JPY
            423406.28000000
            USD
            2020-12-16
            -949.06000000
          
        
        
          N
          N
          N
        
      
      
        TARGA RESOURCES PARTNERS
        N/A
        Targa Resources Partners LP / Targa Resources Partners Finance Corp
        87612BBL5
        
          
        
        130000.00000000
        PA
        USD
        135850.00000000
        0.026965287871
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        10004.27000000
        0.001985778582
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            610818.21000000
            AUD
            47153944.00000000
            JPY
            2020-12-16
            10004.27000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179S2P1
        
          
        
        928180.53000000
        PA
        USD
        993018.21000000
        0.197107264584
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2047-04-20
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) DEC20 XCBT 20201231
        000000000
        
          
        
        -84.00000000
        NC
        USD
        -4154.83000000
        -0.00082470509
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                2 Year US Treasury Note
                TUZ0 Comdty
              
            
            2020-12-31
            -18555251.38000000
            USD
            -4154.83000000
          
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452152GS4
        
          
        
        730000.00000000
        PA
        USD
        827053.50000000
        0.164164414518
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2035-07-01
          Fixed
          7.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179U6X5
        
          
        
        1156340.41000000
        PA
        USD
        1241057.09000000
        0.246341271227
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-11-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCM1
        
          
        
        75000.00000000
        PA
        USD
        99515.25000000
        0.019753090642
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-10-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02770A SWAPTION EUR006M JAN21 NEG0.25 CALL
        000000000
        
          
        
        -2340000.00000000
        NC
        
        -19205.83000000
        -0.00381222476
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Morgan Stanley & Co. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    Morgan Stanley & Co. LLC
                    9R7GPTSO7KV3UQJZQ078
                    IRS Swap
                    N/A
                    
                      
                    
                    2340000.00000000
                    OU
                    Notional Amount
                    N/A
                    -19205.83000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2340000.00000000
                  EUR
                
              
            
            1.00000000
            -0.25000000
            EUR
            2021-01-14
            XXXX
            2014.86000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416A6T2
        
          
        
        7486.77000000
        PA
        USD
        8423.06000000
        0.001671919305
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bayer US Finance II LLC
        529900XWNEXYNJ3X6T40
        Bayer US Finance II LLC
        07274NAE3
        
          
        
        950000.00000000
        PA
        USD
        1037039.00000000
        0.205845087732
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-12-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NASDAQ INC
        549300L8X1Q78ERXFD06
        Nasdaq Inc
        63111XAB7
        
          
        
        100000.00000000
        PA
        USD
        104500.00000000
        0.020742529131
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-28
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        3128LXBH2
        
          
        
        3862.94000000
        PA
        USD
        4449.10000000
        0.000883115658
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-07-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WN5M7
        
          
        
        56250.85000000
        PA
        USD
        61691.56000000
        0.012245349095
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-04-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAB8
        
          
        
        225000.00000000
        PA
        USD
        245506.50000000
        0.048731346681
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-15
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02687A SWAPTION EUR006M NOV20 NEG0.15 CALL
        000000000
        
          
        
        -5220000.00000000
        NC
        
        -66632.94000000
        -0.01322617893
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Call
            Written
            
              
                
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                  
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                    IRS Swap
                    N/A
                    
                      
                    
                    5220000.00000000
                    OU
                    Notional Amount
                    N/A
                    -66632.94000000
                    -0.01000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5220000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-11-30
            XXXX
            -13839.29000000
          
        
        
          N
          N
          N
        
      
      
        Scholar Funding Trust
        N/A
        Scholar Funding Trust 2010-A
        80705RAA8
        
          
        
        374476.32000000
        PA
        USD
        364190.43000000
        0.072289288073
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2041-10-28
          Floating
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYNGENTA FINANCE NV
        54930042S3BYCEGOCN86
        Syngenta Finance NV
        87164KAE4
        
          
        
        1485000.00000000
        PA
        USD
        1503978.30000000
        0.298529317713
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2021-04-23
          Fixed
          3.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAN3
        
          
        
        725000.00000000
        PA
        USD
        797833.50000000
        0.158364446085
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1501.11000000
        0.000297959979
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            402400.87000000
            CHF
            584927.49000000
            CAD
            2020-12-16
            1501.11000000
          
        
        
          N
          N
          N
        
      
      
        WALGREENS BOOTS ALLIANCE
        549300RPTUOIXG4LIH86
        Walgreens Boots Alliance Inc
        931427AT5
        
          
        
        425000.00000000
        PA
        USD
        423733.50000000
        0.084108176725
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GR/DIAMON
        N/A
        Diamond Sports Group LLC / Diamond Sports Finance Co
        25277LAA4
        
          
        
        420000.00000000
        PA
        USD
        297150.00000000
        0.058982225181
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          5.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GE CAPITAL INTL FUNDING
        549300G6UZOB126GBY72
        GE Capital International Funding Co Unlimited Co
        36164QNA2
        
          
        
        250000.00000000
        PA
        USD
        263400.00000000
        0.052283082997
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2035-11-15
          Fixed
          4.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SERVICENOW INC
        549300HJTQM36M0E1G39
        ServiceNow Inc
        81762PAE2
        
          
        
        975000.00000000
        PA
        USD
        949377.00000000
        0.188444785448
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          1.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAM8
        
          
        
        875000.00000000
        PA
        USD
        984961.25000000
        0.195508013603
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-01-23
          Fixed
          3.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF QATAR
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        74727PBE0
        
          
        
        200000.00000000
        PA
        USD
        257750.00000000
        0.051161596972
        Long
        DBT
        NUSS
        QA
        N
        
        2
        
          2050-04-16
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138W3FS7
        
          
        
        37210.34000000
        PA
        USD
        40762.89000000
        0.008091152471
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-02-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RCT7
        
          
        
        600000.00000000
        PA
        USD
        686976.00000000
        0.136359997059
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-17
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)DEC20 XCBT 20201221
        000000000
        
          
        
        325.00000000
        NC
        USD
        9617.28000000
        0.001908963737
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                10 Year US Treasury Note
                TYZ0 Comdty
              
            
            2020-12-21
            45327882.72000000
            USD
            9617.28000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGF0
        
          
        
        525000.00000000
        PA
        USD
        594489.00000000
        0.118001965558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-20
          Fixed
          3.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WLA60
        
          
        
        839851.69000000
        PA
        USD
        929444.46000000
        0.184488313758
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-07-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE LONDON
        969500TJ5KRTCJQWXH05
        Credit Agricole SA/London
        22535WAG2
        
          
        
        375000.00000000
        PA
        USD
        382248.75000000
        0.075873740022
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-06-16
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200NXX4
        
          
        
        157619.82000000
        PA
        USD
        179750.81000000
        0.035679295816
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-12-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179T7L3
        
          
        
        4239130.02000000
        PA
        USD
        4585266.86000000
        0.910143841336
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -3389.98000000
        -0.00067288764
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            834624.61000000
            CAD
            623645.38000000
            USD
            2020-12-16
            -3389.98000000
          
        
        
          N
          N
          N
        
      
      
        AT&T Inc
        549300Z40J86GGSTL398
        AT&T Inc
        00206RDJ8
        
          
        
        25000.00000000
        PA
        USD
        28436.50000000
        0.005644449087
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-03-09
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NAY5
        
          
        
        20000.00000000
        PA
        USD
        22146.00000000
        0.004395828231
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2028-01-27
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MERITOR INC
        5LTG829X630QFHTFBO82
        Meritor Inc
        59001KAG5
        
          
        
        165000.00000000
        PA
        USD
        172837.50000000
        0.034307051471
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS, TBA
        N/A
        Uniform Mortgage-Backed Security, TBA
        01F0326A7
        
          
        
        16000000.00000000
        PA
        USD
        16869996.80000000
        3.348577991137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY28
        
          
        
        1642.19000000
        PA
        USD
        1701.30000000
        0.000337696313
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR213542  IRS NZD R V 03MNZDBB 1 CCPVANILLA / Short: BR213542  IRS NZD P F  1.75000 2 CCPVANILLA
        000000000
        
          
        
        3770000.00000000
        OU
        Notional Amount
        
        -112840.47000000
        -0.02239805489
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-03-19
            0.00000000
            NZD
            -160681.26000000
            NZD
            3770000.00000000
            NZD
            -7751.96000000
          
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAD5
        
          
        
        1175000.00000000
        PA
        USD
        1281090.75000000
        0.254287676575
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HalseyPoint CLO II, Ltd.
        549300RT6H1EOIYTDV62
        Halseypoint Clo 2 Ltd
        40638TAA0
        
          
        
        2350000.00000000
        PA
        USD
        2354892.70000000
        0.467429956282
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABE4
        
          
        
        625000.00000000
        PA
        USD
        711399.38000000
        0.141207869510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        796.11000000
        0.000158022343
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            430703.86000000
            USD
            574354.36000000
            CAD
            2020-12-16
            796.11000000
          
        
        
          N
          N
          N
        
      
      
        HUNTSMAN INTERNATIONAL L
        3YTEJFW18LGIUQ2N5J61
        Huntsman International LLC
        44701QBE1
        
          
        
        350000.00000000
        PA
        USD
        392884.45000000
        0.077984853105
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -18624.10000000
        -0.00369675537
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            134495713.00000000
            JPY
            1256763.73000000
            USD
            2020-10-09
            -18624.10000000
          
        
        
          N
          N
          N
        
      
      
        GROUP 1 AUTOMOTIVE INC
        549300US8QAZJLWYAF63
        Group 1 Automotive Inc
        398905AN9
        
          
        
        115000.00000000
        PA
        USD
        112987.50000000
        0.022427239332
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-08-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABG9
        
          
        
        375000.00000000
        PA
        USD
        376432.50000000
        0.074719254519
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-15
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140J8MQ3
        
          
        
        762142.70000000
        PA
        USD
        838391.34000000
        0.166414897546
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B06N1
        
          
        
        1485107.50000000
        PA
        USD
        88142.62000000
        0.017495702039
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-03-25
          Floating
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5683.74000000
        0.001128183182
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            859523.74000000
            USD
            91149054.00000000
            JPY
            2020-12-16
            5683.74000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2284.89000000
        0.000453534903
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            893407.22000000
            USD
            66070144.14000000
            INR
            2020-10-28
            2284.89000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31296NV61
        
          
        
        2582.14000000
        PA
        USD
        2958.54000000
        0.000587249781
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36291GXG6
        
          
        
        19197.90000000
        PA
        USD
        21449.31000000
        0.004257540072
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138M6P76
        
          
        
        11696.22000000
        PA
        USD
        12812.88000000
        0.002543268293
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ABBVIE INC
        FR5LCKFTG8054YNNRU85
        AbbVie Inc
        00287YBR9
        
          
        
        650000.00000000
        PA
        USD
        744861.00000000
        0.147849770253
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-11-21
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
        
        230000.00000000
        PA
        USD
        256378.13000000
        0.050889290241
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2026-02-11
          Fixed
          5.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLENCORE FINANCE CANADA
        5493005TTO0UJ33KCK70
        Glencore Finance Canada Ltd
        98417EAT7
        
          
        
        650000.00000000
        PA
        USD
        689006.50000000
        0.136763037302
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2022-10-25
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GGC7
        
          
        
        925000.00000000
        PA
        USD
        1060355.25000000
        0.210473202516
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-25
          Fixed
          4.18000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q9TW3
        
          
        
        670895.20000000
        PA
        USD
        749382.83000000
        0.148747322315
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-09-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        OPS02258A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -7070000.00000000
        NC
        
        -23322.37000000
        -0.00462932956
        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
                    
                      
                    
                    7070000.00000000
                    OU
                    Notional Amount
                    N/A
                    -23322.37000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-21
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7070000.00000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-21
            XXXX
            49936.19000000
          
        
        
          N
          N
          N
        
      
      
        UBER TECHNOLOGIES INC
        549300B2FTG34FILDR98
        Uber Technologies Inc
        90353TAF7
        
          
        
        650000.00000000
        PA
        USD
        689000.00000000
        0.136761747097
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BJ7
        
          
        
        625000.00000000
        PA
        USD
        646268.75000000
        0.128279888743
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-03-13
          Fixed
          3.26000000
          N
          N
          N
        
        
          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
        
          
        
        700000.00000000
        OU
        Notional Amount
        USD
        -196437.50000000
        -0.03899148867
        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
            -193551.95000000
            USD
            700000.00000000
            USD
            -2885.55000000
          
        
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp
        20030NCU3
        
          
        
        575000.00000000
        PA
        USD
        705887.25000000
        0.140113749729
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4070.23000000
        0.000807912577
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            318159.19000000
            USD
            5448253.38000000
            ZAR
            2020-12-17
            4070.23000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9023.00000000
        0.001791003256
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            422547.10000000
            USD
            31834487.24000000
            INR
            2020-10-28
            9023.00000000
          
        
        
          N
          N
          N
        
      
      
        MICROCHIP TECHNOLOGY INC
        5493007PTFULNYZJ1R12
        Microchip Technology Inc
        595017AQ7
        
          
        
        625000.00000000
        PA
        USD
        646506.25000000
        0.128327030855
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-01
          Fixed
          2.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -7330.44000000
        -0.00145504177
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            366299.09000000
            GBP
            465567.97000000
            USD
            2020-12-16
            -7330.44000000
          
        
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918BS2
        
          
        
        30000.00000000
        PA
        USD
        36320.40000000
        0.007209348852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-08-08
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2013.72000000
        0.000399709528
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            389835.87000000
            CHF
            362930.39000000
            EUR
            2020-12-16
            2013.72000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2M4
        
          
        
        75000.00000000
        PA
        USD
        102673.50000000
        0.020379981481
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2051-04-04
          Fixed
          5.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED AUD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3559.85000000
        -0.00070660566
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            586108.89000000
            CAD
            609672.74000000
            AUD
            2020-12-16
            -3559.85000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379EW73
        
          
        
        426733.18000000
        PA
        USD
        59681.24000000
        0.011846314443
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-10-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBQ8
        
          
        
        70000.00000000
        PA
        USD
        71489.60000000
        0.014190192445
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-01
          Fixed
          1.51000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America Corp
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        59022CAJ2
        
          
        
        100000.00000000
        PA
        USD
        140936.00000000
        0.027974823786
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-01-29
          Fixed
          6.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLIANT ENERGY FINANCE
        54930033ER6EOI5DL570
        Alliant Energy Finance LLC
        01882YAB2
        
          
        
        100000.00000000
        PA
        USD
        115524.00000000
        0.022930717085
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-15
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        1937.02000000
        0.000384485107
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            348470552.00000000
            CLP
            446173.66000000
            USD
            2020-12-17
            1937.02000000
          
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300WCW8E0MUEMAH47
        SLM Student Loan Trust 2005-5
        78442GPQ3
        
          
        
        953228.95000000
        PA
        USD
        944639.79000000
        0.187504481941
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-10-25
          Floating
          0.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214471  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214471  IRS EUR P F   .26000 2 CCPVANILLA
        000000000
        
          
        
        3330000.00000000
        OU
        Notional Amount
        
        7017.90000000
        0.001393004738
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-05-21
            746.85000000
            EUR
            0.00000000
            EUR
            3330000.00000000
            EUR
            33840.39000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        6834.51000000
        0.001356603088
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            34280637.73000000
            RUB
            446173.66000000
            USD
            2020-11-17
            6834.51000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200KFF9
        
          
        
        7816.54000000
        PA
        USD
        8476.39000000
        0.001682504942
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02222A SWAPTION APR21 0.506 CALL
        000000000
        
          
        
        -7000000.00000000
        NC
        USD
        -59836.70000000
        -0.01187717218
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    7000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -59836.70000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7000000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            17513.30000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        16772.81000000
        0.003329287081
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            11805137.95000000
            NOK
            1282613.55000000
            USD
            2020-12-10
            16772.81000000
          
        
        
          N
          N
          N
        
      
      
        Sprint Capital Corp
        549300L17W0GQBR1PO80
        Sprint Capital Corp
        852060AD4
        
          
        
        10000.00000000
        PA
        USD
        12450.00000000
        0.002471239116
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-11-15
          Fixed
          6.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRIME SECSRVC BRW/FINANC
        N/A
        Prime Security Services Borrower LLC / Prime Finance Inc
        74166MAF3
        
          
        
        510000.00000000
        PA
        USD
        488962.50000000
        0.097055683258
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-31
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        3765.55000000
        0.000747435699
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3793261.49000000
            SEK
            364176.41000000
            EUR
            2020-12-16
            3765.55000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -5146.51000000
        -0.00102154673
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            689991.36000000
            NZD
            451285.40000000
            USD
            2020-12-16
            -5146.51000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ILS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        2667.89000000
        0.000529557761
        N/A
        DFE
        
        IL
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            446160.22000000
            USD
            1535705.79000000
            ILS
            2020-12-16
            2667.89000000
          
        
        
          N
          N
          N
        
      
      
        MID-AMERICA APARTMENTS
        549300FXWGE3QSYCUJ38
        Mid-America Apartments LP
        59523UAS6
        
          
        
        325000.00000000
        PA
        USD
        319013.50000000
        0.063321979111
        Long
        DBT
        
        US
        N
        
        2
        
          2031-02-15
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHARTER COMM OPT LLC/CAP
        N/A
        Charter Communications Operating LLC / Charter Communications Operating Capital
        161175BQ6
        
          
        
        1012000.00000000
        PA
        USD
        1121569.24000000
        0.222623757261
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        6212.02000000
        0.001233043117
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            362307.17000000
            EUR
            334434.88000000
            GBP
            2020-12-16
            6212.02000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED MXN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -22086.49000000
        -0.00438401590
        N/A
        DFE
        
        MX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            444763.58000000
            USD
            9429432.66000000
            MXN
            2020-12-16
            -22086.49000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CHF
        000000000
        
          
        
        1.00000000
        NC
        
        17294.22000000
        0.003432783369
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1117939.78000000
            CHF
            1233974.06000000
            USD
            2020-12-16
            17294.22000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -21370.90000000
        -0.00424197622
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            66000765.87000000
            INR
            873380.67000000
            USD
            2020-10-28
            -21370.90000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        626.67000000
        0.000124389672
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7486905.83000000
            ZAR
            443429.37000000
            USD
            2020-12-17
            626.67000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -6641.53000000
        -0.00131829788
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            374653.10000000
            GBP
            477042.05000000
            USD
            2020-12-16
            -6641.53000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397S7M0
        
          
        
        332642.61000000
        PA
        USD
        381907.55000000
        0.075806014176
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-06-25
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -8511.33000000
        -0.00168944029
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            41342279.18000000
            TWD
            1427522.99000000
            USD
            2020-11-09
            -8511.33000000
          
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        228227BD5
        
          
        
        575000.00000000
        PA
        USD
        632425.25000000
        0.125532049489
        Long
        DBT
        
        US
        N
        
        2
        
          2023-01-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02333A SWAPTION MAY21 0.448 CALL
        000000000
        
          
        
        -9300000.00000000
        NC
        USD
        -64957.71000000
        -0.01289365733
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    9300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -64957.71000000
                    -0.01000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2026-05-14
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  9300000.00000000
                  USD
                
              
            
            1.00000000
            0.44800000
            USD
            2021-05-12
            XXXX
            32645.79000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02221A SWAPTION APR21 0.506 PUT
        000000000
        
          
        
        -7000000.00000000
        NC
        USD
        -23368.80000000
        -0.00463854559
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Put
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    7000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -23368.80000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2026-04-08
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  7000000.00000000
                  USD
                
              
            
            1.00000000
            0.50600000
            USD
            2021-04-06
            XXXX
            53981.20000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -19213.43000000
        -0.00381373331
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            437240.24000000
            USD
            32617684.66000000
            RUB
            2020-11-17
            -19213.43000000
          
        
        
          N
          N
          N
        
      
      
        SENSATA TECHNOLOGIES INC
        N/A
        Sensata Technologies Inc
        81728UAB0
        
          
        
        276000.00000000
        PA
        USD
        273240.00000000
        0.054236255118
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BZG2
        
          
        
        218006.49000000
        PA
        USD
        32549.81000000
        0.006460912747
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -6676.21000000
        -0.00132518163
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            7652416.78000000
            ZAR
            445915.41000000
            USD
            2020-12-17
            -6676.21000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: SS005852  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005852  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        500000.00000000
        OU
        Notional Amount
        USD
        -34491.35000000
        -0.00684629504
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Boeing Co/The
                Boeing Co/The
                
                  
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            8070.51000000
            USD
            0.00000000
            USD
            500000.00000000
            USD
            -42561.86000000
          
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VAM2
        
          
        
        200000.00000000
        PA
        USD
        203760.00000000
        0.040444954410
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-04-15
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -13142.37000000
        -0.00260866978
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            445472.10000000
            USD
            33733708.88000000
            RUB
            2020-11-17
            -13142.37000000
          
        
        
          N
          N
          N
        
      
      
        VISA INC
        549300JZ4OKEHW3DPJ59
        Visa Inc
        92826CAM4
        
          
        
        100000.00000000
        PA
        USD
        107019.00000000
        0.021242533254
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-15
          Fixed
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381WQE1
        
          
        
        1508442.48000000
        PA
        USD
        121755.74000000
        0.024167674486
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-06-20
          Floating
          3.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL DYNAMICS CORP
        9C1X8XOOTYY2FNYTVH06
        General Dynamics Corp
        369550BH0
        
          
        
        30000.00000000
        PA
        USD
        37681.50000000
        0.007479517813
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABJ3
        
          
        
        525000.00000000
        PA
        USD
        540819.30000000
        0.107348900336
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          2.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS FINL CO
        5493008B6JBRUJ90QL97
        General Motors Financial Co Inc
        37045XAZ9
        
          
        
        300000.00000000
        PA
        USD
        325635.00000000
        0.064636301184
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-13
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2043.70000000
        -0.00040566035
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            384335.25000000
            EUR
            449378.61000000
            USD
            2020-12-16
            -2043.70000000
          
        
        
          N
          N
          N
        
      
      
        WELLS FARGO & COMPANY
        PBLD0EJDB5FWOLXP3B76
        Wells Fargo & Co
        95000U2K8
        
          
        
        45000.00000000
        PA
        USD
        46721.25000000
        0.009273845829
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-02-11
          Fixed
          2.16000000
          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
        
          
        
        9630000.00000000
        OU
        Notional Amount
        
        86929.82000000
        0.017254969605
        N/A
        DIR
        
        CH
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            48674.94000000
            CHF
            0.00000000
            CHF
            9630000.00000000
            CHF
            33904.12000000
          
        
        
          N
          N
          N
        
      
      
        BRITISH TELECOMMUNICATIO
        549300OWFMSO9NYV4H90
        British Telecommunications PLC
        111021AE1
        
          
        
        25000.00000000
        PA
        USD
        40031.00000000
        0.007945877355
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-12-15
          Fixed
          9.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02748A SWAPTION US0003M MAR21 1.10 CALL
        000000000
        
          
        
        20000000.00000000
        NC
        USD
        212396.00000000
        0.042159140836
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Purchased
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    20000000.00000000
                    OU
                    Notional Amount
                    N/A
                    212396.00000000
                    0.04000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20000000.00000000
                  USD
                
              
            
            1.00000000
            1.10000000
            USD
            2021-03-17
            XXXX
            -27604.00000000
          
        
        
          N
          N
          N
        
      
      
        DELL INT LLC / EMC CORP
        N/A
        Dell International LLC / EMC Corp
        25272KAG8
        
          
        
        600000.00000000
        PA
        USD
        657636.00000000
        0.130536209454
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CRED SUIS GP FUN LTD
        549300PXR5FKNXF0OH19
        Credit Suisse Group Funding Guernsey Ltd
        225433AR2
        
          
        
        307000.00000000
        PA
        USD
        357722.54000000
        0.071005456526
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2026-04-17
          Fixed
          4.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAYPAL HOLDINGS INC
        5493005X2GO78EFZ3E94
        PayPal Holdings Inc
        70450YAG8
        
          
        
        1150000.00000000
        PA
        USD
        1190733.00000000
        0.236352286511
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          1.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300T32RO3I7BJ4V26
        Midocean Credit Clo VIII
        000000000
        
          
        
        500000.00000000
        PA
        USD
        487569.00000000
        0.096779083121
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-02-20
          Floating
          1.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140EWUP8
        
          
        
        84158.10000000
        PA
        USD
        91029.00000000
        0.018068628558
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-03-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TEACHERS INSUR & ANNUITY
        O06XD7BJ4EPXNABVFN69
        Teachers Insurance & Annuity Association of America
        878091BD8
        
          
        
        295000.00000000
        PA
        USD
        373735.50000000
        0.074183918624
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-09-15
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Municipal Power Inc
        EARKGGZJJEMVD66XQ486
        AMERICAN MUNI PWR-OHIO INC OH REVENUE
        02765UEQ3
        
          
        
        250000.00000000
        PA
        USD
        362167.50000000
        0.071887750423
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2050-02-15
          Fixed
          6.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC
        2138005O9XJIJN4JPN90
        Natwest Group PLC
        780097BE0
        
          
        
        1160000.00000000
        PA
        USD
        1201226.40000000
        0.238435154025
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2023-05-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179RD89
        
          
        
        25873.34000000
        PA
        USD
        28315.20000000
        0.005620371874
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UPB2
        
          
        
        103787.20000000
        PA
        USD
        111775.21000000
        0.022186608130
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-03-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Student Loan Trust 2016-7
        63940GAA3
        
          
        
        956481.40000000
        PA
        USD
        956481.21000000
        0.189854922126
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2066-03-25
          Floating
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UML3
        
          
        
        1903269.10000000
        PA
        USD
        2027729.96000000
        0.402490409246
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-02-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OHIO POWER COMPANY
        06ZODLC132CY1O2Y7D77
        Ohio Power Co
        677415CS8
        
          
        
        200000.00000000
        PA
        USD
        219454.00000000
        0.043560105148
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-04-01
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOLSON COORS BEVERAGE
        54930073LBBH6ZCBE225
        Molson Coors Beverage Co
        60871RAD2
        
          
        
        20000.00000000
        PA
        USD
        22577.60000000
        0.004481497853
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-05-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAP1
        
          
        
        260000.00000000
        PA
        USD
        278543.20000000
        0.055288903735
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-04-23
          Fixed
          3.56000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        617482V92
        
          
        
        25000.00000000
        PA
        USD
        38895.25000000
        0.007720438815
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-07-24
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742BE4
        
          
        
        250000.00000000
        PA
        USD
        261557.50000000
        0.051917359457
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-07-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381AQL3
        
          
        
        731545.95000000
        PA
        USD
        115599.40000000
        0.022945683465
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-10-20
          Floating
          5.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBF2
        
          
        
        825000.00000000
        PA
        USD
        867751.50000000
        0.172242686772
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-15
          Fixed
          2.30000000
          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
        
          
        
        4630000.00000000
        OU
        Notional Amount
        
        -19243.83000000
        -0.00381976750
        N/A
        DIR
        
        ER
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2030-12-16
            0.00000000
            EUR
            -11292.95000000
            EUR
            4630000.00000000
            EUR
            31773.16000000
          
        
        
          N
          N
          N
        
      
      
        OUTFRONT MEDIA CAP LLC/C
        N/A
        Outfront Media Capital LLC / Outfront Media Capital Corp
        69007TAD6
        
          
        
        1050000.00000000
        PA
        USD
        1081500.00000000
        0.214670289529
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Phillips 66 Partners LP
        549300TL5L4IG0H4FX64
        Phillips 66 Partners LP
        718549AF5
        
          
        
        30000.00000000
        PA
        USD
        31290.90000000
        0.006211027797
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-01
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MGM RESORTS INTL
        54930066VBP7DZEGGJ87
        MGM Resorts International
        552953CF6
        
          
        
        150000.00000000
        PA
        USD
        156750.00000000
        0.031113793697
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214699  IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR214699  IRS CAD P F  1.14000 2 CCPVANILLA
        000000000
        
          
        
        9630000.00000000
        OU
        Notional Amount
        
        8110.16000000
        0.001609810813
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-06-24
            0.00000000
            CAD
            -13734.20000000
            CAD
            9630000.00000000
            CAD
            18195.58000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAJ5
        
          
        
        30000.00000000
        PA
        USD
        35299.80000000
        0.007006766792
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2038-07-24
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FOX CORP
        549300DDU6FDRBIELS05
        Fox Corp
        35137LAG0
        
          
        
        300000.00000000
        PA
        USD
        330162.00000000
        0.065534879455
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-25
          Fixed
          4.03000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214053  IRS USD R F  1.75000 2 CCPVANILLA / Short: SR214053  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        2390000.00000000
        OU
        Notional Amount
        USD
        85535.23000000
        0.016978153110
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-06-20
            104843.84000000
            USD
            0.00000000
            USD
            2390000.00000000
            USD
            -19308.61000000
          
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GDE7
        
          
        
        150000.00000000
        PA
        USD
        162000.00000000
        0.032155882481
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AERCAP IRELAND CAP/GLOBA
        N/A
        AerCap Ireland Capital DAC / AerCap Global Aviation Trust
        00774MAD7
        
          
        
        450000.00000000
        PA
        USD
        450040.50000000
        0.089329934752
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2023-01-23
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tenet Healthcare Corp
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GCN8
        
          
        
        500000.00000000
        PA
        USD
        526250.00000000
        0.104456994789
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-06-15
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTEL CORP
        KNX4USFCNGPY45LOCE31
        Intel Corp
        458140BL3
        
          
        
        5000.00000000
        PA
        USD
        6632.65000000
        0.001316535271
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-03-25
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138XRXN4
        
          
        
        39151.41000000
        PA
        USD
        43824.45000000
        0.008698851012
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2044-06-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TALEN ENERGY SUPPLY LLC
        K5K33XN0PQAU1XF7NN66
        Talen Energy Supply LLC
        87422VAJ7
        
          
        
        700000.00000000
        PA
        USD
        691250.00000000
        0.137208356576
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-06-01
          Fixed
          7.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAW0
        
          
        
        425000.00000000
        PA
        USD
        468392.50000000
        0.092972680155
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-02
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        20000.00000000
        PA
        
        25486.13000000
        0.005058820994
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2029-03-11
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WBD3
        
          
        
        535000.00000000
        PA
        USD
        546028.01000000
        0.108382793340
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MONDELEZ INTERNATIONAL
        549300DV9GIB88LZ5P30
        Mondelez International Inc
        609207AS4
        
          
        
        225000.00000000
        PA
        USD
        233552.25000000
        0.046358510520
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-13
          Fixed
          2.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRB HOLDING CORP
        549300HVW4WNWYBXN830
        IRB Holding Corp
        44988MAC9
        
          
        
        254000.00000000
        PA
        USD
        270827.50000000
        0.053757390510
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CNH / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        10529.70000000
        0.002090072813
        N/A
        DFE
        
        CN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1331541.28000000
            USD
            9153733.79000000
            CNY
            2020-12-16
            10529.70000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        10706.63000000
        0.002125192197
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            610531.95000000
            AUD
            448093.21000000
            USD
            2020-12-16
            10706.63000000
          
        
        
          N
          N
          N
        
      
      
        Tower Bridge Funding
        213800PP6P7OPYHE7T05
        Tower Bridge Funding No.1 PLC
        000000000
        
          
        
        282404.35000000
        PA
        
        364387.11000000
        0.072328327697
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-03-20
          Floating
          1.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -32562.70000000
        -0.00646347132
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4258469.15000000
            USD
            3597883.37000000
            EUR
            2020-12-16
            -32562.70000000
          
        
        
          N
          N
          N
        
      
      
        TRUIST BANK
        JJKC32MCHWDI71265Z06
        Truist Bank
        89788KAA4
        
          
        
        350000.00000000
        PA
        USD
        360752.00000000
        0.071606783438
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-11
          Fixed
          2.25000000
          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
        
          
        
        11540000.00000000
        OU
        Notional Amount
        
        -30368.24000000
        -0.00602788615
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2030-09-08
            3809.68000000
            EUR
            0.00000000
            EUR
            11540000.00000000
            EUR
            -34860.73000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        137.17000000
        0.000027227298
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3032920.96000000
            CNY
            444807.65000000
            USD
            2020-12-16
            137.17000000
          
        
        
          N
          N
          N
        
      
      
        1011778 BC / NEW RED FIN
        N/A
        1011778 BC ULC / New Red Finance Inc
        68245XAM1
        
          
        
        447000.00000000
        PA
        USD
        450352.50000000
        0.089391864600
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-10-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179UCC4
        
          
        
        1666996.58000000
        PA
        USD
        1803111.52000000
        0.357905198383
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-09-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410BHN7
        
          
        
        1037.26000000
        PA
        USD
        1050.46000000
        0.000208509063
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2021-06-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Group AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AF5
        
          
        
        525000.00000000
        PA
        USD
        584976.00000000
        0.116113700682
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2029-01-12
          Fixed
          3.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DAVITA INC
        M2XHYMU3TZNEZURC6H66
        DaVita Inc
        23918KAT5
        
          
        
        555000.00000000
        PA
        USD
        534881.25000000
        0.106170238373
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVH46
        
          
        
        18300.29000000
        PA
        USD
        20070.33000000
        0.003983822054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS DE VENEZUELA S
        549300YWR8TN1OFD4P06
        Petroleos de Venezuela SA
        000000000
        
          
        
        1110000.00000000
        PA
        USD
        30525.00000000
        0.006059001930
        Long
        DBT
        CORP
        VE
        N
        
        2
        
          2027-04-12
          Fixed
          5.38000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MNK6
        
          
        
        599220.49000000
        PA
        USD
        64335.67000000
        0.012770186690
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137B8QW0
        
          
        
        2942417.36000000
        PA
        USD
        603799.34000000
        0.119850003823
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-15
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418CCW2
        
          
        
        29003.72000000
        PA
        USD
        31371.66000000
        0.006227058100
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCCIDENTAL PETROLEUM COR
        IM7X0T3ECJW4C1T7ON55
        Occidental Petroleum Corp
        674599DC6
        
          
        
        300000.00000000
        PA
        USD
        271875.00000000
        0.053965312034
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136AN2A4
        
          
        
        708432.66000000
        PA
        USD
        143000.82000000
        0.028384676312
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2045-06-25
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD COP
        000000000
        
          
        
        1.00000000
        NC
        
        8011.87000000
        0.001590300927
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1989307328.57000000
            COP
            526438.90000000
            USD
            2020-11-20
            8011.87000000
          
        
        
          N
          N
          N
        
      
      
        OTIS WORLDWIDE CORP
        549300ZLBKR8VSU25153
        Otis Worldwide Corp
        68902VAJ6
        
          
        
        175000.00000000
        PA
        USD
        186107.25000000
        0.036941005308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-04-05
          Fixed
          2.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAH5
        
          
        
        425000.00000000
        PA
        USD
        433861.25000000
        0.086118465236
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-07-01
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        Long: CS005456  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005456  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        830000.00000000
        OU
        Notional Amount
        USD
        -1677.10000000
        -0.00033289278
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2020-12-20
            215.86000000
            USD
            0.00000000
            USD
            830000.00000000
            USD
            -1892.96000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GULV7
        
          
        
        357243.54000000
        PA
        USD
        396246.28000000
        0.078652153169
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2047-11-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        OPS02214A SWAPTION OCT20 0.35 CALL
        000000000
        
          
        
        -3259999.99000000
        NC
        
        -1609.00000000
        -0.00031937540
        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
                    
                      
                    
                    3259999.99000000
                    OU
                    Notional Amount
                    N/A
                    -1609.00000000
                    0.00000000
                    DIR
                    
                    GB
                  
                  
                    
                      London Interbank Offer Rate 6 Months
                      BP0006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3259999.99000000
                  GBP
                
              
            
            1.00000000
            0.35000000
            GBP
            2020-10-02
            XXXX
            34767.43000000
          
        
        
          N
          N
          N
        
      
      
        Southern Power Co
        5LADC78JBG2BMZD5XF57
        Southern Power Co
        843646AU4
        
          
        
        60000.00000000
        PA
        USD
        66827.40000000
        0.013264777907
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2046-12-15
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEXICO CITY ARPT TRUST
        N/A
        Mexico City Airport Trust
        59284MAD6
        
          
        
        310000.00000000
        PA
        USD
        251958.70000000
        0.050012063872
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-07-31
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COCA-COLA CO/THE
        UWJKFUJFZ02DKWI3RY53
        Coca-Cola Co/The
        191216CN8
        
          
        
        35000.00000000
        PA
        USD
        38452.40000000
        0.007632536145
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-25
          Fixed
          2.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02772A SWAPTION EUR006M JAN21 0.0001 PUT
        000000000
        
          
        
        -2340000.00000000
        NC
        
        -7084.35000000
        -0.00140619460
        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
                    
                      
                    
                    2340000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7084.35000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2340000.00000000
                  EUR
                
              
            
            1.00000000
            0.00010000
            EUR
            2021-01-14
            XXXX
            261.27000000
          
        
        
          N
          N
          N
        
      
      
        Tower Bridge Funding
        21380047RBYCB9KTR712
        Tower Bridge Funding NO 2 PLC
        000000000
        
          
        
        738140.82000000
        PA
        
        951480.30000000
        0.188862275989
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2056-03-20
          Floating
          0.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WALT DISNEY COMPANY/THE
        549300GZKULIZ0WOW665
        Walt Disney Co/The
        254687CR5
        
          
        
        1125000.00000000
        PA
        USD
        1227183.75000000
        0.243587508939
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE Clear Europe Limited
        5R6J7JCQRIPQR1EEP713
        Long: SS005888  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS005888  CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        210000.00000000
        OU
        Notional Amount
        USD
        5188.91000000
        0.001029962840
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              ICE Clear Europe Limited
              5R6J7JCQRIPQR1EEP713
            
            
              
                Qatar Government International Bond
                Qatar Government International Bond
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            3414.99000000
            USD
            0.00000000
            USD
            210000.00000000
            USD
            1773.92000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBA3
        
          
        
        1000000.00000000
        PA
        USD
        1139390.00000000
        0.226161055188
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-01-29
          Fixed
          3.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOODYEAR TIRE & RUBBER
        5493002BI0S2ZQUY3437
        Goodyear Tire & Rubber Co/The
        382550BH3
        
          
        
        790000.00000000
        PA
        USD
        859125.00000000
        0.170530386030
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-31
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179USV5
        
          
        
        142269.22000000
        PA
        USD
        153041.18000000
        0.030377618511
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        41572.00000000
        PA
        USD
        19330.98000000
        0.003837066179
        Long
        DBT
        NUSS
        EC
        N
        
        2
        
          2030-07-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CY1
        
          
        
        100000.00000000
        PA
        USD
        110836.00000000
        0.022000181424
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179NLE6
        
          
        
        796119.88000000
        PA
        USD
        874241.21000000
        0.173530849439
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-08-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVOLON HOLDINGS FNDG LTD
        635400ZRKEX9L1BKCH30
        Avolon Holdings Funding Ltd
        05401AAF8
        
          
        
        425000.00000000
        PA
        USD
        406227.75000000
        0.080633406109
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2024-07-01
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136ATA61
        
          
        
        1865060.65000000
        PA
        USD
        394449.32000000
        0.078295469005
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-25
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEG Energy Corp
        5493002WXPTG5ZC1T326
        MEG Energy Corp
        552704AC2
        
          
        
        24000.00000000
        PA
        USD
        22320.00000000
        0.004430366030
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-03-31
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38378YFA2
        
          
        
        387939.31000000
        PA
        USD
        79829.06000000
        0.015845517728
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-11-20
          Floating
          5.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLEVELAND-CLIFFS INC
        549300TM2WLI2BJMDD86
        Cleveland-Cliffs Inc
        185899AJ0
        
          
        
        225000.00000000
        PA
        USD
        251156.25000000
        0.049852783083
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-17
          Fixed
          9.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36290NBS0
        
          
        
        8674.50000000
        PA
        USD
        9689.37000000
        0.001923273105
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JX62
        
          
        
        620000.00000000
        PA
        USD
        614575.00000000
        0.121988898000
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2050-05-29
          Fixed
          8.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02747A SWAPTION US0003M MAR21 0.70 CALL
        000000000
        
          
        
        -20000000.00000000
        NC
        USD
        -78192.00000000
        -0.01552057261
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            Call
            Written
            
              
                
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMorgan Chase Bank, National Association
                    7H6GLXDRUGQFU57RNE97
                    IRS Swap
                    N/A
                    
                      
                    
                    20000000.00000000
                    OU
                    Notional Amount
                    N/A
                    -78192.00000000
                    -0.02000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-03-19
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  20000000.00000000
                  USD
                
              
            
            1.00000000
            0.70000000
            USD
            2021-03-17
            XXXX
            13108.00000000
          
        
        
          N
          N
          N
        
      
      
        CHENIERE CORP CHRISTI HD
        549300I7CIEWU1BBLQ53
        Cheniere Corpus Christi Holdings LLC
        16412XAG0
        
          
        
        30000.00000000
        PA
        USD
        33354.30000000
        0.006620598463
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-30
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEVON ENERGY CORPORATION
        54930042348RKR3ZPN35
        Devon Energy Corp
        25179MAV5
        
          
        
        227000.00000000
        PA
        USD
        254135.58000000
        0.050444159536
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-12-15
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp
        30161NAY7
        
          
        
        50000.00000000
        PA
        USD
        63810.00000000
        0.012665844821
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-15
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2020-R01
        20754CAB5
        
          
        
        50000.00000000
        PA
        USD
        48668.78000000
        0.009660417099
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2040-01-25
          Floating
          2.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        OPS02686A SWAPTION EUR006M NOV20 0.10 PUT
        000000000
        
          
        
        -5220000.00000000
        NC
        
        -3675.17000000
        -0.00072949589
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            Put
            Written
            
              
                
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                  
                  
                    UBS AG
                    549300WOIFUSNYH0FL22
                    IRS Swap
                    N/A
                    
                      
                    
                    5220000.00000000
                    OU
                    Notional Amount
                    N/A
                    -3675.17000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-12-02
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  5220000.00000000
                  EUR
                
              
            
            1.00000000
            0.10000000
            EUR
            2020-11-30
            XXXX
            13094.58000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200AGF0
        
          
        
        10946.50000000
        PA
        USD
        12106.59000000
        0.002403074600
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-11-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967EW7
        
          
        
        15000.00000000
        PA
        USD
        26130.15000000
        0.005186654522
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-07-15
          Fixed
          8.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650DL1
        
          
        
        275000.00000000
        PA
        USD
        322223.00000000
        0.063959042721
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -6392.54000000
        -0.00126887509
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            619346.26000000
            AUD
            437308.63000000
            USD
            2020-12-16
            -6392.54000000
          
        
        
          N
          N
          N
        
      
      
        GENESIS ENERGY LP/FIN
        N/A
        Genesis Energy LP / Genesis Energy Finance Corp
        37185LAL6
        
          
        
        615000.00000000
        PA
        USD
        528900.00000000
        0.104983001509
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-02-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SABINE PASS LIQUEFACTION
        549300KJYBG7C6WJYZ11
        Sabine Pass Liquefaction LLC
        785592AH9
        
          
        
        800000.00000000
        PA
        USD
        848176.00000000
        0.168357085059
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED CHF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -608.03000000
        -0.00012068976
        N/A
        DFE
        
        CH
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            363443.56000000
            EUR
            391681.31000000
            CHF
            2020-12-16
            -608.03000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED SEK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -5974.02000000
        -0.00118580175
        N/A
        DFE
        
        SE
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            376518.92000000
            EUR
            3903204.09000000
            SEK
            2020-12-16
            -5974.02000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WRNS5
        
          
        
        15501.22000000
        PA
        USD
        17000.53000000
        0.003374487930
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-05-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        T-MOBILE USA INC
        549300V2JRLO5DIFGE82
        T-Mobile USA Inc
        87264ABK0
        
          
        
        325000.00000000
        PA
        USD
        320596.25000000
        0.063636144067
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINION ENERGY INC
        ILUL7B6Z54MRYCF6H308
        Dominion Energy Inc
        25746UDB2
        
          
        
        675000.00000000
        PA
        USD
        726340.50000000
        0.144173578762
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-15
          Variable
          3.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cox Communications Inc
        5493001NEDZNIFRP2R92
        Cox Communications Inc
        224044CG0
        
          
        
        50000.00000000
        PA
        USD
        55739.00000000
        0.011063806997
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-09-15
          Fixed
          3.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A7NR9
        
          
        
        300102.76000000
        PA
        USD
        53384.62000000
        0.010596478808
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-07-25
          Floating
          6.52000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        Long: CS005454  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005454  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        140000.00000000
        OU
        Notional Amount
        USD
        -282.88000000
        -0.00005614972
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank, National Association
              7H6GLXDRUGQFU57RNE97
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2020-12-20
            34.72000000
            USD
            0.00000000
            USD
            140000.00000000
            USD
            -317.60000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138WVN49
        
          
        
        28080.94000000
        PA
        USD
        30796.99000000
        0.006112990069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2043-06-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61746BEC6
        
          
        
        1550000.00000000
        PA
        USD
        1574924.00000000
        0.312611549761
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-10-24
          Floating
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38379MTQ7
        
          
        
        1409610.43000000
        PA
        USD
        232599.96000000
        0.046169487524
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2045-08-20
          Floating
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179QWF4
        
          
        
        90975.35000000
        PA
        USD
        99731.96000000
        0.019796106082
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2044-12-20
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FIRSTENERGY CORP
        549300SVYJS666PQJH88
        FirstEnergy Corp
        337932AP2
        
          
        
        325000.00000000
        PA
        USD
        318279.00000000
        0.063176185927
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136BAC36
        
          
        
        746647.73000000
        PA
        USD
        148802.64000000
        0.029536297560
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-07-25
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM PJSC (GAZ FN)
        213800UNP9N6BPNYMQ45
        Gazprom PJSC via Gaz Finance PLC
        000000000
        
          
        
        280000.00000000
        PA
        USD
        280630.00000000
        0.055703119140
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2030-02-25
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HLF FIN SARL LLC/HERBALI
        N/A
        HLF Financing Sarl LLC / Herbalife International Inc
        40390DAA3
        
          
        
        235000.00000000
        PA
        USD
        238818.75000000
        0.047403874440
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-08-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NETAPP INC
        QTX3D84DZDD5JYOCYH15
        NetApp Inc
        64110DAJ3
        
          
        
        35000.00000000
        PA
        USD
        36544.55000000
        0.007253841081
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-22
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KG9
        
          
        
        282199.01000000
        PA
        USD
        312989.07000000
        0.062126171314
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR PRODUCTS & CHEMICALS
        7QEON6Y1RL5XR3R1W237
        Air Products and Chemicals Inc
        009158BA3
        
          
        
        50000.00000000
        PA
        USD
        52588.00000000
        0.010438355234
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-05-15
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CV0
        
          
        
        251000.00000000
        PA
        USD
        268903.83000000
        0.053375555285
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-03-09
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN HONDA FINANCE
        B6Q2VFHD1797Q7NZ3E43
        American Honda Finance Corp
        02665WBP5
        
          
        
        65000.00000000
        PA
        USD
        69444.70000000
        0.013784293902
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-02-16
          Fixed
          2.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3347.10000000
        -0.00066437626
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            297223.01000000
            USD
            444254.30000000
            NZD
            2020-12-16
            -3347.10000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38381BTA2
        
          
        
        807819.35000000
        PA
        USD
        129030.48000000
        0.025611660193
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2049-01-20
          Floating
          5.89000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        9423.39000000
        0.001870477909
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            421342.38000000
            USD
            31775156.38000000
            INR
            2020-10-28
            9423.39000000
          
        
        
          N
          N
          N
        
      
      
        AECOM
        0EEB8GF0W0NPCIHZX097
        AECOM
        00774CAB3
        
          
        
        310000.00000000
        PA
        USD
        333250.00000000
        0.066147826154
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          5.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REINSURANCE GRP OF AMER
        LORM1GNEU1DKEW527V90
        Reinsurance Group of America Inc
        759351AN9
        
          
        
        65000.00000000
        PA
        USD
        74091.55000000
        0.014706661572
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-05-15
          Fixed
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VALE OVERSEAS LIMITED
        254900BA3U6G5DNV5V04
        Vale Overseas Ltd
        91911TAP8
        
          
        
        134000.00000000
        PA
        USD
        158455.00000000
        0.031452224435
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2026-08-10
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD TWD
        000000000
        
          
        
        1.00000000
        NC
        
        -14064.73000000
        -0.00279175188
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            41918827.12000000
            TWD
            1441996.12000000
            USD
            2020-11-09
            -14064.73000000
          
        
        
          N
          N
          N
        
      
      
        ON SEMICONDUCTOR CORP
        ZV20P4CNJVT8V1ZGJ064
        ON Semiconductor Corp
        682189AQ8
        
          
        
        860000.00000000
        PA
        USD
        872900.00000000
        0.173264628506
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-09-01
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBJ4
        
          
        
        75000.00000000
        PA
        USD
        91463.25000000
        0.018154824187
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-24
          Fixed
          4.49000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. Morgan Securities LLC
        ZBUT11V806EZRVTWT807
        Long: CX002956  CDS USD R F  3.00000 2 CMBX / Short: CX002956  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        350000.00000000
        OU
        Notional Amount
        USD
        -80209.15000000
        -0.01592096297
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              J.P. Morgan Securities LLC
              ZBUT11V806EZRVTWT807
            
            
              
                Markit CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -108568.98000000
            USD
            350000.00000000
            USD
            28359.83000000
          
        
        
          N
          N
          N
        
      
      
        MITSUBISHI UFJ FIN GRP
        353800V2V8PUY9TK3E06
        Mitsubishi UFJ Financial Group Inc
        606822BK9
        
          
        
        700000.00000000
        PA
        USD
        805952.00000000
        0.159975912331
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2039-07-18
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        31397UTT6
        
          
        
        80365.81000000
        PA
        USD
        81287.04000000
        0.016134916700
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-07-25
          Floating
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MPLX LP
        5493000CZJ19CK4P3G36
        MPLX LP
        55336VBQ2
        
          
        
        650000.00000000
        PA
        USD
        634114.00000000
        0.125867254715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER OPERATNG
        5493008K8W3OKZE54J59
        Energy Transfer Operating LP
        29278NAC7
        
          
        
        875000.00000000
        PA
        USD
        921978.75000000
        0.183006421823
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-09-15
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493007ZK0X40BI7UF30
        Freddie Mac STACR Remic Trust 2020-DNA2
        35565KAH1
        
          
        
        125000.00000000
        PA
        USD
        121655.99000000
        0.024147874800
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-02-25
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSTELLATION BRANDS INC
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBE7
        
          
        
        625000.00000000
        PA
        USD
        683556.25000000
        0.135681200274
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-08-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJB6
        
          
        
        1975000.00000000
        PA
        USD
        2089451.25000000
        0.414741659542
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-29
          Fixed
          2.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Holdings PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280BZ1
        
          
        
        600000.00000000
        PA
        USD
        645738.00000000
        0.128174538529
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-03-11
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        Long: CS005470  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005470  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        80000.00000000
        OU
        Notional Amount
        USD
        -524.26000000
        -0.00010406199
        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
            105.10000000
            USD
            0.00000000
            USD
            80000.00000000
            USD
            -629.36000000
          
        
        
          N
          N
          N
        
      
      
        ConocoPhillips
        WPTL2Z3FIYTHSP5V2253
        ConocoPhillips
        20825CAQ7
        
          
        
        25000.00000000
        PA
        USD
        36776.25000000
        0.007299831932
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-02-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136B5SN6
        
          
        
        754259.74000000
        PA
        USD
        150223.12000000
        0.029818253041
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Floating
          5.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        Long: CS005484  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005484  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        460000.00000000
        OU
        Notional Amount
        USD
        -3014.47000000
        -0.00059835150
        N/A
        DCR
        
        DE
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            771.31000000
            USD
            0.00000000
            USD
            460000.00000000
            USD
            -3785.78000000
          
        
        
          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
        
          
        
        16600000.00000000
        OU
        Notional Amount
        
        39722.45000000
        0.007884632309
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2028-09-04
            0.00000000
            AUD
            -5346.63000000
            AUD
            16600000.00000000
            AUD
            43550.19000000
          
        
        
          N
          N
          N
        
      
      
        CIT BANK NA
        FVPV0TNOIM6NUIE59530
        CIT Bank NA
        12556LBJ4
        
          
        
        600000.00000000
        PA
        USD
        594858.00000000
        0.118075209513
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-27
          Fixed
          2.97000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SANTANDER UK PLC
        PTCQB104N23FMNK2RZ28
        Santander UK PLC
        80283LAX1
        
          
        
        1000000.00000000
        PA
        USD
        1067120.00000000
        0.211815958726
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-06-18
          Fixed
          2.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN TOWER CORP
        5493006ORUSIL88JOE18
        American Tower Corp
        03027XBC3
        
          
        
        500000.00000000
        PA
        USD
        504730.00000000
        0.100185423240
        Long
        DBT
        
        US
        N
        
        2
        
          2030-06-15
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JH1
        
          
        
        125000.00000000
        PA
        USD
        114551.25000000
        0.022737632920
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-08-01
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        N/A
        Mountain View CLO 2016-1 LLC
        62432FAM6
        
          
        
        1200000.00000000
        PA
        USD
        1173400.80000000
        0.232911964373
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-04-14
          Floating
          1.63000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214479  IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214479  IRS USD P F  1.16000 2 CCPVANILLA
        000000000
        
          
        
        10340000.00000000
        OU
        Notional Amount
        USD
        123618.84000000
        0.024537486984
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2035-05-21
            17924.18000000
            USD
            0.00000000
            USD
            10340000.00000000
            USD
            105694.66000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, National Association
        7H6GLXDRUGQFU57RNE97
        OPS02781A SWAPTION US0003M OCT20 0.703 CALL
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -15921.36000000
        -0.00316028013
        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
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -15921.36000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-30
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            0.70300000
            USD
            2020-10-28
            XXXX
            2789.64000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        90DAY EUR FUTR  DEC20 XCME 20201214
        000000000
        
          
        
        -4.00000000
        NC
        USD
        -18545.22000000
        -0.00368109824
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                Eurodollar Time Deposit
                EDZ0 Comdty
              
            
            2020-12-14
            -979004.78000000
            USD
            -18545.22000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -21199.88000000
        -0.00420802993
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            440793.00000000
            USD
            32739900.08000000
            RUB
            2020-11-17
            -21199.88000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        Long: CS005482  CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005482  CDS USD P F  1.00000 2 CORPORATE
        000000000
        
          
        
        670000.00000000
        OU
        Notional Amount
        USD
        -4390.64000000
        -0.00087151175
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            
              
                China Government International Bond
                China Government International Bond
                
                  
                  
                
              
            
            Y
            buy protection
            
            2021-06-20
            1127.69000000
            USD
            0.00000000
            USD
            670000.00000000
            USD
            -5518.33000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. International PLC
        4PQUHN3JPFGFNF3BB653
        Long: CX002964  CDS USD R F  3.00000 2 CMBX / Short: CX002964  CDS USD P V 01MEVENT 1 CMBX
        000000000
        
          
        
        1000000.00000000
        OU
        Notional Amount
        USD
        -229169.00000000
        -0.04548846563
        N/A
        DCR
        
        GB
        N
        
        2
        
          
            
              Morgan Stanley & Co. International PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Markit CMBX.NA.BBB-.11
                137BERAK3
              
            
            Y
            
            sell protection
            2054-11-18
            0.00000000
            USD
            -284758.03000000
            USD
            1000000.00000000
            USD
            55589.03000000
          
        
        
          N
          N
          N
        
      
      
        Vodafone Group PLC
        213800TB53ELEUKM7Q61
        Vodafone Group PLC
        92857WBH2
        
          
        
        1175000.00000000
        PA
        USD
        1282912.00000000
        0.254649182136
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2024-01-16
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SR214356  IRS USD R F   .84500 2 CCPVANILLA / Short: SR214356  IRS USD P V 03MLIBOR 1 CCPVANILLA
        000000000
        
          
        
        2580000.00000000
        OU
        Notional Amount
        USD
        -41814.06000000
        -0.00829980246
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-04-10
            92.88000000
            USD
            0.00000000
            USD
            2580000.00000000
            USD
            -41906.94000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        77586RAJ9
        
          
        
        230000.00000000
        PA
        USD
        236684.38000000
        0.046980216719
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2051-02-14
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THERMO FISHER SCIENTIFIC
        HCHV7422L5HDJZCRFL38
        Thermo Fisher Scientific Inc
        883556CG5
        
          
        
        250000.00000000
        PA
        USD
        308482.50000000
        0.061231648256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CIGNA CORP
        549300VIWYMSIGT1U456
        Cigna Corp
        125523AF7
        
          
        
        1446000.00000000
        PA
        USD
        1564441.86000000
        0.310530917279
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -11205.34000000
        -0.00222418269
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            5008571.56000000
            SEK
            548611.00000000
            USD
            2020-12-16
            -11205.34000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201SQC6
        
          
        
        34297.15000000
        PA
        USD
        38938.62000000
        0.007729047461
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-02-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KRAFT HEINZ FOODS CO
        5493003STKEZ2S0RNU91
        Kraft Heinz Foods Co
        50077LBD7
        
          
        
        1122000.00000000
        PA
        USD
        1229835.42000000
        0.244113847142
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-03-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIR LEASE CORP
        5493004NW4M4P8TMMK63
        Air Lease Corp
        00914AAD4
        
          
        
        550000.00000000
        PA
        USD
        551067.00000000
        0.109382998095
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6227.93000000
        0.001236201143
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            494761.52000000
            USD
            1922395895.39000000
            COP
            2020-11-20
            6227.93000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        5667.71000000
        0.001125001337
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            308326.89000000
            USD
            5309019.05000000
            ZAR
            2020-12-17
            5667.71000000
          
        
        
          N
          N
          N
        
      
      
        Sempra Energy
        PBBKGKLRK5S5C0Y4T545
        Sempra Energy
        816851AV1
        
          
        
        35000.00000000
        PA
        USD
        38060.40000000
        0.007554726849
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-06-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140GYKA6
        
          
        
        854436.51000000
        PA
        USD
        939918.70000000
        0.186567378144
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36200N3F6
        
          
        
        131475.51000000
        PA
        USD
        150228.53000000
        0.029819326889
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2034-09-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTERCARD INC
        AR5L2ODV9HN37376R084
        Mastercard Inc
        57636QAR5
        
          
        
        300000.00000000
        PA
        USD
        343065.00000000
        0.068096035947
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-26
          Fixed
          3.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36202SBG2
        
          
        
        17255.42000000
        PA
        USD
        18816.87000000
        0.003735018891
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02695A SWAPTION EUR006M DEC20 NEG0.15 CALL
        000000000
        
          
        
        -1640000.00000000
        NC
        
        -21056.39000000
        -0.00417954816
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Call
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1640000.00000000
                    OU
                    Notional Amount
                    N/A
                    -21056.39000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-12-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1640000.00000000
                  EUR
                
              
            
            1.00000000
            -0.15000000
            EUR
            2020-12-01
            XXXX
            -4158.74000000
          
        
        
          N
          N
          N
        
      
      
        WP Carey Inc
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAA7
        
          
        
        155000.00000000
        PA
        USD
        171778.75000000
        0.034096896900
        Long
        DBT
        
        US
        N
        
        2
        
          2024-04-01
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NBCUniversal Media LLC
        VTBDOQJ6KOGQ6K786R46
        NBCUniversal Media LLC
        63946BAJ9
        
          
        
        458000.00000000
        PA
        USD
        575692.26000000
        0.114270942333
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XAH3
        
          
        
        295000.00000000
        PA
        USD
        298046.70000000
        0.059160213945
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          3.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        70000.00000000
        PA
        
        83610.32000000
        0.016596071754
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2050-01-28
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        
        62795.61000000
        0.012464495404
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            12858794.98000000
            NOK
            1441688.22000000
            USD
            2020-12-16
            62795.61000000
          
        
        
          N
          N
          N
        
      
      
        JM SMUCKER CO
        5493000WDH6A0LHDJD55
        J M Smucker Co/The
        832696AS7
        
          
        
        225000.00000000
        PA
        USD
        234762.75000000
        0.046598786419
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SUNCOR ENERGY INC
        549300W70ZOQDVLCHY06
        Suncor Energy Inc
        867224AD9
        
          
        
        450000.00000000
        PA
        USD
        484015.50000000
        0.096073737884
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-05-15
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201U5P5
        
          
        
        20733.97000000
        PA
        USD
        23514.82000000
        0.004667529558
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2033-07-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36179TXW0
        
          
        
        2867976.14000000
        PA
        USD
        3112909.33000000
        0.617891028340
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2048-05-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDY7
        
          
        
        55000.00000000
        PA
        USD
        64951.15000000
        0.012892355224
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-03-16
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PHILLIPS 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546AV6
        
          
        
        100000.00000000
        PA
        USD
        111133.00000000
        0.022059133875
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-04-09
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AstraZeneca PLC
        PY6ZZQWO2IZFZC3IOL08
        AstraZeneca PLC
        046353AD0
        
          
        
        45000.00000000
        PA
        USD
        68508.90000000
        0.013598544057
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2037-09-15
          Fixed
          6.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NBE8
        
          
        
        20000.00000000
        PA
        USD
        21017.00000000
        0.004171729519
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-01-15
          Fixed
          5.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNC FINANCIAL SERVICES
        CFGNEKW0P8842LEUIA51
        PNC Financial Services Group Inc/The
        693475AV7
        
          
        
        35000.00000000
        PA
        USD
        38140.55000000
        0.007570636071
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-01-23
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac Gold Pool
        31297KC91
        
          
        
        60092.91000000
        PA
        USD
        69211.40000000
        0.013737985461
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-12-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Indonesia
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
        
        250000.00000000
        PA
        
        306943.69000000
        0.060926205086
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-07-18
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Boston Properties LP
        BVHHEFJI6SHNOKQT2572
        Boston Properties LP
        10112RAS3
        
          
        
        75000.00000000
        PA
        USD
        75978.75000000
        0.015081257753
        Long
        DBT
        
        US
        N
        
        2
        
          2021-05-15
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TCW Gem Ltd
        N/A
        TCW CLO 2020-1 Ltd
        87190CAG5
        
          
        
        1250000.00000000
        PA
        USD
        1251155.00000000
        0.248345636704
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-04-20
          Floating
          5.06000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38382ET64
        
          
        
        431138.68000000
        PA
        USD
        84448.25000000
        0.016762395078
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2043-07-20
          Floating
          6.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BLUESTAR FIN HOLDINGS
        300300294ZKDSAV43I87
        Bluestar Finance Holdings Ltd
        000000000
        
          
        
        520000.00000000
        PA
        USD
        525200.00000000
        0.104248577032
        Long
        DBT
        CORP
        VG
        
        N
        
        2
        
          2023-06-24
          Fixed
          3.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        OPS02694A SWAPTION EUR006M DEC20 0.10 PUT
        000000000
        
          
        
        -1640000.00000000
        NC
        
        -1200.80000000
        -0.00023835051
        N/A
        DIR
        
        DE
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            Put
            Written
            
              
                
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                  
                  
                    Citibank, National Association
                    E57ODZWZ7FF32TWEFA76
                    IRS Swap
                    N/A
                    
                      
                    
                    1640000.00000000
                    OU
                    Notional Amount
                    N/A
                    -1200.80000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-12-03
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  1640000.00000000
                  EUR
                
              
            
            1.00000000
            0.10000000
            EUR
            2020-12-01
            XXXX
            3487.57000000
          
        
        
          N
          N
          N
        
      
      
        QUALCOMM Inc
        H1J8DDZKZP6H7RWC0H53
        QUALCOMM Inc
        747525AK9
        
          
        
        50000.00000000
        PA
        USD
        67140.00000000
        0.013326826850
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2045-05-20
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Access Group Inc
        635400C9RW3TYNTIJP57
        AccessLex Institute
        00432CBN0
        
          
        
        640283.41000000
        PA
        USD
        618407.29000000
        0.122749581129
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2033-09-26
          Floating
          0.44000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SR214906  IRS MXN R F  5.10000 2 CCPVANILLA / Short: SR214906  IRS MXN P V 01MTIIE 1 CCPVANILLA
        000000000
        
          
        
        58960000.00000000
        OU
        Notional Amount
        
        -5353.51000000
        -0.00106263480
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-10
            560.12000000
            MXN
            0.00000000
            MXN
            58960000.00000000
            MXN
            -5379.23000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        4981.67000000
        0.000988827130
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            472581.56000000
            USD
            369912.38000000
            GBP
            2020-12-16
            4981.67000000
          
        
        
          N
          N
          N
        
      
      
        Constellation Brands Inc
        5493005GKEG8QCVY7037
        Constellation Brands Inc
        21036PBB3
        
          
        
        625000.00000000
        PA
        USD
        727175.00000000
        0.144339221256
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-11-15
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        026874CU9
        
          
        
        150000.00000000
        PA
        USD
        160813.50000000
        0.031920370416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          4.88000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138MQTN3
        
          
        
        21326.83000000
        PA
        USD
        23362.95000000
        0.004637384411
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-12-01
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Inc
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967KU4
        
          
        
        1200000.00000000
        PA
        USD
        1377732.00000000
        0.273470298043
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-07-25
          Fixed
          4.13000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FISERV INC
        GI7UBEJLXYLGR2C7GV83
        Fiserv Inc
        337738AT5
        
          
        
        750000.00000000
        PA
        USD
        833167.50000000
        0.165378001342
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-07-01
          Fixed
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02771A SWAPTION EUR006M JAN21 0.0001 PUT
        000000000
        
          
        
        -2340000.00000000
        NC
        
        -7084.35000000
        -0.00140619460
        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
                    
                      
                    
                    2340000.00000000
                    OU
                    Notional Amount
                    N/A
                    -7084.35000000
                    0.00000000
                    DIR
                    
                    DE
                  
                  
                    
                      Euribor 6 Month
                      EUR006M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-01-18
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  2340000.00000000
                  EUR
                
              
            
            1.00000000
            0.00010000
            EUR
            2021-01-14
            XXXX
            261.27000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ERH60
        
          
        
        136166.29000000
        PA
        USD
        147283.27000000
        0.029234713096
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2046-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kilroy Realty LP
        5493008CT3N3JR7P1552
        Kilroy Realty LP
        49427RAN2
        
          
        
        500000.00000000
        PA
        USD
        581800.00000000
        0.115483286591
        Long
        DBT
        
        US
        N
        
        2
        
          2028-12-15
          Fixed
          4.75000000
          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
        
          
        
        270350000.00000000
        OU
        Notional Amount
        
        173252.97000000
        0.034389519400
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-12-16
            1097712.83000000
            NOK
            0.00000000
            NOK
            270350000.00000000
            NOK
            111084.60000000
          
        
        
          N
          N
          N
        
      
      
        GLOBAL PAYMENTS INC
        549300NOMHGVQBX6S778
        Global Payments Inc
        37940XAA0
        
          
        
        375000.00000000
        PA
        USD
        397702.50000000
        0.078941202793
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-15
          Fixed
          2.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        N/A
        Freddie Mac REMICS
        3137FMW24
        
          
        
        764545.58000000
        PA
        USD
        135679.01000000
        0.026931347535
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2049-08-25
          Floating
          5.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3578.50000000
        0.000710307564
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            184333.37000000
            USD
            14662337.08000000
            RUB
            2020-11-17
            3578.50000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CAD
        000000000
        
          
        
        1.00000000
        NC
        
        4909.68000000
        0.000974537611
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            567266.22000000
            CAD
            431084.48000000
            USD
            2020-12-16
            4909.68000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        455780CS3
        
          
        
        200000.00000000
        PA
        USD
        226750.00000000
        0.045008310819
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2030-10-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD NOK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -8894.75000000
        -0.00176554651
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            4262097.48000000
            NOK
            381544.61000000
            EUR
            2020-12-16
            -8894.75000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -120.79000000
        -0.00002397598
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            468646.09000000
            USD
            362911.75000000
            GBP
            2020-12-16
            -120.79000000
          
        
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp
        594918BZ6
        
          
        
        45000.00000000
        PA
        USD
        58382.55000000
        0.011588533436
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2037-02-06
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYSCO CORPORATION
        5RGWIFLMGH3YS7KWI652
        Sysco Corp
        871829BN6
        
          
        
        275000.00000000
        PA
        USD
        385310.75000000
        0.076481525900
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-04-01
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RAYTHEON TECH CORP
        I07WOS4YJ0N7YRFE7309
        Raytheon Technologies Corp
        913017DD8
        
          
        
        475000.00000000
        PA
        USD
        539676.00000000
        0.107121963173
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-16
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAR7
        
          
        
        15000.00000000
        PA
        USD
        17374.80000000
        0.003448777944
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-04-23
          Fixed
          4.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State of Illinois
        54930048FV8RWPR02D67
        ILLINOIS ST
        452151LF8
        
          
        
        1460000.00000000
        PA
        USD
        1475461.40000000
        0.292868909780
        Long
        DBT
        MUN
        US
        N
        
        2
        
          2033-06-01
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PACIFIC GAS & ELECTRIC
        1HNPXZSMMB7HMBMVBS46
        Pacific Gas and Electric Co
        694308JF5
        
          
        
        250000.00000000
        PA
        USD
        242205.00000000
        0.048076021706
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-01
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLAXOSMITHKLINE CAP INC
        5493007Q8VD7Q3ZYZS59
        GlaxoSmithKline Capital Inc
        377372AE7
        
          
        
        45000.00000000
        PA
        USD
        69296.85000000
        0.013754946697
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2038-05-15
          Fixed
          6.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61744YAR9
        
          
        
        35000.00000000
        PA
        USD
        43827.70000000
        0.008699496115
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-04-22
          Fixed
          4.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Orix Credit Alliance Owner Trust
        N/A
        Orec 2018-CRE1 Ltd
        685785AA5
        
          
        
        1475000.00000000
        PA
        USD
        1453388.74000000
        0.288487639033
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2036-06-15
          Floating
          1.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SLM Student Loan Trust
        549300SRMXHPGI3BJ386
        SLM Student Loan Trust 2008-5
        78444YAD7
        
          
        
        745518.02000000
        PA
        USD
        740084.16000000
        0.146901600465
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-07-25
          Floating
          1.94000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp
        666807BM3
        
          
        
        750000.00000000
        PA
        USD
        815865.00000000
        0.161943574449
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-01-15
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TransDigm Inc
        88Q84GB3X55CF5OC7582
        TransDigm Inc
        893647BE6
        
          
        
        166000.00000000
        PA
        USD
        173470.00000000
        0.034432598358
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-03-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD CLP
        000000000
        
          
        
        1.00000000
        NC
        
        745.52000000
        0.000147980577
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            356571372.00000000
            CLP
            455147.14000000
            USD
            2020-11-16
            745.52000000
          
        
        
          N
          N
          N
        
      
      
        SOUTHWESTERN ELEC POWER
        R64UBJHEC74EB3HGQ410
        Southwestern Electric Power Co
        845437BP6
        
          
        
        35000.00000000
        PA
        USD
        37660.35000000
        0.007475319684
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        1276.90000000
        0.000253455841
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            1522601.66000000
            ILS
            446275.18000000
            USD
            2020-12-16
            1276.90000000
          
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        903724BY7
        
          
        
        430000.00000000
        PA
        USD
        394525.00000000
        0.078310490963
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2033-03-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2349.10000000
        -0.00046628014
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            506725.87000000
            USD
            390681.69000000
            GBP
            2020-12-16
            -2349.10000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PAY2
        
          
        
        825000.00000000
        PA
        USD
        906741.00000000
        0.179981833562
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-05
          Fixed
          4.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3140Q8KK0
        
          
        
        520019.87000000
        PA
        USD
        569932.73000000
        0.113127715359
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Entercom Media Corp
        549300S5JUSXRHNCHD80
        Entercom Media Corp
        29365DAA7
        
          
        
        675000.00000000
        PA
        USD
        590625.00000000
        0.117234988213
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RAZ5
        
          
        
        600000.00000000
        PA
        USD
        614370.00000000
        0.121948206914
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-06-01
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        92343VDS0
        
          
        
        180000.00000000
        PA
        USD
        257491.80000000
        0.051110346054
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2049-04-15
          Fixed
          5.01000000
          N
          N
          N
        
        
          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
        
          
        
        1070000.00000000
        OU
        Notional Amount
        
        56281.73000000
        0.011171535158
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2050-06-17
            46961.10000000
            CAD
            0.00000000
            CAD
            1070000.00000000
            CAD
            25248.79000000
          
        
        
          N
          N
          N
        
      
      
        MARATHON PETROLEUM CORP
        3BNYRYQHD39K4LCKQF12
        Marathon Petroleum Corp
        56585ABG6
        
          
        
        625000.00000000
        PA
        USD
        674575.00000000
        0.133898484104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-05-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        9R7GPTSO7KV3UQJZQ078
        OPS02736A SWAPTION US0003M OCT20 0.6975 PUT
        000000000
        
          
        
        -3780000.00000000
        NC
        USD
        -16011.32000000
        -0.00317813656
        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
                    
                      
                    
                    3780000.00000000
                    OU
                    Notional Amount
                    N/A
                    -16011.32000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                  
                    
                      
                    
                  
                  2030-10-15
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  3780000.00000000
                  USD
                
              
            
            1.00000000
            0.69750000
            USD
            2020-10-13
            XXXX
            7424.68000000
          
        
        
          N
          N
          N
        
      
      
        AMDOCS LTD
        N/A
        Amdocs Ltd
        02342TAE9
        
          
        
        350000.00000000
        PA
        USD
        362820.50000000
        0.072017366419
        Long
        DBT
        CORP
        GG
        
        N
        
        2
        
          2030-06-15
          Fixed
          2.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROWN CASTLE INTL CORP
        54930012H97VSM0I2R19
        Crown Castle International Corp
        22822VAJ0
        
          
        
        1275000.00000000
        PA
        USD
        1355541.75000000
        0.269065686492
        Long
        DBT
        
        US
        N
        
        2
        
          2023-07-15
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WP CAREY INC
        54930042CRNE713E3Q67
        WP Carey Inc
        92936UAF6
        
          
        
        425000.00000000
        PA
        USD
        457937.50000000
        0.090897434777
        Long
        DBT
        
        US
        N
        
        2
        
          2029-07-15
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED GBP / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5167.19000000
        0.001025651570
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            362840.97000000
            EUR
            334111.22000000
            GBP
            2020-12-16
            5167.19000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Aktiengesellschaft
        7LTWFZYICNSX8D621K86
        OPS02208A SWAPTION OCT20 0.395 CALL
        000000000
        
          
        
        -8300000.00000000
        NC
        USD
        -0.83000000
        -0.00000016474
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Deutsche Bank Aktiengesellschaft
              7LTWFZYICNSX8D621K86
            
            Call
            Written
            
              
                
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                  
                  
                    Deutsche Bank Aktiengesellschaft
                    7LTWFZYICNSX8D621K86
                    IRS Swap
                    N/A
                    
                      
                    
                    8300000.00000000
                    OU
                    Notional Amount
                    N/A
                    -0.83000000
                    0.00000000
                    DIR
                    
                    US
                  
                  
                    
                      ICE Libor USD 3 Months
                      US0003M Index
                    
                  
                  
                    
                      
                    
                  
                  
                  2030-10-06
                  0.00000000
                  N/A
                  0.00000000
                  N/A
                  8300000.00000000
                  USD
                
              
            
            1.00000000
            0.39500000
            USD
            2020-10-02
            XXXX
            75114.17000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36210AT31
        
          
        
        111550.90000000
        PA
        USD
        127736.20000000
        0.025354754542
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2035-01-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BR214857  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214857  IRS EUR P F   .25000 2 CCPVANILLA
        000000000
        
          
        
        130000.00000000
        OU
        Notional Amount
        
        -6937.94000000
        -0.00137713323
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2040-12-16
            0.00000000
            EUR
            -4406.21000000
            EUR
            130000.00000000
            EUR
            -1732.68000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        N/A
        Fannie Mae REMICS
        3136A3B75
        
          
        
        415948.70000000
        PA
        USD
        68909.85000000
        0.013678129866
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-02-25
          Floating
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        6174468L6
        
          
        
        1275000.00000000
        PA
        USD
        1361113.50000000
        0.270171640432
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-01-22
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BY51
        
          
        
        1770.38000000
        PA
        USD
        1834.14000000
        0.000364064137
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-10-01
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAG6
        
          
        
        800000.00000000
        PA
        USD
        777328.00000000
        0.154294245787
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          4.60000000
          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
        
          
        
        2665000.00000000
        OU
        Notional Amount
        
        7657.40000000
        0.001519941077
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2025-01-02
            13672.47000000
            BRL
            0.00000000
            BRL
            2665000.00000000
            BRL
            15930.66000000
          
        
        
          N
          N
          N
        
      
      
        Pfizer Inc
        765LHXWGK1KXCLTFYQ30
        Pfizer Inc
        717081ET6
        
          
        
        750000.00000000
        PA
        USD
        877560.00000000
        0.174189606360
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        PURCHASED EUR / SOLD SEK
        000000000
        
          
        
        1.00000000
        NC
        N/A
        4759.46000000
        0.000944719977
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            3924757.09000000
            SEK
            377535.86000000
            EUR
            2020-12-16
            4759.46000000
          
        
        
          N
          N
          N
        
      
      
        HOLOGIC INC
        549300DYP6F5ZJL0LB74
        Hologic Inc
        436440AP6
        
          
        
        450000.00000000
        PA
        USD
        453375.00000000
        0.089991810000
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RJZ6
        
          
        
        450000.00000000
        PA
        USD
        473508.00000000
        0.093988071617
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2041-06-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
      
    
    
      2020-10-28
      GOLDMAN SACHS TRUST
      Peter Fortner
      Peter Fortner
      Vice President

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