NPORT-P
false
0000822977
XXXXXXXX
S000009308
C000202039
C000090762
C000025418
C000025414
C000161291
C000025416
C000025415
GOLDMAN SACHS TRUST
811-05349
0000822977
S2FHCT8U6D2VORP0J605
71 SOUTH WACKER DRIVE
C/O GOLDMAN SACHS & CO
CHICAGO
60606
312-655-4400
Goldman Sachs Global Core Fixed Income
S000009308
S7AVHSYYPK5PCOCQSV77
2021-03-31
2020-06-30
N
850922557.46
186022203.77
664900353.69
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
44704079.48000000
0.00000000
0.00000000
31789141.76000000
CLP
IDR
NOK
CHF
KRW
RUB
DKK
BRL
EUR
COP
INR
AUD
ILS
THB
USD
CAD
NZD
GBP
JPY
PLN
MYR
CZK
CNY
TWD
ZAR
SEK
MXN
TRY
SGD
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-18896.89000000
-0.00284206346
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1373295.47000000
USD
1838444.38000000
CAD
2020-09-16
-18896.89000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
1400000.00000000
PA
USD
1642634.00000000
0.247049650505
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
1448.99000000
0.000217925887
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
898853.02000000
USD
6392795.48000000
CNY
2020-09-16
1448.99000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
4289.05000000
0.000645066584
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
355567596.00000000
CLP
437675.52000000
USD
2020-09-16
4289.05000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANNR0
289092.60000000
PA
USD
322775.62000000
0.048544961392
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
8881.48000000
0.001335761058
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
343944.02000000
GBP
435256.00000000
USD
2020-09-16
8881.48000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-988.11000000
-0.00014861023
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
416723.41000000
USD
369401.26000000
EUR
2020-09-16
-988.11000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
15365.43000000
0.002310937257
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
33887837.89000000
RUB
488745.98000000
USD
2020-08-17
15365.43000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
11375.34000000
0.001710833801
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1275991.78000000
EUR
1447414.90000000
USD
2020-09-16
11375.34000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QCY9
378702.64000000
PA
USD
71376.06000000
0.010734850659
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Floating
6.06000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-2560.95000000
-0.00038516297
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3158059.45000000
TRY
455000.00000000
USD
2020-07-27
-2560.95000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
13781.65000000
0.002072739159
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1712944686.96000000
COP
469351.35000000
USD
2020-07-06
13781.65000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02434A SWAPTION JUL20 0.695 PUT
000000000
-3800000.00000000
NC
USD
-10823.54000000
-0.00162784392
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
3800000.00000000
OU
Notional Amount
N/A
-10823.54000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-07-17
0.00000000
N/A
0.00000000
N/A
3800000.00000000
USD
1.00000000
0.69500000
USD
2020-07-15
XXXX
19405.46000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214463 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214463 IRS EUR P F .00000 CCPVANILLA
000000000
33710000.00000000
OU
Notional Amount
-39244.18000000
-0.00590226487
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2025-05-18
27520.88000000
EUR
0.00000000
EUR
33710000.00000000
EUR
-70216.85000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
3400000.00000000
PA
USD
3895890.00000000
0.585935919326
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-8751.44000000
-0.00131620324
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
491480.75000000
USD
699323.06000000
AUD
2020-09-16
-8751.44000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-1957.15000000
-0.00029435237
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
456099.97000000
USD
32510669.03000000
RUB
2020-08-17
-1957.15000000
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAK6
200000.00000000
PA
USD
228242.00000000
0.034327248998
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.80000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
1750000.00000000
PA
2294545.63000000
0.345096166254
Long
DBT
NUSS
IT
N
1
2038-09-01
Fixed
2.95000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
000000000
150000.00000000
PA
168022.73000000
0.025270362553
Long
DBT
CORP
LU
N
2
2039-07-02
Fixed
1.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-1513.07000000
-0.00022756342
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3085165.57000000
USD
2530761314.00000000
CLP
2020-08-27
-1513.07000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022671
24000000.00000000
PA
USD
25251271.20000000
3.797752709840
Long
ABS-MBS
USGA
US
N
2
2050-07-21
Fixed
2.50000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XII Ltd
55818PAL4
925281.64000000
PA
USD
924532.16000000
0.139048228034
Long
ABS-CBDO
CORP
KY
N
2
2026-07-20
Floating
2.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
-2115.65000000
-0.00031819053
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3752870.40000000
SEK
356320.12000000
EUR
2020-09-16
-2115.65000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
11364.87000000
0.001709259129
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
455000.00000000
USD
2536352.00000000
BRL
2020-07-02
11364.87000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02336A SWAPTION AUG20 0.34 CALL
000000000
-4630000.00000000
NC
-36766.37000000
-0.00552960602
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
4630000.00000000
OU
Notional Amount
N/A
-36766.37000000
-0.01000000
DIR
US
London Interbank Offer Rate 6 Months
BP0006M Index
2030-08-13
0.00000000
N/A
0.00000000
N/A
4630000.00000000
GBP
1.00000000
0.34000000
GBP
2020-08-13
XXXX
-8900.27000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005870 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005870 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
20000.00000000
OU
Notional Amount
USD
208.27000000
0.000031323490
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Peruvian Government International Bond
Peruvian Government International Bond
Y
sell protection
2024-06-20
390.04000000
USD
0.00000000
USD
20000.00000000
USD
-181.77000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-4384.75000000
-0.00065945971
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
426049.90000000
EUR
383253.19000000
GBP
2020-09-16
-4384.75000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005868 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005868 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1130000.00000000
OU
Notional Amount
USD
5404.45000000
0.000812821044
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Saudi Government International Bond
Saudi Government International Bond
Y
sell protection
2024-06-20
4287.27000000
USD
0.00000000
USD
1130000.00000000
USD
1117.18000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-1452.06000000
-0.00021838761
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
473323.47000000
USD
683593.38000000
AUD
2020-09-16
-1452.06000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
1490.47000000
0.000224164416
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
898679.04000000
USD
6391854.67000000
CNY
2020-09-16
1490.47000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
15099.80000000
0.002270986910
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
29111079.00000000
RUB
421753.61000000
USD
2020-08-17
15099.80000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GXD4
793458.65000000
PA
USD
148318.85000000
0.022306929027
Long
ABS-MBS
USGA
US
N
2
2044-10-16
Floating
5.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-205.86000000
-0.00003096103
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
378505.84000000
USD
5511688490.33000000
IDR
2020-07-20
-205.86000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-2004.41000000
-0.00030146020
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6469164.04000000
CNY
909052.64000000
USD
2020-09-16
-2004.41000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-44497.38000000
-0.00669233814
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3364635.92000000
USD
2679208.62000000
GBP
2020-07-15
-44497.38000000
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FS0
50000.00000000
PA
USD
65337.00000000
0.009826585237
Long
DBT
CORP
US
N
2
2050-03-23
Fixed
4.70000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02265A SWAPTIONS OCT21 0.05 CALL
000000000
-1160000.00000000
NC
-40879.21000000
-0.00614817089
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
1160000.00000000
OU
Notional Amount
N/A
-40879.21000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-10-26
0.00000000
N/A
0.00000000
N/A
1160000.00000000
EUR
1.00000000
0.05000000
EUR
2021-10-22
XXXX
-8253.63000000
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AD9
900000.00000000
PA
USD
961605.00000000
0.144623926677
Long
DBT
CORP
CA
N
2
2025-05-15
Fixed
3.10000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-12945.35000000
-0.00194696091
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3194623.44000000
TRY
450867.75000000
USD
2020-07-20
-12945.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
1611.85000000
0.000242419783
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
455505.93000000
USD
2486061.18000000
BRL
2020-07-02
1611.85000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-5388.95000000
-0.00081048986
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
914908.64000000
USD
98177474.00000000
JPY
2020-07-22
-5388.95000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
13010.17000000
0.001956709742
N/A
DFE
TW
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
897549.20000000
USD
26746966.16000000
TWD
2020-07-06
13010.17000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1382.39000000
-0.00020790934
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
505117569.00000000
CLP
614087.37000000
USD
2020-08-27
-1382.39000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
8400000.00000000
PA
1214047.04000000
0.182590824814
Long
DBT
NUSS
CN
N
2
2029-05-23
Fixed
3.29000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-8480.57000000
-0.00127546480
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
456576.73000000
USD
2436996.56000000
BRL
2020-07-02
-8480.57000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
31113.41000000
0.004679409452
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
348979831.00000000
CLP
456014.21000000
USD
2020-07-03
31113.41000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-3041.86000000
-0.00045749110
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
34290452.25000000
INR
450049.05000000
USD
2020-07-15
-3041.86000000
N
N
N
JAB HOLDINGS BV
529900RRNKUM3INJGF98
JAB Holdings BV
000000000
1000000.00000000
PA
1089322.71000000
0.163832475641
Long
DBT
CORP
NL
N
2
2027-12-20
Fixed
1.00000000
N
N
N
N
N
N
AMERICAN WATER CAPITAL C
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp
03040WAX3
300000.00000000
PA
USD
339210.00000000
0.051016667101
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.45000000
N
N
N
N
N
N
Freddie Mac
S6XOOCT0IEG5ABCC6L87
Federal Home Loan Mortgage Corp
3134A4AA2
1160000.00000000
PA
USD
1824042.00000000
0.274333137270
Long
DBT
USGSE
US
N
2
2031-03-15
Fixed
6.75000000
N
N
N
N
N
N
UNITED PARCEL SERVICE
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312BW5
100000.00000000
PA
USD
144384.00000000
0.021715133583
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
5.30000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-13108.05000000
-0.00197143074
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1053833.08000000
USD
1507683.51000000
AUD
2020-09-16
-13108.05000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YEC4
1281737.22000000
PA
USD
187560.07000000
0.028208748718
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.86000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBE4
800000.00000000
PA
USD
842192.00000000
0.126664393442
Long
DBT
CORP
GB
N
2
2023-02-15
Fixed
4.61000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
3261.82000000
0.000490572757
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
861055.68000000
USD
1173214.20000000
CAD
2020-09-16
3261.82000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005913 CDS EUR R F 1.00000 2 CCPCORPORATE / Short: SS005913 CDS EUR P V 03MEVENT 1 CCPCORPORATE
000000000
1200000.00000000
OU
Notional Amount
-50001.35000000
-0.00752012684
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Unibail-Rodamco-Westfield SE
Unibail-Rodamco-Westfield SE
Y
sell protection
2024-06-20
18126.78000000
EUR
0.00000000
EUR
1200000.00000000
EUR
-70000.66000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B1T38
290145.57000000
PA
USD
37263.54000000
0.005604379632
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Floating
6.02000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-16929.20000000
-0.00254612588
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4798271.38000000
ILS
1371157.20000000
USD
2020-09-16
-16929.20000000
N
N
N
GE CAPITAL FUNDING LLC
549300XAGH9TOLX5XM67
GE Capital Funding LLC
36166NAB9
550000.00000000
PA
USD
571136.50000000
0.085898059285
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
4.40000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
000000000
250000.00000000
PA
330415.46000000
0.049693981687
Long
DBT
CORP
US
N
2
2025-05-21
Fixed
2.60000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
150000.00000000
PA
USD
166158.00000000
0.024989910003
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571903BB8
1500000.00000000
PA
USD
1540665.00000000
0.231713668288
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
4.65000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAM3
2443000.00000000
PA
USD
2622487.21000000
0.394418080159
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.46000000
N
N
N
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAK4
224000.00000000
PA
USD
231087.36000000
0.034755186806
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
2.30000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DW4
675000.00000000
PA
USD
931695.75000000
0.140125621054
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
5.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1901.80000000
0.000286027821
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
374263.37000000
GBP
465862.08000000
USD
2020-09-16
1901.80000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
7196.04000000
0.001082273450
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
97360956.00000000
JPY
909836.40000000
USD
2020-09-16
7196.04000000
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
11010000.00000000
OU
Notional Amount
USD
-2025.84000000
-0.00030468324
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2035-05-21
12970.67000000
USD
0.00000000
USD
11010000.00000000
USD
-14996.51000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
-2904.58000000
-0.00043684440
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
8414974.96000000
SEK
800602.71000000
EUR
2020-09-16
-2904.58000000
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBF5
300000.00000000
PA
USD
336795.00000000
0.050653454781
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.65000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
000000000
800000.00000000
PA
921871.84000000
0.138648119960
Long
DBT
CORP
LU
N
2
2031-07-02
Fixed
1.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
4491.48000000
0.000675511747
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
732445.97000000
AUD
510084.90000000
USD
2020-09-16
4491.48000000
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PBB8
1300000.00000000
PA
USD
1540617.00000000
0.231706449161
Long
DBT
CORP
NL
N
2
2028-06-21
Fixed
4.38000000
N
N
N
N
N
N
JAPAN (10 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Ten Year Bond
000000000
0.00000000
PA
0.00000000
0.000000
Long
DBT
NUSS
JP
N
1
2030-03-20
Fixed
0.10000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MQ1
1700000.00000000
PA
USD
1826820.00000000
0.274750944237
Long
DBT
CORP
US
N
2
2026-04-08
Fixed
3.11000000
N
N
N
N
N
N
Aviva PLC
YF0Y5B0IB8SM0ZFG9G81
Aviva PLC
000000000
450000.00000000
PA
571436.03000000
0.085943108140
Long
DBT
CORP
GB
N
2
2043-07-05
Fixed
6.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
4493.05000000
0.000675747873
N/A
DFE
TW
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
478866.46000000
USD
14159123.55000000
TWD
2020-07-20
4493.05000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
69.97000000
0.000010523381
N/A
DFE
KR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
450643.78000000
USD
540678667.00000000
KRW
2020-07-15
69.97000000
N
N
N
Bacardi Ltd
549300R32WTQNHNN5055
Bacardi Ltd
067316AF6
1200000.00000000
PA
USD
1357140.00000000
0.204111787949
Long
DBT
CORP
BM
N
2
2028-05-15
Fixed
4.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-3791.17000000
-0.00057018619
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
461972.27000000
USD
369601.47000000
GBP
2020-09-16
-3791.17000000
N
N
N
ARCHER-DANIELS-MIDLAND C
549300LO13MQ9HYSTR83
Archer-Daniels-Midland Co
039482AB0
400000.00000000
PA
USD
453068.00000000
0.068140736801
Long
DBT
CORP
US
N
2
2030-03-27
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-688.63000000
-0.00010356890
N/A
DFE
PL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
397628.28000000
EUR
1767304.22000000
PLN
2020-09-16
-688.63000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
1110000.00000000
PA
2051878.04000000
0.308599330503
Long
DBT
NUSS
ES
N
2
2066-07-30
Fixed
3.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FEG0
238932.92000000
PA
USD
42635.84000000
0.006412365366
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Floating
6.06000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296PBX9
1887.10000000
PA
USD
2164.70000000
0.000325567581
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
AMEREN CORP
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608AH5
150000.00000000
PA
USD
159163.50000000
0.023937947861
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD EUR
000000000
1.00000000
NC
N/A
1757.35000000
0.000264302762
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
372490.15000000
EUR
4050763.33000000
NOK
2020-09-16
1757.35000000
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
12964000000.00000000
PA
986933.85000000
0.148433347120
Long
DBT
NUSS
ID
N
2
2031-05-15
Fixed
8.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-992.79000000
-0.00014931410
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1795639.80000000
PLN
402499.72000000
EUR
2020-09-16
-992.79000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR214241 IRS BRL R F 6.37230 CCPNDFPREDISWAP / Short: SR214241 IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
000000000
1275000.00000000
OU
Notional Amount
13689.38000000
0.002058861891
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
1275000.00000000
BRL
13689.38000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
-2613.41000000
-0.00039305288
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4577349.43000000
SEK
434571.83000000
EUR
2020-09-16
-2613.41000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-6699.56000000
-0.00100760361
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
877617.76000000
USD
93939327.00000000
JPY
2020-09-16
-6699.56000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005898 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005898 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1580000.00000000
OU
Notional Amount
USD
-912.45000000
-0.00013723108
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Russian Foreign Bond - Eurobond
Russian Foreign Bond - Eurobond
Y
sell protection
2024-12-20
8415.34000000
USD
0.00000000
USD
1580000.00000000
USD
-9327.79000000
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
810000.00000000
OU
Notional Amount
294.45000000
0.000044284831
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2024-01-02
0.00000000
BRL
-1812.58000000
BRL
810000.00000000
BRL
635.40000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A3B75
460100.46000000
PA
USD
78300.63000000
0.011776295435
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
5.77000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
300000.00000000
PA
USD
365202.00000000
0.054925824294
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
UK TSY 1.75% 2057
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1020000.00000000
PA
1750161.39000000
0.263221606107
Long
DBT
NUSS
GB
N
1
2057-07-22
Fixed
1.75000000
N
N
N
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
76900000.00000000
PA
2635498.79000000
0.396375001964
Long
DBT
NUSS
TH
N
2
2023-12-17
Fixed
2.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD EUR
000000000
1.00000000
NC
N/A
2026.20000000
0.000304737392
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
798429.82000000
EUR
1222467.91000000
CAD
2020-09-16
2026.20000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005871 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005871 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
110000.00000000
OU
Notional Amount
USD
-318.92000000
-0.00004796508
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Indonesia Government International Bond
Indonesia Government International Bond
Y
sell protection
2024-06-20
0.00000000
USD
-198.54000000
USD
110000.00000000
USD
-120.38000000
N
N
N
Scholar Funding Trust
N/A
Scholar Funding Trust 2010-A
80705RAA8
602688.39000000
PA
USD
553330.50000000
0.083220064018
Long
ABS-O
CORP
US
N
2
2041-10-28
Floating
1.64000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02267A SWAPTIONS OCT21 0.05 PUT
000000000
-1160000.00000000
NC
-22592.91000000
-0.00339793923
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
1160000.00000000
OU
Notional Amount
N/A
-22592.91000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-10-26
0.00000000
N/A
0.00000000
N/A
1160000.00000000
EUR
1.00000000
0.05000000
EUR
2021-10-22
XXXX
11914.92000000
N
N
N
Erste Group Bank AG
PQOH26KWDF7CG10L6792
Erste Group Bank AG
000000000
200000.00000000
PA
233690.16000000
0.035146643959
Long
DBT
CORP
AT
N
2
2024-04-15
Fixed
6.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31371K7J4
330759.73000000
PA
USD
344051.10000000
0.051744761164
Long
ABS-MBS
USGSE
US
N
2
2023-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376VHU4
552857.02000000
PA
USD
112533.49000000
0.016924865414
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Floating
6.06000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3052.32000000
-0.00045906427
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
474340.87000000
USD
418763.06000000
EUR
2020-09-16
-3052.32000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
26382.52000000
0.003967890805
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
353374169.00000000
CLP
456633.65000000
USD
2020-07-03
26382.52000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-6363.70000000
-0.00095709078
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
455868.73000000
USD
3147504.62000000
TRY
2020-09-16
-6363.70000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
23288.10000000
0.003502494752
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1866687.38000000
BRL
366520.20000000
USD
2020-07-02
23288.10000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-5265.78000000
-0.00079196528
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3236422.75000000
TRY
456937.92000000
USD
2020-09-16
-5265.78000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
3839.79000000
0.000577498564
N/A
DFE
IN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
534746.00000000
USD
40806467.24000000
INR
2020-07-28
3839.79000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-696.32000000
-0.00010472546
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
26341.20000000
EUR
28926.35000000
USD
2020-08-12
-696.32000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
6343.44000000
0.000954043709
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
315429.84000000
GBP
397370.00000000
USD
2020-09-16
6343.44000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-1289.62000000
-0.00019395688
N/A
DFE
PL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
396525.53000000
EUR
1760018.22000000
PLN
2020-09-16
-1289.62000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1392.53000000
0.000209434390
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1220020.26000000
USD
1085285.34000000
EUR
2020-09-16
1392.53000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
5260.78000000
0.000791213295
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
99050700.00000000
JPY
923566.88000000
USD
2020-09-16
5260.78000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-2826.85000000
-0.00042515393
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
449818.62000000
USD
4301166.99000000
NOK
2020-09-16
-2826.85000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-57844.34000000
-0.00869970059
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
11664475.86000000
BRL
2086929.64000000
USD
2020-07-02
-57844.34000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-1181.31000000
-0.00017766722
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
588712603.00000000
KRW
489573.89000000
USD
2020-07-15
-1181.31000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-2955.37000000
-0.00044448314
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
421801.09000000
EUR
380548.94000000
GBP
2020-09-16
-2955.37000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-2918.88000000
-0.00043899510
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
26553687.25000000
TWD
905620.11000000
USD
2020-08-06
-2918.88000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
7472.24000000
0.001123813509
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2409966.75000000
BRL
450598.36000000
USD
2020-07-02
7472.24000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-112549.33000000
-0.01692724772
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3116782.75000000
USD
28908159.97000000
NOK
2020-09-16
-112549.33000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
771.15000000
0.000115979784
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
32576133.90000000
RUB
455828.45000000
USD
2020-08-17
771.15000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-142093.20000000
-0.02137060075
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
21328803338.00000000
IDR
1319035.46000000
USD
2020-07-28
-142093.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-1379.46000000
-0.00020746868
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1694537991.52000000
COP
449294.85000000
USD
2020-07-06
-1379.46000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-5378.33000000
-0.00080889263
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3145749.35000000
TRY
443876.02000000
USD
2020-09-16
-5378.33000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
6692.20000000
0.001006496682
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2238035.36000000
USD
15939189.36000000
CNY
2020-09-16
6692.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
7300.16000000
0.001097932939
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
367857227.00000000
CLP
455522.54000000
USD
2020-08-27
7300.16000000
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644MAA9
300000.00000000
PA
USD
308709.00000000
0.046429363180
Long
DBT
CORP
US
N
2
2023-02-03
Fixed
1.80000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBE2
500000.00000000
PA
USD
554230.00000000
0.083355347447
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEB4
1090050.12000000
PA
USD
1188173.82000000
0.178699531953
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
5.00000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBC2
300000.00000000
PA
USD
327729.00000000
0.049289942196
Long
DBT
CORP
US
N
2
2023-11-14
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UYN1
203146.46000000
PA
USD
39899.20000000
0.006000778880
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Floating
5.91000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296UXF3
614.19000000
PA
USD
707.26000000
0.000106370826
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBR9
550000.00000000
PA
USD
642158.00000000
0.096579584660
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAR6
1150000.00000000
PA
USD
1069247.00000000
0.160813119449
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.25000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AW1
25000.00000000
PA
USD
31464.00000000
0.004732137654
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AUP76
148445.91000000
PA
USD
165741.78000000
0.024927311149
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
2020.30000000
0.000303850041
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
363858.42000000
GBP
453081.96000000
USD
2020-09-16
2020.30000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02404A SWAPTION SEP20 0.15 PUT
000000000
-7090000.00000000
NC
-5731.26000000
-0.00086197277
N/A
DIR
DE
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
7090000.00000000
OU
Notional Amount
N/A
-5731.26000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2025-09-30
0.00000000
N/A
0.00000000
N/A
7090000.00000000
EUR
1.00000000
-0.15000000
EUR
2020-09-28
XXXX
7539.16000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAK9
1100000.00000000
PA
USD
1258455.00000000
0.189269714328
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBQ1
1350000.00000000
PA
USD
1432080.00000000
0.215382649753
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02440A SWAPTION JUL20 0.152 PUT
000000000
-3500000.00000000
NC
-10799.53000000
-0.00162423285
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
3500000.00000000
OU
Notional Amount
N/A
-10799.53000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-07-22
0.00000000
N/A
0.00000000
N/A
3500000.00000000
EUR
1.00000000
-0.15200000
EUR
2020-07-20
XXXX
7042.05000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRK75
83082.55000000
PA
USD
90842.58000000
0.013662585603
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS02086A SWAPTION JUL21 0.38 CALL
000000000
-1860000.00000000
NC
-116293.15000000
-0.01749031254
N/A
DIR
DE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
1860000.00000000
OU
Notional Amount
N/A
-116293.15000000
-0.02000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-07-06
0.00000000
N/A
0.00000000
N/A
1860000.00000000
EUR
1.00000000
0.38000000
EUR
2021-07-02
XXXX
-43966.21000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02429A SWAPTION DEC20 0.053 PUT
000000000
-680000.00000000
NC
-6545.24000000
-0.00098439412
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
680000.00000000
OU
Notional Amount
N/A
-6545.24000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
680000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
4053.31000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2S1
2050000.00000000
PA
USD
2117732.00000000
0.318503665736
Long
DBT
CORP
US
N
2
2028-06-02
Fixed
2.39000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
6092983.46000000
PA
USD
6520023.00000000
0.980601523794
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BL3
100000.00000000
PA
USD
102792.00000000
0.015459760162
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
2.40000000
N
N
N
N
N
N
Macquarie Group Ltd
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
55608JAK4
300000.00000000
PA
USD
322077.00000000
0.048439890009
Long
DBT
CORP
AU
N
2
2028-11-28
Fixed
3.76000000
N
N
N
N
N
N
Banco de Sabadell SA
SI5RG2M0WQQLZCXKRM20
Banco de Sabadell SA
000000000
400000.00000000
PA
439548.98000000
0.066107496794
Long
DBT
CORP
ES
N
2
2023-03-05
Fixed
0.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128KRY73
4712.88000000
PA
USD
5427.02000000
0.000816215538
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
Republic of Austria
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
280000.00000000
PA
614374.50000000
0.092400988597
Long
DBT
NUSS
AT
N
2
2117-09-20
Fixed
2.10000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02439A SWAPTION JUL20 0.152 CALL
000000000
-3500000.00000000
NC
-18016.78000000
-0.00270969625
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
3500000.00000000
OU
Notional Amount
N/A
-18016.78000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-07-22
0.00000000
N/A
0.00000000
N/A
3500000.00000000
EUR
1.00000000
-0.15200000
EUR
2020-07-20
XXXX
-175.20000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
3438591.81000000
PA
USD
3734693.76000000
0.561692250466
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
10700000.00000000
PA
1533830.28000000
0.230685736815
Long
DBT
NUSS
CN
N
2
2029-09-20
Fixed
3.45000000
N
N
N
N
N
N
CCTS EU
815600DE60799F5A9309
Italy Certificati di Credito del Tesoro/ CCTS-eu
000000000
4320000.00000000
PA
5007908.54000000
0.753181813215
Long
DBT
NUSS
IT
N
1
2025-01-15
Floating
1.53000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDG1
2200000.00000000
PA
USD
2437358.00000000
0.366574929081
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.38000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AF5
2800000.00000000
PA
USD
3085292.00000000
0.464023215340
Long
DBT
CORP
CH
N
2
2029-01-12
Fixed
3.87000000
N
N
N
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
18450000.00000000
OU
Notional Amount
USD
206154.77000000
0.031005363263
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2023-06-20
220188.86000000
USD
0.00000000
USD
18450000.00000000
USD
-14034.09000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE SEP20 XEUR 20200908
000000000
62.00000000
NC
23452.42000000
0.003527208230
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bobl (FGBM)
OEU0 Comdty
2020-09-08
8342305.56000000
EUR
23452.42000000
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807DD6
576000.00000000
PA
USD
598855.68000000
0.090066981717
Long
DBT
US
N
2
2023-06-01
Fixed
2.75000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR213590 IRS BRL R F 5.44000 2 CCPNDFPREDISWAP / Short: SR213590 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
1030000.00000000
OU
Notional Amount
8260.81000000
0.001242413235
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2022-01-03
7833.98000000
BRL
0.00000000
BRL
1030000.00000000
BRL
16141.92000000
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
1247381352.00000000
PA
11534941.72000000
1.734837657400
Long
DBT
NUSS
JP
N
1
2029-03-10
Fixed
0.10000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP20 XCBT 20200921
000000000
262.00000000
NC
USD
163432.44000000
0.024579989932
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYU0 Comdty
2020-09-21
36291411.31000000
USD
163432.44000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
30511.66000000
0.004588907169
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2491848.67000000
BRL
488693.60000000
USD
2020-07-02
30511.66000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AER5
26655.14000000
PA
USD
29968.11000000
0.004507158077
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.50000000
N
N
N
N
N
N
IBM CORP
VGRQXHF3J8VDLUA7XE92
International Business Machines Corp
459200KL4
1300000.00000000
PA
USD
1332708.00000000
0.200437252379
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.95000000
N
N
N
N
N
N
Apidos CLO
635400C39IXGGYE6DH05
Apidos CLO XXIII
03765YAU8
2100000.00000000
PA
USD
2043915.30000000
0.307401746540
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
2.82000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02208A SWAPTION OCT20 0.395 CALL
000000000
-9900000.00000000
NC
USD
-45099.45000000
-0.00678288855
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
9900000.00000000
OU
Notional Amount
N/A
-45099.45000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-10-06
0.00000000
N/A
0.00000000
N/A
9900000.00000000
USD
1.00000000
0.39500000
USD
2020-10-02
XXXX
44495.55000000
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAG9
600000.00000000
PA
USD
630480.00000000
0.094823231255
Long
DBT
CORP
NL
N
2
2025-04-24
Fixed
4.89000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAJ2
500000.00000000
PA
USD
546790.00000000
0.082236382785
Long
DBT
CORP
US
N
2
2050-06-01
Fixed
3.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AYTL7
598829.21000000
PA
USD
111585.24000000
0.016782250059
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
5.97000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BM3
1700000.00000000
PA
USD
1837428.00000000
0.276346371272
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NYHT5
14620.55000000
PA
USD
15986.13000000
0.002404289591
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EF6
1000000.00000000
PA
USD
1103640.00000000
0.165985774240
Long
DBT
CORP
AU
N
2
2034-07-24
Fixed
4.11000000
N
N
N
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
2890000.00000000
PA
444715.24000000
0.066884494425
Long
DBT
NUSS
CN
N
2
2048-10-22
Fixed
4.08000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
970000.00000000
PA
USD
1098828.13000000
0.165262076324
Long
DBT
NUSS
ID
N
2
2024-01-15
Fixed
5.88000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust 2004-10
81744FEW3
52517.99000000
PA
USD
49526.83000000
0.007448759761
Long
ABS-MBS
CORP
US
N
2
2034-11-20
Floating
1.79000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBB3
1500000.00000000
PA
USD
1731795.00000000
0.260459329039
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7UE3
2905282.82000000
PA
USD
3167900.92000000
0.476447471026
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE SEP20 XEUR 20200908
000000000
92.00000000
NC
234208.14000000
0.035224547362
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-OAT
OATU0 Comdty
2020-09-08
15189576.96000000
EUR
234208.14000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040673
-4000000.00000000
PA
USD
-4239977.20000000
-0.63768610987
Short
ABS-MBS
USGA
US
N
2
2050-07-21
Fixed
4.00000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
000000000
500000.00000000
PA
563367.62000000
0.084729631571
Long
DBT
CORP
JP
N
2
2032-07-09
Fixed
1.38000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAL7
1400000.00000000
PA
USD
1636978.00000000
0.246198996724
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
4.38000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
890000.00000000
PA
1651548.97000000
0.248390448408
Long
DBT
NUSS
FR
N
1
2045-05-25
Fixed
3.25000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAD2
700000.00000000
PA
USD
766241.00000000
0.115241478779
Long
DBT
CORP
US
N
2
2024-02-06
Fixed
3.79000000
N
N
N
N
N
N
DP World Crescent Ltd
21380096JRTWB8TL9236
DP World Crescent Ltd
000000000
200000.00000000
PA
USD
210375.00000000
0.031640079424
Long
DBT
CORP
KY
N
2
2028-09-26
Fixed
4.85000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAD2
1200000.00000000
PA
USD
1442832.00000000
0.216999734169
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
4.73000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAZ8
450000.00000000
PA
USD
480937.50000000
0.072332267133
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.22000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
250000.00000000
PA
USD
244420.00000000
0.036760395545
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214056 IRS JPY R F .50000 2 CCPVANILLA / Short: SR214056 IRS JPY P V 06MLIBOR 1 CCPVANILLA
000000000
401370000.00000000
OU
Notional Amount
3845.50000000
0.000578357340
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2050-06-20
4351278.00000000
JPY
0.00000000
JPY
401370000.00000000
JPY
-36693.21000000
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAC4
600000.00000000
PA
USD
689976.00000000
0.103771338994
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.49000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
26998.05000000
0.004060465579
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
417423.59000000
USD
3054747.57000000
TRY
2020-07-13
26998.05000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-4513.71000000
-0.00067885510
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
426257.46000000
EUR
383337.60000000
GBP
2020-09-16
-4513.71000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-2983.17000000
-0.00044866422
N/A
DFE
IN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
585617.74000000
USD
44143865.24000000
INR
2020-07-28
-2983.17000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WN5M7
81843.17000000
PA
USD
89487.44000000
0.013458774612
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 TWD
000000000
1.00000000
NC
-6403.90000000
-0.00096313680
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
26455560.16000000
TWD
896024.12000000
USD
2020-07-15
-6403.90000000
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
350000.00000000
PA
USD
467918.50000000
0.070374229371
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
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
490000.00000000
OU
Notional Amount
-30507.71000000
-0.00458831309
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-06-20
0.00000000
EUR
-25324.89000000
EUR
490000.00000000
EUR
-2178.02000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02194A SWAPTION SEP21 0.395 CALL
000000000
-9900000.00000000
NC
USD
-43794.63000000
-0.00658664561
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
9900000.00000000
OU
Notional Amount
N/A
-43794.63000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
9900000.00000000
USD
1.00000000
0.39500000
USD
2020-09-30
XXXX
59165.37000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-13948.71000000
-0.00209786472
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2653412.69000000
TRY
371288.42000000
USD
2020-07-20
-13948.71000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1154.92000000
0.000173698208
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3180910.25000000
TRY
455430.71000000
USD
2020-09-16
1154.92000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02449A SWAPTION JUL20 0.674 CALL
000000000
-3800000.00000000
NC
USD
-29008.82000000
-0.00436288232
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
3800000.00000000
OU
Notional Amount
N/A
-29008.82000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-07-24
0.00000000
N/A
0.00000000
N/A
3800000.00000000
USD
1.00000000
0.67400000
USD
2020-07-22
XXXX
-1268.82000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RJF7
1019782.09000000
PA
USD
1105619.60000000
0.166283503063
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
4.00000000
N
N
N
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
428350000.00000000
PA
3981205.30000000
0.598767210440
Long
DBT
NUSS
JP
N
1
2021-11-01
Fixed
0.10000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-7430.76000000
-0.00111757498
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
910048.15000000
USD
4908936.23000000
BRL
2020-07-02
-7430.76000000
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAJ3
200000.00000000
PA
USD
200828.00000000
0.030204225172
Long
DBT
CORP
NL
N
2
2048-04-24
Fixed
5.68000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
OPS02214A SWAPTION OCT20 0.35 CALL
000000000
-3860000.00000000
NC
-49840.02000000
-0.00749586306
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
3860000.00000000
OU
Notional Amount
N/A
-49840.02000000
-0.01000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
3860000.00000000
GBP
1.00000000
0.35000000
GBP
2020-10-02
XXXX
-6768.54000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-1820.18000000
-0.00027375229
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1799242.98000000
USD
12763002.05000000
CNY
2020-09-16
-1820.18000000
N
N
N
EAST OHIO GAS CO/THE
BC95Y6MXLT75BGO7UM71
East Ohio Gas Co/The
27409LAE3
200000.00000000
PA
USD
199276.00000000
0.029970806737
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214499 IRS NOK R F .75000 2 CCPVANILLA / Short: SR214499 IRS NOK P V 06MNIBOR 1 CCPVANILLA
000000000
34030000.00000000
OU
Notional Amount
-56416.56000000
-0.00848496465
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Norwegian Interbank Offer Rate 6 Months
NIBOR6M Index
Y
2030-09-16
0.00000000
NOK
-343513.11000000
NOK
34030000.00000000
NOK
15277.46000000
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
2641660000.00000000
PA
2192699.91000000
0.329778725162
Long
DBT
NUSS
KR
N
2
2029-12-10
Fixed
1.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMWQ0
94021.52000000
PA
USD
102803.27000000
0.015461455153
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 CHF / SOLD USD
000000000
1.00000000
NC
-97.21000000
-0.00001462023
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
425434.21000000
USD
402056.60000000
CHF
2020-09-16
-97.21000000
N
N
N
Republic of Austria
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
450000.00000000
PA
768837.72000000
0.115632021510
Long
DBT
NUSS
AT
N
2
2086-11-02
Fixed
1.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-16983.33000000
-0.00255426695
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
916327.69000000
USD
1220759.24000000
CAD
2020-09-16
-16983.33000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP20 XCBT 20200921
000000000
-305.00000000
NC
USD
-402090.30000000
-0.06047376840
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYU0 Comdty
2020-09-21
-47606815.95000000
USD
-402090.30000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCD2
970158.49000000
PA
USD
1058854.16000000
0.159250052150
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
5.00000000
N
N
N
N
N
N
VENTAS REALTY LP/CAP CRP
N/A
Ventas Realty LP / Ventas Capital Corp
92276MAZ8
200000.00000000
PA
USD
205694.00000000
0.030936064157
Long
DBT
US
N
2
2022-08-15
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
1940.83000000
0.000291897874
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
474686.37000000
USD
690483.03000000
AUD
2020-09-16
1940.83000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPA4
2191061.20000000
PA
USD
2328585.79000000
0.350215754447
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR213687 IRS JPY R F .50000 2 CCPVANILLA / Short: SR213687 IRS JPY P V 06MLIBOR 1 CCPVANILLA
000000000
328740000.00000000
OU
Notional Amount
22397.85000000
0.003368602509
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2040-06-20
3989947.00000000
JPY
0.00000000
JPY
328740000.00000000
JPY
1563.06000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-920.19000000
-0.00013839517
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
29906032.92000000
INR
393795.78000000
USD
2020-07-28
-920.19000000
N
N
N
DIAGEO CAPITAL PLC
213800L23DJLALFC4O95
Diageo Capital PLC
25243YBD0
1950000.00000000
PA
USD
2016280.50000000
0.303245514731
Long
DBT
CORP
GB
N
2
2030-04-29
Fixed
2.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W4AP6
20141.11000000
PA
USD
22022.32000000
0.003312123369
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Catamaran CLO Ltd
549300MB476AHX5W1918
Catamaran CLO 2013-1 Ltd
14889EAL0
3532008.26000000
PA
USD
3473239.17000000
0.522369878542
Long
ABS-CBDO
CORP
KY
N
2
2028-01-27
Floating
1.84000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HXN9
3738.03000000
PA
USD
4288.06000000
0.000644917689
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FY45
167090.56000000
PA
USD
34423.04000000
0.005177172761
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Floating
6.01000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDS0
650000.00000000
PA
USD
904702.50000000
0.136065877387
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
5.01000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MS7
1600000.00000000
PA
USD
1652928.00000000
0.248597852419
Long
DBT
CORP
US
N
2
2031-06-03
Fixed
2.57000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G6S8
300000.00000000
PA
USD
313743.00000000
0.047186469109
Long
DBT
CORP
US
N
2
2023-01-09
Fixed
3.10000000
N
N
N
N
N
N
ECMC Group Student Loan Trust
N/A
ECMC Group Student Loan Trust
26828WAA2
5085878.62000000
PA
USD
4984526.21000000
0.749665146414
Long
ABS-O
CORP
US
N
2
2066-12-27
Floating
1.38000000
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
13560000.00000000
OU
Notional Amount
-194832.95000000
-0.02930257878
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2030-06-18
0.00000000
EUR
-141978.76000000
EUR
13560000.00000000
EUR
294277.42000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-156641.69000000
-0.02355867148
N/A
DFE
MX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3253196.51000000
USD
71914182.81000000
MXN
2020-09-17
-156641.69000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379M4U5
274471.79000000
PA
USD
44711.78000000
0.006724583578
Long
ABS-MBS
USGA
US
N
2
2045-09-16
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-184.53000000
-0.00002775303
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1690045043.02000000
COP
449294.85000000
USD
2020-07-06
-184.53000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-1276.08000000
-0.00019192048
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
34691774.16000000
INR
456604.69000000
USD
2020-07-28
-1276.08000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-12801.84000000
-0.00192537722
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
420351.67000000
USD
29175222.25000000
RUB
2020-08-17
-12801.84000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-1991.42000000
-0.00029950653
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
473862.83000000
USD
683593.38000000
AUD
2020-09-16
-1991.42000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
875.52000000
0.000131676873
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
367882.67000000
EUR
414901.75000000
USD
2020-09-16
875.52000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-35812.59000000
-0.00538615896
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2962326.64000000
USD
4239599.16000000
AUD
2020-09-16
-35812.59000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
121833.39000000
0.018323556202
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4552061.06000000
GBP
5764853.03000000
USD
2020-09-16
121833.39000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
3106.19000000
0.000467166242
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
397893.42000000
EUR
4197656.21000000
SEK
2020-09-16
3106.19000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-31942.39000000
-0.00480408678
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2523636.35000000
USD
2215675.22000000
EUR
2020-08-12
-31942.39000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
510.49000000
0.000076776918
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
369253.55000000
USD
2625592.14000000
CNY
2020-09-16
510.49000000
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833DQ0
400000.00000000
PA
USD
437820.00000000
0.065847460836
Long
DBT
CORP
US
N
2
2049-09-11
Fixed
2.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
10207.35000000
0.001535169885
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
390256.08000000
USD
5834601532.11000000
IDR
2020-07-20
10207.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
4208.26000000
0.000632915891
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
415775.72000000
EUR
4395269.08000000
SEK
2020-09-16
4208.26000000
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
750000.00000000
PA
USD
859125.00000000
0.129211090839
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 II Pool
36179RXE4
742853.62000000
PA
USD
802595.69000000
0.120709168756
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 USD / SOLD TRY
000000000
1.00000000
NC
-22687.54000000
-0.00341217144
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3183306.63000000
TRY
440437.58000000
USD
2020-07-13
-22687.54000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
840236.47000000
0.126370284710
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
10855542485.00000000
JPY
101406376.70000000
USD
2020-07-22
840236.47000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-13642.06000000
-0.00205174503
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
457552.43000000
USD
31778160.14000000
RUB
2020-08-17
-13642.06000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-10419.77000000
-0.00156711753
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
920180.19000000
USD
808366.88000000
EUR
2020-09-16
-10419.77000000
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
6480000.00000000
OU
Notional Amount
USD
-36959.98000000
-0.00555872467
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-04-10
233.28000000
USD
0.00000000
USD
6480000.00000000
USD
-37193.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-10707.63000000
-0.00161041123
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
744803.69000000
USD
3992423.36000000
BRL
2020-07-02
-10707.63000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-18146.83000000
-0.00272925557
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
478528.89000000
USD
4430014.70000000
NOK
2020-09-16
-18146.83000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DF9
250000.00000000
PA
USD
215385.00000000
0.032393575789
Long
DBT
CORP
US
N
2
2036-09-15
Fixed
6.45000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
45011.70000000
0.006769691089
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4701673.70000000
CAD
3508777.18000000
USD
2020-09-16
45011.70000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WVB1
363732.02000000
PA
USD
54455.38000000
0.008190006171
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
5.91000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DT9
210000.00000000
PA
USD
211312.50000000
0.031781077995
Long
DBT
NUSS
CO
N
2
2051-05-15
Fixed
4.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
2164.50000000
0.000325537501
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
496947.81000000
CAD
368270.44000000
USD
2020-09-16
2164.50000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
3271.35000000
0.000492006055
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
303625.21000000
USD
2148937.81000000
TRY
2020-09-16
3271.35000000
N
N
N
Nelnet Student Loan Trust
N/A
Nelnet Student Loan Trust 2011-1
64032TAA2
179384.73000000
PA
USD
172221.31000000
0.025901822588
Long
ABS-O
CORP
US
N
2
2048-02-25
Floating
1.03000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
27359.16000000
0.004114775973
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
63455316.86000000
RUB
913768.99000000
USD
2020-08-17
27359.16000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214652 IRS EUR R F .00000 CCPVANILLA / Short: SR214652 IRS EUR P V 06MLIBOR CCPVANILLA
000000000
1360000.00000000
OU
Notional Amount
14872.09000000
0.002236739673
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2030-12-15
9642.11000000
EUR
0.00000000
EUR
1360000.00000000
EUR
4119.86000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02413A SWAPTION JUL20 0.86 PUT
000000000
-3800000.00000000
NC
USD
-281.58000000
-0.00004234920
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3800000.00000000
OU
Notional Amount
N/A
-281.58000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-07-10
0.00000000
N/A
0.00000000
N/A
3800000.00000000
USD
1.00000000
0.86000000
USD
2020-07-08
XXXX
30878.42000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-3962.33000000
-0.00059592839
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
453838.17000000
USD
369492346.00000000
CLP
2020-07-03
-3962.33000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-10128.55000000
-0.00152331848
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
456196.64000000
USD
31932624.31000000
RUB
2020-08-17
-10128.55000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
4620.75000000
0.000694953758
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4282681.97000000
NOK
449691.50000000
USD
2020-09-16
4620.75000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-56151.37000000
-0.00844508048
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
912714.33000000
USD
703512904.00000000
CLP
2020-07-03
-56151.37000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
10242.90000000
0.001540516551
N/A
DFE
TW
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
454583.30000000
USD
13616224.50000000
TWD
2020-07-20
10242.90000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-1158.25000000
-0.00017419903
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
474737.55000000
USD
4408716.72000000
SEK
2020-09-16
-1158.25000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02421A SWAPTION DEC20 0.053 PUT
000000000
-1320000.00000000
NC
-12705.48000000
-0.00191088483
N/A
DIR
DE
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
1320000.00000000
OU
Notional Amount
N/A
-12705.48000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1320000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
7812.38000000
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAA8
500000.00000000
PA
USD
546250.00000000
0.082155167607
Long
DBT
NUSS
AE
N
2
2027-10-11
Fixed
3.13000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
3275000.00000000
PA
USD
3529402.00000000
0.530816682592
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214413 IRS EUR R V 12MLIBOR CCPVANILLA / Short: BR214413 IRS EUR P F .13050 CCPVANILLA
000000000
4390000.00000000
OU
Notional Amount
-34041.29000000
-0.00511975814
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 12 Months
BP00012M Index
Y
2027-04-28
0.00000000
EUR
-3739.97000000
EUR
4390000.00000000
EUR
24630.87000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MNK6
663948.64000000
PA
USD
74683.86000000
0.011232338738
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
4.00000000
N
N
N
N
N
N
Tryon Park CLO LTD
549300XSFFA9X5E6Q356
Tryon Park CLO Ltd
89852TAM0
3700000.00000000
PA
USD
3633866.20000000
0.546527939086
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
2.11000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABMY2
20055.09000000
PA
USD
22391.77000000
0.003367688086
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAB6
600000.00000000
PA
USD
731250.00000000
0.109978885699
Long
DBT
NUSS
AE
N
2
2047-10-11
Fixed
4.13000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBU2
1350000.00000000
PA
USD
1466532.00000000
0.220564178054
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MQHG1
19968.60000000
PA
USD
21833.70000000
0.003283755209
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214484 IRS CHF R V 06MLIBOR CCPVANILLA / Short: BR214484 IRS CHF P F .00000 CCPVANILLA
000000000
3810000.00000000
OU
Notional Amount
8834.44000000
0.001328686313
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2030-09-17
0.00000000
CHF
-4764.96000000
CHF
3810000.00000000
CHF
13773.76000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
10827.00000000
0.001628364301
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
347018392.00000000
CLP
433339.65000000
USD
2020-07-03
10827.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-735.12000000
-0.00011056092
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
34633008.84000000
INR
456370.03000000
USD
2020-07-28
-735.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
10460.25000000
0.001573205660
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
31501209.51000000
RUB
450501.89000000
USD
2020-08-17
10460.25000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288EK97
2361.04000000
PA
USD
2709.31000000
0.000407476095
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378W2X0
119238.02000000
PA
USD
24261.59000000
0.003648906165
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Floating
5.91000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AWRQ8
134107.72000000
PA
USD
149733.00000000
0.022519615032
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.50000000
N
N
N
N
N
N
Harben Finance
213800J7WLPUU61CJY65
Harben Finance 2017-1 PLC
000000000
777152.34000000
PA
959546.54000000
0.144314337430
Long
ABS-MBS
CORP
GB
N
2
2056-08-20
Floating
1.06000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
000000000
300000.00000000
PA
378287.92000000
0.056893926721
Long
DBT
CORP
LU
N
2
2039-03-07
Fixed
2.25000000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
Truist Bank
89788KAA4
900000.00000000
PA
USD
908766.00000000
0.136677021595
Long
DBT
CORP
US
N
2
2030-03-11
Fixed
2.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3644.70000000
-0.00054815732
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
466612.19000000
USD
411369.39000000
EUR
2020-09-16
-3644.70000000
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AR0
500000.00000000
PA
USD
559610.00000000
0.084164491249
Long
DBT
US
N
2
2031-08-15
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXW0
1109370.14000000
PA
USD
1197349.63000000
0.180079559794
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MJGD5
20387.58000000
PA
USD
22272.70000000
0.003349780140
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214540 IRS CHF R F .00000 CCPVANILLA / Short: SR214540 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
1050000.00000000
OU
Notional Amount
-24503.14000000
-0.00368523491
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2030-09-16
0.00000000
CHF
-23682.56000000
CHF
1050000.00000000
CHF
585.63000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214462 IRS AUD R F .55300 2 CCPVANILLA / Short: SR214462 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
45750000.00000000
OU
Notional Amount
8849.66000000
0.001330975378
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2025-05-16
0.00000000
AUD
-39794.06000000
AUD
45750000.00000000
AUD
36897.68000000
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
Stryker Corp
863667AY7
1700000.00000000
PA
USD
1709350.00000000
0.257083635241
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214524 IRS USD R F .75000 2 CCPVANILLA / Short: SR214524 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
6620000.00000000
OU
Notional Amount
USD
60465.76000000
0.009093958164
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-09-16
55111.34000000
USD
0.00000000
USD
6620000.00000000
USD
5354.42000000
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BU5
150000.00000000
PA
USD
216270.00000000
0.032526678441
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.25000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAD2
50000.00000000
PA
USD
66435.00000000
0.009991722764
Long
DBT
CORP
US
N
2
2048-05-25
Fixed
5.09000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477BK8
1050000.00000000
PA
USD
1180651.50000000
0.177568186488
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
664000000.00000000
PA
6139732.35000000
0.923406389532
Long
DBT
NUSS
JP
N
1
2040-03-20
Fixed
0.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02419A SWAPTION DEC20 0.053 CALL
000000000
-1290000.00000000
NC
-26390.57000000
-0.00396910151
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
1290000.00000000
OU
Notional Amount
N/A
-26390.57000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1290000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
-6346.32000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214485 IRS GBP R F .03200 2 CCPOIS / Short: SR214485 IRS GBP P V 00MSONIA 1 CCPOIS
000000000
15280000.00000000
OU
Notional Amount
30677.88000000
0.004613906404
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2025-06-17
0.00000000
GBP
-28571.95000000
GBP
15280000.00000000
GBP
66756.42000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR213925 IRS EUR R F .28000 2 CCPVANILLA / Short: SR213925 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
1380000.00000000
OU
Notional Amount
62083.23000000
0.009337223187
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2031-07-06
36160.44000000
EUR
0.00000000
EUR
1380000.00000000
EUR
36963.31000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
250000.00000000
PA
USD
249895.00000000
0.037583827202
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YFA2
729962.58000000
PA
USD
154490.01000000
0.023235062087
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Floating
5.91000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296TGJ7
790.28000000
PA
USD
910.00000000
0.000136862613
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138LSR85
15986.02000000
PA
USD
17479.14000000
0.002628836020
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
145000000.00000000
PA
1622509.38000000
0.244022938323
Long
DBT
NUSS
JP
N
1
2045-09-20
Fixed
1.40000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JVL0
1700000.00000000
PA
USD
1885470.00000000
0.283571814864
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
3.70000000
N
N
N
N
N
N
WPC EUROBOND BV
5493005XDMOLBARL5M14
WPC Eurobond BV
000000000
1200000.00000000
PA
1325698.03000000
0.199382963573
Long
DBT
NL
N
2
2028-04-15
Fixed
1.35000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
000000000
1370000.00000000
PA
USD
1669687.50000000
0.251118455680
Long
DBT
NUSS
AE
N
2
2047-10-11
Fixed
4.13000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
650000.00000000
PA
USD
696728.50000000
0.104786904704
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214514 IRS EUR R F .00000 2 CCPVANILLA / Short: SR214514 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
3150000.00000000
OU
Notional Amount
63808.96000000
0.009596770350
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2025-09-16
37959.35000000
EUR
0.00000000
EUR
3150000.00000000
EUR
20776.32000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QT50
441632.09000000
PA
USD
479909.40000000
0.072177642459
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214516 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214516 IRS EUR P F .25000 2 CCPVANILLA
000000000
6940000.00000000
OU
Notional Amount
-330413.26000000
-0.04969365081
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2030-09-16
0.00000000
EUR
-280186.41000000
EUR
6940000.00000000
EUR
3805.00000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W7WP5
25555.45000000
PA
USD
27942.37000000
0.004202489868
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CL2
200000.00000000
PA
USD
207446.00000000
0.031199562287
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
4581142.44000000
PA
USD
4986725.64000000
0.749995937334
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468N2
1175000.00000000
PA
USD
1773039.75000000
0.266662476589
Long
DBT
CORP
US
N
2
2051-03-24
Fixed
5.60000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR213187 IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187 IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
000000000
28200000.00000000
OU
Notional Amount
USD
3226.08000000
0.000485197516
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2024-07-25
452.31000000
USD
0.00000000
USD
28200000.00000000
USD
2773.77000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-4953.56000000
-0.00074500787
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
425434.21000000
USD
45354052.00000000
JPY
2020-09-16
-4953.56000000
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE SEP20 IFLL 20200928
000000000
81.00000000
NC
-12356.39000000
-0.00185838222
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
United Kingdom Gilt
G U0 Comdty
2020-09-28
11145042.06000000
GBP
-12356.39000000
N
N
N
BRITISH TELECOMMUNICATIO
549300OWFMSO9NYV4H90
British Telecommunications PLC
111021AN1
650000.00000000
PA
USD
746258.50000000
0.112236141229
Long
DBT
CORP
GB
N
2
2049-11-08
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-19505.07000000
-0.00293353280
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
393216.44000000
USD
306936889.00000000
CLP
2020-07-03
-19505.07000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
European Investment Bank
000000000
770000.00000000
PA
1046842.40000000
0.157443501750
Long
DBT
NUSS
XX
N
2
2042-11-14
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9TW3
745719.68000000
PA
USD
828275.17000000
0.124571323417
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214520 IRS USD R F .50000 2 CCPVANILLA / Short: SR214520 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
8720000.00000000
OU
Notional Amount
USD
50012.69000000
0.007521832365
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2022-09-16
39451.09000000
USD
0.00000000
USD
8720000.00000000
USD
10561.60000000
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DR5
1550000.00000000
PA
USD
1775230.50000000
0.266991962050
Long
DBT
CORP
US
N
2
2029-04-05
Fixed
3.65000000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
1000000.00000000
PA
1250983.06000000
0.188145945938
Long
DBT
NUSS
IT
N
1
2067-03-01
Fixed
2.80000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-13850.90000000
-0.00208315425
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2716432.49000000
USD
2401376.67000000
EUR
2020-09-16
-13850.90000000
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAX6
1500000.00000000
PA
USD
1588770.00000000
0.238948586984
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAEL8
531177.05000000
PA
USD
597087.36000000
0.089801029084
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
2200000.00000000
PA
USD
2330746.00000000
0.350540646739
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214534 IRS GBP R F 1.00000 2 CCPVANILLA / Short: SR214534 IRS GBP P V 06MLIBOR 1 CCPVANILLA
000000000
1060000.00000000
OU
Notional Amount
141444.01000000
0.021272963567
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2040-09-16
85510.31000000
GBP
0.00000000
GBP
1060000.00000000
GBP
32606.42000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005866 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005866 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
320000.00000000
OU
Notional Amount
USD
-3493.50000000
-0.00052541707
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Mexico Government International Bond
Mexico Government International Bond
Y
sell protection
2024-06-20
0.00000000
USD
-3763.93000000
USD
320000.00000000
USD
270.43000000
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AV7
600000.00000000
PA
USD
655842.00000000
0.098637637408
Long
DBT
CORP
US
N
2
2024-01-23
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
2050000.00000000
PA
USD
2258587.50000000
0.339688118297
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDD3
350000.00000000
PA
USD
380803.50000000
0.057272266120
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
2.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292H4H4
1129.33000000
PA
USD
1295.50000000
0.000194841225
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-1253.78000000
-0.00018856660
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1787237.91000000
PLN
400380.37000000
EUR
2020-09-16
-1253.78000000
N
N
N
Magnetite CLO Ltd
549300P6T1S83Z2MDF55
Magnetite XXIV Ltd
55954WAA7
1400000.00000000
PA
USD
1374473.80000000
0.206718765055
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Variable
3.24000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BBF9
4185686.78000000
PA
USD
493290.30000000
0.074190109429
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-9834.31000000
-0.00147906523
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2364013.84000000
ILS
672876.94000000
USD
2020-07-15
-9834.31000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
18480000.00000000
PA
2674411.36000000
0.402227393196
Long
DBT
NUSS
CN
N
2
2026-06-06
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
4681.57000000
0.000704100994
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
93016060.00000000
JPY
867040.09000000
USD
2020-09-16
4681.57000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02269A SWAPTIONS OCT21 0.05 CALL
000000000
-1000000.00000000
NC
-35240.70000000
-0.00530014757
N/A
DIR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
1000000.00000000
OU
Notional Amount
N/A
-35240.70000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-10-26
0.00000000
N/A
0.00000000
N/A
1000000.00000000
EUR
1.00000000
0.05000000
EUR
2021-10-22
XXXX
-7098.31000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02204A SWAPTION OCT20 0.35 CALL
000000000
-4800000.00000000
NC
-60484.96000000
-0.00909684581
N/A
DIR
GB
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
4800000.00000000
OU
Notional Amount
N/A
-60484.96000000
-0.01000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
4800000.00000000
GBP
1.00000000
0.35000000
GBP
2020-10-02
XXXX
-6636.75000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
OPS02119A SWAPTION AUG20 0.35 CALL
000000000
-15360000.00000000
NC
-36419.07000000
-0.00547737263
N/A
DIR
DE
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
15360000.00000000
OU
Notional Amount
N/A
-36419.07000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2025-08-17
0.00000000
N/A
0.00000000
N/A
15360000.00000000
EUR
1.00000000
-0.35000000
EUR
2020-08-13
XXXX
3547.02000000
N
N
N
JAPAN (5 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Five Year Bond
000000000
1186850000.00000000
PA
11094890.34000000
1.668654600411
Long
DBT
NUSS
JP
N
1
2024-09-20
Fixed
0.10000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
SHORT EURO-BTP FU SEP20 XEUR 20200908
000000000
60.00000000
NC
42375.26000000
0.006373174531
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Short-Term Euro-BTP Futures (FBTS)
BTSU0 Comdty
2020-09-08
6673282.80000000
EUR
42375.26000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214515 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214515 IRS EUR P F .00000 2 CCPVANILLA
000000000
8380000.00000000
OU
Notional Amount
-191376.26000000
-0.02878269787
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2027-09-16
0.00000000
EUR
-172729.22000000
EUR
8380000.00000000
EUR
2710.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-40841.47000000
-0.00614249485
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
456135.98000000
USD
2258602.92000000
BRL
2020-07-02
-40841.47000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD EUR
000000000
1.00000000
NC
N/A
-11298.63000000
-0.00169929673
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
421198.07000000
EUR
4452611.16000000
NOK
2020-09-16
-11298.63000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
11422.17000000
0.001717876962
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
454450.26000000
USD
2533673.81000000
BRL
2020-07-02
11422.17000000
N
N
N
DH EUROPE FINANCE
222100KDGL314CKTZ511
DH Europe Finance II Sarl
000000000
300000.00000000
PA
329017.97000000
0.049483801320
Long
DBT
CORP
LU
N
2
2028-03-18
Fixed
0.45000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
100000.00000000
PA
USD
110868.00000000
0.016674378256
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AQL3
1021499.72000000
PA
USD
163826.69000000
0.024639284532
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
5.96000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBX2
550000.00000000
PA
USD
615763.50000000
0.092609892081
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.60000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-112044.18000000
-0.01685127393
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
7311900.48000000
USD
777183511.00000000
JPY
2020-07-22
-112044.18000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OPS02361A SWAPTION NOV20 0.408 CALL
000000000
-3600000.00000000
NC
USD
-24927.12000000
-0.00374900086
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3600000.00000000
OU
Notional Amount
N/A
-24927.12000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-11-25
0.00000000
N/A
0.00000000
N/A
3600000.00000000
USD
1.00000000
0.40800000
USD
2020-11-23
XXXX
632.88000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MN5G1
38129.20000000
PA
USD
41690.52000000
0.006270190678
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYG29
6324175.44000000
PA
USD
6861759.44000000
1.031998163622
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: IR212738 IRS MYR R F 3.56500 2 NDF / Short: IR212738 IRS MYR P V 03MKLIBO 1 NDF
000000000
10040000.00000000
OU
Notional Amount
126428.34000000
0.019014629680
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Kuala Lumpur Interbank Offer Rate 3 Months
KLIB3M Index
Y
2024-03-14
0.00000000
MYR
0.00000000
MYR
10040000.00000000
MYR
126428.34000000
N
N
N
ONTARIO (PROVINCE OF)
C7PVKCRGLG18EBQGZV36
Province of Ontario Canada
683234B98
2300000.00000000
PA
2492931.64000000
0.374933119852
Long
DBT
NUSS
CA
N
1
2041-06-02
Fixed
4.65000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02457A SWAPTION JUL20 0.63 CALL
000000000
-3800000.00000000
NC
USD
-23970.40000000
-0.00360511163
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3800000.00000000
OU
Notional Amount
N/A
-23970.40000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-07-31
0.00000000
N/A
0.00000000
N/A
3800000.00000000
USD
1.00000000
0.63000000
USD
2020-07-29
XXXX
3104.60000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138NXRK5
14340.85000000
PA
USD
15680.31000000
0.002358294729
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 IDR
000000000
1.00000000
NC
9362.22000000
0.001408063621
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6426770696.03000000
IDR
450469.74000000
USD
2020-07-20
9362.22000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380WG86
861798.38000000
PA
USD
107346.73000000
0.016144784613
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
4.00000000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAS0
250000.00000000
PA
USD
259277.50000000
0.038994940905
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-6154.02000000
-0.00092555523
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
865332.23000000
USD
7998392.98000000
SEK
2020-09-16
-6154.02000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP20 XCBT 20200930
000000000
-198.00000000
NC
USD
-19608.82000000
-0.00294913664
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUU0 Comdty
2020-09-30
-43702812.96000000
USD
-19608.82000000
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FK0
50000.00000000
PA
USD
62676.00000000
0.009426374892
Long
DBT
CORP
US
N
2
2050-03-25
Fixed
3.60000000
N
N
N
N
N
N
ONTARIO (PROVINCE OF)
C7PVKCRGLG18EBQGZV36
Province of Ontario Canada
68323ACX0
1700000.00000000
PA
1358522.39000000
0.204319697299
Long
DBT
NUSS
CA
N
1
2025-06-02
Fixed
2.60000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
50000.00000000
PA
USD
53841.00000000
0.008097604355
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.56000000
N
N
N
N
N
N
LOGICOR FINANCING SARL
254900IS16Q1A2TQFN22
Logicor Financing Sarl
000000000
600000.00000000
PA
702472.60000000
0.105650808591
Long
DBT
CORP
LU
N
2
2025-05-13
Fixed
2.25000000
N
N
N
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EAS4
900000.00000000
PA
USD
933381.00000000
0.140379080086
Long
DBT
CORP
GB
N
2
2023-01-10
Fixed
3.68000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297CWV8
53006.68000000
PA
USD
60804.09000000
0.009144842480
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EU8
350000.00000000
PA
USD
424277.00000000
0.063810614274
Long
DBT
CORP
US
N
2
2050-03-19
Fixed
3.63000000
N
N
N
N
N
N
OFSI Fund LTD
5493003TQHS9OKKCKV08
OFSI Fund VII Ltd
67106MAN3
219215.65000000
PA
USD
218877.62000000
0.032918860515
Long
ABS-CBDO
CORP
KY
N
2
2026-10-18
Floating
2.04000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
4340000.00000000
PA
USD
4723818.75000000
0.710455141704
Long
DBT
NUSS
ID
N
2
2025-01-15
Fixed
4.13000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
000000000
600000.00000000
PA
781235.56000000
0.117496637753
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416SFG1
12096.39000000
PA
USD
13624.54000000
0.002049110054
Long
ABS-MBS
USGSE
US
N
2
2039-06-01
Fixed
4.50000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
50000.00000000
PA
USD
40562.50000000
0.006100538189
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
6190.68000000
0.000931068838
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1333893.35000000
USD
1941360.62000000
AUD
2020-09-16
6190.68000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-98077.80000000
-0.01475075166
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4922516926.80000000
COP
1211100.24000000
USD
2020-07-06
-98077.80000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBL9
750000.00000000
PA
USD
792127.50000000
0.119134768932
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214519 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214519 IRS EUR P F .50000 2 CCPVANILLA
000000000
720000.00000000
OU
Notional Amount
-115110.24000000
-0.01731240468
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-09-16
0.00000000
EUR
-95811.03000000
EUR
720000.00000000
EUR
-7819.00000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WQE1
1470795.96000000
PA
USD
115033.31000000
0.017300834532
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
3.08000000
N
N
N
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAP4
250000.00000000
PA
USD
241270.00000000
0.036286640345
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.30000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GEN5
750000.00000000
PA
USD
1109085.00000000
0.166804693943
Long
DBT
CORP
US
N
2
2042-02-07
Fixed
5.88000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
698000.00000000
PA
USD
757790.68000000
0.113970563527
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
NASDAQ INC
549300L8X1Q78ERXFD06
Nasdaq Inc
63111XAB7
1350000.00000000
PA
USD
1411870.50000000
0.212343171749
Long
DBT
CORP
US
N
2
2050-04-28
Fixed
3.25000000
N
N
N
N
N
N
AIR PRODUCTS & CHEMICALS
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158BC9
200000.00000000
PA
USD
209934.00000000
0.031573753696
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.05000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
161386.38000000
0.024272265626
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3210887.50000000
USD
241410577.00000000
RUB
2020-08-17
161386.38000000
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
3030000.00000000
OU
Notional Amount
-147560.99000000
-0.02219294803
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2040-06-19
0.00000000
EUR
-142552.42000000
EUR
3030000.00000000
EUR
45684.50000000
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAB8
300000.00000000
PA
USD
321168.00000000
0.048303177794
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAJ5
950000.00000000
PA
USD
1122168.50000000
0.168772432406
Long
DBT
CORP
US
N
2
2038-07-24
Fixed
3.88000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS02087A SWAPTION JUL21 0.38 PUT
000000000
-1860000.00000000
NC
-11404.80000000
-0.00171526454
N/A
DIR
DE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
1860000.00000000
OU
Notional Amount
N/A
-11404.80000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-07-06
0.00000000
N/A
0.00000000
N/A
1860000.00000000
EUR
1.00000000
0.38000000
EUR
2021-07-02
XXXX
12065.54000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958667AC1
500000.00000000
PA
USD
480000.00000000
0.072191268561
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
4.05000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BR214211 IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR214211 IRS BRL P F 7.22330 CCPNDFPREDISWAP
000000000
4500000.00000000
OU
Notional Amount
-64565.12000000
-0.00971049566
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
4500000.00000000
BRL
-64565.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02418A SWAPTION DEC20 0.053 PUT
000000000
-1290000.00000000
NC
-12416.71000000
-0.00186745426
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
1290000.00000000
OU
Notional Amount
N/A
-12416.71000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1290000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
7627.54000000
N
N
N
ISRAEL FIXED BOND
213800T8ZHTFZIBYPE21
Israel Government Bond - Fixed
000000000
2430000.00000000
PA
774650.08000000
0.116506191597
Long
DBT
NUSS
IL
N
2
2027-03-31
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02400A SWAPTION JUL20 0.129 CALL
000000000
-3500000.00000000
NC
-18543.30000000
-0.00278888406
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
3500000.00000000
OU
Notional Amount
N/A
-18543.30000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-07-07
0.00000000
N/A
0.00000000
N/A
3500000.00000000
EUR
1.00000000
-0.12900000
EUR
2020-07-03
XXXX
-380.10000000
N
N
N
JAPAN (40 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Forty Year Bond
000000000
262000000.00000000
PA
2328311.92000000
0.350174564816
Long
DBT
NUSS
JP
N
1
2060-03-20
Fixed
0.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-626.49000000
-0.00009422314
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
5261122.32000000
TRY
750730.92000000
USD
2020-09-16
-626.49000000
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAC3
170000.00000000
PA
USD
177403.50000000
0.026681216067
Long
DBT
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CD8
50000.00000000
PA
USD
65847.50000000
0.009903363659
Long
DBT
CORP
US
N
2
2049-10-26
Fixed
4.25000000
N
N
N
N
N
N
KELLOGG CO
LONOZNOJYIBXOHXWDB86
Kellogg Co
487836BX5
1600000.00000000
PA
USD
1623312.00000000
0.244143651148
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YXM1
1152010.57000000
PA
USD
186818.56000000
0.028097226744
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.91000000
N
N
N
N
N
N
AGRICUL DEV BANK CHINA
300300C1020311000158
Agricultural Development Bank of China
000000000
12220000.00000000
PA
1771261.72000000
0.266395063586
Long
DBT
NUSS
CN
N
2
2029-07-12
Fixed
3.74000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-5178.46000000
-0.00077883249
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
32765028.08000000
RUB
452517.51000000
USD
2020-08-17
-5178.46000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
10564.50000000
0.001588884701
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
451560.95000000
USD
1737594343.45000000
COP
2020-07-06
10564.50000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
400000.00000000
PA
USD
350348.00000000
0.052691805329
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
31397S7M0
355760.76000000
PA
USD
408796.68000000
0.061482397735
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 KRW / SOLD USD
000000000
1.00000000
NC
5527.42000000
0.000831315545
N/A
DFE
KR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
815535.13000000
USD
984807607.00000000
KRW
2020-09-02
5527.42000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B5SN6
1245787.79000000
PA
USD
244804.15000000
0.036818171120
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
5.87000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-16254.69000000
-0.00244468060
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
28645442.98000000
TWD
961634.03000000
USD
2020-07-20
-16254.69000000
N
N
N
KnowledgeWorks Foundation
549300ZCR1DGZJLXTI23
KnowledgeWorks Foundation
49925JAE7
287380.06000000
PA
USD
278772.80000000
0.041927004317
Long
ABS-O
CORP
US
N
2
2042-02-25
Floating
1.31000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAJ4
400000.00000000
PA
USD
457008.00000000
0.068733306797
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.60000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
550000.00000000
PA
678895.40000000
0.102104833638
Long
DBT
CORP
NL
N
2
2023-07-25
Fixed
3.88000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBW4
550000.00000000
PA
USD
621373.50000000
0.093453627532
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.60000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Home Equity Loan Trust 2007-HE3
36186MAA9
192.43000000
PA
USD
191.56000000
0.000028810332
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9UC4
70906.83000000
PA
USD
77725.91000000
0.011689858422
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378WUZ4
588546.91000000
PA
USD
120882.83000000
0.018180593427
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Floating
5.86000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
1100000.00000000
PA
USD
1258180.00000000
0.189228354747
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02279A SWAPTIONS OCT21 0.05 PUT
000000000
-920000.00000000
NC
-17918.51000000
-0.00269491659
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
920000.00000000
OU
Notional Amount
N/A
-17918.51000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-10-26
0.00000000
N/A
0.00000000
N/A
920000.00000000
EUR
1.00000000
0.05000000
EUR
2021-10-22
XXXX
10053.01000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214522 IRS USD R F .50000 2 CCPVANILLA / Short: SR214522 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
7590000.00000000
OU
Notional Amount
USD
59661.95000000
0.008973066365
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-09-16
57725.63000000
USD
0.00000000
USD
7590000.00000000
USD
1936.32000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BZG2
505327.53000000
PA
USD
74541.22000000
0.011210885899
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.86000000
N
N
N
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
000000000
550000.00000000
PA
611918.53000000
0.092031614452
Long
DBT
CORP
US
N
2
2025-12-03
Fixed
0.63000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CF4
450000.00000000
PA
USD
539478.00000000
0.081136669127
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USV5
1322430.63000000
PA
USD
1413359.51000000
0.212567116584
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-9195.60000000
-0.00138300422
N/A
DFE
ZA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
459142.74000000
USD
7870482.51000000
ZAR
2020-09-16
-9195.60000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD EUR
000000000
1.00000000
NC
N/A
5398.19000000
0.000811879550
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
668885.55000000
EUR
1029147.31000000
CAD
2020-09-16
5398.19000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-50222.30000000
-0.00755335738
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
665837316.00000000
JPY
6118118.80000000
USD
2020-07-22
-50222.30000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
17473.30000000
0.002627957693
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2390928.57000000
BRL
457098.83000000
USD
2020-07-02
17473.30000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
4433.12000000
0.000666734492
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6622511880.53000000
IDR
458975.52000000
USD
2020-07-20
4433.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-769.39000000
-0.00011571508
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
416084.27000000
USD
369027.70000000
EUR
2020-09-16
-769.39000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-30298.91000000
-0.00455690989
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2957025.88000000
CHF
3097948.46000000
USD
2020-09-16
-30298.91000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
10918.44000000
0.001642116738
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
9869409.16000000
MXN
435885.61000000
USD
2020-09-17
10918.44000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
2138.19000000
0.000321580517
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1791118.46000000
USD
12733419.36000000
CNY
2020-09-16
2138.19000000
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAH3
3250000.00000000
PA
USD
3747477.50000000
0.563614905482
Long
DBT
CORP
US
N
2
2025-05-25
Fixed
4.42000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
51.76000000
0.000007784625
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
429178.70000000
USD
405736.96000000
CHF
2020-09-16
51.76000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1709.58000000
0.000257118226
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
251503.07000000
GBP
313488.52000000
USD
2020-09-16
1709.58000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABE4
1250000.00000000
PA
USD
1384860.00000000
0.208280833709
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.88000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BY8
750000.00000000
PA
USD
742530.00000000
0.111675380510
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.35000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CG5
200000.00000000
PA
USD
246460.00000000
0.037067208436
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
131082.36000000
0.019714587196
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4919133.95000000
GBP
6229148.51000000
USD
2020-09-16
131082.36000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-5929.45000000
-0.00089178024
N/A
DFE
MX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
478253.80000000
USD
10969229.16000000
MXN
2020-09-17
-5929.45000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCM2
250000.00000000
PA
USD
261257.50000000
0.039292729888
Long
DBT
CORP
US
N
2
2022-06-30
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
93818.38000000
0.014110141388
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
15585994.19000000
GBP
19408350.16000000
USD
2020-07-15
93818.38000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
625000.00000000
PA
USD
814643.75000000
0.122521178621
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-15313.21000000
-0.00230308344
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
419867.41000000
USD
28960774.47000000
RUB
2020-08-17
-15313.21000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-2091.49000000
-0.00031455690
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
466715.92000000
USD
439193.68000000
CHF
2020-09-16
-2091.49000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-7474.28000000
-0.00112412032
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
418062.18000000
EUR
373509.29000000
GBP
2020-09-16
-7474.28000000
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE Energy Co
233331BE6
498000.00000000
PA
USD
514155.12000000
0.077328146563
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
1507.74000000
0.000226761798
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
422412.17000000
USD
400717.08000000
CHF
2020-09-16
1507.74000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD SEK
000000000
1.00000000
NC
N/A
-8789.90000000
-0.00132198756
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4224305.00000000
SEK
4281809.70000000
NOK
2020-09-16
-8789.90000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-14334.98000000
-0.00215595914
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
456390.49000000
USD
6440582594.88000000
IDR
2020-07-20
-14334.98000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214585 IRS CAD R F .50000 2 CCPVANILLA / Short: SR214585 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
88420000.00000000
OU
Notional Amount
-288407.07000000
-0.04337598384
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2023-09-16
0.00000000
CAD
-503024.80000000
CAD
88420000.00000000
CAD
85316.52000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-28760.16000000
-0.00432548423
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
155115415.32000000
CNY
21825376.26000000
USD
2020-09-09
-28760.16000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
6758.41000000
0.001016454565
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
47750771.00000000
JPY
449459.21000000
USD
2020-09-16
6758.41000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-8870.18000000
-0.00133406155
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
68699463.07000000
INR
898878.20000000
USD
2020-07-15
-8870.18000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GT2
1210000.00000000
PA
USD
1290029.40000000
0.194018455974
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-14193.77000000
-0.00213472137
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
612000.00000000
EUR
674046.40000000
USD
2020-08-12
-14193.77000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
22687.75000000
0.003412203027
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
423262.22000000
USD
1676774447.64000000
COP
2020-07-06
22687.75000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-4003.48000000
-0.00060211729
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
33039014.90000000
INR
432063.28000000
USD
2020-07-28
-4003.48000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
9275.94000000
0.001395087241
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2400157.22000000
BRL
450598.36000000
USD
2020-07-02
9275.94000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
2151.45000000
0.000323574801
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4164972.40000000
SEK
449548.01000000
USD
2020-09-16
2151.45000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-10823.86000000
-0.00162789205
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
27022890.34000000
TWD
913768.99000000
USD
2020-08-06
-10823.86000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
891.51000000
0.000134081745
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
430702.97000000
EUR
485617.60000000
USD
2020-09-16
891.51000000
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
521650000.00000000
PA
4851791.89000000
0.729702106950
Long
DBT
NUSS
JP
N
1
2022-03-01
Fixed
0.10000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214048 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214048 IRS GBP P F 1.00000 2 CCPVANILLA
000000000
6290000.00000000
OU
Notional Amount
-195977.13000000
-0.02947466171
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2030-06-18
0.00000000
GBP
-120716.28000000
GBP
6290000.00000000
GBP
-44725.93000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379LKS4
1134271.71000000
PA
USD
192201.09000000
0.028906751054
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Floating
5.41000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042679
6000000.00000000
PA
USD
6407011.20000000
0.963604721285
Long
ABS-MBS
USGA
US
N
2
2050-07-21
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-4654.16000000
-0.00069997857
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
720652.51000000
NZD
460349.22000000
USD
2020-09-16
-4654.16000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W02X6
8394.36000000
PA
USD
9178.41000000
0.001380418877
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 CLP / SOLD USD
000000000
1.00000000
NC
-12440.75000000
-0.00187106984
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
449714.88000000
USD
359142303.00000000
CLP
2020-07-03
-12440.75000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-15969.45000000
-0.00240178094
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
35310121.74000000
CNY
4956780.52000000
USD
2020-09-16
-15969.45000000
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
26490000.00000000
PA
3770577.64000000
0.567089131337
Long
DBT
NUSS
CN
N
2
2026-08-13
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
2339.45000000
0.000351849715
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
402425.11000000
EUR
430323.63000000
CHF
2020-09-16
2339.45000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379TYF0
307501.75000000
PA
USD
53456.26000000
0.008039740045
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Floating
6.01000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-4410.85000000
-0.00066338511
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1725320412.09000000
COP
454450.26000000
USD
2020-07-06
-4410.85000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-1085.43000000
-0.00016324701
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
422588.22000000
EUR
382771.96000000
GBP
2020-09-16
-1085.43000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-2295.92000000
-0.00034530286
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1717509963.05000000
COP
454487.95000000
USD
2020-07-06
-2295.92000000
N
N
N
Volkswagen Leasing GmbH
5299004GLEUX88BSNB74
Volkswagen Leasing GmbH
000000000
600000.00000000
PA
680240.79000000
0.102307178244
Long
DBT
CORP
DE
N
2
2025-08-15
Fixed
1.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-38300.99000000
-0.00576041053
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
467090.05000000
USD
2331993.78000000
BRL
2020-07-02
-38300.99000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1978.61000000
0.000297579928
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
360409.31000000
EUR
407594.10000000
USD
2020-09-16
1978.61000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFD1
300000.00000000
PA
USD
382008.00000000
0.057453421084
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAD3
1850000.00000000
PA
USD
2010247.00000000
0.302338085525
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
3.63000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBL2
620000.00000000
PA
USD
641371.40000000
0.096461281219
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214057 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214057 IRS GBP P F 1.00000 2 CCPVANILLA
000000000
1250000.00000000
OU
Notional Amount
-89985.96000000
-0.01353375126
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2050-06-20
0.00000000
GBP
-87695.00000000
GBP
1250000.00000000
GBP
68239.37000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-24519.35000000
-0.00368767287
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2933510.70000000
TRY
402264.07000000
USD
2020-07-13
-24519.35000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDS8
550000.00000000
PA
USD
720098.50000000
0.108301717092
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
5.45000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-7484.33000000
-0.00112563182
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2769892449.33000000
IDR
182629.87000000
USD
2020-07-20
-7484.33000000
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAW0
400000.00000000
PA
USD
453504.00000000
0.068206310537
Long
DBT
US
N
2
2029-08-15
Fixed
3.80000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
700000.00000000
PA
USD
826826.00000000
0.124353370457
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-12149.68000000
-0.00182729335
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1358687.12000000
USD
1086597.64000000
GBP
2020-07-15
-12149.68000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
2274.97000000
0.000342152021
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
396421.63000000
EUR
4174498.15000000
SEK
2020-09-16
2274.97000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BQ6
900000.00000000
PA
USD
995463.00000000
0.149716118283
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
3976.49000000
0.000598058036
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
421033237.00000000
CLP
516992.15000000
USD
2020-08-27
3976.49000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-8894.98000000
-0.00133779143
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3413199.56000000
USD
367475304.00000000
JPY
2020-07-22
-8894.98000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-13723.01000000
-0.00206391979
N/A
DFE
ZA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
331746.87000000
USD
5562878.47000000
ZAR
2020-09-16
-13723.01000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1819.92000000
-0.00027371319
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
466715.92000000
USD
439450.38000000
CHF
2020-09-16
-1819.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
818.30000000
0.000123071073
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3102248.59000000
TRY
450293.00000000
USD
2020-07-27
818.30000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02448A SWAPTION JUL20 0.674 PUT
000000000
-3800000.00000000
NC
USD
-18055.32000000
-0.00271549261
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
3800000.00000000
OU
Notional Amount
N/A
-18055.32000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-07-24
0.00000000
N/A
0.00000000
N/A
3800000.00000000
USD
1.00000000
0.67400000
USD
2020-07-22
XXXX
9684.68000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214649 IRS AUD R F 1.25000 2 CCPVANILLA / Short: SR214649 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
16400000.00000000
OU
Notional Amount
460621.27000000
0.069276737099
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2027-09-16
638909.38000000
AUD
0.00000000
AUD
16400000.00000000
AUD
18591.81000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
8745.06000000
0.001315243698
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
367223539.00000000
CLP
456195.31000000
USD
2020-08-27
8745.06000000
N
N
N
HUNTINGTON NATIONAL BANK
2WHM8VNJH63UN14OL754
Huntington National Bank/The
44644AAD9
1950000.00000000
PA
USD
1992315.00000000
0.299641140051
Long
DBT
CORP
US
N
2
2021-05-14
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-6069.90000000
-0.00091290371
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
415408.53000000
EUR
372233.04000000
GBP
2020-09-16
-6069.90000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
7214.56000000
0.001085058830
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
952052500.14000000
COP
260419.63000000
USD
2020-07-06
7214.56000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L5TH6
45063.68000000
PA
USD
49522.05000000
0.007448040856
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 EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-4857.24000000
-0.00073052149
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
452328.96000000
CHF
420872.92000000
EUR
2020-09-16
-4857.24000000
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AV6
250000.00000000
PA
USD
277560.00000000
0.041744601045
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
3.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RAZ2
1340624.80000000
PA
USD
114418.04000000
0.017208298862
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Floating
3.60000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137ABF48
342187.06000000
PA
USD
58969.27000000
0.008868888348
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.82000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
240000.00000000
PA
USD
366300.00000000
0.055090961821
Long
DBT
CORP
LU
N
2
2034-04-28
Fixed
8.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
149.32000000
0.000022457500
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
488388.80000000
USD
663135.78000000
CAD
2020-09-16
149.32000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BT0
650000.00000000
PA
USD
739622.00000000
0.111238021741
Long
DBT
CORP
US
N
2
2050-03-01
Fixed
4.80000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
11080.37000000
0.001666470763
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
31389910.01000000
RUB
449567.26000000
USD
2020-08-17
11080.37000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DAZ4
950000.00000000
PA
USD
1046187.50000000
0.157345005788
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
4.90000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-62500.32000000
-0.00939995288
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1263813.12000000
USD
6533408.32000000
BRL
2020-07-02
-62500.32000000
N
N
N
LAM RESEARCH CORP
549300I4GMO6D34U1T02
Lam Research Corp
512807AW8
750000.00000000
PA
USD
774030.00000000
0.116412932510
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-12501.02000000
-0.00188013435
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
590322773.00000000
KRW
479668.13000000
USD
2020-09-02
-12501.02000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M5CH1
15377.64000000
PA
USD
17639.73000000
0.002652988512
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
7414.67000000
0.001115155069
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
9740500.49000000
MXN
426831.16000000
USD
2020-09-17
7414.67000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QO5 Trust
761118QM3
503488.53000000
PA
USD
429700.52000000
0.064626303417
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
2.50000000
N
N
N
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BQ1
250000.00000000
PA
USD
262792.50000000
0.039523591548
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
2.80000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
900000.00000000
PA
USD
965853.00000000
0.145262819404
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
000000000
400000.00000000
PA
473024.78000000
0.071142206102
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
1.55000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OPS02360A SWAPTION NOV20 0.408 PUT
000000000
-3600000.00000000
NC
USD
-16293.24000000
-0.00245047846
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
3600000.00000000
OU
Notional Amount
N/A
-16293.24000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-11-25
0.00000000
N/A
0.00000000
N/A
3600000.00000000
USD
1.00000000
0.40800000
USD
2020-11-23
XXXX
9266.76000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MFB4
7966.58000000
PA
USD
8973.00000000
0.001349525526
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AH6P0
364980.46000000
PA
USD
70877.75000000
0.010659905594
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Floating
6.42000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
734.70000000
0.000110497760
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
457559.78000000
USD
3209049.76000000
TRY
2020-09-16
734.70000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAB0
200000.00000000
PA
USD
174531.26000000
0.026249235548
Long
DBT
CORP
MX
N
2
2046-10-31
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-599527.35000000
-0.09016799986
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
17626870.55000000
CAD
12384943.30000000
USD
2020-07-16
-599527.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-5119.03000000
-0.00076989431
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
734828.13000000
USD
78708175.00000000
JPY
2020-09-16
-5119.03000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAC8
540000.00000000
PA
USD
492075.00000000
0.074007330161
Long
DBT
CORP
MX
N
2
2028-04-30
Fixed
3.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214395 IRS AUD R F .96000 2 CCPVANILLA / Short: SR214395 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
5860000.00000000
OU
Notional Amount
17865.93000000
0.002687008647
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2027-04-21
1695.88000000
AUD
0.00000000
AUD
5860000.00000000
AUD
16794.22000000
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
310000.00000000
PA
USD
344100.00000000
0.051752115650
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
1350000.00000000
PA
USD
1368994.50000000
0.205894686685
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.42000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
32207.14000000
0.004843904777
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2314781.42000000
BRL
457831.32000000
USD
2020-07-02
32207.14000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
1880.17000000
0.000282774702
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
432739.87000000
USD
4046031.24000000
SEK
2020-09-16
1880.17000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
13625.71000000
0.002049286020
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3581212.25000000
USD
25525949.80000000
CNY
2020-09-16
13625.71000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD CAD
000000000
1.00000000
NC
N/A
-5870.34000000
-0.00088289019
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
955659.59000000
CAD
620360.79000000
EUR
2020-09-16
-5870.34000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214233 IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR214233 IRS GBP P F .40000 2 CCPOIS
000000000
5060000.00000000
OU
Notional Amount
-258713.84000000
-0.03891016730
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2040-06-17
0.00000000
GBP
-212235.74000000
GBP
5060000.00000000
GBP
65731.03000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-13348.99000000
-0.00200766775
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
31645451.01000000
THB
1010384.70000000
USD
2020-09-16
-13348.99000000
N
N
N
Electricite de France SA
549300X3UK4GG3FNMO06
Electricite de France SA
268317AU8
1450000.00000000
PA
USD
1684639.00000000
0.253367138496
Long
DBT
CORP
FR
N
2
2028-09-21
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-719.26000000
-0.00010817560
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1551792.51000000
ILS
448197.01000000
USD
2020-09-16
-719.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
96.66000000
0.000014537516
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
333847.82000000
GBP
367819.64000000
EUR
2020-09-16
96.66000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-4960.83000000
-0.00074610127
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
486679.67000000
USD
428030.88000000
EUR
2020-09-16
-4960.83000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
22460000.00000000
PA
3240231.47000000
0.487325875526
Long
DBT
NUSS
CN
N
2
2028-11-22
Fixed
3.25000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAA3
550000.00000000
PA
USD
570982.50000000
0.085874897919
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TV77
470501.62000000
PA
USD
507815.13000000
0.076374621728
Long
ABS-MBS
USGA
US
N
2
2048-04-20
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-22927.37000000
-0.00344824151
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
914475.53000000
USD
12989521349.80000000
IDR
2020-07-20
-22927.37000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-2709.78000000
-0.00040754678
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
38704782.34000000
INR
508136.83000000
USD
2020-07-28
-2709.78000000
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
0.00000000
PA
0.00000000
0.000000
Long
DBT
NUSS
JP
N
1
2022-04-01
Fixed
0.10000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGZ6
2900000.00000000
PA
USD
3165002.00000000
0.476011477875
Long
DBT
CORP
US
N
2
2026-01-23
Fixed
3.37000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
1211.12000000
0.000182150602
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
842413.46000000
USD
750171.61000000
EUR
2020-08-12
1211.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1419.99000000
-0.00021356433
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
427340.20000000
USD
402607.89000000
CHF
2020-09-16
-1419.99000000
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAG2
300000.00000000
PA
USD
303912.00000000
0.045707901689
Long
DBT
CORP
FR
N
2
2026-06-16
Fixed
1.91000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
10314.89000000
0.001551343737
N/A
DFE
KR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
901252.45000000
USD
1093521141.00000000
KRW
2020-07-15
10314.89000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDJ8
600000.00000000
PA
USD
698556.00000000
0.105061757919
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-10176.07000000
-0.00153046542
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
844709.33000000
USD
90014760.00000000
JPY
2020-09-16
-10176.07000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005848 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005848 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2950000.00000000
OU
Notional Amount
USD
-33072.74000000
-0.00497408969
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Colombia Government International Bond
Colombia Government International Bond
Y
sell protection
2024-06-20
0.00000000
USD
-8678.84000000
USD
2950000.00000000
USD
-24393.90000000
N
N
N
BELGIUM KINGDOM
549300SZ25JZFHRHWD76
Kingdom of Belgium Government Bond
000000000
910000.00000000
PA
1602035.78000000
0.240943740082
Long
DBT
NUSS
BE
N
2
2066-06-22
Fixed
2.15000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
650000.00000000
PA
756747.18000000
0.113813622718
Long
DBT
NUSS
ID
N
2
2023-06-14
Fixed
2.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214232 IRS GBP R F .27000 2 CCPOIS / Short: SR214232 IRS GBP P V 00MSONIA 1 CCPOIS
000000000
20710000.00000000
OU
Notional Amount
347262.04000000
0.052227681647
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2025-06-17
21664.34000000
GBP
0.00000000
GBP
20710000.00000000
GBP
1493698.66000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-6962.52000000
-0.00104715239
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
507912541.15000000
COP
127536.11000000
USD
2020-08-25
-6962.52000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AM0
1550000.00000000
PA
USD
1601227.50000000
0.240822176001
Long
DBT
CORP
CH
N
2
2025-09-11
Fixed
2.59000000
N
N
N
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PAV5
500000.00000000
PA
USD
520840.00000000
0.078333542328
Long
DBT
CORP
NL
N
2
2023-09-19
Fixed
2.49000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FW34
500000.00000000
PA
USD
80797.70000000
0.012151850958
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Floating
5.97000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
1363.84000000
0.000205119457
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
362215.26000000
EUR
386624.95000000
CHF
2020-09-16
1363.84000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
2648.35000000
0.000398307804
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
47978157.00000000
JPY
447457.26000000
USD
2020-09-16
2648.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
3261.70000000
0.000490554709
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
398198.52000000
EUR
4202300.48000000
SEK
2020-09-16
3261.70000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAF6
600000.00000000
PA
USD
643032.00000000
0.096711032928
Long
DBT
CORP
ES
N
2
2030-05-28
Fixed
3.49000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1056.61000000
0.000158912533
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
426068.56000000
EUR
480566.99000000
USD
2020-09-16
1056.61000000
N
N
N
AIR PRODUCTS & CHEMICALS
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158AZ9
200000.00000000
PA
USD
210562.00000000
0.031668203939
Long
DBT
CORP
US
N
2
2040-05-15
Fixed
2.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-3573.57000000
-0.00053745948
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
421930.40000000
USD
395458.49000000
CHF
2020-09-16
-3573.57000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E22U8
26851.68000000
PA
USD
29980.25000000
0.004508983915
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
380000.00000000
PA
USD
390687.50000000
0.058758804658
Long
DBT
CORP
VG
N
2
2024-05-29
Fixed
3.75000000
N
N
N
N
N
N
DEERE & COMPANY
PWFTNG3EI0Y73OXWDH08
Deere & Co
244199BK0
150000.00000000
PA
USD
184285.50000000
0.027716258380
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.75000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
750000.00000000
PA
USD
909720.00000000
0.136820501741
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
COMMONWEALTH BANK AUST
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia
202712BK0
1000000.00000000
PA
USD
1061750.00000000
0.159685582073
Long
DBT
CORP
AU
N
2
2034-09-12
Fixed
3.61000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
200000.00000000
PA
USD
176300.00000000
0.026515251348
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
GAZPROM PJSC (GAZ FN)
N/A
Gazprom PJSC via Gaz Finance PLC
000000000
400000.00000000
PA
USD
397750.00000000
0.059820993896
Long
DBT
CORP
GB
N
2
2030-02-25
Fixed
3.25000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659T2A8
950000.00000000
PA
USD
1058366.50000000
0.159176708829
Long
DBT
CORP
FR
N
2
2033-03-01
Fixed
4.38000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR213127 IRS BRL R F 6.66000 2 CCPNDF / Short: SR213127 IRS BRL P V 01MLIBOR 1 CCPNDF
000000000
2505152.00000000
OU
Notional Amount
34130.72000000
0.005133208278
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2023-01-02
18864.41000000
BRL
0.00000000
BRL
2505152.00000000
BRL
29133.54000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418RGD7
101079.50000000
PA
USD
112542.69000000
0.016926249080
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FQJA2
302257.66000000
PA
USD
39031.23000000
0.005870237515
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
5.82000000
N
N
N
N
N
N
TENCENT HOLDINGS LTD
254900N4SLUMW4XUYY11
Tencent Holdings Ltd
88032WAV8
200000.00000000
PA
USD
201858.00000000
0.030359135602
Long
DBT
CORP
KY
N
2
2050-06-03
Fixed
3.24000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1905.69000000
-0.00028661287
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
367180.42000000
USD
345281.78000000
CHF
2020-09-16
-1905.69000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-5904.05000000
-0.00088796012
N/A
DFE
NZ
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
508243.42000000
USD
778515.04000000
NZD
2020-09-16
-5904.05000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-20462.47000000
-0.00307752430
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
459554.88000000
USD
360635692.00000000
CLP
2020-07-03
-20462.47000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LZ2
830000.00000000
PA
USD
901562.60000000
0.135593641212
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.04000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
3874.84000000
0.000582770031
N/A
DFE
IL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
448012.27000000
USD
1562061.98000000
ILS
2020-09-16
3874.84000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02382A SWAPTION SEP20 0.35 CALL
000000000
-10930000.00000000
NC
-37997.54000000
-0.00571477211
N/A
DIR
DE
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
10930000.00000000
OU
Notional Amount
N/A
-37997.54000000
-0.01000000
DIR
US
Euribor 6 Month
EUR006M Index
2025-09-30
0.00000000
N/A
0.00000000
N/A
10930000.00000000
EUR
1.00000000
-0.35000000
EUR
2020-09-28
XXXX
-14916.53000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-3153.31000000
-0.00047425301
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
917425.83000000
USD
864230.73000000
CHF
2020-09-16
-3153.31000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3831.98000000
0.000576323952
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
428254.80000000
EUR
485802.82000000
USD
2020-09-16
3831.98000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR212877 IRS EUR R F .08000 2 CCPVANILLA / Short: SR212877 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
4960000.00000000
OU
Notional Amount
114768.50000000
0.017261007512
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2025-01-15
23453.43000000
EUR
0.00000000
EUR
4960000.00000000
EUR
88617.27000000
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAF6
200000.00000000
PA
USD
201360.00000000
0.030284237161
Long
DBT
US
N
2
2028-01-15
Fixed
3.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-5132.45000000
-0.00077191265
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
304679.00000000
USD
2882379.12000000
NOK
2020-09-16
-5132.45000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-5560.25000000
-0.00083625312
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
491027.25000000
USD
52363636.00000000
JPY
2020-09-16
-5560.25000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XES0
661.32000000
PA
USD
761.53000000
0.000114532951
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7LA2
575.46000000
PA
USD
660.11000000
0.000099279538
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
1137.66000000
0.000171102330
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2254926.22000000
USD
16013000.00000000
CNY
2020-09-09
1137.66000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
2659.27000000
0.000399950155
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3112140.21000000
TRY
455430.71000000
USD
2020-07-13
2659.27000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02333A SWAPTION MAY21 0.448 CALL
000000000
-4700000.00000000
NC
USD
-46310.51000000
-0.00696503013
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
4700000.00000000
OU
Notional Amount
N/A
-46310.51000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-05-14
0.00000000
N/A
0.00000000
N/A
4700000.00000000
USD
1.00000000
0.44800000
USD
2021-05-12
XXXX
3015.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214510 IRS GBP R F 1.00000 2 CCPVANILLA / Short: SR214510 IRS GBP P V 06MLIBOR 1 CCPVANILLA
000000000
1090000.00000000
OU
Notional Amount
224309.83000000
0.033735856621
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2050-09-16
155682.96000000
GBP
0.00000000
GBP
1090000.00000000
GBP
29304.70000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022675
36000000.00000000
PA
USD
37515938.40000000
5.642339967454
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
2.50000000
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
7720000.00000000
OU
Notional Amount
24526.69000000
0.003688776801
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2030-05-21
0.00000000
EUR
-3502.72000000
EUR
7720000.00000000
EUR
28718.96000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-1162.23000000
-0.00017479762
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
450113.95000000
USD
368733348.00000000
CLP
2020-07-03
-1162.23000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ARZ31
171112.77000000
PA
USD
191049.62000000
0.028733571720
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
890000.00000000
PA
1078817.88000000
0.162252565217
Long
DBT
NUSS
ES
N
2
2030-10-31
Fixed
1.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
149.94000000
0.000022550747
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3107006.46000000
TRY
450049.46000000
USD
2020-07-29
149.94000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 3YR BOND FUT SEP20 XSFE 20200915
000000000
48.00000000
NC
466.07000000
0.000070096217
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
3 Year Commonwealth Treasury Bond
YMU0 Comdty
2020-09-15
5617407.36000000
AUD
466.07000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
3854.64000000
0.000579731982
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1542602.09000000
ILS
450112.22000000
USD
2020-09-16
3854.64000000
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAW9
1850000.00000000
PA
USD
2132550.50000000
0.320732345555
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.90000000
N
N
N
N
N
N
Dollar Tree Inc
549300PMSTQITB1WHR43
Dollar Tree Inc
256746AG3
650000.00000000
PA
USD
731081.00000000
0.109953468356
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.00000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AM8
1500000.00000000
PA
USD
1717965.00000000
0.258379318113
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214186 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214186 IRS GBP P F .50000 2 CCPVANILLA
000000000
11730000.00000000
OU
Notional Amount
-12810.84000000
-0.00192673081
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2030-03-10
134096.92000000
GBP
0.00000000
GBP
11730000.00000000
GBP
208830.61000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
934.03000000
0.000140476688
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2092415.38000000
SGD
1502729.35000000
USD
2020-09-18
934.03000000
N
N
N
Aviva PLC
YF0Y5B0IB8SM0ZFG9G81
Aviva PLC
000000000
450000.00000000
PA
657148.31000000
0.098834104441
Long
DBT
CORP
GB
N
2
2036-11-14
Fixed
6.13000000
N
N
N
N
N
N
BLUESTAR FIN HOLDINGS
300300294ZKDSAV43I87
Bluestar Finance Holdings Ltd
000000000
1080000.00000000
PA
USD
1075950.00000000
0.161821240435
Long
DBT
CORP
VG
N
2
2023-06-24
Fixed
3.88000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAF4
900000.00000000
PA
USD
944919.00000000
0.142114377704
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.57000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
3926.69000000
0.000590568192
N/A
DFE
IN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
526137.81000000
USD
40115903.33000000
INR
2020-07-15
3926.69000000
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
3840000.00000000
OU
Notional Amount
272249.10000000
0.040945849778
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2050-06-17
192421.15000000
CAD
0.00000000
CAD
3840000.00000000
CAD
136932.61000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-9382.84000000
-0.00141116483
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
430539.62000000
USD
2294345.63000000
BRL
2020-08-04
-9382.84000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YJG0
932468.90000000
PA
USD
136422.25000000
0.020517698515
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.91000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
26750000.00000000
PA
235863.28000000
0.035473477896
Long
DBT
NUSS
JP
N
1
2049-12-20
Fixed
0.40000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BE0
1200000.00000000
PA
USD
1246416.00000000
0.187459067074
Long
DBT
CORP
GB
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A1MA0
333671.23000000
PA
USD
382429.74000000
0.057516850138
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BPDJ5
1038012.86000000
PA
USD
206283.57000000
0.031024734586
Long
ABS-MBS
USGSE
US
N
2
2046-05-15
Floating
5.82000000
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
10990000.00000000
OU
Notional Amount
USD
16014.63000000
0.002408575948
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-05-21
0.00000000
USD
-15503.81000000
USD
10990000.00000000
USD
31518.44000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ASU83
33853.75000000
PA
USD
37798.15000000
0.005684784162
Long
ABS-MBS
USGSE
US
N
2
2041-09-01
Fixed
4.50000000
N
N
N
N
N
N
BLACKSTONE PP EUR HOLD
213800Y3B5GQFBGVHP79
Blackstone Property Partners Europe Holdings Sarl
000000000
450000.00000000
PA
526278.09000000
0.079151422777
Long
DBT
CORP
LU
N
2
2025-07-24
Fixed
2.20000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
1100000.00000000
PA
1322482.57000000
0.198899363289
Long
DBT
CORP
FR
N
2
2027-01-23
Fixed
2.13000000
N
N
N
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAH8
250000.00000000
PA
USD
265890.00000000
0.039989450828
Long
DBT
CORP
LU
N
2
2029-11-15
Fixed
2.60000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BJ9
900000.00000000
PA
USD
977832.00000000
0.147064442750
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.52000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBA7
900000.00000000
PA
USD
959292.00000000
0.144276055002
Long
DBT
US
N
2
2030-01-15
Fixed
2.90000000
N
N
N
N
N
N
Commerzbank AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
000000000
550000.00000000
PA
640781.80000000
0.096372606277
Long
DBT
CORP
DE
N
2
2026-03-23
Fixed
4.00000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/New York NY
22550L2C4
1000000.00000000
PA
USD
1081130.00000000
0.162600304541
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AU3
200000.00000000
PA
USD
217858.00000000
0.032765511221
Long
DBT
CORP
GB
N
2
2025-08-18
Fixed
4.25000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBP0
750000.00000000
PA
USD
794820.00000000
0.119539716829
Long
DBT
CORP
US
N
2
2031-05-13
Fixed
2.96000000
N
N
N
N
N
N
AGL CLO 3 Ltd.
549300LS0REDUXQSHW18
AGL CLO 3 LTD
00119MAA7
2100000.00000000
PA
USD
2048980.50000000
0.308163544902
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
2.19000000
N
N
N
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
6667013.00000000
NS
USD
6667013.00000000
1.002708595806
Long
EC
RF
US
N
1
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BM5
1300000.00000000
PA
USD
1362361.00000000
0.204897018393
Long
DBT
CORP
US
N
2
2030-04-23
Fixed
2.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
8050.95000000
0.001210850611
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
30840013.49000000
RUB
438856.32000000
USD
2020-08-17
8050.95000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TUC7
121221.85000000
PA
USD
131176.38000000
0.019728727661
Long
ABS-MBS
USGA
US
N
2
2048-03-20
Fixed
4.50000000
N
N
N
N
N
N
FREDDIEMAC STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UP26
231481.15000000
PA
USD
13619.45000000
0.002048344526
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BR214214 IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR214214 IRS BRL P F 6.24480 CCPNDFPREDISWAP
000000000
4950000.00000000
OU
Notional Amount
-51098.02000000
-0.00768506434
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2023-01-02
0.00000000
BRL
0.00000000
BRL
4950000.00000000
BRL
-51098.02000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417NTY7
13135.23000000
PA
USD
14717.28000000
0.002213456485
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.50000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
000000000
600000.00000000
PA
629649.60000000
0.094698340361
Long
DBT
CORP
US
N
2
2039-09-14
Fixed
1.80000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAJ2
1000000.00000000
PA
USD
1149000.00000000
0.172807849119
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
4.25000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAD1
800000.00000000
PA
USD
841648.00000000
0.126582576671
Long
DBT
CORP
ES
N
2
2024-06-27
Fixed
2.71000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780BT2
200000.00000000
PA
USD
217687.50000000
0.032739868281
Long
DBT
NUSS
ID
N
2
2025-01-15
Fixed
4.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHCJ3
2685611.05000000
PA
USD
2939853.01000000
0.442149412868
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NV61
761.78000000
PA
USD
873.87000000
0.000131428716
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
7420000.00000000
PA
1093802.57000000
0.164506239759
Long
DBT
NUSS
CN
N
2
2027-04-10
Fixed
4.04000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
000000000
500000.00000000
PA
611526.43000000
0.091972643209
Long
DBT
CORP
LU
N
2
2031-03-07
Fixed
1.63000000
N
N
N
N
N
N
Dollar Tree Inc
549300PMSTQITB1WHR43
Dollar Tree Inc
256746AH1
950000.00000000
PA
USD
1103225.50000000
0.165923434072
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.20000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR214619 IRS MXN R F 4.50000 2 CCPVANILLA / Short: SR214619 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
39110000.00000000
OU
Notional Amount
5367.30000000
0.000807233741
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2022-09-15
0.00000000
MXN
-23345.13000000
MXN
39110000.00000000
MXN
6393.91000000
N
N
N
SNAP-ON INC
HHWAT5TDOYZMM26KKQ73
Snap-on Inc
833034AM3
900000.00000000
PA
USD
925794.00000000
0.139238006847
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.10000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AQ3
2300000.00000000
PA
USD
2776790.00000000
0.417624984644
Long
DBT
CORP
US
N
2
2029-01-23
Fixed
4.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02405A SWAPTION SEP20 0.35 CALL
000000000
-7090000.00000000
NC
-24648.00000000
-0.00370702164
N/A
DIR
DE
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
7090000.00000000
OU
Notional Amount
N/A
-24648.00000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2025-09-30
0.00000000
N/A
0.00000000
N/A
7090000.00000000
EUR
1.00000000
-0.35000000
EUR
2020-09-28
XXXX
-11218.17000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A9EA2
37702.50000000
PA
USD
46635.39000000
0.007013891591
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
7.00000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AT2
1350000.00000000
PA
USD
1454827.50000000
0.218803839090
Long
DBT
CORP
US
N
2
2030-04-13
Fixed
2.75000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXX LTD
55821TAA5
5300000.00000000
PA
USD
5170536.90000000
0.777640870741
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.97000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296USS1
793.63000000
PA
USD
913.86000000
0.000137443151
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02381A SWAPTION SEP20 0.15 PUT
000000000
-10930000.00000000
NC
-8835.36000000
-0.00132882468
N/A
DIR
DE
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
10930000.00000000
OU
Notional Amount
N/A
-8835.36000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2025-09-30
0.00000000
N/A
0.00000000
N/A
10930000.00000000
EUR
1.00000000
-0.15000000
EUR
2020-09-28
XXXX
12963.33000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFS3
150000.00000000
PA
USD
169923.00000000
0.025556160266
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.88000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CY1
150000.00000000
PA
USD
167232.00000000
0.025151437966
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
4.13000000
N
N
N
N
N
N
Higher Education Funding
N/A
Higher Education Funding I
429827AY4
2929703.55000000
PA
USD
2789769.78000000
0.419577123777
Long
ABS-O
CORP
US
N
2
2034-05-25
Floating
1.41000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding Ltd
5493009LWXSWX1V1ZE70
Halcyon Loan Advisors Funding 2014-1 Ltd
40538CAR1
90569.82000000
PA
USD
90517.83000000
0.013613743698
Long
ABS-CBDO
CORP
KY
N
2
2026-04-18
Floating
2.27000000
N
N
N
N
N
N
BP Capital Markets PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QCP1
250000.00000000
PA
USD
274740.00000000
0.041320477342
Long
DBT
CORP
GB
N
2
2024-02-10
Fixed
3.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418QJK0
4895.27000000
PA
USD
5450.43000000
0.000819736366
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-11479.52000000
-0.00172650231
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
449507.94000000
USD
31357089.53000000
RUB
2020-08-17
-11479.52000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABA2
500000.00000000
PA
USD
545330.00000000
0.082016801009
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
AMERICAN WATER CAPITAL C
5IDHQUFVC8Q2KIBBFF06
American Water Capital Corp
03040WAW5
1100000.00000000
PA
USD
1201541.00000000
0.180709935456
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.80000000
N
N
N
N
N
N
FMS WERTMANAGEMENT
HZFDOR6TCRSIQLKQTX32
FMS Wertmanagement
000000000
1100000.00000000
PA
1431297.45000000
0.215264955426
Long
DBT
CORP
DE
N
2
2025-03-07
Fixed
1.38000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RBK7
100000.00000000
PA
USD
111861.00000000
0.016823723942
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
000000000
300000.00000000
PA
343932.43000000
0.051726913377
Long
DBT
CORP
FR
N
2
2027-10-14
Fixed
2.63000000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAX1
1700000.00000000
PA
USD
1811299.00000000
0.272416609488
Long
DBT
CORP
GB
N
2
2024-06-18
Fixed
2.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
1240.78000000
0.000186611421
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
828544.63000000
USD
5892076.65000000
CNY
2020-09-16
1240.78000000
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAD9
200000.00000000
PA
USD
207862.00000000
0.031262128053
Long
DBT
CORP
GB
N
2
2023-04-26
Fixed
3.62000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAJ9
300000.00000000
PA
USD
333021.00000000
0.050085850932
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.20000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRX0
3200000.00000000
PA
USD
3531008.00000000
0.531058222544
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.63000000
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
540000.00000000
OU
Notional Amount
USD
33702.16000000
0.005068753507
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-06-20
25762.28000000
USD
0.00000000
USD
540000.00000000
USD
7939.88000000
N
N
N
AIB Group PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAB0
2250000.00000000
PA
USD
2392335.00000000
0.359803538488
Long
DBT
CORP
IE
N
2
2025-04-10
Fixed
4.26000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AF5
1400000.00000000
PA
USD
1494360.00000000
0.224749466849
Long
DBT
CORP
US
N
2
2023-05-30
Fixed
4.13000000
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
1700000.00000000
OU
Notional Amount
20079.17000000
0.003019876570
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2040-04-21
0.00000000
AUD
-1156.71000000
AUD
1700000.00000000
AUD
20810.26000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02184A SWAPTION MAR20 0.395 CALL
000000000
-9900000.00000000
NC
USD
-43794.63000000
-0.00658664561
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
9900000.00000000
OU
Notional Amount
N/A
-43794.63000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
9900000.00000000
USD
1.00000000
0.39500000
USD
2020-09-30
XXXX
81935.37000000
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604BD4
100000.00000000
PA
USD
104083.00000000
0.015653924595
Long
DBT
CORP
US
N
2
2022-10-09
Fixed
2.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02424A SWAPTION JUL20 0.103 PUT
000000000
-3500000.00000000
NC
-2987.72000000
-0.00044934853
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
3500000.00000000
OU
Notional Amount
N/A
-2987.72000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-07-15
0.00000000
N/A
0.00000000
N/A
3500000.00000000
EUR
1.00000000
-0.10300000
EUR
2020-07-13
XXXX
17183.66000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-2818.24000000
-0.00042385900
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4361757.22000000
NOK
450470.27000000
USD
2020-09-16
-2818.24000000
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
23090000.00000000
OU
Notional Amount
4200.96000000
0.000631817982
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2024-06-24
15996.26000000
CAD
0.00000000
CAD
23090000.00000000
CAD
-7526.66000000
N
N
N
MOUNTAIN VIEW CLO
N/A
Mountain View CLO 2016-1 LLC
62432FAM6
1800000.00000000
PA
USD
1743528.60000000
0.262224044599
Long
ABS-CBDO
CORP
KY
N
2
2033-04-14
Floating
2.67000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAG0
200000.00000000
PA
USD
221322.00000000
0.033286491542
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
4.03000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-9525.13000000
-0.00143256503
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
434190.33000000
USD
6187212202.50000000
IDR
2020-07-20
-9525.13000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD CAD
000000000
1.00000000
NC
N/A
643.98000000
0.000096853610
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
604919.30000000
CAD
396553.72000000
EUR
2020-09-16
643.98000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) SEP20 XCBT 20200921
000000000
93.00000000
NC
USD
292032.20000000
0.043921197872
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USU0 Comdty
2020-09-21
16305561.55000000
USD
292032.20000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416QBF1
5665.49000000
PA
USD
6381.22000000
0.000959725764
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
370000.00000000
PA
USD
402837.50000000
0.060586146144
Long
DBT
CORP
VG
N
2
2025-11-19
Fixed
5.00000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
497000000.00000000
PA
4374428.53000000
0.657907385027
Long
DBT
NUSS
JP
N
1
2050-03-20
Fixed
0.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VUJ1
402629.38000000
PA
USD
37244.18000000
0.005601467918
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
4.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJA8
600000.00000000
PA
USD
744444.00000000
0.111963243194
Long
DBT
CORP
US
N
2
2051-03-20
Fixed
4.08000000
N
N
N
N
N
N
ADOBE INC
FU4LY2G4933NH2E1CP29
Adobe Inc
00724PAD1
700000.00000000
PA
USD
754628.00000000
0.113494901275
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.30000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
18483.24000000
0.002779851130
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
352713528.00000000
CLP
447930.01000000
USD
2020-07-03
18483.24000000
N
N
N
MACQUARIE GROUP LTD
ACMHD8HWFMFUIQQ8Y590
Macquarie Group Ltd
000000000
350000.00000000
PA
382875.17000000
0.057583842131
Long
DBT
CORP
AU
N
2
2027-02-03
Fixed
0.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
359.74000000
0.000054104347
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
7824405.89000000
ZAR
447672.72000000
USD
2020-09-16
359.74000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-2492.23000000
-0.00037482759
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
748232.08000000
AUD
513998.03000000
USD
2020-09-16
-2492.23000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HZN8
2861.64000000
PA
USD
3282.71000000
0.000493714581
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
100000.00000000
PA
USD
97430.00000000
0.014653323533
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-20049.49000000
-0.00301541274
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6510892304.69000000
IDR
426831.80000000
USD
2020-07-20
-20049.49000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-67.18000000
-0.00001010376
N/A
DFE
PL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
400187.00000000
EUR
1781152.30000000
PLN
2020-09-16
-67.18000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-26226.55000000
-0.00394443315
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
55487659.35000000
INR
706129.54000000
USD
2020-07-28
-26226.55000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
100000.00000000
PA
USD
130592.00000000
0.019640837800
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-4140.10000000
-0.00062266473
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
421573.60000000
EUR
379386.73000000
GBP
2020-09-16
-4140.10000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-4779.48000000
-0.00071882650
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
449103.54000000
USD
364932555.00000000
CLP
2020-07-03
-4779.48000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-38
12667GY98
69128.34000000
PA
USD
60793.34000000
0.009143225697
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
3.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
1500000.00000000
PA
USD
1658419.50000000
0.249423765650
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
3250000.00000000
PA
4002015.00000000
0.601896957610
Long
DBT
NUSS
ES
N
2
2027-04-30
Fixed
1.50000000
N
N
N
N
N
N
MEDTRONIC GLOBAL HLDINGS
549300JXMTTP8GKYIX14
Medtronic Global Holdings SCA
000000000
400000.00000000
PA
446986.55000000
0.067226095988
Long
DBT
CORP
LU
N
2
2025-07-02
Fixed
0.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DC6
300000.00000000
PA
USD
273750.00000000
0.041171582851
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
5.55000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-1340.04000000
-0.00020153997
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
14261944.41000000
TWD
485529.53000000
USD
2020-07-20
-1340.04000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-7512.42000000
-0.00112985652
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
917425.81000000
USD
98145442.00000000
JPY
2020-09-16
-7512.42000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02201A SWAPTION APR21 0.02 PUT
000000000
-1760000.00000000
NC
-21166.64000000
-0.00318343040
N/A
DIR
DE
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
1760000.00000000
OU
Notional Amount
N/A
-21166.64000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-04-07
0.00000000
N/A
0.00000000
N/A
1760000.00000000
EUR
1.00000000
0.02000000
EUR
2021-04-01
XXXX
25746.46000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214337 IRS EUR R F .02000 2 CCPVANILLA / Short: SR214337 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
500000.00000000
OU
Notional Amount
8497.14000000
0.001277956907
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2031-04-07
6218.08000000
EUR
0.00000000
EUR
500000.00000000
EUR
1466.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
38687.03000000
0.005818470359
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
5972678.90000000
USD
648892740.00000000
JPY
2020-07-22
38687.03000000
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAE3
750000.00000000
PA
USD
820950.00000000
0.123469629011
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214526 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214526 IRS USD P F .75000 2 CCPVANILLA
000000000
1940000.00000000
OU
Notional Amount
USD
94213.97000000
0.014169637521
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-09-16
173799.82000000
USD
0.00000000
USD
1940000.00000000
USD
-79585.85000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329KAK0
63800.63000000
PA
USD
66901.63000000
0.010061903205
Long
ABS-MBS
USGSE
US
N
2
2024-01-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-13525.39000000
-0.00203419804
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1201634.00000000
AUD
815939.53000000
USD
2020-09-16
-13525.39000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
827.82000000
0.000124502866
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
487540.33000000
USD
3467767.11000000
CNY
2020-09-16
827.82000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABJ3
950000.00000000
PA
USD
952745.50000000
0.143291471378
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
2.55000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
210000.00000000
PA
USD
233100.00000000
0.035057884795
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L5TJ2
12938.94000000
PA
USD
14218.50000000
0.002138440733
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214537 IRS AUD R F 1.50000 2 CCPVANILLA / Short: SR214537 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
11780000.00000000
OU
Notional Amount
466749.17000000
0.070198363921
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2030-09-16
476512.82000000
AUD
0.00000000
AUD
11780000.00000000
AUD
134953.40000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD89
41258.20000000
PA
USD
44731.00000000
0.006727474237
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
3084000.00000000
PA
USD
3711964.08000000
0.558273741230
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.33000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-20467.38000000
-0.00307826276
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
448098.33000000
USD
351222160.00000000
CLP
2020-07-03
-20467.38000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND SEP20 XEUR 20200908
000000000
-3.00000000
NC
-7891.62000000
-0.00118688762
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Buxl (FGBX)
UBU0 Comdty
2020-09-08
-648055.86000000
EUR
-7891.62000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD EUR
000000000
1.00000000
NC
N/A
343.09000000
0.000051600213
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
403321.12000000
EUR
616597.33000000
CAD
2020-09-16
343.09000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7L3
1503914.76000000
PA
USD
1617779.30000000
0.243311541499
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B8QW0
226247.56000000
PA
USD
46763.76000000
0.007033198243
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
5.92000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-133829.28000000
-0.02012771977
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
7211706000.00000000
KRW
5878852.55000000
USD
2020-07-23
-133829.28000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
700000.00000000
PA
USD
817579.00000000
0.122962635748
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
9938.32000000
0.001494708183
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2419126.61000000
BRL
454748.69000000
USD
2020-07-02
9938.32000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032674
5000000.00000000
PA
USD
5257812.50000000
0.790766987988
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
3.50000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
2250000.00000000
PA
USD
2513227.50000000
0.377985586269
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
000000000
400000.00000000
PA
428296.01000000
0.064415067253
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
1.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MKQH2
44080.62000000
PA
USD
48197.82000000
0.007248878682
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BDB6
1739950.56000000
PA
USD
156635.92000000
0.023557803681
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAC3
400000.00000000
PA
USD
432596.00000000
0.065061779197
Long
DBT
CORP
ES
N
2
2029-06-27
Fixed
3.31000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AK6
600000.00000000
PA
USD
789618.00000000
0.118757343956
Long
DBT
CORP
US
N
2
2048-12-15
Fixed
4.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MPDQ5
29281.23000000
PA
USD
32016.14000000
0.004815178668
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 NOK / SOLD USD
000000000
1.00000000
NC
-42973.91000000
-0.00646321057
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1118290.25000000
USD
10347204.23000000
NOK
2020-09-16
-42973.91000000
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAC8
200000.00000000
PA
USD
213524.00000000
0.032113684225
Long
DBT
CORP
NL
N
2
2028-04-24
Fixed
5.18000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-24746.03000000
-0.00372176520
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
742000.00000000
EUR
809688.95000000
USD
2020-08-12
-24746.03000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005903 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005903 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1000000.00000000
OU
Notional Amount
USD
9928.10000000
0.001493171111
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Chile Government International Bond
Chile Government International Bond
Y
sell protection
2024-12-20
22647.71000000
USD
0.00000000
USD
1000000.00000000
USD
-12719.61000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
1766.98000000
0.000265751099
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2530761314.00000000
CLP
3083098.39000000
USD
2020-07-03
1766.98000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBL8
1800000.00000000
PA
USD
1875780.00000000
0.282114453630
Long
DBT
CORP
GB
N
2
2026-05-07
Fixed
2.85000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312930J76
657.93000000
PA
USD
754.71000000
0.000113507233
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-123486.16000000
-0.01857213029
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
11010768.73000000
USD
9673886.05000000
EUR
2020-09-16
-123486.16000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02425A SWAPTION JUL20 0.103 CALL
000000000
-3500000.00000000
NC
-30289.72000000
-0.00455552773
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
3500000.00000000
OU
Notional Amount
N/A
-30289.72000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-07-15
0.00000000
N/A
0.00000000
N/A
3500000.00000000
EUR
1.00000000
-0.10300000
EUR
2020-07-13
XXXX
-10118.34000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02414A SWAPTION JUL20 0.86 CALL
000000000
-3800000.00000000
NC
USD
-82168.92000000
-0.01235808035
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3800000.00000000
OU
Notional Amount
N/A
-82168.92000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-07-10
0.00000000
N/A
0.00000000
N/A
3800000.00000000
USD
1.00000000
0.86000000
USD
2020-07-08
XXXX
-51008.92000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UYD3
213349.13000000
PA
USD
42877.05000000
0.006448642982
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Floating
5.96000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
22299.04000000
0.003353741636
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
10109669.43000000
MXN
457611.58000000
USD
2020-09-17
22299.04000000
N
N
N
FIDELITY NATL INFO SERV
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
000000000
400000.00000000
PA
452577.08000000
0.068066903181
Long
DBT
CORP
US
N
2
2023-05-21
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376MCG0
723289.92000000
PA
USD
90134.08000000
0.013556028283
Long
ABS-MBS
USGA
US
N
2
2046-10-20
Fixed
4.00000000
N
N
N
N
N
N
UBS AG
549300WOIFUSNYH0FL22
OPS02452A SWAPTION JUL20 0.172 CALL
000000000
-3500000.00000000
NC
-15796.63000000
-0.00237578908
N/A
DIR
DE
N
2
UBS AG
549300WOIFUSNYH0FL22
Call
Written
UBS AG
549300WOIFUSNYH0FL22
UBS AG
549300WOIFUSNYH0FL22
IRS Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
-15796.63000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-07-29
0.00000000
N/A
0.00000000
N/A
3500000.00000000
EUR
1.00000000
-0.17200000
EUR
2020-07-27
XXXX
1493.72000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AHF6
839961.96000000
PA
USD
144881.93000000
0.021790021496
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
6.01000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP20 XCBT 20200930
000000000
-323.00000000
NC
USD
-112611.83000000
-0.01693664763
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVU0 Comdty
2020-09-30
-40499591.30000000
USD
-112611.83000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
400000.00000000
PA
434513.46000000
0.065350162259
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-4809.49000000
-0.00072333996
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
431940.37000000
EUR
388258.24000000
GBP
2020-09-16
-4809.49000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XPM1
1976.06000000
PA
USD
2275.49000000
0.000342230228
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAE7
500000.00000000
PA
USD
560080.00000000
0.084235178533
Long
DBT
CORP
GB
N
2
2030-07-18
Fixed
3.96000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CA2
790000.00000000
PA
USD
855668.75000000
0.128691276106
Long
DBT
NUSS
ID
N
2
2027-07-18
Fixed
3.85000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS01720A SWAPTION AUG20 0.256 CALL
000000000
-1610000.00000000
NC
-5742.87000000
-0.00086371889
N/A
DIR
DE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
1610000.00000000
OU
Notional Amount
N/A
-5742.87000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-08-31
0.00000000
N/A
0.00000000
N/A
1610000.00000000
EUR
1.00000000
0.25600000
EUR
2020-08-27
XXXX
20681.19000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AK0
250000.00000000
PA
USD
239682.50000000
0.036047882764
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRXV8
21792.10000000
PA
USD
23827.51000000
0.003583621194
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAQ7
450000.00000000
PA
USD
491647.50000000
0.073943034812
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02369A SWAPTION NOV20 0.41 PUT
000000000
-4800000.00000000
NC
USD
-21522.72000000
-0.00323698429
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
4800000.00000000
OU
Notional Amount
N/A
-21522.72000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-11-25
0.00000000
N/A
0.00000000
N/A
4800000.00000000
USD
1.00000000
0.41000000
USD
2020-11-23
XXXX
12317.28000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT SEP20 XEUR 20200908
000000000
306.00000000
NC
33236.17000000
0.004998669321
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Schatz Futures (FGBS)
DUU0 Comdty
2020-09-08
34280667.28000000
EUR
33236.17000000
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
40414LAQ2
200000.00000000
PA
USD
218416.00000000
0.032849433571
Long
DBT
US
N
2
2026-07-15
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-365.60000000
-0.00005498568
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
424883.33000000
USD
576235.27000000
CAD
2020-09-16
-365.60000000
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBF5
200000.00000000
PA
USD
235644.00000000
0.035440498518
Long
DBT
CORP
US
N
2
2028-11-14
Fixed
4.25000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAD1
900000.00000000
PA
USD
971640.00000000
0.146133175386
Long
DBT
US
N
2
2025-11-01
Fixed
4.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMC60
7670547.93000000
PA
USD
8374925.99000000
1.259576106934
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BF2
150000.00000000
PA
USD
158352.00000000
0.023815899498
Long
DBT
CORP
US
N
2
2022-06-12
Fixed
4.00000000
N
N
N
N
N
N
DUKE ENERGY CAROLINAS
MWIUSDMN17TCR56VW396
Duke Energy Carolinas LLC
26442CAZ7
700000.00000000
PA
USD
786156.00000000
0.118236664432
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
3.20000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02113A SWAPTION AUG20 0.35 CALL
000000000
-15360000.00000000
NC
-36419.07000000
-0.00547737263
N/A
DIR
DE
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
15360000.00000000
OU
Notional Amount
N/A
-36419.07000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2025-08-17
0.00000000
N/A
0.00000000
N/A
15360000.00000000
EUR
1.00000000
-0.35000000
EUR
2020-08-13
XXXX
4046.59000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
2236.61000000
0.000336382735
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
7798337.18000000
ZAR
448059.27000000
USD
2020-09-16
2236.61000000
N
N
N
KFW
549300GDPG70E3MBBU98
Kreditanstalt fuer Wiederaufbau
000000000
3000000.00000000
PA
3630195.62000000
0.545975889447
Long
DBT
CORP
DE
N
2
2028-01-07
Fixed
0.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
4099.80000000
0.000616603672
N/A
DFE
IN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
389881.64000000
USD
29816978.18000000
INR
2020-07-15
4099.80000000
N
N
N
Logicor Financing Sarl
254900IS16Q1A2TQFN22
Logicor Financing Sarl
000000000
550000.00000000
PA
674038.51000000
0.101374364784
Long
DBT
CORP
LU
N
2
2028-11-13
Fixed
3.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LK75
1119.02000000
PA
USD
1283.68000000
0.000193063515
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138E23U7
101313.97000000
PA
USD
113118.36000000
0.017012828970
Long
ABS-MBS
USGSE
US
N
2
2041-12-01
Fixed
4.50000000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044DP3
1050000.00000000
PA
USD
1092073.50000000
0.164246190265
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.20000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2017-2
63939RAA2
4737452.92000000
PA
USD
4593286.54000000
0.690823296229
Long
ABS-O
CORP
US
N
2
2066-12-27
Floating
1.23000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) SEP20 XOSE 20200914
000000000
7.00000000
NC
1919.55000000
0.000288697394
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Long
Japan Government Ten Year Bond
JBU0 Comdty
2020-09-14
1062812737.00000000
JPY
1919.55000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-4229.24000000
-0.00063607125
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
544116687.00000000
KRW
449350.47000000
USD
2020-07-15
-4229.24000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418AFG8
8369.45000000
PA
USD
9409.69000000
0.001415203037
Long
ABS-MBS
USGSE
US
N
2
2042-04-01
Fixed
4.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
240000.00000000
PA
277981.88000000
0.041808051154
Long
DBT
NUSS
ID
N
2
2024-07-18
Fixed
2.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FTLA3
2946185.86000000
PA
USD
353418.56000000
0.053153612874
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297BBH4
1304.80000000
PA
USD
1502.52000000
0.000225976718
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAA2
900000.00000000
PA
USD
901674.00000000
0.135610395602
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.72000000
N
N
N
N
N
N
Trinitas CLO II Ltd
549300F7PKMA8LQYKG72
Trinitas CLO II Ltd
89640RAS8
184661.37000000
PA
USD
183927.16000000
0.027662364590
Long
ABS-CBDO
CORP
KY
N
2
2026-07-15
Floating
2.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-69744.91000000
-0.01048952818
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
599897538.00000000
JPY
5487727.69000000
USD
2020-07-22
-69744.91000000
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
000000000
500000.00000000
PA
558907.33000000
0.084058810752
Long
DBT
CORP
JP
N
2
2040-07-09
Fixed
2.00000000
N
N
N
N
N
N
KOREA TREASURY BOND
549300O0QCVSQGPGDT58
Korea Treasury Bond
000000000
2598070000.00000000
PA
2248667.44000000
0.338196156389
Long
DBT
NUSS
KR
N
2
2029-06-10
Fixed
1.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377DKS4
709540.01000000
PA
USD
136972.51000000
0.020600456781
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Floating
5.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416NFG2
7245.36000000
PA
USD
8160.67000000
0.001227352332
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPC0
2565825.68000000
PA
USD
2783966.02000000
0.418704247117
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412MRD2
28380.88000000
PA
USD
31812.31000000
0.004784522947
Long
ABS-MBS
USGSE
US
N
2
2038-05-01
Fixed
4.50000000
N
N
N
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT SEP20 XMOD 20200921
000000000
22.00000000
NC
3840.44000000
0.000577596323
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Canadian Government Bond
CNU0 Comdty
2020-09-21
3378386.22000000
CAD
3840.44000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RGL0
1600000.00000000
PA
USD
1827104.00000000
0.274793657404
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.10000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR213777 IRS BRL R F 5.75000 2 CCPNDFPREDISWAP / Short: SR213777 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
4050000.00000000
OU
Notional Amount
35680.42000000
0.005366280797
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2023-01-02
21741.80000000
BRL
0.00000000
BRL
4050000.00000000
BRL
30319.27000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCC4
5560536.70000000
PA
USD
5978929.83000000
0.899221935560
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AN2A4
1328792.59000000
PA
USD
264949.55000000
0.039848008581
Long
ABS-MBS
USGSE
US
N
2
2045-06-25
Floating
5.92000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468J1
900000.00000000
PA
USD
951462.00000000
0.143098434933
Long
DBT
CORP
US
N
2
2025-07-22
Fixed
2.72000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-4349.55000000
-0.00065416569
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
35034859.37000000
INR
458577.46000000
USD
2020-07-15
-4349.55000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214500 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214500 IRS GBP P F 1.00000 2 CCPVANILLA
000000000
5330000.00000000
OU
Notional Amount
-414497.80000000
-0.06233983749
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2030-09-16
0.00000000
GBP
-286437.21000000
GBP
5330000.00000000
GBP
-21573.96000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
4586.96000000
0.000689871794
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
402498.56000000
EUR
369109.29000000
GBP
2020-09-16
4586.96000000
N
N
N
London Wall Mortgage Capital
213800QSO8J75OTK5919
London Wall Mortgage Capital PLC
000000000
716741.03000000
PA
878471.95000000
0.132120842638
Long
ABS-MBS
CORP
GB
N
2
2049-11-15
Floating
1.14000000
N
N
N
N
N
N
ABU DHABI CRUDE OIL
549300DONDFW2383FV66
Abu Dhabi Crude Oil Pipeline LLC
00401MAB2
1260000.00000000
PA
USD
1493493.75000000
0.224619184169
Long
DBT
CORP
AE
N
2
2047-11-02
Fixed
4.60000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AWKF3
773553.82000000
PA
USD
153166.21000000
0.023035964584
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Floating
5.92000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-5763.11000000
-0.00086676296
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
449908.71000000
USD
364785982.00000000
CLP
2020-07-03
-5763.11000000
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
200000.00000000
PA
USD
217983.00000000
0.032784311031
Long
DBT
CORP
VG
N
2
2026-11-22
Fixed
4.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214508 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214508 IRS GBP P F 1.00000 2 CCPVANILLA
000000000
9840000.00000000
OU
Notional Amount
-601910.93000000
-0.09052648666
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2027-09-16
0.00000000
GBP
-379230.89000000
GBP
9840000.00000000
GBP
-117765.80000000
N
N
N
Credit Suisse Securities (Europe) Limited
DL6FFRRLF74S01HE2M14
Long: SR214327 IRS BRL R F 4.12000 CCPNDFPREDISWAP / Short: SR214327 IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
000000000
5550000.00000000
OU
Notional Amount
19576.89000000
0.002944334424
N/A
DIR
BR
N
2
Credit Suisse Securities (Europe) Limited
DL6FFRRLF74S01HE2M14
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2022-01-03
8692.07000000
BRL
0.00000000
BRL
5550000.00000000
BRL
30119.09000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-30809.00000000
-0.00463362665
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2121977.88000000
SGD
1491853.34000000
USD
2020-07-01
-30809.00000000
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBT1
505000.00000000
PA
USD
542294.25000000
0.081560228835
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.30000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Home Equity Loan Trust 2007-HE3
36186MAC5
43950.18000000
PA
USD
43557.99000000
0.006551055321
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
7.00000000
N
N
N
N
N
N
Venture CDO Ltd
549300VI1BOFEK7C6D74
Venture 39 CLO Ltd
92332TAB8
3475000.00000000
PA
USD
3363442.08000000
0.505856563518
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Variable
2.97000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
367900000.00000000
PA
3416197.25000000
0.513790860696
Long
DBT
NUSS
JP
N
1
2039-03-20
Fixed
0.40000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAD8
350000.00000000
PA
USD
349447.00000000
0.052556296302
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
1.65000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-167.15000000
-0.00002513910
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
590200.13000000
CAD
434638.62000000
USD
2020-09-16
-167.15000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-1945.36000000
-0.00029257917
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
456237.62000000
USD
3181025.56000000
TRY
2020-09-16
-1945.36000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAA6
210000.00000000
PA
USD
220303.13000000
0.033133255047
Long
DBT
CORP
NL
N
2
2030-01-21
Fixed
3.68000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EWA6
1682477.90000000
PA
USD
308870.13000000
0.046453596886
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Floating
5.41000000
N
N
N
N
N
N
APPLIED MATERIALS INC
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222AN5
650000.00000000
PA
USD
662772.50000000
0.099679974047
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
1.75000000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAH7
750000.00000000
PA
USD
786105.00000000
0.118228994109
Long
DBT
CORP
NL
N
2
2023-04-24
Fixed
4.44000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAD2
225000.00000000
PA
USD
226968.75000000
0.034135754138
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
4.75000000
N
N
N
N
N
N
UK TSY 3.5% 2045
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
1820000.00000000
PA
3712584.68000000
0.558367078524
Long
DBT
NUSS
GB
N
1
2045-01-22
Fixed
3.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02431A SWAPTION DEC20 0.053 CALL
000000000
-1220000.00000000
NC
-24958.52000000
-0.00375372337
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
1220000.00000000
OU
Notional Amount
N/A
-24958.52000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1220000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
-5943.47000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAA3
1400000.00000000
PA
USD
1383592.00000000
0.208090128441
Long
DBT
CORP
IE
N
2
2022-05-26
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-13784.78000000
-0.00207320990
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
490489.94000000
USD
2596957.85000000
BRL
2020-08-04
-13784.78000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OA1
126694A32
223744.94000000
PA
USD
188220.15000000
0.028308023744
Long
ABS-MBS
CORP
US
N
2
2046-03-20
Floating
0.40000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust 2006-6
41161UAE2
303426.86000000
PA
USD
280478.14000000
0.042183484855
Long
ABS-MBS
CORP
US
N
2
2036-08-19
Variable
3.86000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AT5
650000.00000000
PA
USD
718464.50000000
0.108055965982
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214564 IRS KRW R F 1.00000 CCPNDF / Short: SR214564 IRS KRW P V 03MLIBOR CCPNDF
000000000
2402600000.00000000
OU
Notional Amount
10485.07000000
0.001576938550
N/A
DIR
KR
N
2
LCH Limited
F226TOH6YD6XJB17KS62
South Korean Won 3 Month Certificate of Deposit Rates
KWCDC Index
Y
2030-09-16
0.00000000
KRW
-4499133.00000000
KRW
2402600000.00000000
KRW
14212.13000000
N
N
N
JM SMUCKER CO
5493000WDH6A0LHDJD55
J M Smucker Co/The
832696AH1
225000.00000000
PA
USD
233239.50000000
0.035078865382
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-20359.10000000
-0.00306197761
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
8019805077.87000000
IDR
530087.85000000
USD
2020-07-20
-20359.10000000
N
N
N
UBS AG
549300WOIFUSNYH0FL22
OPS02453A SWAPTION JUL20 0.172 PUT
000000000
-3500000.00000000
NC
-17249.59000000
-0.00259431205
N/A
DIR
DE
N
2
UBS AG
549300WOIFUSNYH0FL22
Put
Written
UBS AG
549300WOIFUSNYH0FL22
UBS AG
549300WOIFUSNYH0FL22
IRS Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
-17249.59000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-07-29
0.00000000
N/A
0.00000000
N/A
3500000.00000000
EUR
1.00000000
-0.17200000
EUR
2020-07-27
XXXX
40.76000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAD6
430000.00000000
PA
USD
379045.00000000
0.057007790399
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BZ1
3150000.00000000
PA
USD
3401653.50000000
0.511603502859
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
3.80000000
N
N
N
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
460000.00000000
OU
Notional Amount
USD
-5783.99000000
-0.00086990328
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
-538.72000000
USD
460000.00000000
USD
-5245.27000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
3472.11000000
0.000522200053
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
506923.50000000
USD
739402.84000000
AUD
2020-09-16
3472.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419CQT3
7147.25000000
PA
USD
8008.09000000
0.001204404533
Long
ABS-MBS
USGSE
US
N
2
2040-03-01
Fixed
4.50000000
N
N
N
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
0.00000000
PA
0.00000000
0.000000
Long
DBT
NUSS
JP
N
1
2022-05-01
Fixed
0.10000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR214240 IRS BRL R F 4.81050 CCPNDFPREDISWAP / Short: SR214240 IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
000000000
4875000.00000000
OU
Notional Amount
27165.27000000
0.004085615212
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
4875000.00000000
BRL
27165.27000000
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
Truist Bank
89788JAA7
800000.00000000
PA
USD
819704.00000000
0.123282232510
Long
DBT
CORP
US
N
2
2025-03-10
Fixed
1.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
6389.27000000
0.000960936471
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
454607.44000000
USD
33001317.89000000
RUB
2020-08-17
6389.27000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
773.59000000
0.000116346757
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
376369.26000000
EUR
342311.61000000
GBP
2020-09-16
773.59000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YR23
918385.36000000
PA
USD
140924.58000000
0.021194842086
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.01000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02456A SWAPTION JUL20 0.63 PUT
000000000
-3800000.00000000
NC
USD
-30016.20000000
-0.00451439074
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3800000.00000000
OU
Notional Amount
N/A
-30016.20000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-07-31
0.00000000
N/A
0.00000000
N/A
3800000.00000000
USD
1.00000000
0.63000000
USD
2020-07-29
XXXX
-2941.20000000
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAH9
80000.00000000
PA
USD
80000.00000000
0.012031878093
Long
DBT
CORP
US
N
2
2020-07-02
Fixed
2.80000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EM1
1200000.00000000
PA
USD
1220124.00000000
0.183504790338
Long
DBT
CORP
AU
N
2
2030-02-04
Fixed
2.89000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-6894.00000000
-0.00103684709
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3940499.44000000
TRY
555861.11000000
USD
2020-09-16
-6894.00000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DH7
2150000.00000000
PA
USD
2424877.50000000
0.364697880899
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.90000000
N
N
N
N
N
N
Pennsylvania Higher Education Assistance Agency
N/A
PHEAA Student Loan Trust 2016-1
69343FAA5
2268442.96000000
PA
USD
2219032.64000000
0.333739127627
Long
ABS-O
CORP
US
N
2
2065-09-25
Floating
1.33000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
550000.00000000
PA
USD
562122.00000000
0.084542292221
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.22000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02348A SWAPTION MAY21 0.49 PUT
000000000
-4700000.00000000
NC
USD
-33417.94000000
-0.00502600725
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
4700000.00000000
OU
Notional Amount
N/A
-33417.94000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-05-20
0.00000000
N/A
0.00000000
N/A
4700000.00000000
USD
1.00000000
0.49000000
USD
2021-05-18
XXXX
14052.06000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-3775.37000000
-0.00056780989
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
14594327.39000000
TWD
494053.06000000
USD
2020-07-15
-3775.37000000
N
N
N
Educational Services of America Inc
N/A
Edsouth Indenture No 10 LLC
28138JAA2
835344.43000000
PA
USD
822830.22000000
0.123752411234
Long
ABS-O
CORP
US
N
2
2056-12-25
Floating
1.18000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-5281.90000000
-0.00079438971
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1350714.38000000
USD
1826273.90000000
CAD
2020-09-16
-5281.90000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAF9
2350000.00000000
PA
USD
2533770.00000000
0.381075146965
Long
DBT
CORP
FR
N
2
2023-09-12
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A2K28
312637.82000000
PA
USD
58451.89000000
0.008791075185
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
6.37000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
17082.48000000
0.002569178961
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2393054.08000000
BRL
457098.83000000
USD
2020-07-02
17082.48000000
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBT9
100000.00000000
PA
USD
114080.00000000
0.017157458161
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAH6
1000000.00000000
PA
USD
1040370.00000000
0.156470062653
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
2.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GQY6
251621.44000000
PA
USD
45957.47000000
0.006911933456
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Floating
5.41000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR214587 IRS MXN R F 5.40000 2 CCPVANILLA / Short: SR214587 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
4040000.00000000
OU
Notional Amount
4277.41000000
0.000643315945
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Mexican Interbank Equilibrium Interest Rate
MXIBTIIE Index
Y
2025-09-11
34239.42000000
MXN
0.00000000
MXN
4040000.00000000
MXN
2771.72000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AHN6
200000.00000000
PA
USD
203598.00000000
0.030620828951
Long
DBT
CORP
FR
N
2
2024-03-25
Fixed
6.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
2510.82000000
0.000377623501
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
364075.19000000
GBP
453841.20000000
USD
2020-09-16
2510.82000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CU9
200000.00000000
PA
USD
215778.00000000
0.032452682391
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
4.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
4157.70000000
0.000625311744
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1678007831.41000000
COP
449602.87000000
USD
2020-07-27
4157.70000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJL7
100000.00000000
PA
USD
119392.00000000
0.017956374866
Long
DBT
CORP
US
N
2
2045-07-15
Fixed
4.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MTQ7
1388331.55000000
PA
USD
227551.43000000
0.034223388322
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Floating
5.52000000
N
N
N
N
N
N
KROGER CO
6CPEOKI6OYJ13Q6O7870
Kroger Co/The
501044DN8
550000.00000000
PA
USD
630547.50000000
0.094833383152
Long
DBT
CORP
US
N
2
2050-01-15
Fixed
3.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214408 IRS AUD R F 1.00000 2 CCPVANILLA / Short: SR214408 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
23220000.00000000
OU
Notional Amount
38911.39000000
0.005852213761
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2028-04-26
0.00000000
AUD
-82059.51000000
AUD
23220000.00000000
AUD
243485.95000000
N
N
N
ASTM SPA
8156003F2286CFA55E20
ASTM SpA
000000000
550000.00000000
PA
647986.80000000
0.097456227298
Long
DBT
CORP
IT
N
2
2024-02-13
Fixed
3.38000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBS7
2600000.00000000
PA
USD
3143218.00000000
0.472735197470
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
JAPAN (30 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Thirty Year Bond
000000000
596200000.00000000
PA
7266379.03000000
1.092852333387
Long
DBT
NUSS
JP
N
1
2034-09-20
Fixed
2.50000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBG3
1200000.00000000
PA
USD
1311492.00000000
0.197246398309
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
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
4960000.00000000
OU
Notional Amount
-3114.61000000
-0.00046843259
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2030-06-24
0.00000000
CAD
-7270.55000000
CAD
4960000.00000000
CAD
2213.51000000
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAP3
150000.00000000
PA
USD
168439.50000000
0.025333044126
Long
DBT
CORP
US
N
2
2025-04-13
Fixed
4.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MQTN3
30076.38000000
PA
USD
32885.56000000
0.004945938112
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AN3
1400000.00000000
PA
USD
1439550.00000000
0.216506126370
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.25000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02222A SWAPTION APR21 0.506 CALL
000000000
-3500000.00000000
NC
USD
-39386.55000000
-0.00592367710
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
-39386.55000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-04-08
0.00000000
N/A
0.00000000
N/A
3500000.00000000
USD
1.00000000
0.50600000
USD
2021-04-06
XXXX
-711.55000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
6549.15000000
0.000984982180
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
452294.06000000
USD
1725253077.17000000
COP
2020-07-06
6549.15000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138APHA9
22320.57000000
PA
USD
24921.20000000
0.003748110504
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BV0
100000.00000000
PA
USD
100427.00000000
0.015104067766
Long
DBT
CORP
DE
N
2
2021-01-13
Fixed
3.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128KRS54
7348.16000000
PA
USD
8448.96000000
0.001270710709
Long
ABS-MBS
USGSE
US
N
2
2037-02-01
Fixed
5.00000000
N
N
N
N
N
N
TELEFONICA EMISIONES SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
000000000
500000.00000000
PA
602246.33000000
0.090576930311
Long
DBT
CORP
ES
N
2
2029-03-12
Fixed
1.79000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419LZL0
9113.21000000
PA
USD
10146.72000000
0.001526051226
Long
ABS-MBS
USGSE
US
N
2
2040-12-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
27327.03000000
0.004109943670
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
327075667.00000000
CLP
425558.39000000
USD
2020-07-03
27327.03000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USW3
1592399.71000000
PA
USD
1726537.73000000
0.259668643642
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214437 IRS EUR R F .05000 2 CCPVANILLA / Short: SR214437 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
430000.00000000
OU
Notional Amount
6826.86000000
0.001026749341
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2031-10-26
3338.38000000
EUR
0.00000000
EUR
430000.00000000
EUR
3168.51000000
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AP2
650000.00000000
PA
USD
653620.50000000
0.098303527193
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.25000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CY4
575000.00000000
PA
USD
606153.50000000
0.091164562725
Long
DBT
CORP
US
N
2
2025-01-28
Fixed
2.38000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02202A SWAPTION APR21 0.02 CALL
000000000
-1760000.00000000
NC
-50922.15000000
-0.00765861376
N/A
DIR
DE
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
1760000.00000000
OU
Notional Amount
N/A
-50922.15000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-04-07
0.00000000
N/A
0.00000000
N/A
1760000.00000000
EUR
1.00000000
0.02000000
EUR
2021-04-01
XXXX
-4009.05000000
N
N
N
TOTAL CAPITAL INTL SA
549300U37G2I8G4RUG09
Total Capital International SA
89153VAU3
350000.00000000
PA
USD
380733.50000000
0.057261738226
Long
DBT
CORP
FR
N
2
2049-07-12
Fixed
3.46000000
N
N
N
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFR0
125000.00000000
PA
USD
151288.75000000
0.022753597461
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
200000.00000000
PA
USD
214625.00000000
0.032279272948
Long
DBT
CORP
VG
N
2
2026-06-03
Fixed
4.63000000
N
N
N
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AV0
600000.00000000
PA
USD
672282.00000000
0.101110188356
Long
DBT
CORP
US
N
2
2029-03-12
Fixed
4.88000000
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
11140000.00000000
OU
Notional Amount
USD
431527.95000000
0.064901146104
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-06-18
300989.27000000
USD
0.00000000
USD
11140000.00000000
USD
130538.68000000
N
N
N
WEA FINANCE LLC/WESTFIEL
N/A
WEA Finance LLC / Westfield UK & Europe Finance PLC
92890HAC6
400000.00000000
PA
USD
410788.00000000
0.061781889229
Long
DBT
US
N
2
2024-09-17
Fixed
3.75000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAU0
300000.00000000
PA
USD
325296.00000000
0.048924022704
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
3.80000000
N
N
N
N
N
N
CaixaBank SA
7CUNS533WID6K7DGFI87
CaixaBank SA
000000000
400000.00000000
PA
456050.94000000
0.068589366431
Long
DBT
CORP
ES
N
2
2024-05-17
Fixed
1.13000000
N
N
N
N
N
N
CHINA DEVELOPMENT BANK
300300C1020111000029
China Development Bank
000000000
590000.00000000
PA
84984.88000000
0.012781596449
Long
DBT
NUSS
CN
N
2
2029-05-21
Fixed
3.65000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-13494.77000000
-0.00202959284
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
456727.11000000
USD
1666556118.95000000
COP
2020-07-06
-13494.77000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
300000.00000000
PA
USD
319002.00000000
0.047977414695
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.63000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
1700000.00000000
PA
3503840.12000000
0.526972214791
Long
DBT
NUSS
FR
N
1
2041-04-25
Fixed
4.50000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
OPS02226A SWAPTION APR21 0.5 CALL
000000000
-5800000.00000000
NC
USD
-64190.34000000
-0.00965412932
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Call
Written
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
IRS Swap
N/A
5800000.00000000
OU
Notional Amount
N/A
-64190.34000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-04-08
0.00000000
N/A
0.00000000
N/A
5800000.00000000
USD
1.00000000
0.50000000
USD
2021-04-06
XXXX
1494.66000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT SEP20 XSFE 20200915
000000000
32.00000000
NC
28339.60000000
0.004262232655
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
10 Year Commonwealth Treasury Bond
XMU0 Comdty
2020-09-15
4706674.56000000
AUD
28339.60000000
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
6260000.00000000
OU
Notional Amount
USD
48012.32000000
0.007220979765
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2045-04-09
225.36000000
USD
0.00000000
USD
6260000.00000000
USD
47786.96000000
N
N
N
European Investment Bank
5493006YXS1U5GIHE750
European Investment Bank
000000000
3400000.00000000
PA
4208687.80000000
0.632980231796
Long
DBT
NUSS
XX
N
2
2028-01-14
Fixed
0.88000000
N
N
N
N
N
N
BIOGEN INC
W8J5WZB5IY3K0NDQT671
Biogen Inc
09062XAH6
1600000.00000000
PA
USD
1617088.00000000
0.243207571033
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214228 IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR214228 IRS GBP P F .30800 2 CCPOIS
000000000
10070000.00000000
OU
Notional Amount
-244022.22000000
-0.03670057003
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2030-06-17
0.00000000
GBP
-48163.18000000
GBP
10070000.00000000
GBP
71145.96000000
N
N
N
CHINA GOVERNMENT BOND
300300CHN201808MOF68
China Government Bond
000000000
20750000.00000000
PA
3061781.43000000
0.460487261438
Long
DBT
NUSS
CN
N
2
2049-07-22
Fixed
3.86000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HX33
3707.22000000
PA
USD
4252.71000000
0.000639601103
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR213686 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR213686 IRS GBP P F 1.50000 2 CCPVANILLA
000000000
1460000.00000000
OU
Notional Amount
-168878.25000000
-0.02539903145
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2040-06-19
0.00000000
GBP
-143550.14000000
GBP
1460000.00000000
GBP
20695.80000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B06N1
2986856.06000000
PA
USD
181184.48000000
0.027249869697
Long
ABS-MBS
USGSE
US
N
2
2048-03-25
Floating
2.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002829 CDS USD R F 1.00000 2I65BYDN2 / Short: SX002829 CDS USD P V 03MEVENT 2I65BYDN2
000000000
22525000.00000000
OU
Notional Amount
USD
70611.37000000
0.010619842448
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S28.V1
2I65BYDN2
Y
sell protection
2022-06-20
321484.10000000
USD
0.00000000
USD
22525000.00000000
USD
-250872.73000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
2365938.02000000
PA
USD
2571890.32000000
0.386808385004
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214535 IRS NOK R F .50000 2 CCPVANILLA / Short: SR214535 IRS NOK P V 06MNIBOR 1 CCPVANILLA
000000000
28970000.00000000
OU
Notional Amount
-26003.70000000
-0.00391091685
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Norwegian Interbank Offer Rate 6 Months
NIBOR6M Index
Y
2025-09-16
0.00000000
NOK
-273304.27000000
NOK
28970000.00000000
NOK
2313.45000000
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAA5
550000.00000000
PA
USD
565141.50000000
0.084996420420
Long
DBT
CORP
US
N
2
2040-02-15
Fixed
3.11000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214704 IRS CHF R F .00000 CCPVANILLA 0.5 NEG RATE / Short: SR214704 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
13830000.00000000
OU
Notional Amount
-83476.30000000
-0.01255470831
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2027-09-16
0.00000000
CHF
-76000.77000000
CHF
13830000.00000000
CHF
-3601.65000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02428A SWAPTION DEC20 0.053 CALL
000000000
-680000.00000000
NC
-13911.31000000
-0.00209223982
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
680000.00000000
OU
Notional Amount
N/A
-13911.31000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
680000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
-3312.76000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659X2D3
1250000.00000000
PA
USD
1351600.00000000
0.203278580391
Long
DBT
CORP
FR
N
2
2025-01-09
Fixed
3.38000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCN0
150000.00000000
PA
USD
164617.50000000
0.024758221150
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.40000000
N
N
N
N
N
N
Regions Financial Corp
CW05CS5KW59QTC0DG824
Regions Financial Corp
7591EPAP5
210000.00000000
PA
USD
228322.50000000
0.034339356075
Long
DBT
CORP
US
N
2
2023-08-14
Fixed
3.80000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAB0
300000.00000000
PA
USD
291666.00000000
0.043866121950
Long
DBT
CORP
US
N
2
2040-04-05
Fixed
3.38000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
70000.00000000
PA
73287.28000000
0.011022295234
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCS3
200000.00000000
PA
USD
222736.00000000
0.033499154988
Long
DBT
CORP
US
N
2
2029-01-17
Fixed
5.65000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2N2
2450000.00000000
PA
USD
2531242.00000000
0.380694939617
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.19000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
814.00000000
0.000122424359
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1687869887.62000000
COP
449714.88000000
USD
2020-07-06
814.00000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BTA2
1153342.27000000
PA
USD
185548.44000000
0.027906202631
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.86000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBK0
650000.00000000
PA
USD
734499.35000000
0.110467582987
Long
DBT
CORP
US
N
2
2049-09-06
Fixed
4.76000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02205A SWAPTION OCT20 0.35 CALL
000000000
-3120000.00000000
NC
-39315.22000000
-0.00591294917
N/A
DIR
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3120000.00000000
OU
Notional Amount
N/A
-39315.22000000
-0.01000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
3120000.00000000
GBP
1.00000000
0.35000000
GBP
2020-10-02
XXXX
-2186.73000000
N
N
N
MetLife Inc
C4BXATY60WC6XEOZDX54
MetLife Inc
59156RBH0
110000.00000000
PA
USD
121833.80000000
0.018323617866
Long
DBT
CORP
US
N
2
2024-04-10
Fixed
3.60000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE SEP20 XEUR 20200908
000000000
29.00000000
NC
38401.19000000
0.005775480459
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bund (FGBL)
RXU0 Comdty
2020-09-08
5074750.02000000
EUR
38401.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214061 IRS CNY R F 2.50000 CCPVANILLA / Short: SR214061 IRS CNY P V 03MLIBOR CCPVANILLA
000000000
59430000.00000000
OU
Notional Amount
66491.10000000
0.010000160118
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
China Interbank Repo Rate 3 Months
RP3M Index
Y
2025-06-17
1721800.31000000
CNY
0.00000000
CNY
59430000.00000000
CNY
-173956.15000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-2853.60000000
-0.00042917709
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1797025.18000000
PLN
401157.51000000
EUR
2020-09-16
-2853.60000000
N
N
N
BRITISH TELECOMMUNICATIO
549300OWFMSO9NYV4H90
British Telecommunications PLC
111021AL5
850000.00000000
PA
USD
1050005.00000000
0.157919151971
Long
DBT
CORP
GB
N
2
2028-12-04
Fixed
5.13000000
N
N
N
N
N
N
DH EUROPE FINANCE
222100KDGL314CKTZ511
DH Europe Finance II Sarl
000000000
800000.00000000
PA
865571.03000000
0.130180563929
Long
DBT
CORP
LU
N
2
2031-09-18
Fixed
0.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-27869.22000000
-0.00419148822
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
457831.32000000
USD
2338373.47000000
BRL
2020-07-02
-27869.22000000
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BG3
700000.00000000
PA
USD
769510.00000000
0.115733131397
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
3.40000000
N
N
N
N
N
N
JAPAN (2 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Two Year Bond
000000000
2913000000.00000000
PA
27107963.88000000
4.076996459628
Long
DBT
NUSS
JP
N
1
2022-06-01
Fixed
0.10000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAF8
800000.00000000
PA
USD
1134928.00000000
0.170691441762
Long
DBT
CORP
US
N
2
2035-06-15
Fixed
5.65000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAF8
1050000.00000000
PA
USD
1182310.50000000
0.177817697560
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAG8
250000.00000000
PA
USD
272872.50000000
0.041039608188
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
5553.31000000
0.000835209361
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
182818.43000000
USD
708278817.87000000
COP
2020-07-06
5553.31000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418ACX4
63438.22000000
PA
USD
70829.59000000
0.010652662403
Long
ABS-MBS
USGSE
US
N
2
2042-01-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
8019.58000000
0.001206132611
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
32157917.89000000
RUB
457234.80000000
USD
2020-08-17
8019.58000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAP1
305000.00000000
PA
USD
326551.30000000
0.049112817911
Long
DBT
CORP
US
N
2
2024-04-23
Fixed
3.56000000
N
N
N
N
N
N
Elmwood CLO IV Ltd
N/A
Elmwood CLO IV Ltd
29002GAB7
5300000.00000000
PA
USD
5172916.60000000
0.777998773995
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
2.42000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-20086.94000000
-0.00302104516
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
366520.20000000
USD
1884097.09000000
BRL
2020-07-02
-20086.94000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TSJ5
366539.80000000
PA
USD
396639.43000000
0.059653965861
Long
ABS-MBS
USGA
US
N
2
2048-02-20
Fixed
4.50000000
N
N
N
N
N
N
Voya CLO Ltd
549300KSCKXTOBY0IP86
Voya CLO 2019-1 Ltd
92917NAJ7
2100000.00000000
PA
USD
2036185.20000000
0.306239151280
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
2.28000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02221A SWAPTION APR21 0.506 PUT
000000000
-3500000.00000000
NC
USD
-20272.00000000
-0.00304887790
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
3500000.00000000
OU
Notional Amount
N/A
-20272.00000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-04-08
0.00000000
N/A
0.00000000
N/A
3500000.00000000
USD
1.00000000
0.50600000
USD
2021-04-06
XXXX
18403.00000000
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
000000000
550000.00000000
PA
637828.12000000
0.095928377306
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
1.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
11600.88000000
0.001744754674
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3576107.74000000
BRL
669148.03000000
USD
2020-07-02
11600.88000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02399A SWAPTION JUL20 0.129 PUT
000000000
-3500000.00000000
NC
-1355.45000000
-0.00020385761
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
3500000.00000000
OU
Notional Amount
N/A
-1355.45000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-07-07
0.00000000
N/A
0.00000000
N/A
3500000.00000000
EUR
1.00000000
-0.12900000
EUR
2020-07-03
XXXX
16807.75000000
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
50000.00000000
PA
USD
41500.00000000
0.006241536761
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
Vodafone Group PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
1000000.00000000
PA
USD
1187420.00000000
0.178586158574
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.38000000
N
N
N
N
N
N
Tower Bridge Funding
213800PP6P7OPYHE7T05
Tower Bridge Funding No.1 PLC
000000000
424232.47000000
PA
524966.50000000
0.078954161640
Long
ABS-MBS
CORP
GB
N
2
2056-03-20
Floating
1.18000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BW8
1000000.00000000
PA
USD
1116660.00000000
0.167943962400
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
3.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214539 IRS CHF R F .00000 CCPVANILLA / Short: SR214539 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
3940000.00000000
OU
Notional Amount
3413.32000000
0.000513358126
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2025-09-16
5444.65000000
CHF
0.00000000
CHF
3940000.00000000
CHF
-2354.63000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YXT6
1189251.81000000
PA
USD
168619.61000000
0.025360132396
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.91000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
1350000.00000000
PA
USD
1413463.50000000
0.212582756522
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
3.37000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-94779.51000000
-0.01425469387
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
914012.35000000
USD
4455444.60000000
BRL
2020-07-02
-94779.51000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214219 IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR214219 IRS GBP P F .57000 2 CCPOIS
000000000
6090000.00000000
OU
Notional Amount
-349637.89000000
-0.05258500586
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2030-03-18
12661.25000000
GBP
0.00000000
GBP
6090000.00000000
GBP
-364267.30000000
N
N
N
BONOS Y OBLIG DEL ESTADO
9598007A56S18711AH60
Spain Government Bond
000000000
2075000.00000000
PA
3166156.32000000
0.476185085844
Long
DBT
NUSS
ES
N
2
2026-07-30
Fixed
5.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7M1
920861.91000000
PA
USD
1005338.47000000
0.151201373923
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
5.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
625000.00000000
PA
USD
861112.50000000
0.129510007811
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ABDT7
161339.15000000
PA
USD
203983.68000000
0.030678834635
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.00000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2004-HYB5
12669F3A9
20189.54000000
PA
USD
19771.54000000
0.002973609487
Long
ABS-MBS
CORP
US
N
2
2035-04-20
Variable
4.12000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
OPS02217A SWAPTION OCT20 0.35 CALL
000000000
-4059999.99000000
NC
-52422.40000000
-0.00788424907
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
4059999.99000000
OU
Notional Amount
N/A
-52422.40000000
-0.01000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
4059999.99000000
GBP
0.99999999
0.35000000
GBP
2020-10-02
XXXX
-7617.07000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-1309.66000000
-0.00019697086
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
278159.00000000
USD
2663975.75000000
NOK
2020-09-16
-1309.66000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022683
17000000.00000000
PA
USD
17681994.10000000
2.659344968290
Long
ABS-MBS
USGSE
US
N
2
2050-08-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312930J43
896.82000000
PA
USD
1032.68000000
0.000155313498
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
4708.88000000
0.000708208376
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2456230.64000000
BRL
456341.65000000
USD
2020-07-02
4708.88000000
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBY0
550000.00000000
PA
USD
642972.00000000
0.096702009020
Long
DBT
CORP
US
N
2
2060-04-01
Fixed
3.85000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR211154 IRS CAD R F 2.75000 2 CCPVANILLA / Short: SR211154 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
8010000.00000000
OU
Notional Amount
472639.56000000
0.071084269601
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2028-06-21
0.00000000
CAD
-67439.39000000
CAD
8010000.00000000
CAD
524835.04000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137F5BA6
792194.82000000
PA
USD
93825.73000000
0.014111246817
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Floating
6.02000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: CS005536 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005536 CDS USD P F 1.00000 2 CORPORATE
000000000
100000.00000000
OU
Notional Amount
USD
-850.97000000
-0.00012798459
N/A
DCR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
0.00000000
USD
-4.61000000
USD
100000.00000000
USD
-846.36000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
30332.23000000
0.004561921170
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2312998.38000000
BRL
455628.56000000
USD
2020-07-02
30332.23000000
N
N
N
AUST & NZ BANKING GROUP
JHE42UYNWWTJB8YTTU19
Australia & New Zealand Banking Group Ltd
052528AL0
750000.00000000
PA
USD
764925.00000000
0.115043554384
Long
DBT
CORP
AU
N
2
2030-07-22
Fixed
2.95000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
1450000.00000000
PA
USD
1567856.00000000
0.235803153254
Long
DBT
CORP
FR
N
2
2025-01-09
Fixed
3.38000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BN6
350000.00000000
PA
USD
483546.00000000
0.072724581558
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
6.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416CJ56
56637.56000000
PA
USD
59124.17000000
0.008892185072
Long
ABS-MBS
USGSE
US
N
2
2025-01-01
Fixed
5.00000000
N
N
N
N
N
N
NEW YORK LIFE INSURANCE
TAE73CY392TBWJ3O3305
New York Life Insurance Co
64952GAT5
450000.00000000
PA
USD
507793.50000000
0.076371368609
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.75000000
N
N
N
N
N
N
DEUTSCHE TELEKOM AG
549300V9QSIG4WX4GJ96
Deutsche Telekom AG
251566AA3
500000.00000000
PA
USD
551710.00000000
0.082976343287
Long
DBT
CORP
DE
N
2
2050-01-21
Fixed
3.63000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02420A SWAPTION DEC20 0.053 CALL
000000000
-1320000.00000000
NC
-27004.30000000
-0.00406140557
N/A
DIR
DE
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
1320000.00000000
OU
Notional Amount
N/A
-27004.30000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1320000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
-6486.44000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AGL89
50176.52000000
PA
USD
56022.73000000
0.008425733222
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-4336.92000000
-0.00065226615
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
419016.71000000
USD
44728357.00000000
JPY
2020-09-16
-4336.92000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02349A SWAPTION MAY21 0.49 CALL
000000000
-4700000.00000000
NC
USD
-52074.59000000
-0.00783193898
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
4700000.00000000
OU
Notional Amount
N/A
-52074.59000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-05-20
0.00000000
N/A
0.00000000
N/A
4700000.00000000
USD
1.00000000
0.49000000
USD
2021-05-18
XXXX
-4604.59000000
N
N
N
SINGAPORE GOVERNMENT
549300ZSV6VOGFH1ER70
Singapore Government Bond
000000000
2150000.00000000
PA
1648137.92000000
0.247877431686
Long
DBT
NUSS
SG
N
2
2023-07-01
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-5860.54000000
-0.00088141628
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
450113.95000000
USD
1670395374.15000000
COP
2020-07-06
-5860.54000000
N
N
N
EMERSON ELECTRIC CO
FGLT0EWZSUIRRITFOA30
Emerson Electric Co
291011BN3
1600000.00000000
PA
USD
1638048.00000000
0.246359923093
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.95000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDD1
300000.00000000
PA
USD
334656.00000000
0.050331752441
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.95000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE SEP20 XEUR 20200908
000000000
51.00000000
NC
211352.31000000
0.031787065359
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Long-Term Euro-BTP (FBTP)
IKU0 Comdty
2020-09-08
7137010.38000000
EUR
211352.31000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040677
1000000.00000000
PA
USD
1059492.20000000
0.159346012394
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ECUR2
8921.33000000
PA
USD
10167.13000000
0.001529120859
Long
ABS-MBS
USGSE
US
N
2
2042-03-01
Fixed
4.50000000
N
N
N
N
N
N
JAPAN (20 YEAR ISSUE)
353800WZS8AXZXFUC241
Japan Government Twenty Year Bond
000000000
179950000.00000000
PA
1635174.28000000
0.245927719984
Long
DBT
NUSS
JP
N
1
2039-12-20
Fixed
0.30000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
310000.00000000
PA
USD
445721.88000000
0.067035891547
Long
DBT
CORP
LU
N
2
2037-08-16
Fixed
7.29000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381Y7J7
1164806.74000000
PA
USD
145000.15000000
0.021807801604
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
63105.27000000
0.009490936446
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6533408.32000000
BRL
1262396.78000000
USD
2020-08-04
63105.27000000
N
N
N
Whitehorse Ltd
549300GKZTMG24SVKU49
WhiteHorse VIII Ltd
96524WAS3
546887.91000000
PA
USD
539018.19000000
0.081067514404
Long
ABS-CBDO
CORP
KY
N
2
2026-05-01
Floating
1.59000000
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
4825000.00000000
OU
Notional Amount
31313.48000000
0.004709499675
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Brazil Cetip DI Interbank Deposit Rate
BZDIOVRA Index
Y
2025-01-02
52538.15000000
BRL
0.00000000
BRL
4825000.00000000
BRL
21593.57000000
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017DB2
27000.00000000
PA
USD
29197.26000000
0.004391223412
Long
DBT
CORP
US
N
2
2023-08-16
Fixed
3.65000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR213540 IRS AUD R F 1.75000 2 CCPVANILLA / Short: SR213540 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
8430000.00000000
OU
Notional Amount
126307.03000000
0.018996384841
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2030-03-19
168115.42000000
AUD
0.00000000
AUD
8430000.00000000
AUD
253283.86000000
N
N
N
M&G PLC
254900TWUJUQ44TQJY84
M&G PLC
000000000
100000.00000000
PA
137748.33000000
0.020717138926
Long
DBT
CORP
GB
N
2
2063-12-19
Fixed
6.34000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAQ0
525546.94000000
PA
USD
544979.77000000
0.081964126951
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
2.90000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02337A SWAPTION AUG20 0.34 CALL
000000000
-3360000.00000000
NC
-26681.43000000
-0.00401284641
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
3360000.00000000
OU
Notional Amount
N/A
-26681.43000000
0.00000000
DIR
US
London Interbank Offer Rate 6 Months
BP0006M Index
2030-08-13
0.00000000
N/A
0.00000000
N/A
3360000.00000000
GBP
1.00000000
0.34000000
GBP
2020-08-13
XXXX
-6150.99000000
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAX6
100000.00000000
PA
USD
101029.00000000
0.015194607648
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
4.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02435A SWAPTION JUL20 0.695 CALL
000000000
-3800000.00000000
NC
USD
-30227.10000000
-0.00454610977
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
3800000.00000000
OU
Notional Amount
N/A
-30227.10000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2030-07-17
0.00000000
N/A
0.00000000
N/A
3800000.00000000
USD
1.00000000
0.69500000
USD
2020-07-15
XXXX
1.90000000
N
N
N
CHUBB INA HOLDINGS INC
CZCBJZWDMLTHWJDXU843
Chubb INA Holdings Inc
000000000
100000.00000000
PA
113230.78000000
0.017029736767
Long
DBT
CORP
US
N
2
2027-06-15
Fixed
0.88000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
26160000.00000000
PA
401125.51000000
0.060328665456
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
OPS02225A SWAPTION APR21 0.5 PUT
000000000
-5800000.00000000
NC
USD
-34251.32000000
-0.00515134633
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Put
Written
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
IRS Swap
N/A
5800000.00000000
OU
Notional Amount
N/A
-34251.32000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-04-08
0.00000000
N/A
0.00000000
N/A
5800000.00000000
USD
1.00000000
0.50000000
USD
2021-04-06
XXXX
31433.68000000
N
N
N
JM SMUCKER CO
5493000WDH6A0LHDJD55
J M Smucker Co/The
832696AS7
1400000.00000000
PA
USD
1431836.00000000
0.215345952525
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.38000000
N
N
N
N
N
N
innogy Finance BV
5299005PIU82TA2PW123
innogy Finance BV
000000000
250000.00000000
PA
504450.23000000
0.075868545895
Long
DBT
CORP
NL
N
2
2039-07-06
Fixed
6.13000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02430A SWAPTION DEC20 0.053 PUT
000000000
-1220000.00000000
NC
-11742.94000000
-0.00176612028
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
1220000.00000000
OU
Notional Amount
N/A
-11742.94000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1220000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
7272.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6A9
578230.87000000
PA
USD
639900.90000000
0.096240120259
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.50000000
N
N
N
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
000000000
150000.00000000
PA
166356.02000000
0.025019691909
Long
DBT
CORP
US
N
2
2031-10-01
Fixed
0.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312938XT5
21033.51000000
PA
USD
24080.71000000
0.003621702089
Long
ABS-MBS
USGSE
US
N
2
2040-01-01
Fixed
5.00000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BK9
750000.00000000
PA
USD
851482.50000000
0.128061670485
Long
DBT
CORP
JP
N
2
2039-07-18
Fixed
3.75000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02334A SWAPTION MAY21 0.448 PUT
000000000
-4700000.00000000
NC
USD
-37018.14000000
-0.00556747184
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
4700000.00000000
OU
Notional Amount
N/A
-37018.14000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-05-14
0.00000000
N/A
0.00000000
N/A
4700000.00000000
USD
1.00000000
0.44800000
USD
2021-05-12
XXXX
12308.36000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030678
1000000.00000000
PA
USD
1052773.40000000
0.158335515112
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
OPS02258A SWAPTION OCT20 0.35 CALL
000000000
-7950000.00000000
NC
-112176.55000000
-0.01687118218
N/A
DIR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Call
Written
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
IRS Swap
N/A
7950000.00000000
OU
Notional Amount
N/A
-112176.55000000
-0.02000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-21
0.00000000
N/A
0.00000000
N/A
7950000.00000000
GBP
1.00000000
0.35000000
GBP
2020-10-21
XXXX
-29799.52000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANZG1
44291.87000000
PA
USD
49126.03000000
0.007388480052
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416RH63
7597.02000000
PA
USD
8556.76000000
0.001286923664
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
4.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBW8
1200000.00000000
PA
USD
1316712.00000000
0.198031478355
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ABYE3
10270.13000000
PA
USD
11466.73000000
0.001724578718
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
4.50000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBQ7
500000.00000000
PA
USD
605085.00000000
0.091003861953
Long
DBT
CORP
US
N
2
2050-04-02
Fixed
5.28000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6UY2
3909.15000000
PA
USD
4484.20000000
0.000674416846
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAG5
200000.00000000
PA
USD
206200.00000000
0.031012165786
Long
DBT
NUSS
MX
N
2
2050-01-31
Fixed
4.50000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DL1
600000.00000000
PA
USD
721746.00000000
0.108549498581
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAE1
1850000.00000000
PA
USD
2058310.00000000
0.309566687485
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214521 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214521 IRS USD P F .50000 2 CCPVANILLA
000000000
47430000.00000000
OU
Notional Amount
USD
-384723.70000000
-0.05786185822
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-09-16
0.00000000
USD
-283334.81000000
USD
47430000.00000000
USD
-101388.89000000
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
000000000
700000.00000000
PA
817443.68000000
0.122942283826
Long
DBT
CORP
NL
N
2
2028-01-18
Fixed
2.88000000
N
N
N
N
N
N
UK TSY 3 1/2% 2068
ECTRVYYCEF89VWYS6K36
United Kingdom Gilt
000000000
710000.00000000
PA
1972046.76000000
0.296592827640
Long
DBT
NUSS
GB
N
1
2068-07-22
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AES0
822818.95000000
PA
USD
98023.74000000
0.014742621124
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
1157.38000000
0.000174068188
N/A
DFE
KR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
474737.55000000
USD
570886146.00000000
KRW
2020-07-15
1157.38000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3427.77000000
0.000515531384
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
390410.54000000
EUR
442807.54000000
USD
2020-09-16
3427.77000000
N
N
N
THAILAND GOVERNMENT BOND
254900PHJ6MSKT6C7026
Thailand Government Bond
000000000
126490000.00000000
PA
4193597.67000000
0.630710699238
Long
DBT
NUSS
TH
N
2
2022-06-17
Fixed
1.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214162 IRS CHF R F .00000 CCPVANILLA / Short: SR214162 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
12330000.00000000
OU
Notional Amount
-265592.45000000
-0.03994469976
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2030-06-17
0.00000000
CHF
-195355.97000000
CHF
12330000.00000000
CHF
-51944.91000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02270A SWAPTIONS OCT21 0.05 PUT
000000000
-1000000.00000000
NC
-19476.65000000
-0.00292925848
N/A
DIR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
1000000.00000000
OU
Notional Amount
N/A
-19476.65000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-10-26
0.00000000
N/A
0.00000000
N/A
1000000.00000000
EUR
1.00000000
0.05000000
EUR
2021-10-22
XXXX
10684.09000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-201446.13000000
-0.03029719098
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
209339553.24000000
THB
6570710.56000000
USD
2020-09-16
-201446.13000000
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
1000000.00000000
PA
USD
1109240.00000000
0.166828005707
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
KOREA TREASURY ILB
549300O0QCVSQGPGDT58
Inflation Linked Korea Treasury Bond
000000000
1825118988.00000000
PA
1520008.44000000
0.228606953141
Long
DBT
NUSS
KR
N
2
2026-06-10
Fixed
1.00000000
N
N
N
N
N
N
Tower Bridge Funding
21380047RBYCB9KTR712
Tower Bridge Funding NO 2 PLC
000000000
662805.54000000
PA
818316.25000000
0.123073517025
Long
ABS-MBS
CORP
GB
N
2
2056-03-20
Floating
1.08000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02410A SWAPTION SEP20 0.60 PUT
000000000
-19200000.00000000
NC
USD
-7215.36000000
-0.00108517914
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
19200000.00000000
OU
Notional Amount
N/A
-7215.36000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-09-10
0.00000000
N/A
0.00000000
N/A
19200000.00000000
USD
1.00000000
0.60000000
USD
2020-09-08
XXXX
61664.64000000
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAD0
450000.00000000
PA
USD
483723.00000000
0.072751202088
Long
DBT
CORP
XX
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AQC3
646870.50000000
PA
USD
96209.24000000
0.014469723089
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
5.96000000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CL6
500000.00000000
PA
USD
544390.00000000
0.081875426442
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.88000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005376 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005376 CDS USD P F 1.00000 2 CORPORATE
000000000
13280000.00000000
OU
Notional Amount
USD
-56030.98000000
-0.00842697401
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2020-12-20
9483.67000000
USD
0.00000000
USD
13280000.00000000
USD
-65514.65000000
N
N
N
GENERAL DYNAMICS CORP
9C1X8XOOTYY2FNYTVH06
General Dynamics Corp
369550BJ6
200000.00000000
PA
USD
258400.00000000
0.038862966242
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
Vodafone Group PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBH2
1550000.00000000
PA
USD
1696010.00000000
0.255077319569
Long
DBT
CORP
GB
N
2
2024-01-16
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USU7
2972781.86000000
PA
USD
3152172.30000000
0.474081910545
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.00000000
N
N
N
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBA1
1150000.00000000
PA
USD
1154232.00000000
0.173594733946
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
3.25000000
N
N
N
N
N
N
BRITISH COLUMBIA PROV OF
54930058TO7MEKUHWL16
Province of British Columbia Canada
11070TAF5
2600000.00000000
PA
2107003.54000000
0.316890121701
Long
DBT
NUSS
CA
N
1
2025-06-18
Fixed
2.85000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-3320.76000000
-0.00049943724
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
14880278.93000000
TWD
508136.83000000
USD
2020-09-16
-3320.76000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2193295.33000000
-0.32986827542
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
56872028.56000000
EUR
61763591.74000000
USD
2020-08-12
-2193295.33000000
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BD2
200000.00000000
PA
USD
215812.00000000
0.032457795939
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.88000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBX5
500000.00000000
PA
USD
566760.00000000
0.085239840354
Long
DBT
CORP
US
N
2
2025-01-23
Fixed
4.15000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAP6
2149000.00000000
PA
USD
2170318.08000000
0.326412532036
Long
DBT
CORP
IE
N
2
2022-07-01
Fixed
4.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD AUD
000000000
1.00000000
NC
N/A
-16520.26000000
-0.00248462192
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1335119.80000000
AUD
97624894.00000000
JPY
2020-09-16
-16520.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-16452.21000000
-0.00247438731
N/A
DFE
MX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
447824.15000000
USD
10018153.15000000
MXN
2020-09-17
-16452.21000000
N
N
N
AEP Transmission Co LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAM1
150000.00000000
PA
USD
173833.50000000
0.026144293507
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.65000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-6274.24000000
-0.00094363613
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1859396.75000000
USD
2515678.27000000
CAD
2020-07-16
-6274.24000000
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAH7
650000.00000000
PA
USD
661375.00000000
0.099469792177
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.49000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-19773.67000000
-0.00297392983
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2563302.26000000
TRY
353149.77000000
USD
2020-07-13
-19773.67000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-7843.10000000
-0.00117959028
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
456364.23000000
USD
361809.05000000
GBP
2020-09-16
-7843.10000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
3959.55000000
0.000595510286
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
677245.30000000
EUR
765572.99000000
USD
2020-08-12
3959.55000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128L0HG0
260.92000000
PA
USD
298.57000000
0.000044904473
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417L5D3
19115.83000000
PA
USD
21418.20000000
0.003221264642
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
BAT INTL FINANCE PLC
21380041YBGOQDFAC823
BAT International Finance PLC
05530QAL4
200000.00000000
PA
USD
209194.00000000
0.031462458823
Long
DBT
CORP
GB
N
2
2022-06-15
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050676
2000000.00000000
PA
USD
2184275.00000000
0.328511631536
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
5.00000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CG2
255000.00000000
PA
USD
270243.90000000
0.040644270754
Long
DBT
CORP
US
N
2
2024-07-30
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
9343.15000000
0.001405195522
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6033293771.08000000
IDR
423444.01000000
USD
2020-07-20
9343.15000000
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAE7
300000.00000000
PA
USD
321147.00000000
0.048300019426
Long
DBT
CORP
FR
N
2
2023-04-24
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296JQB5
326.66000000
PA
USD
374.73000000
0.000056358820
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
EAST OHIO GAS CO/THE
BC95Y6MXLT75BGO7UM71
East Ohio Gas Co/The
27409LAC7
200000.00000000
PA
USD
199930.00000000
0.030069167340
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B9HA6
303505.09000000
PA
USD
53508.65000000
0.008047619421
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Floating
5.87000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FUAM6
2471000.00000000
PA
USD
466698.26000000
0.070190707135
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Floating
5.91000000
N
N
N
N
N
N
New Hampshire Higher Education Loan Corp
254900HSRKF2XFNCHT93
NEW HAMPSHIRE ST HGR EDU LOAN CORP
644617AC6
2391989.68000000
PA
USD
2260689.30000000
0.340004225814
Long
DBT
MUN
US
N
2
2037-10-25
Variable
1.84000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138A2JK6
102735.59000000
PA
USD
114386.59000000
0.017203568830
Long
ABS-MBS
USGSE
US
N
2
2041-01-01
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR211059 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR211059 IRS EUR P F 1.50000 2 CCPVANILLA
000000000
5050000.00000000
OU
Notional Amount
-488212.74000000
-0.07342645214
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2028-06-21
8322.46000000
EUR
0.00000000
EUR
5050000.00000000
EUR
-429056.13000000
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
2630000.00000000
OU
Notional Amount
USD
143754.75000000
0.021620495342
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2040-06-19
127948.52000000
USD
0.00000000
USD
2630000.00000000
USD
15806.23000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214507 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214507 IRS GBP P F 1.00000 2 CCPVANILLA
000000000
910000.00000000
OU
Notional Amount
-42985.22000000
-0.00646491158
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2025-09-16
0.00000000
GBP
-34206.96000000
GBP
910000.00000000
GBP
-493.30000000
N
N
N
PROLOGIS EURO FINANCE
549300MI5D1784PRQH06
Prologis Euro Finance LLC
000000000
800000.00000000
PA
870577.34000000
0.130933505324
Long
DBT
US
N
2
2035-02-06
Fixed
1.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214414 IRS CHF R F .34500 CCPVANILLA / Short: SR214414 IRS CHF P V 12MLIBOR CCPVANILLA
000000000
4610000.00000000
OU
Notional Amount
7626.48000000
0.001147010970
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 12 Months
SF00012M Index
Y
2027-04-28
2717.50000000
CHF
0.00000000
CHF
4610000.00000000
CHF
49800.40000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02368A SWAPTION NOV20 0.41 CALL
000000000
-4800000.00000000
NC
USD
-33514.08000000
-0.00504046656
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
4800000.00000000
OU
Notional Amount
N/A
-33514.08000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-11-25
0.00000000
N/A
0.00000000
N/A
4800000.00000000
USD
1.00000000
0.41000000
USD
2020-11-23
XXXX
325.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-198.70000000
-0.00002988417
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
425905.89000000
USD
402406.53000000
CHF
2020-09-16
-198.70000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UML3
2247639.16000000
PA
USD
2390295.24000000
0.359496761692
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAA7
240000.00000000
PA
USD
257680.80000000
0.038754799658
Long
DBT
US
N
2
2024-04-01
Fixed
4.60000000
N
N
N
N
N
N
REPUBLIC OF AUSTRIA
529900QWWUI4XRVR7I03
Republic of Austria Government Bond
000000000
280000.00000000
PA
345427.58000000
0.051951781659
Long
DBT
NUSS
AT
N
2
2120-06-30
Fixed
0.85000000
N
N
N
N
N
N
OBRIGACOES DO TESOURO
549300P6U1FJ3IMP7K42
Portugal Obrigacoes do Tesouro OT
000000000
1200000.00000000
PA
1535639.65000000
0.230957863306
Long
DBT
NUSS
PT
N
2
2029-06-15
Fixed
1.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-10543.35000000
-0.00158570377
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
560043601.00000000
KRW
456381.18000000
USD
2020-09-02
-10543.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
3935.11000000
0.000591834547
N/A
DFE
KR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
448529.10000000
USD
542778520.00000000
KRW
2020-07-15
3935.11000000
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427AS7
1350000.00000000
PA
USD
1395616.50000000
0.209898594917
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YRQ0
422717.50000000
PA
USD
64437.96000000
0.009691370991
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Floating
6.01000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
17943.46000000
0.002698669041
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
7371323.08000000
PLN
1881579.55000000
USD
2020-09-16
17943.46000000
N
N
N
CATERPILLAR INC
WRJR7GS4GTRECRRTVX92
Caterpillar Inc
149123CJ8
250000.00000000
PA
USD
279382.50000000
0.042018702268
Long
DBT
CORP
US
N
2
2050-04-09
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-2663.52000000
-0.00040058934
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
456451.10000000
USD
1706243881.12000000
COP
2020-07-06
-2663.52000000
N
N
N
BRITISH COLUMBIA PROV OF
54930058TO7MEKUHWL16
Province of British Columbia Canada
110709FY3
2000000.00000000
PA
2235842.66000000
0.336267329020
Long
DBT
NUSS
CA
N
1
2040-06-18
Fixed
4.95000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292MA78
7909.10000000
PA
USD
8655.63000000
0.001301793562
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
4.00000000
N
N
N
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBF4
1550000.00000000
PA
USD
1644007.50000000
0.247256222812
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
2.88000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PAY7
1820000.00000000
PA
USD
2474631.25000000
0.372180769083
Long
DBT
NUSS
QA
N
2
2048-04-23
Fixed
5.10000000
N
N
N
N
N
N
AXA SA
F5WCUMTUM4RKZ1MAIE39
AXA SA
000000000
550000.00000000
PA
676466.95000000
0.101739598459
Long
DBT
CORP
FR
N
2
2049-05-28
Fixed
3.25000000
N
N
N
N
N
N
SASOL FINANCING INT
N/A
Sasol Financing International Ltd
803865AA2
560000.00000000
PA
USD
505512.00000000
0.076028234485
Long
DBT
CORP
IM
N
2
2022-11-14
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
1144359.82000000
PA
USD
1223759.97000000
0.184051634686
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002944 CDS USD R F 1.00000 2 CCPCDX / Short: SX002944 CDS USD P V 03MEVENT 1 CCPCDX
000000000
14100000.00000000
OU
Notional Amount
USD
168042.39000000
0.025273319387
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2025-06-20
151018.85000000
USD
0.00000000
USD
14100000.00000000
USD
17023.54000000
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
000000000
200000.00000000
PA
244695.96000000
0.036801899509
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-8306.08000000
-0.00124922177
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
26952730.55000000
TWD
911797.38000000
USD
2020-07-20
-8306.08000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-98704.67000000
-0.01484503195
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
8924886.56000000
USD
952736103.00000000
JPY
2020-07-22
-98704.67000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EW73
491723.91000000
PA
USD
69389.82000000
0.010436123189
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Floating
5.91000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1486.56000000
-0.00022357635
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
871831.69000000
EUR
979699.07000000
USD
2020-09-16
-1486.56000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-19670.89000000
-0.00295847188
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
458333.08000000
USD
360282343.00000000
CLP
2020-07-03
-19670.89000000
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
3680000.00000000
OU
Notional Amount
27285.90000000
0.004103757780
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2040-05-21
13395.37000000
EUR
0.00000000
EUR
3680000.00000000
EUR
12043.48000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
800000.00000000
PA
1276628.06000000
0.192002914860
Long
DBT
NUSS
FR
N
1
2066-05-25
Fixed
1.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
2790.22000000
0.000419644836
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4298438.93000000
NOK
399401.51000000
EUR
2020-09-16
2790.22000000
N
N
N
PROLOGIS LP
GL16H1DHB0QSHP25F723
Prologis LP
74340XBM2
1000000.00000000
PA
USD
1050950.00000000
0.158061278531
Long
DBT
US
N
2
2030-04-15
Fixed
2.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AK6U8
45276.84000000
PA
USD
50552.18000000
0.007602970839
Long
ABS-MBS
USGSE
US
N
2
2041-07-01
Fixed
4.50000000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AG1
375000.00000000
PA
USD
396933.75000000
0.059698231140
Long
DBT
US
N
2
2024-06-15
Fixed
3.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AXT92
28208.52000000
PA
USD
31495.18000000
0.004736827078
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Fixed
4.50000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
200000.00000000
PA
USD
193340.00000000
0.029078041382
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02281A SWAPTIONS OCT21 0.05 CALL
000000000
-920000.00000000
NC
-32421.44000000
-0.00487613517
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
920000.00000000
OU
Notional Amount
N/A
-32421.44000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-10-26
0.00000000
N/A
0.00000000
N/A
920000.00000000
EUR
1.00000000
0.05000000
EUR
2021-10-22
XXXX
-5937.77000000
N
N
N
ONTARIO (PROVINCE OF)
C7PVKCRGLG18EBQGZV36
Province of Ontario Canada
68323ABN3
3700000.00000000
PA
2906173.39000000
0.437084049342
Long
DBT
NUSS
CA
N
1
2023-06-02
Fixed
2.85000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS01718A SWAPTION AUG20 0.256 CALL
000000000
-3460000.00000000
NC
-12341.81000000
-0.00185618941
N/A
DIR
DE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
3460000.00000000
OU
Notional Amount
N/A
-12341.81000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-08-31
0.00000000
N/A
0.00000000
N/A
3460000.00000000
EUR
1.00000000
0.25600000
EUR
2020-08-27
XXXX
42910.51000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
1700000.00000000
PA
1993318.55000000
0.299792072441
Long
DBT
CORP
FR
N
2
2029-03-22
Fixed
1.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
19.01000000
0.000002859075
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
368974598.00000000
CLP
449602.87000000
USD
2020-08-27
19.01000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-29312.74000000
-0.00440859142
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
455755.63000000
USD
350246379.00000000
CLP
2020-07-03
-29312.74000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-2603.47000000
-0.00039155792
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
26582625.94000000
TWD
906925.66000000
USD
2020-08-06
-2603.47000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-1425.16000000
-0.00021434189
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
34664829.19000000
INR
456099.97000000
USD
2020-07-28
-1425.16000000
N
N
N
2020-07-31
GOLDMAN SACHS TRUST
Peter Fortner
Peter Fortner
Vice President
XXXX