NPORT-P
false
0000822977
XXXXXXXX
S000036259
C000202046
C000110986
C000110987
C000161296
C000110983
C000110985
C000110984
GOLDMAN SACHS TRUST
811-05349
0000822977
S2FHCT8U6D2VORP0J605
71 SOUTH WACKER DRIVE
C/O GOLDMAN SACHS & CO
CHICAGO
60606
312-655-4400
Goldman Sachs Short Duration Income Fund
S000036259
5K6BNCLRUJN03ZJ21072
2021-03-31
2020-06-30
N
1444388838.05
221613346.41
1222775491.64
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
49800810.07000000
0.00000000
0.00000000
37590283.04000000
USD
NOK
SEK
ILS
ZAR
CNY
TWD
THB
AUD
INR
JPY
PLN
IDR
EUR
CLP
KRW
NZD
MXN
HUF
SGD
TRY
GBP
CZK
RUB
CAD
COP
BRL
CHF
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-1724.19000000
-0.00014100626
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
366200.00000000
USD
3507159.29000000
NOK
2020-09-16
-1724.19000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-2586.59000000
-0.00021153433
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
498373.42000000
USD
468650.43000000
CHF
2020-09-16
-2586.59000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-6741.33000000
-0.00055131379
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
661354.30000000
USD
581655.82000000
EUR
2020-09-16
-6741.33000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
1785.01000000
0.000145980191
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1191957.62000000
USD
8476436.16000000
CNY
2020-09-16
1785.01000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-6677.54000000
-0.00054609697
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
396401.00000000
USD
3750104.09000000
NOK
2020-09-16
-6677.54000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-7382.03000000
-0.00060371098
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4317695.17000000
TRY
609241.59000000
USD
2020-09-16
-7382.03000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-20484.77000000
-0.00167526828
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
561664.73000000
USD
38741386.42000000
RUB
2020-08-17
-20484.77000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-17969.97000000
-0.00146960501
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
649588.16000000
USD
518761105.00000000
CLP
2020-07-03
-17969.97000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-4648.61000000
-0.00038016872
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1246220.05000000
USD
1173615.27000000
CHF
2020-09-16
-4648.61000000
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAF1
8475000.00000000
PA
USD
8693316.00000000
0.710949480050
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.24000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
-3042.92000000
-0.00024885353
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
5397705.27000000
SEK
512490.65000000
EUR
2020-09-16
-3042.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-17375.92000000
-0.00142102292
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
570542.68000000
USD
39599484.63000000
RUB
2020-08-17
-17375.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-6548.27000000
-0.00053552512
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
609806.45000000
CHF
567399.05000000
EUR
2020-09-16
-6548.27000000
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZJ5
250000.00000000
PA
USD
243575.75000000
0.019919907756
Long
DBT
CORP
US
N
2
2025-06-09
Fixed
4.69000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02348A SWAPTION MAY21 0.49 PUT
000000000
-7000000.00000000
NC
USD
-49771.40000000
-0.00407036290
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
7000000.00000000
OU
Notional Amount
N/A
-49771.40000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-05-20
0.00000000
N/A
0.00000000
N/A
7000000.00000000
USD
1.00000000
0.49000000
USD
2021-05-18
XXXX
20928.60000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
4309.14000000
0.000352406474
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1812935.00000000
USD
12724628.18000000
TRY
2020-09-16
4309.14000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VUJ1
309714.91000000
PA
USD
28649.37000000
0.002342978755
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
4.00000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JBA5
1448000.00000000
PA
USD
1486487.84000000
0.121566702159
Long
DBT
CORP
US
N
2
2021-09-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-8039.51000000
-0.00065748046
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
586478945.97000000
COP
147264.02000000
USD
2020-08-25
-8039.51000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAF2
1500000.00000000
PA
USD
1466160.00000000
0.119904267792
Long
DBT
CORP
IE
N
2
2023-07-03
Fixed
4.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022671
15000000.00000000
PA
USD
15782044.50000000
1.290673930570
Long
ABS-MBS
USGA
US
N
2
2050-07-21
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LM1
3750000.00000000
PA
USD
3900825.00000000
0.319013999435
Long
DBT
CORP
US
N
2
2023-07-24
Fixed
2.88000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAW8
1600000.00000000
PA
USD
1690144.00000000
0.138221939477
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
3.88000000
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
10010000.00000000
OU
Notional Amount
396617.92000000
0.032435874182
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2030-09-16
404914.57000000
AUD
0.00000000
AUD
10010000.00000000
AUD
114675.99000000
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BR9
1330000.00000000
PA
USD
1426425.00000000
0.116654693339
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.38000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CG2
320000.00000000
PA
USD
339129.60000000
0.027734412598
Long
DBT
CORP
US
N
2
2024-07-30
Fixed
2.50000000
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
520000.00000000
OU
Notional Amount
USD
32453.93000000
0.002654120091
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-06-20
24808.12000000
USD
0.00000000
USD
520000.00000000
USD
7645.81000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A9EA2
18851.25000000
PA
USD
23317.70000000
0.001906948590
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
7.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005871 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005871 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
120000.00000000
OU
Notional Amount
USD
-347.92000000
-0.00002845330
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
-216.58000000
USD
120000.00000000
USD
-131.34000000
N
N
N
CSC Holdings LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AF4
1150000.00000000
PA
USD
1204625.00000000
0.098515631711
Long
DBT
CORP
US
N
2
2021-11-15
Fixed
6.75000000
N
N
N
N
N
N
FORTUNE BRANDS HOME & SE
54930032LHW54PQUJD44
Fortune Brands Home & Security Inc
34964CAC0
1650000.00000000
PA
USD
1799770.50000000
0.147187321982
Long
DBT
CORP
US
N
2
2023-09-21
Fixed
4.00000000
N
N
N
N
N
N
T-Mobile USA Inc
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAQ8
1120000.00000000
PA
USD
1143800.00000000
0.093541292561
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
6.00000000
N
N
N
N
N
N
ROPER TECHNOLOGIES INC
54930003T4SXCIWVXY35
Roper Technologies Inc
776743AH9
975000.00000000
PA
USD
1031686.50000000
0.084372520307
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.35000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAA9
3925000.00000000
PA
USD
3670856.25000000
0.300206887944
Long
DBT
CORP
KY
N
2
2023-01-15
Fixed
5.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBH2
1600000.00000000
PA
USD
1576160.00000000
0.128900195561
Long
DBT
CORP
US
N
2
2022-09-09
Floating
1.41000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-16217.57000000
-0.00132629171
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4002133.57000000
TRY
564834.32000000
USD
2020-07-20
-16217.57000000
N
N
N
State of Connecticut
5493007GRO6CU0IKP741
CONNECTICUT ST
20772KAF6
3000000.00000000
PA
USD
3209580.00000000
0.262483180432
Long
DBT
MUN
US
N
2
2024-01-15
Fixed
3.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02429A SWAPTION DEC20 0.053 PUT
000000000
-540000.00000000
NC
-5197.69000000
-0.00042507312
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
540000.00000000
OU
Notional Amount
N/A
-5197.69000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
540000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
3218.81000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-30244.02000000
-0.00247339108
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
63987449.07000000
INR
814296.88000000
USD
2020-07-28
-30244.02000000
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
1080000.00000000
PA
USD
1172512.80000000
0.095889458695
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-3281.40000000
-0.00026835670
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4046480.57000000
TRY
583000.00000000
USD
2020-07-27
-3281.40000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02419A SWAPTION DEC20 0.053 CALL
000000000
-1030000.00000000
NC
-21071.54000000
-0.00172325501
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
1030000.00000000
OU
Notional Amount
N/A
-21071.54000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1030000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
-5067.21000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBR4
6700000.00000000
PA
USD
7640881.00000000
0.624880123312
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
5.15000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2016-7
63940GAA3
794286.50000000
PA
USD
775324.42000000
0.063406931632
Long
ABS-O
CORP
US
N
2
2066-03-25
Floating
1.33000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAM9
115000.00000000
PA
USD
117300.00000000
0.009592930247
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-11229.60000000
-0.00091836973
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
36439382.33000000
TWD
1232726.06000000
USD
2020-07-20
-11229.60000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381VAF7
2073067.90000000
PA
USD
282474.37000000
0.023101082081
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Floating
5.86000000
N
N
N
N
N
N
AIMCO CLO Series 2017-A
549300MMTPNJGGRMPB33
AIMCO CLO Series 2017-A
00900CAA2
3150000.00000000
PA
USD
3108375.90000000
0.254206591582
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
2.40000000
N
N
N
N
N
N
Staples Inc
XQM2JINI1UL7642TU573
Staples Inc
855030AP7
120000.00000000
PA
USD
70500.00000000
0.005765571888
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
10.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-7274.31000000
-0.00059490152
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1844009.35000000
AUD
1265610.00000000
USD
2020-09-16
-7274.31000000
N
N
N
ARCHER-DANIELS-MIDLAND C
549300LO13MQ9HYSTR83
Archer-Daniels-Midland Co
039482AA2
1250000.00000000
PA
USD
1357087.50000000
0.110984192051
Long
DBT
CORP
US
N
2
2025-03-27
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-9034.39000000
-0.00073884290
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
664168.14000000
USD
2463306647.72000000
COP
2020-07-06
-9034.39000000
N
N
N
Nordstrom Inc
549300S3IZB5P35KNV16
Nordstrom Inc
655664AP5
2650000.00000000
PA
USD
2650927.50000000
0.216795930088
Long
DBT
CORP
US
N
2
2021-10-15
Fixed
4.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZN3
610000.00000000
PA
USD
610762.50000000
0.049948866670
Long
DBT
UST
US
N
1
2027-04-30
Fixed
0.50000000
N
N
N
N
N
N
SEMPRA ENERGY
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BK4
1250000.00000000
PA
USD
1249162.50000000
0.102157960193
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.88000000
N
N
N
N
N
N
RELIANCE STAND LIFE II
N/A
Reliance Standard Life Global Funding II
75951AAM0
1025000.00000000
PA
USD
1046976.00000000
0.085622913376
Long
DBT
CORP
US
N
2
2023-01-21
Fixed
2.15000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-6929.71000000
-0.00056671973
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
651150.12000000
USD
529111565.00000000
CLP
2020-07-03
-6929.71000000
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
2760000.00000000
OU
Notional Amount
20464.43000000
0.001673604855
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2040-05-21
10559.16000000
EUR
0.00000000
EUR
2760000.00000000
EUR
8449.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-13750.19000000
-0.00112450650
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
730385089.00000000
KRW
595192.96000000
USD
2020-09-02
-13750.19000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBB1
2050000.00000000
PA
USD
2133332.50000000
0.174466409785
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
3.21000000
N
N
N
N
N
N
Republic of Colombia
549300MHDRBVRF6B9117
Colombia Government International Bond
195325BQ7
1510000.00000000
PA
USD
1591162.50000000
0.130127117437
Long
DBT
NUSS
CO
N
2
2024-02-26
Fixed
4.00000000
N
N
N
N
N
N
Hill-Rom Holdings Inc
JLZ01A0E2071OH26RE45
Hill-Rom Holdings Inc
431475AB8
2050000.00000000
PA
USD
2111500.00000000
0.172680922576
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.00000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBF5
700000.00000000
PA
USD
785855.00000000
0.064268134696
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.65000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BP1
1000000.00000000
PA
USD
1170670.00000000
0.095738752371
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.65000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AB6
1550000.00000000
PA
USD
1549829.50000000
0.126746856687
Long
DBT
CORP
US
N
2
2021-09-17
Floating
0.95000000
N
N
N
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
2070000.00000000
OU
Notional Amount
-160977.58000000
-0.01316493347
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2030-09-16
0.00000000
GBP
-120429.92000000
GBP
2070000.00000000
GBP
12919.16000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX002968 CDS USD R F 3.00000 2 CMBX / Short: CX002968 CDS USD P V 01MEVENT 1 CMBX
000000000
1300000.00000000
OU
Notional Amount
USD
-265538.00000000
-0.02171600607
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.10
137BERAJ6
Y
sell protection
2059-11-17
0.00000000
USD
-249073.45000000
USD
1300000.00000000
USD
-16464.55000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02430A SWAPTION DEC20 0.053 PUT
000000000
-980000.00000000
NC
-9432.85000000
-0.00077142942
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
980000.00000000
OU
Notional Amount
N/A
-9432.85000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
980000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
5841.53000000
N
N
N
BANQUE FED CRED MUTUEL
VBHFXSYT7OG62HNT8T76
Banque Federative du Credit Mutuel SA
06675FAR8
2800000.00000000
PA
USD
3028900.00000000
0.247706960166
Long
DBT
CORP
FR
N
2
2023-07-20
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-20682.87000000
-0.00169146913
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
36449184.91000000
TWD
1223607.42000000
USD
2020-07-20
-20682.87000000
N
N
N
BIO-RAD LABS
549300ZC1GPV35XYDK53
Bio-Rad Laboratories Inc
090572AP3
3576000.00000000
PA
USD
3633394.80000000
0.297143247050
Long
DBT
CORP
US
N
2
2020-12-15
Fixed
4.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-5526.52000000
-0.00045196522
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
681406.92000000
USD
545213.21000000
GBP
2020-09-16
-5526.52000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-6946.45000000
-0.00056808874
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
997152.14000000
USD
106805962.00000000
JPY
2020-09-16
-6946.45000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCM2
975000.00000000
PA
USD
1018904.25000000
0.083327173055
Long
DBT
CORP
US
N
2
2022-06-30
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-73596.53000000
-0.00601880970
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1488188.43000000
USD
7693338.89000000
BRL
2020-07-02
-73596.53000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
7796.42000000
0.000637600283
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
43612284.30000000
MXN
1885699.00000000
USD
2020-09-17
7796.42000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-1603.39000000
-0.00013112709
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
799058725.00000000
KRW
664497.90000000
USD
2020-07-15
-1603.39000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-9960.61000000
-0.00081459025
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2517264.66000000
CAD
1844531.00000000
USD
2020-09-16
-9960.61000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396VGA0
16571.87000000
PA
USD
16555.10000000
0.001353895307
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Floating
0.53000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Barclays Bank PLC
06739GBP3
1100000.00000000
PA
USD
1112001.00000000
0.090940733405
Long
DBT
CORP
GB
N
2
2020-10-14
Fixed
5.14000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP20 XCBT 20200921
000000000
28.00000000
NC
USD
28093.13000000
0.002297488802
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNU0 Comdty
2020-09-21
6076781.87000000
USD
28093.13000000
N
N
N
Acadia Healthcare Co Inc
5493005CW985Y9D0NC11
Acadia Healthcare Co Inc
00404AAM1
120000.00000000
PA
USD
122100.00000000
0.009985479823
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-293.63000000
-0.00002401340
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
629394.29000000
USD
594667.46000000
CHF
2020-09-16
-293.63000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
2012.21000000
0.000164560871
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1762929.28000000
USD
1568237.32000000
EUR
2020-09-16
2012.21000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-2549.45000000
-0.00020849698
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
594130.22000000
USD
42349423.84000000
RUB
2020-08-17
-2549.45000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02382A SWAPTION SEP20 0.35 CALL
000000000
-15260000.00000000
NC
-53050.55000000
-0.00433853559
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
15260000.00000000
OU
Notional Amount
N/A
-53050.55000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2025-09-30
0.00000000
N/A
0.00000000
N/A
15260000.00000000
EUR
1.00000000
-0.35000000
EUR
2020-09-28
XXXX
-20825.83000000
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAA5
4343000.00000000
PA
USD
4661732.77000000
0.381241920685
Long
DBT
CORP
BM
N
2
2022-11-01
Fixed
5.00000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1500000.00000000
PA
USD
1550250.00000000
0.126781245666
Long
DBT
NUSS
UA
N
2
2021-09-01
Fixed
7.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USV5
5376179.72000000
PA
USD
5745839.92000000
0.469901462638
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.50000000
N
N
N
N
N
N
ITC Holdings Corp
549300HTO5U9D3SLE207
ITC Holdings Corp
465685AM7
4050000.00000000
PA
USD
4223299.50000000
0.345386338610
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
2.70000000
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
27750000.00000000
OU
Notional Amount
-46005.28000000
-0.00376236523
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Norwegian Interbank Offer Rate 6 Months
NIBOR6M Index
Y
2030-09-16
0.00000000
NOK
-322402.15000000
NOK
27750000.00000000
NOK
38240.35000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JE8
5575000.00000000
PA
USD
5583585.50000000
0.456632107706
Long
DBT
CORP
US
N
2
2022-06-16
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UYN1
203146.46000000
PA
USD
39899.20000000
0.003263002920
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Floating
5.91000000
N
N
N
N
N
N
COMMSCOPE INC
549300Z6K4JXMFE8QY54
CommScope Inc
000000000
750000.00000000
PA
USD
759360.00000000
0.062101342821
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
5.50000000
N
N
N
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAE5
2565000.00000000
PA
USD
2613093.75000000
0.213701842068
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
6.75000000
N
N
N
N
N
N
SUMITOMO MITSUI FINL GRP
35380028MYWPB6AUO129
Sumitomo Mitsui Financial Group Inc
86562MCA6
1925000.00000000
PA
USD
1926405.25000000
0.157543658927
Long
DBT
CORP
JP
N
2
2025-07-08
Fixed
1.47000000
N
N
N
N
N
N
TELECOM ITALIA SPA
549300W384M3RI3VXU42
Telecom Italia SpA/Milano
87927YAA0
1125000.00000000
PA
USD
1175625.00000000
0.096143978026
Long
DBT
CORP
IT
N
2
2024-05-30
Fixed
5.30000000
N
N
N
N
N
N
INFOR INC
549300Q3IIYBYI4RHD64
Infor Inc
45674CAA1
1075000.00000000
PA
USD
1079902.00000000
0.088315639901
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
1.75000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAF0
2125000.00000000
PA
USD
2165290.00000000
0.177079931255
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
1.35000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-12481.18000000
-0.00102072539
N/A
DFE
ZA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
623193.74000000
USD
10682593.90000000
ZAR
2020-09-16
-12481.18000000
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
1550000.00000000
PA
USD
1092750.00000000
0.089366364264
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
AutoZone Inc
GA3JGKJ41LJKXDN23E90
AutoZone Inc
053332AX0
1700000.00000000
PA
USD
1830152.00000000
0.149671956341
Long
DBT
CORP
US
N
2
2024-04-18
Fixed
3.13000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AS7
2975000.00000000
PA
USD
3174622.50000000
0.259624315477
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
2.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
2486.23000000
0.000203326777
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
656315.77000000
USD
894249.93000000
CAD
2020-09-16
2486.23000000
N
N
N
Fiserv Inc
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AQ1
1950000.00000000
PA
USD
2130141.00000000
0.174205405208
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
3.80000000
N
N
N
N
N
N
Parallel Ltd
549300IVH7GEF68EFD31
Parallel 2015-1 Ltd
69915VAN0
844754.01000000
PA
USD
833352.37000000
0.068152524784
Long
ABS-CBDO
CORP
KY
N
2
2027-07-20
Floating
1.99000000
N
N
N
N
N
N
Prestige Brands Inc
549300JBVP4J6D42I235
Prestige Brands Inc
74112BAK1
1900000.00000000
PA
USD
1957000.00000000
0.160045733119
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
6.38000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAQ1
5175000.00000000
PA
USD
5578080.75000000
0.456181922858
Long
DBT
CORP
US
N
2
2024-04-24
Fixed
3.74000000
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
3970000.00000000
OU
Notional Amount
9205.43000000
0.000752830757
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2030-09-17
0.00000000
CHF
-4965.06000000
CHF
3970000.00000000
CHF
14352.17000000
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAF1
410000.00000000
PA
USD
451061.50000000
0.036888333392
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
4.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-19456.31000000
-0.00159115963
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1728553.73000000
AUD
1173731.20000000
USD
2020-09-16
-19456.31000000
N
N
N
Educational Services of America Inc
N/A
Edsouth Indenture No 2 LLC
281380AA3
27775.66000000
PA
USD
27332.89000000
0.002235315492
Long
ABS-O
CORP
US
N
2
2040-09-25
Floating
1.33000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP20 XCBT 20200921
000000000
190.00000000
NC
USD
103829.97000000
0.008491335548
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYU0 Comdty
2020-09-21
26332888.78000000
USD
103829.97000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
1075000.00000000
PA
USD
941560.25000000
0.077001890897
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-6158.59000000
-0.00050365664
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
47572056.63000000
INR
622426.49000000
USD
2020-07-15
-6158.59000000
N
N
N
Waste Management Inc
549300YX8JIID70NFS41
Waste Management Inc
94106LBF5
1500000.00000000
PA
USD
1532940.00000000
0.125365613759
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
2.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-19872.39000000
-0.00162518713
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2576099.27000000
TRY
354912.83000000
USD
2020-07-13
-19872.39000000
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AD8
225000.00000000
PA
USD
245907.00000000
0.020110560089
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.63000000
N
N
N
N
N
N
ELANCO ANIMAL HEALTH INC
549300SHPNDCE059M934
Elanco Animal Health Inc
28414HAE3
500000.00000000
PA
USD
525018.00000000
0.042936581865
Long
DBT
CORP
US
N
2
2023-08-28
Fixed
5.02000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
4345000.00000000
PA
USD
4820690.60000000
0.394241676657
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-10144.99000000
-0.00082966906
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
567444.21000000
EUR
506971.68000000
GBP
2020-09-16
-10144.99000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
19801.93000000
0.001619424835
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
38176370.87000000
RUB
553089.16000000
USD
2020-08-17
19801.93000000
N
N
N
HLF FIN SARL LLC/HERBALI
N/A
HLF Financing Sarl LLC / Herbalife International Inc
40390DAA3
120000.00000000
PA
USD
120600.00000000
0.009862808080
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
7.25000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
6600000.00000000
PA
USD
7562610.00000000
0.618479030018
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-1344.08000000
-0.00010992042
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2231773.81000000
ILS
644283.20000000
USD
2020-09-16
-1344.08000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAA0
2425000.00000000
PA
USD
2506746.75000000
0.205004660883
Long
DBT
CORP
FR
N
2
2022-05-22
Fixed
3.00000000
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
44880000.00000000
OU
Notional Amount
USD
-364039.63000000
-0.02977158378
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2023-09-16
0.00000000
USD
-286066.39000000
USD
44880000.00000000
USD
-77973.24000000
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
403333.34000000
PA
USD
416315.63000000
0.034046775785
Long
DBT
NUSS
DO
N
2
2021-05-06
Fixed
7.50000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAD9
4000000.00000000
PA
USD
4193960.00000000
0.342986920221
Long
DBT
CORP
US
N
2
2025-04-05
Fixed
2.06000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBC3
1300000.00000000
PA
USD
1352754.00000000
0.110629793387
Long
DBT
CORP
US
N
2
2022-05-19
Fixed
4.63000000
N
N
N
N
N
N
CREDIT SUISSE NEW YORK
ANGGYXNX0JLX3X63JN86
Credit Suisse AG/New York NY
22550L2C4
675000.00000000
PA
USD
729762.75000000
0.059680845338
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-9651.83000000
-0.00078933786
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1182062.54000000
USD
6376222.65000000
BRL
2020-07-02
-9651.83000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MTQ7
4730438.99000000
PA
USD
775332.20000000
0.063407567889
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Floating
5.52000000
N
N
N
N
N
N
South Texas Higher Education Authority Inc
N/A
South Texas Higher Education Authority Inc
840555CZ7
207176.84000000
PA
USD
203288.15000000
0.016625141032
Long
ABS-O
CORP
US
N
2
2024-10-01
Floating
2.28000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-67979.30000000
-0.00555942611
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
13708221.80000000
BRL
2452582.94000000
USD
2020-07-02
-67979.30000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YXT6
1019358.70000000
PA
USD
144531.10000000
0.011819921235
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.91000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AK6
2725000.00000000
PA
USD
2716416.25000000
0.222151676131
Long
DBT
CORP
US
N
2
2024-01-12
Floating
2.05000000
N
N
N
N
N
N
Bowman Park CLO Ltd
549300RY1CYH5GR2HE67
Bowman Park CLO Ltd
10302VBA2
481109.71000000
PA
USD
480968.26000000
0.039334142963
Long
ABS-CBDO
CORP
KY
N
2
2025-11-23
Floating
1.54000000
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
18360000.00000000
OU
Notional Amount
30767.14000000
0.002516172446
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
-53812.60000000
AUD
18360000.00000000
AUD
732795.65000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-7398.93000000
-0.00060509308
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4229112.59000000
TRY
596573.93000000
USD
2020-09-16
-7398.93000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-2150.98000000
-0.00017590964
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4385865.37000000
USD
3597725362.00000000
CLP
2020-08-27
-2150.98000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
2075000.00000000
PA
USD
1747627.25000000
0.142922986431
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.88000000
N
N
N
N
N
N
Elanco Animal Health Inc
549300SHPNDCE059M934
Elanco Animal Health Inc
28414HAF0
1375000.00000000
PA
USD
1409368.13000000
0.115259762698
Long
DBT
CORP
US
N
2
2021-08-27
Fixed
4.66000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
3215.12000000
0.000262936248
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
11210109.68000000
ZAR
644085.20000000
USD
2020-09-16
3215.12000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAU5
4625000.00000000
PA
USD
4777995.00000000
0.390749980897
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
2.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-12605.07000000
-0.00103085726
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2397817.74000000
TRY
335523.37000000
USD
2020-07-20
-12605.07000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
14635.44000000
0.001196903282
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
582295.61000000
USD
3246443.60000000
BRL
2020-07-02
14635.44000000
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
228227BD5
5211000.00000000
PA
USD
5777065.72000000
0.472455144832
Long
DBT
US
N
2
2023-01-15
Fixed
5.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-1354.13000000
-0.00011074232
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
638452.68000000
USD
922955.59000000
AUD
2020-09-16
-1354.13000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GXD4
743420.72000000
PA
USD
138965.40000000
0.011364751824
Long
ABS-MBS
USGA
US
N
2
2044-10-16
Floating
5.40000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DQ7
2000000.00000000
PA
USD
2115840.00000000
0.173035852817
Long
DBT
CORP
US
N
2
2025-06-30
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ABDT7
67224.65000000
PA
USD
84993.21000000
0.006950843436
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.00000000
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE Energy Co
233331BB2
650000.00000000
PA
USD
671944.00000000
0.054952360804
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.60000000
N
N
N
N
N
N
The Bancorp Commercial Mortgage Trust
5493007HKNHP2VEB5M24
Bancorp Commercial Mortgage 2018 CRE4 Trust
05972LAA4
601295.14000000
PA
USD
578529.08000000
0.047312780142
Long
ABS-MBS
CORP
US
N
2
2035-09-15
Floating
1.08000000
N
N
N
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
000000000
350000.00000000
PA
USD
362468.75000000
0.029643115394
Long
DBT
CORP
BR
N
2
2024-03-20
Fixed
4.75000000
N
N
N
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAD9
2075000.00000000
PA
USD
2156568.25000000
0.176366656409
Long
DBT
CORP
GB
N
2
2023-04-26
Fixed
3.62000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP20 XCBT 20200930
000000000
671.00000000
NC
USD
65234.19000000
0.005334927829
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVU0 Comdty
2020-09-30
84302531.44000000
USD
65234.19000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-39232.24000000
-0.00320845815
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1020922.35000000
USD
9446288.23000000
NOK
2020-09-16
-39232.24000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
5306.92000000
0.000434006081
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2277511.44000000
ILS
664165.58000000
USD
2020-09-16
5306.92000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
5093.10000000
0.000416519633
N/A
DFE
IN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
682425.62000000
USD
52032223.50000000
INR
2020-07-15
5093.10000000
N
N
N
WELLS FARGO BANK NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J6A0
2000000.00000000
PA
USD
2031360.00000000
0.166126980291
Long
DBT
CORP
US
N
2
2022-09-09
Fixed
2.08000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FTLA3
20597766.40000000
PA
USD
2470866.86000000
0.202070361803
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4.50000000
N
N
N
N
N
N
KREF 2018--FL1 Ltd.
549300N45646UZ8P3S07
KREF 2018-FL1 Ltd
48275PAA9
2400000.00000000
PA
USD
2368051.44000000
0.193661997332
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
1.29000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
2095.31000000
0.000171356885
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1299787.46000000
USD
9244309.38000000
CNY
2020-09-16
2095.31000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022675
60000000.00000000
PA
USD
62526564.00000000
5.113495030566
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
2.50000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668BC5
2325000.00000000
PA
USD
2400004.50000000
0.196275155693
Long
DBT
CORP
US
N
2
2022-05-13
Fixed
2.90000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
2848.61000000
0.000232962634
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
518880.74000000
EUR
586812.61000000
USD
2020-09-16
2848.61000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-11009.87000000
-0.00090039995
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
592748.74000000
USD
3163820.11000000
BRL
2020-07-02
-11009.87000000
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
17401QAS0
3200000.00000000
PA
USD
3318752.00000000
0.271411393398
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.25000000
N
N
N
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
Macquarie Bank Ltd
55608PBC7
1825000.00000000
PA
USD
1871519.25000000
0.153055018095
Long
DBT
CORP
AU
N
2
2022-10-17
Fixed
2.10000000
N
N
N
N
N
N
INGERSOLL-RAND GL HLD CO
549300UCF0D858BIOV83
Trane Technologies Global Holding Co Ltd
45687AAM4
1875000.00000000
PA
USD
1898700.00000000
0.155277891402
Long
DBT
CORP
US
N
2
2021-02-21
Fixed
2.90000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
2130506.26000000
PA
USD
2319126.80000000
0.189660883445
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-6867.41000000
-0.00056162476
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4220805.10000000
TRY
595919.03000000
USD
2020-09-16
-6867.41000000
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
69867DAC2
120000.00000000
PA
USD
120900.00000000
0.009887342429
Long
DBT
CORP
XX
N
2
2027-05-15
Fixed
8.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YEC4
1452635.51000000
PA
USD
212568.08000000
0.017384064487
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.86000000
N
N
N
N
N
N
UNIVISION COMMUNICATIONS
549300YQDE2JSGTL8V47
Univision Communications Inc
914906AR3
125000.00000000
PA
USD
126137.50000000
0.010315671262
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
5.13000000
N
N
N
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
12270000.00000000
OU
Notional Amount
344623.36000000
0.028183698672
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2027-09-16
478013.30000000
AUD
0.00000000
AUD
12270000.00000000
AUD
13909.85000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-1949.01000000
-0.00015939230
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
586545.37000000
USD
552599.06000000
CHF
2020-09-16
-1949.01000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAG8
6625000.00000000
PA
USD
7249075.00000000
0.592837773537
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
5.45000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD CAD
000000000
1.00000000
NC
N/A
926.23000000
0.000075748165
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
870047.66000000
CAD
570358.12000000
EUR
2020-09-16
926.23000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-3664.43000000
-0.00029968134
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
595284.15000000
USD
2224493528.77000000
COP
2020-07-06
-3664.43000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-9397.00000000
-0.00076849757
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3477753885.07000000
IDR
229301.95000000
USD
2020-07-20
-9397.00000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BQ6
2900000.00000000
PA
USD
3207603.00000000
0.262321499075
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
5059.49000000
0.000413770968
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
743780.48000000
USD
1084833.78000000
AUD
2020-09-16
5059.49000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBW5
1100000.00000000
PA
USD
1136113.00000000
0.092912640772
Long
DBT
CORP
US
N
2
2024-04-13
Fixed
3.95000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CZ1
1550000.00000000
PA
USD
1587324.00000000
0.129813200448
Long
DBT
CORP
US
N
2
2023-05-05
Fixed
1.63000000
N
N
N
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAC3
230000.00000000
PA
USD
240016.50000000
0.019628828157
Long
DBT
US
N
2
2025-02-01
Fixed
4.00000000
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
11040000.00000000
OU
Notional Amount
-12057.27000000
-0.00098605754
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2030-03-10
129645.38000000
GBP
0.00000000
GBP
11040000.00000000
GBP
361319.19000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-127962.71000000
-0.01046493905
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1234016.68000000
USD
6015337.71000000
BRL
2020-07-02
-127962.71000000
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBC4
690000.00000000
PA
USD
752100.00000000
0.061507611588
Long
DBT
NUSS
QA
N
2
2025-04-16
Fixed
3.40000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AJ8
1000000.00000000
PA
USD
1056980.00000000
0.086441052116
Long
DBT
CORP
IT
N
2
2022-01-14
Fixed
6.57000000
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
2150000.00000000
OU
Notional Amount
-248690.58000000
-0.02033820449
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2040-06-19
0.00000000
GBP
-211359.26000000
GBP
2150000.00000000
GBP
31259.43000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBG4
1100000.00000000
PA
USD
1089583.00000000
0.089107363326
Long
DBT
CORP
US
N
2
2021-09-09
Floating
1.21000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02204A SWAPTION OCT20 0.35 CALL
000000000
-5420000.00000000
NC
-68297.60000000
-0.00558545705
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
5420000.00000000
OU
Notional Amount
N/A
-68297.60000000
-0.01000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
5420000.00000000
GBP
1.00000000
0.35000000
GBP
2020-10-02
XXXX
-7493.99000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
1317.93000000
0.000107781846
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
284316.09000000
GBP
353773.94000000
USD
2020-09-16
1317.93000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD AUD
000000000
1.00000000
NC
N/A
-23764.43000000
-0.00194348268
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1920573.40000000
AUD
140433671.00000000
JPY
2020-09-16
-23764.43000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-1731.53000000
-0.00014160653
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2455881675.00000000
COP
651427.50000000
USD
2020-07-06
-1731.53000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-38440.83000000
-0.00314373572
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
597679.53000000
USD
459314328.00000000
CLP
2020-07-03
-38440.83000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AHF6
2059621.90000000
PA
USD
355256.56000000
0.029053294118
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
6.01000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-1589.76000000
-0.00013001241
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
651600.56000000
USD
6051179.82000000
SEK
2020-09-16
-1589.76000000
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
1860000.00000000
OU
Notional Amount
-133899.12000000
-0.01095042556
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2050-06-20
0.00000000
GBP
-130489.64000000
GBP
1860000.00000000
GBP
101262.06000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381Y7J7
2912016.84000000
PA
USD
362500.38000000
0.029645702132
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 RUB
000000000
1.00000000
NC
1371.65000000
0.000112175130
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
42265299.79000000
RUB
591777.29000000
USD
2020-08-17
1371.65000000
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XAZ3
1150000.00000000
PA
USD
1208328.00000000
0.098818467352
Long
DBT
US
N
2
2025-03-15
Fixed
2.40000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPC0
1733669.92000000
PA
USD
1881062.38000000
0.153835466351
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.00000000
N
N
N
N
N
N
HalseyPoint CLO II, Ltd.
549300RT6H1EOIYTDV62
Halseypoint Clo 2 Ltd
40638TAA0
5250000.00000000
PA
USD
5197500.00000000
0.425057587066
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Variable
2.20000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBE8
3875000.00000000
PA
USD
4014810.00000000
0.328335825132
Long
DBT
CORP
US
N
2
2021-11-14
Fixed
3.38000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDB2
525000.00000000
PA
USD
564306.75000000
0.046149661475
Long
DBT
CORP
US
N
2
2024-08-15
Variable
3.07000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
4807764.87000000
PA
USD
5141346.35000000
0.420465276344
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
NATWEST MARKETS PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906YAA6
2375000.00000000
PA
USD
2425373.75000000
0.198349882425
Long
DBT
CORP
GB
N
2
2023-05-21
Fixed
2.38000000
N
N
N
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
11540000.00000000
OU
Notional Amount
-263542.02000000
-0.02155277250
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2027-09-16
0.00000000
EUR
-237171.52000000
EUR
11540000.00000000
EUR
2955.71000000
N
N
N
Acadia Healthcare Co Inc
5493005CW985Y9D0NC11
Acadia Healthcare Co Inc
00404AAJ8
1950000.00000000
PA
USD
1950000.00000000
0.159473264988
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
5.63000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
891906AB5
3800000.00000000
PA
USD
4091194.00000000
0.334582597375
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.75000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
900000.00000000
PA
USD
843192.00000000
0.068957221155
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-5626.03000000
-0.00046010326
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
572880.95000000
EUR
515552.75000000
GBP
2020-09-16
-5626.03000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CY1
1875000.00000000
PA
USD
2090400.00000000
0.170955340067
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
4.13000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PAZ4
1840000.00000000
PA
USD
1969950.00000000
0.161104799161
Long
DBT
NUSS
QA
N
2
2024-03-14
Fixed
3.38000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBB5
1400000.00000000
PA
USD
1404424.00000000
0.114855426004
Long
DBT
US
N
2
2025-09-15
Fixed
1.30000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-10476.43000000
-0.00085677461
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
372772.36000000
USD
1973687.99000000
BRL
2020-08-04
-10476.43000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
4072.83000000
0.000333080768
N/A
DFE
IN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
560454.86000000
USD
42724118.50000000
INR
2020-07-15
4072.83000000
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAB9
2075000.00000000
PA
USD
2147728.75000000
0.175643751832
Long
DBT
CORP
US
N
2
2022-09-26
Fixed
2.20000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-9212.75000000
-0.00075342939
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
38059394.03000000
TWD
1289034.70000000
USD
2020-07-15
-9212.75000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-4971.06000000
-0.00040653906
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
41024054.27000000
INR
536486.56000000
USD
2020-07-28
-4971.06000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-6131.93000000
-0.00050147635
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
788908601.00000000
KRW
651508.14000000
USD
2020-07-15
-6131.93000000
N
N
N
WESTERN UNION CO/THE
28ID94QU1140NC23S047
Western Union Co/The
959802AY5
1025000.00000000
PA
USD
1067937.25000000
0.087337148749
Long
DBT
CORP
US
N
2
2025-01-10
Fixed
2.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GQY6
503242.88000000
PA
USD
91914.95000000
0.007516911373
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Floating
5.41000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-25654.63000000
-0.00209806544
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1864401.13000000
USD
2495892.44000000
CAD
2020-09-16
-25654.63000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-907.49000000
-0.00007421558
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
7620895.81000000
TRY
1087456.59000000
USD
2020-09-16
-907.49000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YR64
862375.88000000
PA
USD
164185.93000000
0.013427316062
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.01000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-55261.37000000
-0.00451933902
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
617183.98000000
USD
3056048.20000000
BRL
2020-07-02
-55261.37000000
N
N
N
ADT SEC CORP
5493009JEEDYLVRA0J13
ADT Security Corp/The
00101JAH9
2050000.00000000
PA
USD
2044875.00000000
0.167232252689
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
4.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-2293.70000000
-0.00018758145
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
639392.25000000
USD
922955.59000000
AUD
2020-09-16
-2293.70000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1290.10000000
-0.00010550587
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
602027.62000000
USD
533784.83000000
EUR
2020-09-16
-1290.10000000
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDA4
2125000.00000000
PA
USD
2169433.75000000
0.177418811943
Long
DBT
CORP
US
N
2
2021-08-15
Variable
2.72000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013093AB5
2431000.00000000
PA
USD
2491775.00000000
0.203780253778
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
6.63000000
N
N
N
N
N
N
Calpine Corp
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CF1
2560000.00000000
PA
USD
2585600.00000000
0.211453371258
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
5.75000000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
90015WAJ2
380000.00000000
PA
USD
348412.50000000
0.028493578942
Long
DBT
CORP
TR
N
2
2025-02-05
Fixed
5.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-17488.34000000
-0.00143021675
N/A
DFE
MX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1410563.10000000
USD
32352675.26000000
MXN
2020-09-17
-17488.34000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-11218.44000000
-0.00091745705
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1916838.00000000
USD
7165140444.00000000
COP
2020-07-06
-11218.44000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2E3
1650000.00000000
PA
USD
1746937.50000000
0.142866577874
Long
DBT
CORP
FR
N
2
2023-03-01
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-3877.79000000
-0.00031713017
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2441997.09000000
PLN
545137.31000000
EUR
2020-09-16
-3877.79000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-16117.12000000
-0.00131807679
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1295750.01000000
USD
1853785.92000000
AUD
2020-09-16
-16117.12000000
N
N
N
ReadyCap Commercial Mortgage Trust
N/A
Ready Capital Mortgage Financing 2018-Fl2 LLC
75574WAA5
35349.20000000
PA
USD
33880.51000000
0.002770787461
Long
ABS-CBDO
CORP
US
N
2
2035-06-25
Floating
1.03000000
N
N
N
N
N
N
SPDR Portfolio Short Term Corporate Bond ETF
549300D2BO7L1J2SO973
SPDR Portfolio Short Term Corporate Bond ETF
78464A474
600013.00000000
NS
USD
18804407.42000000
1.537846280741
Long
EC
RF
US
N
1
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAF8
250000.00000000
PA
USD
251462.50000000
0.020564895331
Long
DBT
CORP
IE
N
2
2021-05-15
Fixed
4.50000000
N
N
N
N
N
N
USA COM PART/USA COM FIN
N/A
USA Compression Partners LP / USA Compression Finance Corp
91740PAC2
120000.00000000
PA
USD
116550.00000000
0.009531594376
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
6.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
1175.77000000
0.000096155836
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2438034282.11000000
COP
649588.16000000
USD
2020-07-06
1175.77000000
N
N
N
GENESIS ENERGY LP/GENESI
N/A
Genesis Energy LP / Genesis Energy Finance Corp
37185LAG7
1285000.00000000
PA
USD
1156500.00000000
0.094579913312
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
6.00000000
N
N
N
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAF2
640000.00000000
PA
USD
720000.00000000
0.058882436303
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.88000000
N
N
N
N
N
N
SSM HEALTH CARE
5493000QP6H63JFPC580
SSM Health Care Corp
784710AB1
2335000.00000000
PA
USD
2507159.55000000
0.205038420146
Long
DBT
CORP
US
N
2
2023-06-01
Fixed
3.69000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-6535.68000000
-0.00053449550
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
586968.47000000
EUR
527608.35000000
GBP
2020-09-16
-6535.68000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
3268.68000000
0.000267316447
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
553209.70000000
EUR
591611.30000000
CHF
2020-09-16
3268.68000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-64802.13000000
-0.00529959346
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6324370.57000000
CHF
6625770.23000000
USD
2020-09-16
-64802.13000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-151773.54000000
-0.01241221639
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
14837700.75000000
USD
13049168.65000000
EUR
2020-09-16
-151773.54000000
N
N
N
Educational Funding of the South, Inc.
N/A
Educational Funding of the South Inc
28148WAD5
1844127.21000000
PA
USD
1787399.09000000
0.146175573702
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
1.23000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
9625.64000000
0.000787196019
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3219050.88000000
USD
22925938.73000000
CNY
2020-09-16
9625.64000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
-3895.97000000
-0.00031861695
N/A
DFE
IN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
764806.76000000
USD
57651133.57000000
INR
2020-07-28
-3895.97000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-187932.12000000
-0.01536930706
N/A
DFE
MX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3903048.67000000
USD
86279619.01000000
MXN
2020-09-17
-187932.12000000
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAB5
110000.00000000
PA
USD
117425.00000000
0.009603152892
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
7.75000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBE8
475000.00000000
PA
USD
489482.75000000
0.040030467845
Long
DBT
CORP
US
N
2
2023-04-01
Fixed
2.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
2511.94000000
0.000205429370
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3597725362.00000000
CLP
4382926.68000000
USD
2020-07-03
2511.94000000
N
N
N
ING Groep NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AK9
1525000.00000000
PA
USD
1670988.25000000
0.136655359992
Long
DBT
CORP
NL
N
2
2023-10-02
Fixed
4.10000000
N
N
N
N
N
N
Jeld-Wen Inc
549300XWE6NM0N1HFW16
Jeld-Wen Inc
475795AD2
125000.00000000
PA
USD
120000.00000000
0.009813739383
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
2527.29000000
0.000206684711
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
371799.64000000
GBP
463433.38000000
USD
2020-09-16
2527.29000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-10742.14000000
-0.00087850468
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1246220.05000000
USD
133261612.00000000
JPY
2020-09-16
-10742.14000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-13460.31000000
-0.00110079978
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
606261.32000000
USD
42436776.75000000
RUB
2020-08-17
-13460.31000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1562.69000000
0.000127798603
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4303994.93000000
TRY
616229.73000000
USD
2020-09-16
1562.69000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
11290.22000000
0.000923327305
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
478440176.00000000
CLP
594254.42000000
USD
2020-08-27
11290.22000000
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAE5
1000000.00000000
PA
USD
1046250.00000000
0.085563540253
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25000000
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
12560000.00000000
OU
Notional Amount
-75810.72000000
-0.00619988873
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2027-09-16
0.00000000
CHF
-69021.88000000
CHF
12560000.00000000
CHF
-3270.65000000
N
N
N
KRATON POLYMERS LLC/CAP
N/A
Kraton Polymers LLC / Kraton Polymers Capital Corp
50077DAE4
120000.00000000
PA
USD
120000.00000000
0.009813739383
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.00000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBK1
846000.00000000
PA
USD
870677.82000000
0.071205043440
Long
DBT
CORP
US
N
2
2023-05-09
Fixed
3.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD CAD
000000000
1.00000000
NC
N/A
-4548.79000000
-0.00037200532
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
740517.33000000
CAD
480702.46000000
EUR
2020-09-16
-4548.79000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-1591.63000000
-0.00013016535
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
619655.55000000
EUR
561271.60000000
GBP
2020-09-16
-1591.63000000
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BL2
646000.00000000
PA
USD
551522.50000000
0.045104150661
Long
DBT
CORP
US
N
2
2020-09-15
Fixed
3.60000000
N
N
N
N
N
N
XPO Logistics Inc
54930096DB9LCLPN7H13
XPO Logistics Inc
983793AD2
2100000.00000000
PA
USD
2102625.00000000
0.171955114767
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
6.50000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BW8
1525000.00000000
PA
USD
1659383.00000000
0.135706269167
Long
DBT
CORP
US
N
2
2023-08-03
Fixed
3.70000000
N
N
N
N
N
N
WPX Energy Inc
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAE3
120000.00000000
PA
USD
118500.00000000
0.009691067641
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
5.25000000
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
21975000.00000000
OU
Notional Amount
USD
68887.23000000
0.005633677684
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S28.V1
2I65BYDN2
Y
sell protection
2022-06-20
299521.31000000
USD
0.00000000
USD
21975000.00000000
USD
-230634.08000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
3807.00000000
0.000311340881
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
68968600.00000000
JPY
643219.81000000
USD
2020-09-16
3807.00000000
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63859UBE2
2725000.00000000
PA
USD
2804352.00000000
0.229343163906
Long
DBT
CORP
GB
N
2
2023-01-27
Fixed
2.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-24605.20000000
-0.00201224183
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
648835.02000000
USD
6006635.62000000
NOK
2020-09-16
-24605.20000000
N
N
N
Student Loan Consolidation Center Student Loan
5493008KMDJ3GC7JUA63
Student Loan Consolidation Center Student Loan Trust I
86386MAY0
2643308.42000000
PA
USD
2631225.06000000
0.215184641660
Long
ABS-O
CORP
US
N
2
2027-10-25
Floating
1.40000000
N
N
N
N
N
N
Cutwater Ltd
254900Z407FNBKBWKE10
Cutwater 2014-I Ltd
23222TAL4
1112000.87000000
PA
USD
1100398.25000000
0.089991847033
Long
ABS-CBDO
CORP
KY
N
2
2026-07-15
Floating
2.47000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OPS01723A SWAPTION AUG20 0.256 CALL
000000000
-5180000.00000000
NC
-18477.05000000
-0.00151107461
N/A
DIR
DE
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
5180000.00000000
OU
Notional Amount
N/A
-18477.05000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-09-01
0.00000000
N/A
0.00000000
N/A
5180000.00000000
EUR
1.00000000
0.25600000
EUR
2020-08-27
XXXX
74581.59000000
N
N
N
Tyson Foods Inc
WD6L6041MNRW1JE49D58
Tyson Foods Inc
902494BG7
875000.00000000
PA
USD
954458.75000000
0.078056745210
Long
DBT
CORP
US
N
2
2023-09-28
Fixed
3.90000000
N
N
N
N
N
N
ENRGY TRANS PT/REG FIN
N/A
Energy Transfer Partners LP / Regency Energy Finance Corp
75886AAJ7
150000.00000000
PA
USD
160603.50000000
0.013134340776
Long
DBT
CORP
US
N
2
2023-11-01
Fixed
4.50000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAF7
2030000.00000000
PA
USD
2042687.50000000
0.167053356398
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.50000000
N
N
N
N
N
N
NGPL PipeCo LLC
549300K3NT1HSQFEM073
NGPL PipeCo LLC
62912XAE4
215000.00000000
PA
USD
221606.95000000
0.018123273774
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
4.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042679
12000000.00000000
PA
USD
12814022.40000000
1.047945635777
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 IDR
000000000
1.00000000
NC
13807.10000000
0.001129160675
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
8915867488.62000000
IDR
625756.15000000
USD
2020-07-20
13807.10000000
N
N
N
MUFG UNION BANK NA
OX3PU53ZLPQKJ4700D47
MUFG Union Bank NA
90520EAK7
1400000.00000000
PA
USD
1444002.00000000
0.118092160815
Long
DBT
CORP
US
N
2
2022-12-09
Fixed
2.10000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-1585.95000000
-0.00012970083
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
664168.14000000
USD
544192475.00000000
CLP
2020-07-03
-1585.95000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
7916.22000000
0.000647397666
N/A
DFE
KR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1167987.03000000
USD
1410414422.00000000
KRW
2020-09-02
7916.22000000
N
N
N
New Hampshire Higher Education Loan Corp
254900HSRKF2XFNCHT93
NEW HAMPSHIRE ST HGR EDU LOAN CORP
644617AC6
1484683.24000000
PA
USD
1403186.45000000
0.114754217727
Long
DBT
MUN
US
N
2
2037-10-25
Variable
1.84000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380ABR7
1933089.59000000
PA
USD
217175.66000000
0.017760877731
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
4.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02431A SWAPTION DEC20 0.053 CALL
000000000
-980000.00000000
NC
-20048.65000000
-0.00163960188
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
980000.00000000
OU
Notional Amount
N/A
-20048.65000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
980000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
-4774.27000000
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CX6
200000.00000000
PA
USD
186375.00000000
0.015241963980
Long
DBT
NUSS
TR
N
2
2025-03-13
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YR23
934059.72000000
PA
USD
143329.78000000
0.011721675890
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.01000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-6522.31000000
-0.00053340208
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
615942.03000000
EUR
553922.83000000
GBP
2020-09-16
-6522.31000000
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
7090000.00000000
OU
Notional Amount
-433693.96000000
-0.03546799579
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2027-09-16
0.00000000
GBP
-273246.65000000
GBP
7090000.00000000
GBP
-84853.61000000
N
N
N
Newark BSL CLO 1 Ltd.
549300R0C043JWD1XY94
Newark BSL CLO 1 Ltd
65023TAJ1
3000000.00000000
PA
USD
2946810.00000000
0.240993544616
Long
ABS-CBDO
CORP
KY
N
2
2029-12-21
Floating
2.09000000
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
12720000.00000000
OU
Notional Amount
190584.28000000
0.015586203788
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2030-03-19
253582.33000000
AUD
0.00000000
AUD
12720000.00000000
AUD
370071.70000000
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AC1
3375000.00000000
PA
USD
3523871.25000000
0.288186283916
Long
DBT
CORP
CA
N
2
2023-05-15
Fixed
2.80000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAE0
2530000.00000000
PA
USD
2720913.80000000
0.222519490994
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
4.50000000
N
N
N
N
N
N
DaVita Inc
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAR9
1925000.00000000
PA
USD
1968312.50000000
0.160970882509
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
4115.57000000
0.000336576094
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6340197.35000000
NOK
589117.22000000
EUR
2020-09-16
4115.57000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-5124.30000000
-0.00041907120
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
19808858.46000000
TWD
670577.47000000
USD
2020-07-15
-5124.30000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
4695.87000000
0.000384033703
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
573285.80000000
EUR
6050045.57000000
SEK
2020-09-16
4695.87000000
N
N
N
CenturyLink Inc
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
156700AR7
1810000.00000000
PA
USD
1848462.50000000
0.151169410299
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
6.45000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-17379.71000000
-0.00142133287
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
596643.51000000
USD
2178035200.38000000
COP
2020-07-06
-17379.71000000
N
N
N
TRONOX INC
549300EPZ4YXC7E5P181
Tronox Inc
897051AB4
1985000.00000000
PA
USD
1982518.75000000
0.162132686135
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.50000000
N
N
N
N
N
N
CITIZENS BANK NA/RI
DRMSV1Q0EKMEXLAU1P80
Citizens Bank NA/Providence RI
75524KNH3
2075000.00000000
PA
USD
2197425.00000000
0.179707968880
Long
DBT
CORP
US
N
2
2025-04-28
Fixed
2.25000000
N
N
N
N
N
N
MONDELEZ INTL HLDINGS NE
549300CW356R8I7N8D33
Mondelez International Holdings Netherlands BV
60920LAE4
1225000.00000000
PA
USD
1262423.75000000
0.103242480621
Long
DBT
CORP
NL
N
2
2022-09-19
Fixed
2.13000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002952 CDS USD R F 5.00000 2 CCPCDX / Short: SX002952 CDS USD P V 03MEVENT 1 CCPCDX
000000000
11029500.00000000
OU
Notional Amount
USD
-68366.36000000
-0.00559108033
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S34.V1
2I65BRTL4
Y
sell protection
2025-06-20
0.00000000
USD
-632709.20000000
USD
11029500.00000000
USD
564342.84000000
N
N
N
NEXTERA ENERGY CAPITAL
UMI46YPGBLUE4VGNNT48
NextEra Energy Capital Holdings Inc
65339KBG4
2625000.00000000
PA
USD
2850461.25000000
0.233114031928
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.15000000
N
N
N
N
N
N
Utah State Board of Regents
549300SAYC054T80UK17
UTAH ST BRD OF RGTS STUDENT LOAN REVENUE
917546HX4
292146.74000000
PA
USD
288795.55000000
0.023618035524
Long
DBT
MUN
US
N
2
2029-05-01
Floating
1.54000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
22826.17000000
0.001866750695
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3123379.35000000
BRL
597129.11000000
USD
2020-07-02
22826.17000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-23046.16000000
-0.00188474173
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1243444.68000000
USD
1656554.31000000
CAD
2020-09-16
-23046.16000000
N
N
N
Whitehorse Ltd
549300GKZTMG24SVKU49
WhiteHorse VIII Ltd
96524WAS3
195317.12000000
PA
USD
192506.51000000
0.015743405990
Long
ABS-CBDO
CORP
KY
N
2
2026-05-01
Floating
1.59000000
N
N
N
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAA9
125000.00000000
PA
USD
118125.00000000
0.009660399706
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
5.88000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LZ2
1045000.00000000
PA
USD
1135099.90000000
0.092829788277
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.04000000
N
N
N
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
29273AAA4
1925000.00000000
PA
USD
1982750.00000000
0.162151598028
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.50000000
N
N
N
N
N
N
Smithfield Foods Inc
CVTIPZRZJC0JQEZLL598
Smithfield Foods Inc
832248BA5
2350000.00000000
PA
USD
2321753.00000000
0.189875657131
Long
DBT
CORP
US
N
2
2021-10-03
Fixed
2.65000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
OPS02119A SWAPTION AUG20 0.35 CALL
000000000
-17600000.00000000
NC
-41730.19000000
-0.00341274340
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
17600000.00000000
OU
Notional Amount
N/A
-41730.19000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2025-08-17
0.00000000
N/A
0.00000000
N/A
17600000.00000000
EUR
1.00000000
-0.35000000
EUR
2020-08-13
XXXX
4064.29000000
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
000000000
870000.00000000
PA
USD
900450.00000000
0.073639846902
Long
DBT
NUSS
AE
N
2
2022-10-11
Fixed
2.50000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCN8
500000.00000000
PA
USD
495000.00000000
0.040481674958
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
6.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-3268.04000000
-0.00026726410
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2206727154.39000000
COP
583626.59000000
USD
2020-07-06
-3268.04000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HKK5
1230000.00000000
PA
USD
1157479.20000000
0.094659993425
Long
DBT
CORP
US
N
2
2020-08-01
Fixed
4.49000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BP8
1275000.00000000
PA
USD
1278544.50000000
0.104560854281
Long
DBT
CORP
US
N
2
2024-02-01
Variable
2.34000000
N
N
N
N
N
N
PUBLIC SERVICE ENTERPRIS
PUSS41EMO3E6XXNV3U28
Public Service Enterprise Group Inc
744573AN6
975000.00000000
PA
USD
1042070.25000000
0.085221715443
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
2.88000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MK4
1275000.00000000
PA
USD
1131562.50000000
0.092540495596
Long
DBT
CORP
US
N
2
2025-01-30
Fixed
4.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-37036.72000000
-0.00302890598
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
608433.74000000
USD
3107575.33000000
BRL
2020-07-02
-37036.72000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BSYA5
1065038.34000000
PA
USD
1159396.80000000
0.094816816981
Long
ABS-MBS
USGSE
US
N
2
2054-08-15
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-8503.79000000
-0.00069544982
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
663865.30000000
USD
538261985.00000000
CLP
2020-07-03
-8503.79000000
N
N
N
Enbridge Inc
98TPTUM4IVMFCZBCUR27
Enbridge Inc
29250NAQ8
2725000.00000000
PA
USD
2826860.50000000
0.231183935180
Long
DBT
CORP
CA
N
2
2022-07-15
Fixed
2.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BPDJ5
593150.21000000
PA
USD
117876.33000000
0.009640063184
Long
ABS-MBS
USGSE
US
N
2
2046-05-15
Floating
5.82000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
-4282.53000000
-0.00035023027
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
12407097.89000000
SEK
1180414.23000000
EUR
2020-09-16
-4282.53000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-26694.48000000
-0.00218310558
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
487086.06000000
USD
2503865.89000000
BRL
2020-07-02
-26694.48000000
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAX6
800000.00000000
PA
USD
847344.00000000
0.069296776537
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
3.20000000
N
N
N
N
N
N
Entercom Media Corp
549300S5JUSXRHNCHD80
Entercom Media Corp
124847AC8
120000.00000000
PA
USD
103800.00000000
0.008488884567
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
7.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
6297.38000000
0.000515007051
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
13308240.53000000
MXN
579337.28000000
USD
2020-09-17
6297.38000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
OPS02258A SWAPTION OCT20 0.35 CALL
000000000
-10390000.00000000
NC
-146605.58000000
-0.01198957461
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
10390000.00000000
OU
Notional Amount
N/A
-146605.58000000
-0.01000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-21
0.00000000
N/A
0.00000000
N/A
10390000.00000000
GBP
1.00000000
0.35000000
GBP
2020-10-21
XXXX
-38945.54000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377DKS4
133246.95000000
PA
USD
25722.54000000
0.002103619198
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
3140HHSY2
32867.53000000
PA
USD
36054.23000000
0.002948556807
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
8506.21000000
0.000695647734
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1832814.82000000
USD
2667495.51000000
AUD
2020-09-16
8506.21000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCE0
2400000.00000000
PA
USD
2638488.00000000
0.215778613330
Long
DBT
CORP
US
N
2
2024-03-11
Fixed
3.90000000
N
N
N
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
2450000.00000000
OU
Notional Amount
-115729.41000000
-0.00946448557
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2025-09-16
0.00000000
GBP
-92095.67000000
GBP
2450000.00000000
GBP
-1328.12000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
365000.00000000
PA
USD
388119.10000000
0.031740830811
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214052 IRS USD R F 1.75000 2 CCPVANILLA / Short: SR214052 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
2770000.00000000
OU
Notional Amount
USD
151407.09000000
0.012382247684
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2040-06-19
130612.34000000
USD
0.00000000
USD
2770000.00000000
USD
20794.75000000
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBG3
4998000.00000000
PA
USD
5462364.18000000
0.446718487354
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
10355.86000000
0.000846914259
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
140112750.00000000
JPY
1309351.15000000
USD
2020-09-16
10355.86000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAD5
5925000.00000000
PA
USD
6084797.25000000
0.497621786795
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.42000000
N
N
N
N
N
N
Educational Services of America Inc
N/A
Edsouth Indenture No 10 LLC
28138JAA2
433945.17000000
PA
USD
427444.28000000
0.034956889708
Long
ABS-O
CORP
US
N
2
2056-12-25
Floating
1.18000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BSCT8
1532522.33000000
PA
USD
1645618.19000000
0.134580567017
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
2937.86000000
0.000240261603
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
674506.52000000
CAD
499852.91000000
USD
2020-09-16
2937.86000000
N
N
N
SLC Student Loan Trust
N/A
SLC Student Loan Trust 2005-3
784420AP6
714326.21000000
PA
USD
695988.74000000
0.056918767570
Long
ABS-O
CORP
US
N
2
2029-06-15
Floating
0.43000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AU7
4750000.00000000
PA
USD
4763205.00000000
0.389540437518
Long
DBT
CORP
NL
N
2
2026-07-01
Fixed
1.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-8730.26000000
-0.00071397080
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
597476.75000000
EUR
535378.00000000
GBP
2020-09-16
-8730.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
2186.06000000
0.000178778525
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
612450.60000000
USD
580995.14000000
CHF
2020-09-16
2186.06000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
994.17000000
0.000081304377
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
624519.30000000
EUR
703846.99000000
USD
2020-09-16
994.17000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-20445.44000000
-0.00167205183
N/A
DFE
ZA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
494258.25000000
USD
8287941.33000000
ZAR
2020-09-16
-20445.44000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-143.66000000
-0.00001174868
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
628697.22000000
USD
594150.31000000
CHF
2020-09-16
-143.66000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
4245.90000000
0.000347234633
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1408743.00000000
USD
1335650.37000000
CHF
2020-09-16
4245.90000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
4471.98000000
0.000365723718
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
572846.56000000
EUR
6043359.35000000
SEK
2020-09-16
4471.98000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
52103.22000000
0.004261061851
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
5442415.21000000
CAD
4061579.66000000
USD
2020-09-16
52103.22000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-51758.61000000
-0.00423287924
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
624835.38000000
USD
3116710.74000000
BRL
2020-07-02
-51758.61000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2B8
4375000.00000000
PA
USD
4551618.75000000
0.372236668228
Long
DBT
CORP
US
N
2
2022-07-22
Fixed
2.63000000
N
N
N
N
N
N
PERUSAHAAN PENERBIT SBSN
254900G208H6Q0L5B953
Perusahaan Penerbit SBSN Indonesia III
71567PAN0
3530000.00000000
PA
USD
3534412.50000000
0.289048359585
Long
DBT
NUSS
ID
N
2
2025-06-23
Fixed
2.30000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
822.73000000
0.000067283815
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
287426.27000000
EUR
261604.18000000
GBP
2020-09-16
822.73000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBL8
3600000.00000000
PA
USD
3751560.00000000
0.306806934359
Long
DBT
CORP
GB
N
2
2026-05-07
Fixed
2.85000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LQ2
975000.00000000
PA
USD
1016661.75000000
0.083143778800
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
2.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
11062.75000000
0.000904724544
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
917115340.00000000
CLP
1128896.28000000
USD
2020-09-16
11062.75000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
3560.03000000
0.000291143388
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
312386.94000000
EUR
286472.88000000
GBP
2020-09-16
3560.03000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
5162.46000000
0.000422191975
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
546604552.00000000
CLP
671182.79000000
USD
2020-08-27
5162.46000000
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAG8
4150000.00000000
PA
USD
4145186.00000000
0.338998125848
Long
DBT
CORP
US
N
2
2023-12-15
Floating
1.32000000
N
N
N
N
N
N
SPRINT COMMUNICATIONS
549300JKU50UT08ZWD77
Sprint Communications Inc
852061AS9
770000.00000000
PA
USD
812350.00000000
0.066434926571
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6.00000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CW8
56000.00000000
PA
USD
60547.93000000
0.004951680043
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
9.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AWKF3
942288.05000000
PA
USD
186576.14000000
0.015258413443
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Floating
5.92000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JW97
550000.00000000
PA
USD
544500.00000000
0.044529842454
Long
DBT
NUSS
EG
N
2
2023-11-20
Fixed
4.55000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828W55
100000.00000000
PA
USD
102835.94000000
0.008410042620
Long
DBT
UST
US
N
1
2022-02-28
Fixed
1.88000000
N
N
N
N
N
N
ZAIS CLO 15 Ltd
549300BTYXZYFTGVBO58
Zais Clo 15 Ltd
98888DAA0
2625000.00000000
PA
USD
2638374.38000000
0.215769321354
Long
ABS-CBDO
CORP
KY
N
2
2030-07-28
Floating
2.92000000
N
N
N
N
N
N
AVANGRID INC
549300OX0Q38NLSKPB49
Avangrid Inc
05351WAC7
1375000.00000000
PA
USD
1502476.25000000
0.122874252900
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.20000000
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
12500000.00000000
OU
Notional Amount
209598.05000000
0.017141171983
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2025-06-17
0.00000000
GBP
-543.02000000
GBP
12500000.00000000
GBP
1258503.34000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
15214.76000000
0.001244280745
N/A
DFE
KR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1329372.37000000
USD
1612974025.00000000
KRW
2020-07-15
15214.76000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02369A SWAPTION NOV20 0.41 PUT
000000000
-6400000.00000000
NC
USD
-28696.96000000
-0.00234687072
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
6400000.00000000
OU
Notional Amount
N/A
-28696.96000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-11-25
0.00000000
N/A
0.00000000
N/A
6400000.00000000
USD
1.00000000
0.41000000
USD
2020-11-23
XXXX
16423.04000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CQ6
2350000.00000000
PA
USD
2136338.00000000
0.174712203066
Long
DBT
CORP
US
N
2
2022-08-15
Floating
1.84000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAE9
1929000.00000000
PA
USD
1919355.00000000
0.156967081293
Long
DBT
CORP
CA
N
2
2025-10-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-4196.00000000
-0.00034315375
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
652071.57000000
USD
575669.31000000
EUR
2020-09-16
-4196.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD SEK
000000000
1.00000000
NC
N/A
-1929.02000000
-0.00015775749
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3481464.50000000
SEK
330581.09000000
EUR
2020-09-16
-1929.02000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GT2
5065000.00000000
PA
USD
5399999.10000000
0.441618198673
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AH9
4275000.00000000
PA
USD
4554456.75000000
0.372468763165
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214462 IRS AUD R F .55300 2 CCPVANILLA / Short: SR214462 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
38660000.00000000
OU
Notional Amount
7478.20000000
0.000611575882
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2025-05-16
2196.57000000
AUD
0.00000000
AUD
38660000.00000000
AUD
1015715.57000000
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BJ9
2525000.00000000
PA
USD
2743362.00000000
0.224355330864
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.52000000
N
N
N
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBB7
1950000.00000000
PA
USD
1872000.00000000
0.153094334389
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
5.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
74308.88000000
0.006077066518
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
7693338.89000000
BRL
1486520.63000000
USD
2020-08-04
74308.88000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-1816.95000000
-0.00014859228
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
19337701.70000000
TWD
658327.15000000
USD
2020-07-20
-1816.95000000
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AV4
4000000.00000000
PA
USD
4001680.00000000
0.327262038482
Long
DBT
CORP
US
N
2
2020-11-13
Floating
1.20000000
N
N
N
N
N
N
NatWest Markets PLC
RR3QWICWWIPCS8A4S074
NatWest Markets PLC
63906AAA8
4125000.00000000
PA
USD
4321515.00000000
0.353418516280
Long
DBT
CORP
GB
N
2
2022-09-29
Fixed
3.63000000
N
N
N
N
N
N
Nabors Industries Inc
549300VFQWRKICUFNU92
Nabors Industries Inc
629568AX4
14000.00000000
PA
USD
10605.00000000
0.000867289218
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
4.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-1183.11000000
-0.00009675611
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
432304787.00000000
CLP
525566.58000000
USD
2020-08-27
-1183.11000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAM1
1130000.00000000
PA
USD
1196740.63000000
0.097870838774
Long
DBT
CORP
NL
N
2
2024-03-17
Fixed
6.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
19599.57000000
0.001602875600
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
5151305.31000000
USD
36717164.91000000
CNY
2020-09-16
19599.57000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HJH4
6000000.00000000
PA
USD
6376860.00000000
0.521507017731
Long
DBT
CORP
US
N
2
2023-01-25
Fixed
3.20000000
N
N
N
N
N
N
AMERICAN AXLE & MFG INC
RY5TAKFOBLDUGX31MS24
American Axle & Manufacturing Inc
02406PAR1
1635000.00000000
PA
USD
1606387.50000000
0.131372235621
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
6.25000000
N
N
N
N
N
N
NETAPP INC
QTX3D84DZDD5JYOCYH15
NetApp Inc
64110DAL8
1300000.00000000
PA
USD
1317914.00000000
0.107780537720
Long
DBT
CORP
US
N
2
2025-06-22
Fixed
1.88000000
N
N
N
N
N
N
JM SMUCKER CO
5493000WDH6A0LHDJD55
J M Smucker Co/The
832696AH1
275000.00000000
PA
USD
285070.50000000
0.023313396608
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.00000000
N
N
N
N
N
N
MONDELEZ INTERNATIONAL
549300DV9GIB88LZ5P30
Mondelez International Inc
609207AU9
2325000.00000000
PA
USD
2368826.25000000
0.193725362194
Long
DBT
CORP
US
N
2
2025-05-04
Fixed
1.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-1856.46000000
-0.00015182345
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
45155500.87000000
INR
594130.22000000
USD
2020-07-28
-1856.46000000
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
4330000.00000000
OU
Notional Amount
-210871.00000000
-0.01724527531
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2040-06-19
0.00000000
EUR
-203172.00000000
EUR
4330000.00000000
EUR
69573.25000000
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BM0
395000.00000000
PA
USD
409409.60000000
0.033481992630
Long
DBT
CORP
US
N
2
2022-08-01
Fixed
2.50000000
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
4150000.00000000
OU
Notional Amount
12652.49000000
0.001034735328
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
BBA LIBOR AUD National Australia Bank 6 Month
AU1306M Index
Y
2027-04-21
1201.95000000
AUD
0.00000000
AUD
4150000.00000000
AUD
11892.92000000
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
18270000.00000000
OU
Notional Amount
-262507.22000000
-0.02146814536
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2030-06-18
0.00000000
EUR
-184242.70000000
EUR
18270000.00000000
EUR
400502.96000000
N
N
N
City of Chicago IL
T5UYO5SYLC8K73MJQX30
CHICAGO IL
167486C98
2753000.00000000
PA
USD
3609127.94000000
0.295158675053
Long
DBT
MUN
US
N
2
2042-01-01
Fixed
7.75000000
N
N
N
N
N
N
San Francisco City & County Airport Comm-San Francisco International Airport
54930055TIDYHNDP4F84
SAN FRANCISCO CALIF CITY &CNTY ARPTS COMMN INTL ARPT REV
79766DLS6
380000.00000000
PA
USD
393680.00000000
0.032195607672
Long
DBT
MUN
US
N
2
2023-05-01
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BDB6
4053211.67000000
PA
USD
364883.08000000
0.029840562106
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BT5
4375000.00000000
PA
USD
4529437.50000000
0.370422659839
Long
DBT
CORP
US
N
2
2022-06-06
Fixed
2.89000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-7151.81000000
-0.00058488332
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
328166.86000000
USD
1748801.20000000
BRL
2020-08-04
-7151.81000000
N
N
N
COMMSCOPE TECH LLC
M4TWC4QDOKW45N7T6Y12
CommScope Technologies LLC
20337YAA5
130000.00000000
PA
USD
124800.00000000
0.010206288959
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
6.00000000
N
N
N
N
N
N
Celanese US Holdings LLC
CD30XVRLT4QO00B1C706
Celanese US Holdings LLC
15089QAJ3
900000.00000000
PA
USD
951597.00000000
0.077822707971
Long
DBT
CORP
US
N
2
2024-05-08
Fixed
3.50000000
N
N
N
N
N
N
UNITED PARCEL SERVICE
D01LMJZU09ULLNCY6Z23
United Parcel Service Inc
911312BX3
1925000.00000000
PA
USD
2185548.75000000
0.178736715361
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.90000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
10813.67000000
0.000884354493
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
575715.17000000
USD
2205351801.66000000
COP
2020-07-06
10813.67000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
959.77000000
0.000078491105
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
597731.27000000
USD
4192128.49000000
TRY
2020-09-16
959.77000000
N
N
N
Wells Fargo Bank NA
KB1H1DSPRFMYMCUFXT09
Wells Fargo Bank NA
94988J5R4
1400000.00000000
PA
USD
1518202.00000000
0.124160323001
Long
DBT
CORP
US
N
2
2023-08-14
Fixed
3.55000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
125000.00000000
PA
USD
66875.00000000
0.005469115177
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.63000000
N
N
N
N
N
N
Spectrum Brands Inc
549300VU3EH2E73C1Q04
Spectrum Brands Inc
84762LAU9
1900000.00000000
PA
USD
1949875.00000000
0.159463042343
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.75000000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AG1
435000.00000000
PA
USD
460443.15000000
0.037655575626
Long
DBT
US
N
2
2024-06-15
Fixed
3.90000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-133923.13000000
-0.01095238912
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6721590704.09000000
COP
1653731.26000000
USD
2020-07-06
-133923.13000000
N
N
N
China Evergrande Group
549300CUF7B1LAB15T90
China Evergrande Group
000000000
230000.00000000
PA
USD
211743.75000000
0.017316649822
Long
DBT
CORP
KY
N
2
2022-03-23
Fixed
8.25000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCU2
1952000.00000000
PA
USD
1883680.00000000
0.154049538355
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.13000000
N
N
N
N
N
N
ALIMENTATION COUCHE-TARD
549300OSW32RVX8CCZ87
Alimentation Couche-Tard Inc
01626PAJ5
425000.00000000
PA
USD
435837.50000000
0.035643296989
Long
DBT
CORP
CA
N
2
2022-07-26
Fixed
2.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
9782.19000000
0.000799998860
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1290883392.04000000
COP
353101.72000000
USD
2020-07-06
9782.19000000
N
N
N
MARRIOTT INTERNATIONAL
225YDZ14ZO8E1TXUSU86
Marriott International Inc/MD
571900BB4
1650000.00000000
PA
USD
1654009.50000000
0.135266818096
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.60000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
7080.16000000
0.000579023708
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
233083.36000000
USD
903016214.98000000
COP
2020-07-06
7080.16000000
N
N
N
Acadia Healthcare Co Inc
5493005CW985Y9D0NC11
Acadia Healthcare Co Inc
00404AAE9
500000.00000000
PA
USD
500000.00000000
0.040890580766
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
6.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-976.93000000
-0.00007989447
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
46025445.92000000
INR
606491.75000000
USD
2020-07-28
-976.93000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-3894.70000000
-0.00031851308
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1267047.63000000
AUD
870724.00000000
USD
2020-09-16
-3894.70000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
9155000.00000000
PA
USD
9824871.35000000
0.803489390912
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AN2A4
1585978.25000000
PA
USD
316230.11000000
0.025861665707
Long
ABS-MBS
USGSE
US
N
2
2045-06-25
Floating
5.92000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAP1
7490000.00000000
PA
USD
8019243.40000000
0.655823039865
Long
DBT
CORP
US
N
2
2024-04-23
Fixed
3.56000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDC3
1850000.00000000
PA
USD
2072666.00000000
0.169505032949
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.45000000
N
N
N
N
N
N
General Mills Inc
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CC6
2175000.00000000
PA
USD
2185788.00000000
0.178756281504
Long
DBT
CORP
US
N
2
2023-10-17
Floating
2.14000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAF8
2550000.00000000
PA
USD
2871325.50000000
0.234820334528
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GK5
2125000.00000000
PA
USD
2283270.00000000
0.186728472692
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
8.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-13692.38000000
-0.00111977874
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
624148.61000000
USD
8894117692.50000000
IDR
2020-07-20
-13692.38000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
35619.28000000
0.002912986091
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
477093785.00000000
CLP
616505.38000000
USD
2020-07-03
35619.28000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
3074.17000000
0.000251409193
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2575170.32000000
USD
18307400.84000000
CNY
2020-09-16
3074.17000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BBF9
4172355.58000000
PA
USD
491719.20000000
0.040213367323
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050676
18000000.00000000
PA
USD
19658475.00000000
1.607692919460
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
5.00000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV FIN
5493000EYEKDT0FBSQ91
Anheuser-Busch InBev Finance Inc
035242AL0
2359000.00000000
PA
USD
2510848.83000000
0.205340133750
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.30000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGP8
1475000.00000000
PA
USD
1476357.00000000
0.120738190296
Long
DBT
CORP
US
N
2
2021-07-21
Fixed
2.37000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CT0
5000000.00000000
PA
USD
5453400.00000000
0.445985386302
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
4.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-82007.88000000
-0.00670669968
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1194626.10000000
USD
913816393.00000000
CLP
2020-07-03
-82007.88000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-3140.24000000
-0.00025681247
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
32063277.80000000
TWD
1093910.34000000
USD
2020-08-06
-3140.24000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
2664.63000000
0.000217916536
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
651712.26000000
USD
947986.47000000
AUD
2020-09-16
2664.63000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-3109.76000000
-0.00025431978
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3074000.00000000
USD
21805541.96000000
CNY
2020-09-16
-3109.76000000
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAC5
5375000.00000000
PA
USD
5597901.25000000
0.457802866370
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
3.13000000
N
N
N
N
N
N
Cenovus Energy Inc
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAG4
2185000.00000000
PA
USD
2121591.30000000
0.173506200811
Long
DBT
CORP
CA
N
2
2022-08-15
Fixed
3.00000000
N
N
N
N
N
N
Cedar Funding Ltd
254900Q56WTD2BRLBE32
Cedar Funding II CLO Ltd
15032TAS5
3100000.00000000
PA
USD
3055143.00000000
0.249853143188
Long
ABS-CBDO
CORP
KY
N
2
2030-06-09
Floating
1.54000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
36337.07000000
0.002971687791
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
443080590.00000000
CLP
575810.36000000
USD
2020-07-03
36337.07000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
1600000.00000000
PA
USD
1654560.00000000
0.135311838625
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.75000000
N
N
N
N
N
N
OCP CLO Ltd
5493006T10144GM16690
OCP CLO 2015-8 Ltd
67091RAK5
1247555.35000000
PA
USD
1240702.53000000
0.101466094019
Long
ABS-CBDO
CORP
KY
N
2
2027-04-17
Floating
1.98000000
N
N
N
N
N
N
Level 3 Financing Inc
N/A
Level 3 Financing Inc
527298BH5
1925000.00000000
PA
USD
1970718.75000000
0.161167668429
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.38000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02352A SWAPTION MAY21 0.48 PUT
000000000
-6800000.00000000
NC
USD
-49977.28000000
-0.00408720000
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
6800000.00000000
OU
Notional Amount
N/A
-49977.28000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-05-21
0.00000000
N/A
0.00000000
N/A
6800000.00000000
USD
1.00000000
0.48000000
USD
2021-05-19
XXXX
19161.72000000
N
N
N
CommScope Inc
549300Z6K4JXMFE8QY54
CommScope Inc
20338QAB9
1110000.00000000
PA
USD
1122487.50000000
0.091798331555
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FQJA2
358532.79000000
PA
USD
46298.16000000
0.003786317301
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
5.82000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CG4
805000.00000000
PA
USD
795943.75000000
0.065093204389
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.75000000
N
N
N
N
N
N
RALPH LAUREN CORP
HO1QNWM0IXBZ0QSMMO20
Ralph Lauren Corp
731572AA1
1450000.00000000
PA
USD
1473838.00000000
0.120532183550
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
1.70000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
3325000.00000000
PA
USD
3408125.00000000
0.278720421148
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BTYZ8
7772671.31000000
PA
USD
8600586.72000000
0.703365971824
Long
ABS-MBS
USGSE
US
N
2
2054-11-15
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
13327.02000000
0.001089899175
N/A
DFE
TW
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
591457.83000000
USD
17716054.67000000
TWD
2020-07-20
13327.02000000
N
N
N
CARGILL INC
QXZYQNMR4JZ5RIRN4T31
Cargill Inc
141781BL7
1175000.00000000
PA
USD
1193976.25000000
0.097644764567
Long
DBT
CORP
US
N
2
2023-07-23
Fixed
1.38000000
N
N
N
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
470000.00000000
OU
Notional Amount
7987.30000000
0.000653210671
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2031-04-07
5737.30000000
EUR
0.00000000
EUR
470000.00000000
EUR
1502.03000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAD1
2600000.00000000
PA
USD
2735356.00000000
0.223700590885
Long
DBT
CORP
ES
N
2
2024-06-27
Fixed
2.71000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAS0
1750000.00000000
PA
USD
1759957.50000000
0.143931368598
Long
DBT
US
N
2
2025-07-15
Fixed
1.35000000
N
N
N
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
138707885.01000000
NS
USD
138707885.01000000
11.34369194985
Long
EC
RF
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376VHU4
97419.74000000
PA
USD
19829.69000000
0.001621695081
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Floating
6.06000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
270000.00000000
PA
USD
296315.63000000
0.024233036401
Long
DBT
CORP
VG
N
2
2025-01-16
Fixed
5.50000000
N
N
N
N
N
N
Pennsylvania Higher Education Assistance Agency
N/A
PHEAA Student Loan Trust 2016-1
69343FAA5
1260246.09000000
PA
USD
1232795.91000000
0.100819481452
Long
ABS-O
CORP
US
N
2
2065-09-25
Floating
1.33000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
4525000.00000000
PA
USD
4789033.75000000
0.391652742694
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
9972.41000000
0.000815555273
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
70458915.00000000
JPY
663202.03000000
USD
2020-09-16
9972.41000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
30235.16000000
0.002472666503
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
13707652.15000000
MXN
620473.34000000
USD
2020-09-17
30235.16000000
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
SASOL Financing USA LLC
80386WAA3
450000.00000000
PA
USD
403875.00000000
0.033029366614
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
5.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379NPC0
402602.14000000
PA
USD
73513.18000000
0.006011993248
Long
ABS-MBS
USGA
US
N
2
2045-07-16
Fixed
4.50000000
N
N
N
N
N
N
SCRIPPS ESCROW INC
N/A
Scripps Escrow Inc
81104PAA7
120000.00000000
PA
USD
113700.00000000
0.009298518066
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.88000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAN9
800000.00000000
PA
USD
856312.00000000
0.070030189994
Long
DBT
CORP
US
N
2
2022-10-15
Fixed
4.40000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2N2
4350000.00000000
PA
USD
4494246.00000000
0.367544658093
Long
DBT
CORP
US
N
2
2026-04-30
Fixed
2.19000000
N
N
N
N
N
N
DOW CHEMICAL CO/THE
ZQUIP1CSZO8LXRBSOU78
Dow Chemical Co/The
260543CT8
1125000.00000000
PA
USD
1200195.00000000
0.098153341165
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.15000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-25192.40000000
-0.00206026373
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
629084.61000000
USD
495989179.00000000
CLP
2020-07-03
-25192.40000000
N
N
N
FREDDIEMAC STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UP26
192900.96000000
PA
USD
11349.54000000
0.000928178564
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFZ7
3075000.00000000
PA
USD
3147723.75000000
0.257424504458
Long
DBT
CORP
US
N
2
2022-10-21
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-19110.50000000
-0.00156287888
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
42255324.78000000
CNY
5931737.43000000
USD
2020-09-16
-19110.50000000
N
N
N
Oasis Petroleum Inc
529900FA4V2YNIKZ0M71
Oasis Petroleum Inc
674215AG3
900000.00000000
PA
USD
157500.00000000
0.012880532941
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.88000000
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
37100000.00000000
OU
Notional Amount
USD
414544.27000000
0.033901911907
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2023-06-20
471556.00000000
USD
0.00000000
USD
37100000.00000000
USD
-57011.73000000
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AQ7
1800000.00000000
PA
USD
1852182.00000000
0.151473595329
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
2.67000000
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
17200000.00000000
OU
Notional Amount
USD
1967.68000000
0.000160919155
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2024-07-25
283.85000000
USD
0.00000000
USD
17200000.00000000
USD
1683.83000000
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAG0
1800000.00000000
PA
USD
1913994.00000000
0.156528652486
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
3.85000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-8345.38000000
-0.00068249486
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
597827.85000000
USD
4127648.59000000
TRY
2020-09-16
-8345.38000000
N
N
N
YUZHOU PROPERTIES CO LTD
213800MP59KHGJSPHE82
Yuzhou Properties Co Ltd
000000000
200000.00000000
PA
USD
195000.00000000
0.015947326498
Long
DBT
CORP
KY
N
2
2025-02-20
Fixed
7.70000000
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
680000.00000000
OU
Notional Amount
-108715.23000000
-0.00889085778
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-09-16
0.00000000
EUR
-92473.39000000
EUR
680000.00000000
EUR
-4819.87000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
42391.10000000
0.003466793396
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
466204550.00000000
CLP
610019.00000000
USD
2020-07-03
42391.10000000
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CP8
1275000.00000000
PA
USD
1187343.75000000
0.097102351013
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
PROTECTIVE LIFE GLOBAL
635400EVYITCJYWL2I50
Protective Life Global Funding
74368CAR5
1725000.00000000
PA
USD
1735194.75000000
0.141906242140
Long
DBT
CORP
US
N
2
2023-06-09
Fixed
1.08000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02421A SWAPTION DEC20 0.053 PUT
000000000
-1040000.00000000
NC
-10010.37000000
-0.00081865968
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
1040000.00000000
OU
Notional Amount
N/A
-10010.37000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1040000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
6155.21000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380WG86
331460.92000000
PA
USD
41287.20000000
0.003376515172
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
4.00000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAG8
1875000.00000000
PA
USD
1939106.25000000
0.158582361460
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
5764.03000000
0.000471389068
N/A
DFE
IL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
644017.64000000
USD
2246134.53000000
ILS
2020-09-16
5764.03000000
N
N
N
FIRST HORIZON NATIONAL
TF3RXI1ZB1TQ30H9JV10
First Horizon National Corp
320517AD7
1500000.00000000
PA
USD
1555800.00000000
0.127235131112
Long
DBT
CORP
US
N
2
2025-05-26
Fixed
4.00000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAK9
1375000.00000000
PA
USD
1416511.25000000
0.115843935349
Long
DBT
CORP
GB
N
2
2023-03-17
Fixed
2.86000000
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
27500000.00000000
OU
Notional Amount
-24684.22000000
-0.00201870418
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Norwegian Interbank Offer Rate 6 Months
NIBOR6M Index
Y
2025-09-16
0.00000000
NOK
-259436.22000000
NOK
27500000.00000000
NOK
2196.06000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) SEP20 XCBT 20200921
000000000
-23.00000000
NC
USD
-7231.20000000
-0.00059137593
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USU0 Comdty
2020-09-21
-4097550.05000000
USD
-7231.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
989.31000000
0.000080906920
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
529640.13000000
EUR
597062.26000000
USD
2020-09-16
989.31000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XBM7
5475000.00000000
PA
USD
5535936.75000000
0.452735337586
Long
DBT
CORP
US
N
2
2021-07-06
Fixed
3.20000000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
Stryker Corp
863667BA8
1275000.00000000
PA
USD
1282599.00000000
0.104892436000
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
1.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214463 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR214463 IRS EUR P F .00000 CCPVANILLA
000000000
28300000.00000000
OU
Notional Amount
-32946.02000000
-0.00269436378
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2025-05-18
3353.44000000
EUR
0.00000000
EUR
28300000.00000000
EUR
618312.56000000
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AM3
1875000.00000000
PA
USD
2022656.25000000
0.165415177506
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B06N1
2595622.31000000
PA
USD
157452.01000000
0.012876608263
Long
ABS-MBS
USGSE
US
N
2
2048-03-25
Floating
2.50000000
N
N
N
N
N
N
CNAC HK Finbridge Co Ltd
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
240000.00000000
PA
USD
254775.00000000
0.020835795429
Long
DBT
CORP
HK
N
2
2023-03-14
Fixed
4.63000000
N
N
N
N
N
N
Cantor Commercial Real Estate Lending
N/A
Cantor Commercial Real Estate Lending 2019-CF2
12528YAV5
1200000.00000000
PA
USD
776995.28000000
0.063543576503
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
2.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02349A SWAPTION MAY21 0.49 CALL
000000000
-7000000.00000000
NC
USD
-77557.90000000
-0.00634277514
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
7000000.00000000
OU
Notional Amount
N/A
-77557.90000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-05-20
0.00000000
N/A
0.00000000
N/A
7000000.00000000
USD
1.00000000
0.49000000
USD
2021-05-18
XXXX
-6857.90000000
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
90351DAH0
1275000.00000000
PA
USD
1312370.25000000
0.107327163405
Long
DBT
CORP
CH
N
2
2022-02-01
Fixed
2.65000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
1557.38000000
0.000127364345
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
628001.81000000
EUR
708329.52000000
USD
2020-09-16
1557.38000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
2080000.00000000
PA
USD
2272774.40000000
0.185870130333
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBD6
600000.00000000
PA
USD
643086.00000000
0.052592320045
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
39.34000000
0.000003217270
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
326175.81000000
USD
308360.09000000
CHF
2020-09-16
39.34000000
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807DD6
726000.00000000
PA
USD
754807.68000000
0.061729048804
Long
DBT
US
N
2
2023-06-01
Fixed
2.75000000
N
N
N
N
N
N
CommScope Inc
549300Z6K4JXMFE8QY54
CommScope Inc
203372AL1
63000.00000000
PA
USD
63000.00000000
0.005152213176
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
5.00000000
N
N
N
N
N
N
Montana Higher Education Student Assistance Corp
N/A
Montana Higher Education Student Assistance Corp
61205PAK5
1194949.69000000
PA
USD
1178904.26000000
0.096412159718
Long
ABS-O
CORP
US
N
2
2030-05-20
Floating
1.19000000
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLM Student Loan Trust 2012-3
78447AAA2
884506.01000000
PA
USD
844491.84000000
0.069063523580
Long
ABS-O
CORP
US
N
2
2038-12-27
Floating
0.83000000
N
N
N
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BE0
2140000.00000000
PA
USD
2043700.00000000
0.167136159824
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
5.13000000
N
N
N
N
N
N
Exantas Capital Corp
N/A
Exantas Capital Corp 2018-RSO6 Ltd
299670AA7
122400.97000000
PA
USD
121178.51000000
0.009910119300
Long
ABS-CBDO
CORP
KY
N
2
2035-06-15
Floating
1.02000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD EUR
000000000
1.00000000
NC
N/A
7762.41000000
0.000634818906
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
961835.43000000
EUR
1479879.99000000
CAD
2020-09-16
7762.41000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
16226.58000000
0.001327028560
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
45968779.59000000
RUB
658366.28000000
USD
2020-08-17
16226.58000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
5328.07000000
0.000435735753
N/A
DFE
IN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
742011.64000000
USD
56622907.89000000
INR
2020-07-28
5328.07000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-658.35000000
-0.00005384062
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
664252.71000000
EUR
746911.65000000
USD
2020-09-16
-658.35000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02113A SWAPTION AUG20 0.35 CALL
000000000
-17600000.00000000
NC
-41730.19000000
-0.00341274340
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
17600000.00000000
OU
Notional Amount
N/A
-41730.19000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2025-08-17
0.00000000
N/A
0.00000000
N/A
17600000.00000000
EUR
1.00000000
-0.35000000
EUR
2020-08-13
XXXX
4636.72000000
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BD0
1350000.00000000
PA
USD
1349932.50000000
0.110399047840
Long
DBT
CORP
US
N
2
2021-01-15
Floating
1.72000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
71376LAD2
1970000.00000000
PA
USD
2048800.00000000
0.167553243748
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.88000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
1100000.00000000
PA
USD
1098999.00000000
0.089877414743
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.38000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174824M3
4600000.00000000
PA
USD
5002454.00000000
0.409106498633
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
4.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MNK6
720056.97000000
PA
USD
80995.18000000
0.006623879898
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
4.00000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QMS4
1675000.00000000
PA
USD
1685569.25000000
0.137847811108
Long
DBT
CORP
IE
N
2
2020-11-15
Fixed
2.34000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EW73
561970.18000000
PA
USD
79302.65000000
0.006485462829
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 INR
000000000
1.00000000
NC
-4488.44000000
-0.00036706983
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
50597467.63000000
INR
664072.38000000
USD
2020-07-15
-4488.44000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378WUZ4
554915.65000000
PA
USD
113975.24000000
0.009321027513
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Floating
5.86000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137ABF48
684374.12000000
PA
USD
117938.53000000
0.009645149972
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.82000000
N
N
N
N
N
N
Whitehorse Ltd
5493006SRQWF2ZFME608
WhiteHorse IX Ltd
965249AF2
836870.63000000
PA
USD
833407.66000000
0.068157046465
Long
ABS-CBDO
CORP
KY
N
2
2026-07-17
Floating
2.29000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-6694.52000000
-0.00054748562
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1036583.27000000
NZD
662164.21000000
USD
2020-09-16
-6694.52000000
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
3000000.00000000
OU
Notional Amount
-153387.65000000
-0.01254422018
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2040-06-17
0.00000000
GBP
-125492.34000000
GBP
3000000.00000000
GBP
75513.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-13959.47000000
-0.00114162167
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
970995.79000000
USD
5204896.70000000
BRL
2020-07-02
-13959.47000000
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAA9
1600000.00000000
PA
USD
1633872.00000000
0.133619949955
Long
DBT
CORP
US
N
2
2021-02-15
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-42915.74000000
-0.00350969906
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3549880.49000000
USD
5080489.82000000
AUD
2020-09-16
-42915.74000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-2154.39000000
-0.00017618851
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3334321.12000000
NOK
344359.50000000
USD
2020-09-16
-2154.39000000
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
11900000.00000000
OU
Notional Amount
23891.81000000
0.001953899972
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2025-06-17
0.00000000
GBP
-12760.23000000
GBP
11900000.00000000
GBP
275716.36000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5267.78000000
0.000430805167
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
588717.51000000
EUR
667828.19000000
USD
2020-09-16
5267.78000000
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RAS8
10075000.00000000
PA
USD
10448883.25000000
0.854521808904
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.60000000
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
4190000.00000000
OU
Notional Amount
6931.67000000
0.000566880023
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 12 Months
SF00012M Index
Y
2027-04-28
1459.77000000
CHF
0.00000000
CHF
4190000.00000000
CHF
96865.40000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
162023.99000000
0.013250510098
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6080281.77000000
GBP
7699521.61000000
USD
2020-09-16
162023.99000000
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
74977RDF8
2700000.00000000
PA
USD
2865456.00000000
0.234340320000
Long
DBT
CORP
NL
N
2
2024-07-22
Fixed
2.63000000
N
N
N
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAM0
1125000.00000000
PA
USD
1125045.00000000
0.092007486876
Long
DBT
CORP
US
N
2
2023-07-07
Fixed
0.80000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD EUR
000000000
1.00000000
NC
N/A
465.68000000
0.000038083851
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
547435.86000000
EUR
836919.94000000
CAD
2020-09-16
465.68000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
14223.91000000
0.001163247881
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1835603.48000000
EUR
2080067.32000000
USD
2020-09-16
14223.91000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
1104.79000000
0.000090351009
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4188375.04000000
TRY
607944.82000000
USD
2020-07-27
1104.79000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-2602.35000000
-0.00021282320
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
610317.87000000
USD
4255319.29000000
TRY
2020-09-16
-2602.35000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
6818.18000000
0.000557598679
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6319335.26000000
NOK
663544.80000000
USD
2020-09-16
6818.18000000
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AM1
375000.00000000
PA
USD
414416.25000000
0.033891442283
Long
DBT
US
N
2
2024-01-15
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02337A SWAPTION AUG20 0.34 CALL
000000000
-4490000.00000000
NC
-35654.64000000
-0.00291587787
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
4490000.00000000
OU
Notional Amount
N/A
-35654.64000000
0.00000000
DIR
US
London Interbank Offer Rate 6 Months
BP0006M Index
2030-08-13
0.00000000
N/A
0.00000000
N/A
4490000.00000000
GBP
1.00000000
0.34000000
GBP
2020-08-13
XXXX
-8219.61000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-25921.21000000
-0.00211986666
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
522563.96000000
USD
407902976.00000000
CLP
2020-07-03
-25921.21000000
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBK5
2050000.00000000
PA
USD
2135218.50000000
0.174620649056
Long
DBT
CORP
US
N
2
2022-12-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382ET31
8781287.65000000
PA
USD
822147.18000000
0.067236151331
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
5.00000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
250000.00000000
PA
289564.46000000
0.023680917877
Long
DBT
NUSS
ID
N
2
2024-07-18
Fixed
2.15000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BU3
3250000.00000000
PA
USD
3436517.50000000
0.281042392777
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
3.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379LKS4
867748.85000000
PA
USD
147039.09000000
0.012025027570
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Floating
5.41000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AES0
1645637.90000000
PA
USD
196047.48000000
0.016032990629
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
2350000.00000000
PA
USD
2571652.00000000
0.210312687617
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
1700000.00000000
PA
USD
1515125.00000000
0.123908682367
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.60000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-12609.32000000
-0.00103120483
N/A
DFE
AU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
668267.57000000
USD
949842.76000000
AUD
2020-09-16
-12609.32000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAR2
1125000.00000000
PA
USD
1123323.75000000
0.091866721052
Long
DBT
CORP
IE
N
2
2022-02-01
Fixed
3.95000000
N
N
N
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
5140000.00000000
OU
Notional Amount
USD
40403.48000000
0.003304243524
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2025-09-16
41133.48000000
USD
0.00000000
USD
5140000.00000000
USD
-730.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-4850.40000000
-0.00039667134
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
572685.49000000
USD
536755.20000000
CHF
2020-09-16
-4850.40000000
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
8680000.00000000
OU
Notional Amount
-270442.19000000
-0.02211707642
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 6 Months
BP0006M Index
Y
2030-06-18
0.00000000
GBP
-166819.90000000
GBP
8680000.00000000
GBP
-61213.19000000
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAC1
3000000.00000000
PA
USD
2964570.00000000
0.242445978044
Long
DBT
CORP
US
N
2
2023-04-05
Floating
2.09000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AK3
850000.00000000
PA
USD
880132.50000000
0.071978258152
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
2.05000000
N
N
N
N
N
N
SMBC AVIATION CAPITAL FI
549300OD7VKRVNWB2J98
SMBC Aviation Capital Finance DAC
78448TAE2
1200000.00000000
PA
USD
1223436.00000000
0.100054017140
Long
DBT
CORP
IE
N
2
2024-04-15
Fixed
3.55000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAL0
1100000.00000000
PA
USD
1215500.00000000
0.099405001842
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
5.88000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
200000.00000000
PA
USD
204442.00000000
0.016719504226
Long
DBT
CORP
KY
N
2
2023-01-30
Fixed
11.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-1242.36000000
-0.00010160164
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
40376415.84000000
INR
531667.38000000
USD
2020-07-28
-1242.36000000
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
1200000.00000000
OU
Notional Amount
14173.52000000
0.001159126928
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
-818.24000000
AUD
1200000.00000000
AUD
14690.69000000
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
31700000.00000000
OU
Notional Amount
USD
377797.43000000
0.030896712649
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2025-06-20
325604.15000000
USD
0.00000000
USD
31700000.00000000
USD
52193.28000000
N
N
N
Newfield Exploration Co
T8W3X1PFLPW2YE0UIP44
Newfield Exploration Co
651290AP3
125000.00000000
PA
USD
125097.50000000
0.010230618854
Long
DBT
CORP
US
N
2
2022-01-30
Fixed
5.75000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
380000.00000000
PA
USD
390687.50000000
0.031950877546
Long
DBT
CORP
VG
N
2
2024-05-29
Fixed
3.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
20150.28000000
0.001647913303
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
44440630.00000000
RUB
640943.20000000
USD
2020-08-17
20150.28000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FQHS5
673575.74000000
PA
USD
85814.42000000
0.007018002943
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
5.82000000
N
N
N
N
N
N
NORTHSTAR EDUCATION FINANCE, INC.
25490059JOHYRUHEXW19
Northstar Education Finance Inc
66705EAA6
57651.07000000
PA
USD
54659.99000000
0.004470157471
Long
ABS-O
CORP
US
N
2
2031-12-26
Floating
0.88000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AN4
1125000.00000000
PA
USD
1147142.25000000
0.093814625648
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
3.92000000
N
N
N
N
N
N
CIT BANK NA
FVPV0TNOIM6NUIE59530
CIT Bank NA
12556LBJ4
1050000.00000000
PA
USD
982222.50000000
0.080327296933
Long
DBT
CORP
US
N
2
2025-09-27
Fixed
2.97000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-5026.23000000
-0.00041105092
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
670145.41000000
USD
71741351.00000000
JPY
2020-09-16
-5026.23000000
N
N
N
INTL FLAVOR & FRAGRANCES
BZLRL03D3GPGMOGFO832
International Flavors & Fragrances Inc
459506AJ0
1375000.00000000
PA
USD
1380802.50000000
0.112923632297
Long
DBT
CORP
US
N
2
2020-09-25
Fixed
3.40000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAV7
4925000.00000000
PA
USD
5100182.25000000
0.417098828433
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.76000000
N
N
N
N
N
N
Bacardi Ltd
549300R32WTQNHNN5055
Bacardi Ltd
067316AC3
2125000.00000000
PA
USD
2143487.50000000
0.175296897480
Long
DBT
CORP
BM
N
2
2021-01-15
Fixed
4.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBH2
2050000.00000000
PA
USD
2169351.00000000
0.177412044552
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
2.94000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAU2
2950000.00000000
PA
USD
3037172.50000000
0.248383494825
Long
DBT
CORP
NL
N
2
2021-06-01
Fixed
4.13000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002921 CDS USD R F 1.00000 2 CCPCDX / Short: SX002921 CDS USD P V 03MEVENT 1 CCPCDX
000000000
1650000.00000000
OU
Notional Amount
USD
20010.54000000
0.001636485204
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S33.V1
2I65BYDV4
Y
sell protection
2024-12-20
0.00000000
USD
-7216.01000000
USD
1650000.00000000
USD
27226.55000000
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
110000.00000000
PA
USD
119350.00000000
0.009760581628
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
Access To Loans For Learning Student Loan Corp.
N/A
Access to Loans for Learning Student Loan Corp
00434MAC1
457872.45000000
PA
USD
443957.94000000
0.036307396004
Long
ABS-O
CORP
US
N
2
2041-02-25
Floating
0.98000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-5802.61000000
-0.00047454418
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
664620.79000000
USD
541101016.00000000
CLP
2020-07-03
-5802.61000000
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
700000.00000000
OU
Notional Amount
-43582.44000000
-0.00356422256
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2050-06-20
0.00000000
EUR
-36178.41000000
EUR
700000.00000000
EUR
-3111.46000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
1588.56000000
0.000129914281
N/A
DFE
KR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
651600.56000000
USD
783569221.00000000
KRW
2020-07-15
1588.56000000
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XAX2
3586000.00000000
PA
USD
3544689.28000000
0.289888806590
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.75000000
N
N
N
N
N
N
Ryder System Inc
ZXJ6Y2OSPZXIVGRILD15
Ryder System Inc
78355HKM0
2350000.00000000
PA
USD
2438712.50000000
0.199440740894
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
2.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-3527.78000000
-0.00028850594
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
32093032.56000000
TWD
1094540.86000000
USD
2020-08-06
-3527.78000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
10525851.14000000
PA
USD
11442114.90000000
0.935749446912
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BL3
345000.00000000
PA
USD
354632.40000000
0.029002249589
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
2.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
203.93000000
0.000016677632
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
280265187.00000000
CLP
341698.18000000
USD
2020-08-27
203.93000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
22315.62000000
0.001824997323
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3126156.00000000
BRL
597129.11000000
USD
2020-07-02
22315.62000000
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AN1
2000000.00000000
PA
USD
1890000.00000000
0.154566395296
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
30948.66000000
0.002531017362
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2480729.30000000
BRL
487086.06000000
USD
2020-07-02
30948.66000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
8186.69000000
0.000669517017
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
582497.01000000
USD
42285205.45000000
RUB
2020-08-17
8186.69000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-17821.24000000
-0.00145744170
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
597721.66000000
USD
41513263.59000000
RUB
2020-08-17
-17821.24000000
N
N
N
McKesson Corp
549300WZWOM80UCFSF54
McKesson Corp
581557AZ8
675000.00000000
PA
USD
703086.75000000
0.057499251073
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YXM1
974778.18000000
PA
USD
158077.24000000
0.012927740299
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Floating
5.91000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD EUR
000000000
1.00000000
NC
N/A
1507.77000000
0.000123307181
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
283355.22000000
EUR
3083081.89000000
NOK
2020-09-16
1507.77000000
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAD6
2650000.00000000
PA
USD
2704086.50000000
0.221143334854
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
1.92000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-23650.05000000
-0.00193412855
N/A
DFE
MX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
643747.22000000
USD
14401095.25000000
MXN
2020-09-17
-23650.05000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-28693.25000000
-0.00234656731
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
644141.35000000
USD
505480269.00000000
CLP
2020-07-03
-28693.25000000
N
N
N
TEXAS EASTERN TRANSMISSI
549300SIOULUXXIDGA69
Texas Eastern Transmission LP
882384AB6
1225000.00000000
PA
USD
1230806.50000000
0.100656785191
Long
DBT
CORP
US
N
2
2020-12-01
Fixed
4.13000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAT7
1325000.00000000
PA
USD
1439692.00000000
0.117739684009
Long
DBT
US
N
2
2024-05-15
Fixed
3.38000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
13879.28000000
0.001135063639
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
452764459.00000000
CLP
565143.18000000
USD
2020-07-03
13879.28000000
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZH9
1500000.00000000
PA
USD
1478917.50000000
0.120947590960
Long
DBT
CORP
US
N
2
2021-10-12
Fixed
3.81000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAF6
5455000.00000000
PA
USD
5862488.50000000
0.479441119001
Long
DBT
CORP
US
N
2
2024-01-15
Fixed
3.63000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAE8
250000.00000000
PA
USD
262647.50000000
0.021479617623
Long
DBT
CORP
XX
N
2
2025-05-01
Fixed
2.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-2616.25000000
-0.00021395996
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
632817.87000000
USD
595708.16000000
CHF
2020-09-16
-2616.25000000
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CE9
1181000.00000000
PA
USD
1169190.00000000
0.095617716252
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
5.75000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAQ3
4000000.00000000
PA
USD
4268640.00000000
0.349094337364
Long
DBT
US
N
2
2023-06-15
Fixed
3.00000000
N
N
N
N
N
N
Ventas Realty LP
32SXKSJ72K64GM3HOU64
Ventas Realty LP
92277GAP2
1375000.00000000
PA
USD
1431856.25000000
0.117098867272
Long
DBT
US
N
2
2024-04-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
16995.78000000
0.001389934629
N/A
DFE
TW
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1172509.58000000
USD
34940785.48000000
TWD
2020-07-06
16995.78000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCP9
1450000.00000000
PA
USD
1489237.00000000
0.121791531657
Long
DBT
CORP
US
N
2
2021-11-06
Fixed
4.20000000
N
N
N
N
N
N
Educational Services of America Inc
N/A
Edsouth Indenture No 5 LLC
28137RAA5
527399.62000000
PA
USD
505263.87000000
0.041321066169
Long
ABS-O
CORP
US
N
2
2039-02-25
Floating
0.88000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02201A SWAPTION APR21 0.02 PUT
000000000
-1610000.00000000
NC
-19362.67000000
-0.00158350164
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
1610000.00000000
OU
Notional Amount
N/A
-19362.67000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-04-07
0.00000000
N/A
0.00000000
N/A
1610000.00000000
EUR
1.00000000
0.02000000
EUR
2021-04-01
XXXX
23552.15000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2R3
3525000.00000000
PA
USD
3579108.75000000
0.292703670826
Long
DBT
CORP
US
N
2
2024-06-02
Fixed
1.65000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214363 IRS CAD R F 1.75000 2 CCPVANILLA / Short: SR214363 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
3270000.00000000
OU
Notional Amount
231837.12000000
0.018959908959
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2050-06-17
149856.59000000
CAD
0.00000000
CAD
3270000.00000000
CAD
129183.87000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-6656.38000000
-0.00054436648
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
42116108.64000000
RUB
581665.20000000
USD
2020-08-17
-6656.38000000
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CF4
1144000.00000000
PA
USD
1142958.96000000
0.093472511332
Long
DBT
CORP
US
N
2
2020-12-29
Floating
1.18000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
147329.36000000
0.012048766188
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
5504666.85000000
GBP
6971258.72000000
USD
2020-09-16
147329.36000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005862 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005862 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
3425000.00000000
OU
Notional Amount
USD
6043.07000000
0.000494209283
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
AT&T Inc
AT&T Inc
Y
sell protection
2024-06-20
6334.05000000
USD
0.00000000
USD
3425000.00000000
USD
-290.98000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214162 IRS CHF R F .00000 CCPVANILLA / Short: SR214162 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
9390000.00000000
OU
Notional Amount
-202263.85000000
-0.01654137258
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor CHF 6 Months
SF0006M Index
Y
2030-06-17
0.00000000
CHF
-156273.09000000
CHF
9390000.00000000
CHF
-11123.55000000
N
N
N
Meredith Corp
549300YC8BC386CCTS24
Meredith Corp
589433AB7
120000.00000000
PA
USD
100200.00000000
0.008194472385
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
6.88000000
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
9310000.00000000
OU
Notional Amount
-443248.92000000
-0.03624941152
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2030-09-16
0.00000000
EUR
-360595.50000000
EUR
9310000.00000000
EUR
-35253.31000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
73.53000000
0.000006013368
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
253959.80000000
GBP
279802.34000000
EUR
2020-09-16
73.53000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-10895.75000000
-0.00089106709
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
36225467.34000000
CNY
5090763.00000000
USD
2020-09-16
-10895.75000000
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CY4
690000.00000000
PA
USD
727384.20000000
0.059486324756
Long
DBT
CORP
US
N
2
2025-01-28
Fixed
2.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EWA6
1584942.95000000
PA
USD
290964.62000000
0.023795424588
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Floating
5.41000000
N
N
N
N
N
N
General Mills Inc
2TGYMUGI08PO8X8L6150
General Mills Inc
370334CE2
1500000.00000000
PA
USD
1635960.00000000
0.133790709020
Long
DBT
CORP
US
N
2
2023-10-17
Fixed
3.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
36937.86000000
0.003020821095
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
85671620.27000000
RUB
1233688.11000000
USD
2020-08-17
36937.86000000
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AS0
1225000.00000000
PA
USD
1399672.75000000
0.114466863260
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380TZK5
398183.90000000
PA
USD
61801.65000000
0.005054210721
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Floating
5.47000000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAY9
3675000.00000000
PA
USD
3789733.50000000
0.309928807529
Long
DBT
CORP
GB
N
2
2023-01-13
Fixed
2.10000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
7735.50000000
0.000632618175
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
143218558.00000000
JPY
1335524.96000000
USD
2020-09-16
7735.50000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BJMU4
892576.46000000
PA
USD
180625.88000000
0.014771794269
Long
ABS-MBS
USGSE
US
N
2
2045-05-15
Floating
5.92000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBV6
1475000.00000000
PA
USD
1445426.25000000
0.118208637634
Long
DBT
CORP
US
N
2
2023-01-30
Floating
1.48000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AQC3
1095269.60000000
PA
USD
162899.78000000
0.013322133221
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
5.96000000
N
N
N
N
N
N
SL GREEN OPERATING PARTN
2K1OXW4LY7IS2U150Y32
SL Green Operating Partnership LP
78444FAF3
2575000.00000000
PA
USD
2577034.25000000
0.210752854274
Long
DBT
US
N
2
2022-10-15
Fixed
3.25000000
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
462390000.00000000
OU
Notional Amount
4430.12000000
0.000362300359
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2050-06-20
4333397.00000000
JPY
0.00000000
JPY
462390000.00000000
JPY
-35986.24000000
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBH4
1850000.00000000
PA
USD
2009636.50000000
0.164350407228
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.99000000
N
N
N
N
N
N
CHEVRON CORP
N/A
Chevron Corp
166764BW9
2225000.00000000
PA
USD
2288679.50000000
0.187170867886
Long
DBT
CORP
US
N
2
2025-05-11
Fixed
1.55000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-7789.41000000
-0.00063702699
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1991947.48000000
USD
2693272.35000000
CAD
2020-09-16
-7789.41000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
40576.01000000
0.003318353228
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3094142.59000000
BRL
609503.12000000
USD
2020-07-02
40576.01000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMC60
21111255.52000000
PA
USD
23049879.10000000
1.885045885985
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZB2
600000.00000000
PA
USD
587176.80000000
0.048020000729
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
4.14000000
N
N
N
N
N
N
HCA Inc
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AG0
1089000.00000000
PA
USD
1178842.50000000
0.096407108914
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
5.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-27456.82000000
-0.00224545063
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3852487.09000000
TRY
533024.39000000
USD
2020-07-13
-27456.82000000
N
N
N
Illinois Student Assistance Commision
549300FKIJ7H0L1PDN43
Illinois Student Assistance Commission
452281JD1
1486318.18000000
PA
USD
1443299.38000000
0.118034699735
Long
ABS-O
CORP
US
N
2
2045-07-25
Floating
1.89000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-10653.54000000
-0.00087125887
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
619894.71000000
USD
491457.27000000
GBP
2020-09-16
-10653.54000000
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAG0
650000.00000000
PA
USD
683436.00000000
0.055892189913
Long
DBT
CORP
LU
N
2
2024-11-15
Fixed
2.20000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-57.00000000
-0.00000466152
N/A
DFE
PL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
590275.83000000
EUR
2627366.12000000
PLN
2020-09-16
-57.00000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
13542.35000000
0.001107509112
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
517762.54000000
USD
7740912462.49000000
IDR
2020-07-20
13542.35000000
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
000000000
3700000.00000000
PA
USD
4097676.00000000
0.335112702864
Long
DBT
CORP
FR
N
2
2025-03-17
Fixed
4.38000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BF5
1800000.00000000
PA
USD
1980216.00000000
0.161944364565
Long
DBT
CORP
US
N
2
2024-12-15
Fixed
3.73000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAG0
3150000.00000000
PA
USD
3485821.50000000
0.285074531165
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
4.03000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
N/A
LONG GILT FUTURE SEP20 IFLL 20200928
000000000
7.00000000
NC
-1287.20000000
-0.00010526871
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
N/A
Long
United Kingdom Gilt
G U0 Comdty
2020-09-28
963328.82000000
GBP
-1287.20000000
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
7420000.00000000
OU
Notional Amount
USD
10812.42000000
0.000884252266
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-05-21
0.00000000
USD
-10639.43000000
USD
7420000.00000000
USD
21451.85000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7M1
613908.08000000
PA
USD
670225.80000000
0.054811844413
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
5.00000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VBJ2
2200000.00000000
PA
USD
2289430.00000000
0.187232244647
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.45000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
640000.00000000
PA
USD
669772.80000000
0.054774797546
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-1558.28000000
-0.00012743794
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2455230247.50000000
COP
651427.50000000
USD
2020-07-06
-1558.28000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
6623.72000000
0.000541695515
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1080161.52000000
AUD
752238.52000000
USD
2020-09-16
6623.72000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
OPS02217A SWAPTION OCT20 0.35 CALL
000000000
-4580000.00000000
NC
-59136.61000000
-0.00483626065
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
4580000.00000000
OU
Notional Amount
N/A
-59136.61000000
0.00000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
4580000.00000000
GBP
1.00000000
0.35000000
GBP
2020-10-02
XXXX
-8592.67000000
N
N
N
New Residential Mortgage Loan Trust
549300RCJSGOC0A85G53
New Residential Mortgage Loan Trust 2015-1
64829CAA6
221340.69000000
PA
USD
234992.30000000
0.019217943245
Long
ABS-MBS
CORP
US
N
2
2052-05-28
Variable
3.75000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02405A SWAPTION SEP20 0.35 CALL
000000000
-9890000.00000000
NC
-34382.04000000
-0.00281180316
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
9890000.00000000
OU
Notional Amount
N/A
-34382.04000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2025-09-30
0.00000000
N/A
0.00000000
N/A
9890000.00000000
EUR
1.00000000
-0.35000000
EUR
2020-09-28
XXXX
-15648.47000000
N
N
N
Ford Credit Auto Owner Trust/Ford Credit
N/A
Ford Credit Auto Owner Trust 2016-REV2
34531BAA0
450000.00000000
PA
USD
455300.78000000
0.037235026635
Long
ABS-O
CORP
US
N
2
2027-12-15
Fixed
2.03000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-1723.56000000
-0.00014095473
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2456897.77000000
PLN
550398.82000000
EUR
2020-09-16
-1723.56000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-268.29000000
-0.00002194106
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
493298.59000000
USD
7183266078.00000000
IDR
2020-07-20
-268.29000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
11555.19000000
0.000944996859
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
447486.14000000
GBP
566287.00000000
USD
2020-09-16
11555.19000000
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAB7
3575000.00000000
PA
USD
4036782.75000000
0.330132782150
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
5.63000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAG5
3900000.00000000
PA
USD
4245540.00000000
0.347205192533
Long
DBT
CORP
US
N
2
2023-05-25
Fixed
4.06000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
93369KAA3
115000.00000000
PA
USD
118018.75000000
0.009651710457
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
8.13000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02381A SWAPTION SEP20 0.15 PUT
000000000
-15260000.00000000
NC
-12335.54000000
-0.00100881478
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
15260000.00000000
OU
Notional Amount
N/A
-12335.54000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2025-09-30
0.00000000
N/A
0.00000000
N/A
15260000.00000000
EUR
1.00000000
-0.15000000
EUR
2020-09-28
XXXX
18098.87000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-4922.63000000
-0.00040257839
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1847741.00000000
USD
1486548.39000000
GBP
2020-09-16
-4922.63000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AA9
110000.00000000
PA
USD
119075.00000000
0.009738091809
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WQE1
2671445.73000000
PA
USD
208938.04000000
0.017087195599
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
3.08000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCA1
850000.00000000
PA
USD
924477.00000000
0.075604802870
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
3.90000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02420A SWAPTION DEC20 0.053 CALL
000000000
-1040000.00000000
NC
-21276.12000000
-0.00173998580
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
1040000.00000000
OU
Notional Amount
N/A
-21276.12000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1040000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
-5110.54000000
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAD3
5250000.00000000
PA
USD
5704755.00000000
0.466541490159
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
3.63000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02404A SWAPTION SEP20 0.15 PUT
000000000
-9890000.00000000
NC
-7994.67000000
-0.00065381339
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
9890000.00000000
OU
Notional Amount
N/A
-7994.67000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2025-09-30
0.00000000
N/A
0.00000000
N/A
9890000.00000000
EUR
1.00000000
-0.15000000
EUR
2020-09-28
XXXX
10516.54000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-14613.40000000
-0.00119510082
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
36483858.48000000
TWD
1233688.11000000
USD
2020-08-06
-14613.40000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214413 IRS EUR R V 12MLIBOR CCPVANILLA / Short: BR214413 IRS EUR P F .13050 CCPVANILLA
000000000
3840000.00000000
OU
Notional Amount
-29776.45000000
-0.00243515266
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
London Interbank Offer Rate 12 Months
BP00012M Index
Y
2027-04-28
0.00000000
EUR
-1667.97000000
EUR
3840000.00000000
EUR
102033.87000000
N
N
N
SASOL FINANCING INT
N/A
Sasol Financing International Ltd
803865AA2
200000.00000000
PA
USD
180540.00000000
0.014764770903
Long
DBT
CORP
IM
N
2
2022-11-14
Fixed
4.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040677
3000000.00000000
PA
USD
3178476.60000000
0.259939508252
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
6017.06000000
0.000492082155
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
8988725371.94000000
IDR
622966.78000000
USD
2020-07-20
6017.06000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
10942.67000000
0.000894904262
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3529262.39000000
BRL
659876.26000000
USD
2020-07-02
10942.67000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
3607.99000000
0.000295065612
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
523166.88000000
GBP
652158.38000000
USD
2020-09-16
3607.99000000
N
N
N
Recette CLO LLC
549300392I5L5XOJ0016
Recette Clo Ltd
75620TAR9
3052250.16000000
PA
USD
3028699.00000000
0.247690522152
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
2.06000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAS3
175000.00000000
PA
USD
178412.50000000
0.014590781481
Long
DBT
US
N
2
2021-05-15
Fixed
4.13000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABA2
8050000.00000000
PA
USD
8779813.00000000
0.718023305179
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604BD4
1000000.00000000
PA
USD
1040830.00000000
0.085120286358
Long
DBT
CORP
US
N
2
2022-10-09
Fixed
2.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-4918.15000000
-0.00040221201
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
634049.72000000
USD
559014.34000000
EUR
2020-09-16
-4918.15000000
N
N
N
CANADIAN NATL RESOURCES
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
136385AZ4
1875000.00000000
PA
USD
1878337.50000000
0.153612622500
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
2.05000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AA2
1300000.00000000
PA
USD
1296750.00000000
0.106049721217
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
5.38000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AH4
1450000.00000000
PA
USD
1538914.00000000
0.125854174418
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-991.40000000
-0.00008107784
N/A
DFE
PL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
572464.83000000
EUR
2544385.20000000
PLN
2020-09-16
-991.40000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TE35
4663688.82000000
PA
USD
5062694.45000000
0.414033032605
Long
ABS-MBS
USGA
US
N
2
2047-08-20
Fixed
4.50000000
N
N
N
N
N
N
Regions Financial Corp
CW05CS5KW59QTC0DG824
Regions Financial Corp
7591EPAP5
254000.00000000
PA
USD
276161.50000000
0.022584808240
Long
DBT
CORP
US
N
2
2023-08-14
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02418A SWAPTION DEC20 0.053 PUT
000000000
-1030000.00000000
NC
-9914.12000000
-0.00081078824
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
1030000.00000000
OU
Notional Amount
N/A
-9914.12000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
1030000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
6090.21000000
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AU0
35000.00000000
PA
USD
36041.60000000
0.002947523911
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
2.75000000
N
N
N
N
N
N
EAST OHIO GAS CO/THE
BC95Y6MXLT75BGO7UM71
East Ohio Gas Co/The
27409LAA1
575000.00000000
PA
USD
578743.25000000
0.047330295214
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
1.30000000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BD3
125000.00000000
PA
USD
128750.00000000
0.010529324547
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.88000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAG6
125000.00000000
PA
USD
116562.50000000
0.009532616641
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
9.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214479 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR214479 IRS USD P F 1.16000 2 CCPVANILLA
000000000
7440000.00000000
OU
Notional Amount
USD
-1368.96000000
-0.00011195513
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2035-05-21
9017.44000000
USD
0.00000000
USD
7440000.00000000
USD
-10386.40000000
N
N
N
SAUDI INTERNATIONAL BOND
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAS8
800000.00000000
PA
USD
848000.00000000
0.069350424979
Long
DBT
NUSS
SA
N
2
2025-10-22
Fixed
2.90000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005911 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005911 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2025000.00000000
OU
Notional Amount
USD
-43938.45000000
-0.00359333747
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2024-06-20
0.00000000
USD
-27477.66000000
USD
2025000.00000000
USD
-16460.79000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-6409.01000000
-0.00052413628
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
619213.58000000
USD
66098572.00000000
JPY
2020-09-16
-6409.01000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
2099.65000000
0.000171711815
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
593356.41000000
USD
3238421.80000000
BRL
2020-07-02
2099.65000000
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBC8
2550000.00000000
PA
USD
2520318.00000000
0.206114533471
Long
DBT
CORP
GB
N
2
2024-05-16
Floating
1.77000000
N
N
N
N
N
N
MUFG Union Bank NA
OX3PU53ZLPQKJ4700D47
MUFG Union Bank NA
90520EAH4
2375000.00000000
PA
USD
2475035.00000000
0.202411237134
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
3.15000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91831AAB7
525000.00000000
PA
USD
523687.50000000
0.042827772030
Long
DBT
CORP
CA
N
2
2023-05-15
Fixed
5.88000000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
000000000
200000.00000000
PA
USD
205250.00000000
0.016785583404
Long
DBT
CORP
TR
N
2
2024-03-28
Fixed
8.13000000
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
12040000.00000000
OU
Notional Amount
USD
466391.07000000
0.038142003433
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2030-06-18
284369.06000000
USD
0.00000000
USD
12040000.00000000
USD
182022.01000000
N
N
N
Orix Credit Alliance Owner Trust
N/A
Orec 2018-CRE1 Ltd
685785AA5
1500000.00000000
PA
USD
1435787.70000000
0.117420385820
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
1.36000000
N
N
N
N
N
N
SLM Student Loan Trust
549300WCW8E0MUEMAH47
SLM Student Loan Trust 2005-5
78442GPQ3
862104.28000000
PA
USD
836682.98000000
0.068424905939
Long
ABS-O
CORP
US
N
2
2028-10-25
Floating
1.13000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCD5
1700000.00000000
PA
USD
1776245.00000000
0.145263379266
Long
DBT
CORP
US
N
2
2023-05-11
Fixed
2.60000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAB6
6800000.00000000
PA
USD
7457152.00000000
0.609854552285
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.21000000
N
N
N
N
N
N
EQUITABLE FINANCIAL LIFE
635400B4JJBON4TCHF02
Equitable Financial Life Global Funding
29449WAA5
1550000.00000000
PA
USD
1552046.00000000
0.126928124632
Long
DBT
CORP
US
N
2
2025-07-07
Fixed
1.40000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
03879QAF1
2600000.00000000
PA
USD
2765386.00000000
0.226156479166
Long
DBT
US
N
2
2024-02-06
Fixed
4.60000000
N
N
N
N
N
N
AMEREN CORP
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608AH5
1250000.00000000
PA
USD
1326362.50000000
0.108471465863
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
2.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
6101.97000000
0.000499026194
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
602874.79000000
EUR
6373140.12000000
SEK
2020-09-16
6101.97000000
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAK8
1875000.00000000
PA
USD
1945312.50000000
0.159089915794
Long
DBT
CORP
CA
N
2
2024-03-15
Fixed
7.00000000
N
N
N
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
3320000.00000000
OU
Notional Amount
-190607.19000000
-0.01558807739
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2030-03-18
880.24000000
GBP
0.00000000
GBP
3320000.00000000
GBP
-191624.24000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD EUR
000000000
1.00000000
NC
N/A
-15232.22000000
-0.00124570864
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
567837.40000000
EUR
6002779.51000000
NOK
2020-09-16
-15232.22000000
N
N
N
CNAC HK FINBRIDGE CO LTD
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
600000.00000000
PA
USD
610624.32000000
0.049937566149
Long
DBT
CORP
HK
N
2
2022-06-19
Fixed
3.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
13310.26000000
0.001088528523
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
13585167.48000000
MXN
598274.37000000
USD
2020-09-17
13310.26000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468K8
4125000.00000000
PA
USD
4106726.25000000
0.335852842821
Long
DBT
CORP
US
N
2
2023-01-20
Floating
0.76000000
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
7400000.00000000
OU
Notional Amount
-179321.19000000
-0.01466509520
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Sterling Overnight Index Average
SONIA Index
Y
2030-06-17
0.00000000
GBP
-32832.51000000
GBP
7400000.00000000
GBP
150501.11000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBQ8
4975000.00000000
PA
USD
5057535.25000000
0.413611107237
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
1.51000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
12859.87000000
0.001051695105
N/A
DFE
TW
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2944810.00000000
USD
86706985.64000000
TWD
2020-07-15
12859.87000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-539.47000000
-0.00004411848
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
626938.95000000
USD
850267.14000000
CAD
2020-09-16
-539.47000000
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAD8
263034.17000000
PA
USD
256067.37000000
0.020941486949
Long
ABS-O
CORP
US
N
2
2022-07-25
Floating
2.64000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BR9
1300000.00000000
PA
USD
1291238.00000000
0.105598943455
Long
DBT
CORP
GB
N
2
2024-05-18
Floating
1.39000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647AZ0
120000.00000000
PA
USD
112200.00000000
0.009175846323
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YJG0
803387.43000000
PA
USD
117537.35000000
0.009612341006
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.91000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-18527.05000000
-0.00151516366
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4470703.28000000
EUR
5012937.00000000
USD
2020-09-16
-18527.05000000
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AP3
625000.00000000
PA
USD
642962.50000000
0.052582220071
Long
DBT
CORP
US
N
2
2022-10-27
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
13814.47000000
0.001129763402
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
9483057240.95000000
IDR
664693.13000000
USD
2020-07-20
13814.47000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B8QW0
132437.60000000
PA
USD
27373.91000000
0.002238670155
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 BRL / SOLD USD
000000000
1.00000000
NC
14562.02000000
0.001190898909
N/A
DFE
BR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
583000.00000000
USD
3249875.20000000
BRL
2020-07-02
14562.02000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378W2X0
62211.14000000
PA
USD
12658.22000000
0.001035203934
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Floating
5.91000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BTA2
871460.10000000
PA
USD
140199.54000000
0.011465681227
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.86000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
517.12000000
0.000042290674
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
11247583.38000000
ZAR
643529.53000000
USD
2020-09-16
517.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
11629.16000000
0.000951046212
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
44546685.92000000
RUB
633903.57000000
USD
2020-08-17
11629.16000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GV20
214228.39000000
PA
USD
36564.05000000
0.002990250479
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Floating
5.41000000
N
N
N
N
N
N
COOPER-STANDARD AUTOMOTI
ITCH5B3Q4RTX2PH9UN62
Cooper-Standard Automotive Inc
216762AF1
145000.00000000
PA
USD
91350.00000000
0.007470709106
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
5.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
18606.73000000
0.001521679991
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2312662761.73000000
COP
633675.68000000
USD
2020-07-06
18606.73000000
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
5800000.00000000
OU
Notional Amount
18426.79000000
0.001506964289
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2030-05-21
0.00000000
EUR
-3016.56000000
EUR
5800000.00000000
EUR
22013.06000000
N
N
N
FIRST HORIZON NATIONAL
TF3RXI1ZB1TQ30H9JV10
First Horizon National Corp
320517AC9
1525000.00000000
PA
USD
1570734.75000000
0.128456512314
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
3.55000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBB4
3525000.00000000
PA
USD
3516117.00000000
0.287552132344
Long
DBT
CORP
US
N
2
2021-10-05
Floating
2.09000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-12826.74000000
-0.00104898569
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
99342938.74000000
INR
1299823.87000000
USD
2020-07-15
-12826.74000000
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BX6
1200000.00000000
PA
USD
1198044.00000000
0.097977429887
Long
DBT
CORP
US
N
2
2023-08-03
Floating
1.31000000
N
N
N
N
N
N
Bristol-Myers Squibb Co
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BZ0
1275000.00000000
PA
USD
1378938.00000000
0.112771151321
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AH4
130000.00000000
PA
USD
107250.00000000
0.008771029574
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.88000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
OPS02214A SWAPTION OCT20 0.35 CALL
000000000
-4360000.00000000
NC
-56295.98000000
-0.00460395063
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
4360000.00000000
OU
Notional Amount
N/A
-56295.98000000
0.00000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
4360000.00000000
GBP
1.00000000
0.35000000
GBP
2020-10-02
XXXX
-7645.29000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-7546.91000000
-0.00061719506
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
666470.55000000
USD
71073085.00000000
JPY
2020-09-16
-7546.91000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-5651.71000000
-0.00046220340
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2210685283.36000000
COP
582295.61000000
USD
2020-07-06
-5651.71000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
3272.06000000
0.000267592867
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
570168.14000000
EUR
6004127.09000000
SEK
2020-09-16
3272.06000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
5656.71000000
0.000462612314
N/A
DFE
KR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
644760.58000000
USD
780244121.00000000
KRW
2020-07-15
5656.71000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-20206.40000000
-0.00165250286
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4005712.42000000
USD
3541318.13000000
EUR
2020-09-16
-20206.40000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP20 XCBT 20200921
000000000
6.00000000
NC
USD
1582.65000000
0.000129430955
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US 10 Year Ultra Bond
UXYU0 Comdty
2020-09-21
942854.85000000
USD
1582.65000000
N
N
N
BEACON ROOFING SUPPLY IN
549300HDXQWWCBOYXP31
Beacon Roofing Supply Inc
073685AD1
1207000.00000000
PA
USD
1081773.75000000
0.088468713790
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
4.88000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAD4
2375000.00000000
PA
USD
2344528.75000000
0.191738284421
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD SEK
000000000
1.00000000
NC
N/A
-12733.25000000
-0.00104133997
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6119421.73000000
SEK
6202724.32000000
NOK
2020-09-16
-12733.25000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022683
13000000.00000000
PA
USD
13521524.90000000
1.105806012014
Long
ABS-MBS
USGSE
US
N
2
2050-08-15
Fixed
2.50000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDC0
1750000.00000000
PA
USD
1815170.00000000
0.148446710979
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.45000000
N
N
N
N
N
N
Crown City CLO I
N/A
Crown City CLO I
22823RAA7
2500000.00000000
PA
USD
2499990.00000000
0.204452086020
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
2.39000000
N
N
N
N
N
N
Credit Suisse AG
ANGGYXNX0JLX3X63JN86
Credit Suisse AG
22546DAA4
2500000.00000000
PA
USD
2743550.00000000
0.224370705722
Long
DBT
CORP
CH
N
2
2023-08-08
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD EUR
000000000
1.00000000
NC
N/A
1543.77000000
0.000126251303
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
608327.52000000
EUR
931404.18000000
CAD
2020-09-16
1543.77000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
40548.39000000
0.003316094432
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3311535.76000000
BRL
649448.08000000
USD
2020-07-02
40548.39000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H050672
18000000.00000000
PA
USD
19529389.80000000
1.597136181868
Long
ABS-MBS
USGA
US
N
2
2050-07-21
Fixed
5.00000000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAW1
2625000.00000000
PA
USD
2630985.00000000
0.215165009275
Long
DBT
CORP
DK
N
2
2024-06-22
Fixed
1.23000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YRQ0
352264.58000000
PA
USD
53698.30000000
0.004391509346
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Floating
6.01000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WVB1
514021.37000000
PA
USD
76955.63000000
0.006293520807
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
5.91000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAM5
3275000.00000000
PA
USD
3293012.50000000
0.269306387191
Long
DBT
CORP
GB
N
2
2023-06-15
Fixed
1.33000000
N
N
N
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
69760000.00000000
OU
Notional Amount
12692.04000000
0.001037969773
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2024-06-24
38867.94000000
CAD
0.00000000
CAD
69760000.00000000
CAD
-15785.60000000
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
436030000.00000000
OU
Notional Amount
29707.79000000
0.002429537572
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2040-06-20
4630874.00000000
JPY
0.00000000
JPY
436030000.00000000
JPY
-8225.30000000
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BL7
1400000.00000000
PA
USD
1453648.00000000
0.118881021899
Long
DBT
CORP
JP
N
2
2022-07-18
Fixed
2.62000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02336A SWAPTION AUG20 0.34 CALL
000000000
-6180000.00000000
NC
-49074.76000000
-0.00401339087
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
6180000.00000000
OU
Notional Amount
N/A
-49074.76000000
0.00000000
DIR
US
London Interbank Offer Rate 6 Months
BP0006M Index
2030-08-13
0.00000000
N/A
0.00000000
N/A
6180000.00000000
GBP
1.00000000
0.34000000
GBP
2020-08-13
XXXX
-11879.83000000
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAE4
3055000.00000000
PA
USD
3073666.05000000
0.251367979732
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
3.93000000
N
N
N
N
N
N
NiSource Inc
549300D8GOWWH0SJB189
NiSource Inc
65473QBH5
1100000.00000000
PA
USD
1148664.00000000
0.093939076130
Long
DBT
CORP
US
N
2
2022-11-17
Fixed
2.65000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RAZ2
2325389.86000000
PA
USD
198464.58000000
0.016230663875
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Floating
3.60000000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXX LTD
55821TAA5
4200000.00000000
PA
USD
4097406.60000000
0.335090671019
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
1.97000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
15120.02000000
0.001236532797
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4660923.47000000
BRL
872134.73000000
USD
2020-07-02
15120.02000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-34081.04000000
-0.00278718703
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
13425115730.35000000
IDR
887364.55000000
USD
2020-07-20
-34081.04000000
N
N
N
INFOR INC
549300Q3IIYBYI4RHD64
Infor Inc
45674CAB9
1025000.00000000
PA
USD
1031180.75000000
0.084331159485
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
1.45000000
N
N
N
N
N
N
The Federal Republic of Nigeria
549300GSBZD84TNEQ285
Nigeria Government International Bond
000000000
1390000.00000000
PA
USD
1408678.13000000
0.115203333697
Long
DBT
NUSS
NG
N
2
2021-01-28
Fixed
6.75000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAA3
2025000.00000000
PA
USD
2102253.75000000
0.171924753511
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.60000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
10458.79000000
0.000855331994
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
41938990.95000000
RUB
596306.21000000
USD
2020-08-17
10458.79000000
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647AX5
2445000.00000000
PA
USD
2347200.00000000
0.191956742349
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
6.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP20 XCBT 20200930
000000000
587.00000000
NC
USD
39574.03000000
0.003236410139
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
2 Year US Treasury Note
TUU0 Comdty
2020-09-30
129581949.11000000
USD
39574.03000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02428A SWAPTION DEC20 0.053 CALL
000000000
-540000.00000000
NC
-11047.21000000
-0.00090345366
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
540000.00000000
OU
Notional Amount
N/A
-11047.21000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2030-12-15
0.00000000
N/A
0.00000000
N/A
540000.00000000
EUR
1.00000000
-0.05300000
EUR
2020-12-11
XXXX
-2630.71000000
N
N
N
Transocean Sentry Ltd
N/A
Transocean Sentry Ltd
89385AAA3
1900000.00000000
PA
USD
1615000.00000000
0.132076575875
Long
DBT
CORP
KY
N
2
2023-05-15
Fixed
5.38000000
N
N
N
N
N
N
COMERICA BANK
70WY0ID1N53Q4254VH70
Comerica Bank
20034DJA8
1450000.00000000
PA
USD
1521760.50000000
0.124451341264
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
2.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBT1
620000.00000000
PA
USD
665787.00000000
0.054448834193
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.30000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FN1
1650000.00000000
PA
USD
1830823.50000000
0.149726872391
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
3.35000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAE1
1025000.00000000
PA
USD
965806.25000000
0.078984756940
Long
DBT
CORP
KY
N
2
2022-05-01
Fixed
3.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137F5BA6
897820.80000000
PA
USD
106335.83000000
0.008696267689
Long
ABS-MBS
USGSE
US
N
2
2048-05-15
Floating
6.02000000
N
N
N
N
N
N
PetSmart Inc
N/A
PetSmart Inc
716768AC0
2090000.00000000
PA
USD
2100450.00000000
0.171777240741
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.88000000
N
N
N
N
N
N
DTE ENERGY CO
549300IX8SD6XXD71I78
DTE Energy Co
233331BE6
645000.00000000
PA
USD
665923.80000000
0.054460021856
Long
DBT
CORP
US
N
2
2022-11-01
Fixed
2.25000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BN0
1325000.00000000
PA
USD
1359118.75000000
0.111150310035
Long
DBT
CORP
GB
N
2
2024-05-22
Fixed
2.36000000
N
N
N
N
N
N
VW CR INC
N/A
VW CR INC
91842JNV7
2500000.00000000
PA
USD
2486687.50000000
0.203364192118
Long
STIV
CORP
US
N
2
2021-01-29
None
0.00000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DAY7
3650000.00000000
PA
USD
3938496.00000000
0.322094777571
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.00000000
N
N
N
N
N
N
ORACLE CORP
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBT1
2825000.00000000
PA
USD
3028513.00000000
0.247675310856
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.50000000
N
N
N
N
N
N
Qwest Corp
549300R2L4N683OO1509
Qwest Corp
74913GAX3
650000.00000000
PA
USD
685210.50000000
0.056037310584
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
6.75000000
N
N
N
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585ABG6
1700000.00000000
PA
USD
1833246.00000000
0.149924987255
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
7973.04000000
0.000652044472
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
24010921.79000000
RUB
343382.55000000
USD
2020-08-17
7973.04000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
27494.76000000
0.002248553408
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
506265895.00000000
CLP
643899.39000000
USD
2020-07-03
27494.76000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QCY9
378702.64000000
PA
USD
71376.06000000
0.005837217092
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 GBP
000000000
1.00000000
NC
8351.22000000
0.000682972471
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
415267.67000000
GBP
523143.00000000
USD
2020-09-16
8351.22000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02205A SWAPTION OCT20 0.35 CALL
000000000
-3519999.99000000
NC
-44355.64000000
-0.00362745575
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
3519999.99000000
OU
Notional Amount
N/A
-44355.64000000
0.00000000
DIR
GB
London Interbank Offer Rate 6 Months
BP0006M Index
2030-10-02
0.00000000
N/A
0.00000000
N/A
3519999.99000000
GBP
0.99999999
0.35000000
GBP
2020-10-02
XXXX
-2467.08000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
42801.60000000
0.003500364563
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3076222.74000000
BRL
608433.74000000
USD
2020-07-02
42801.60000000
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BK6
1175000.00000000
PA
USD
1277377.75000000
0.104465436110
Long
DBT
CORP
GB
N
2
2025-03-22
Fixed
4.27000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAG9
1095000.00000000
PA
USD
1098153.60000000
0.089808276949
Long
DBT
CORP
US
N
2
2020-11-15
Fixed
4.13000000
N
N
N
N
N
N
MANITOWOC COMPANY INC
2RTSLGQ89VMY18RHX631
Manitowoc Co Inc/The
563571AL2
125000.00000000
PA
USD
124218.75000000
0.010158753659
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.00000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAB2
1100000.00000000
PA
USD
1102497.00000000
0.090163485246
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
0.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-14159.53000000
-0.00115798281
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1250442.88000000
USD
1098498.56000000
EUR
2020-09-16
-14159.53000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214652 IRS EUR R F .00000 CCPVANILLA / Short: SR214652 IRS EUR P V 06MLIBOR CCPVANILLA
000000000
1090000.00000000
OU
Notional Amount
11919.54000000
0.000974793826
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Euribor 6 Month
EUR006M Index
Y
2030-12-15
7712.81000000
EUR
0.00000000
EUR
1090000.00000000
EUR
3318.75000000
N
N
N
Kentucky Higher Education Student Loan Corp
N/A
Kentucky Higher Education Student Loan Corp
49130NCX5
1562882.91000000
PA
USD
1504023.96000000
0.123000826421
Long
ABS-O
CORP
US
N
2
2031-12-01
Floating
0.92000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
5572875.44000000
PA
USD
5963462.12000000
0.487698858929
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-13085.87000000
-0.00107017764
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
31021705.63000000
THB
990469.59000000
USD
2020-09-16
-13085.87000000
N
N
N
ARDAGH PKG FIN/HLDGS USA
N/A
Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc
03969AAL4
2035000.00000000
PA
USD
2083331.25000000
0.170377249482
Long
DBT
CORP
XX
N
2
2025-02-15
Fixed
6.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032674
5000000.00000000
PA
USD
5257812.50000000
0.429990013370
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-7320.26000000
-0.00059865936
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
628697.22000000
USD
67023210.00000000
JPY
2020-09-16
-7320.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-2744.11000000
-0.00022441650
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
632817.87000000
USD
595587.30000000
CHF
2020-09-16
-2744.11000000
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
80830000.00000000
OU
Notional Amount
-263650.12000000
-0.02156161305
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2023-09-16
0.00000000
CAD
-432886.75000000
CAD
80830000.00000000
CAD
343162.20000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
32600.29000000
0.002666089582
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
504041.28000000
USD
3688624.49000000
TRY
2020-07-13
32600.29000000
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAD2
3756000.00000000
PA
USD
3788865.00000000
0.309857780590
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
4.75000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
1437.29000000
0.000117543245
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
330805.59000000
USD
3092966.11000000
SEK
2020-09-16
1437.29000000
N
N
N
CNAC HK FINBRIDGE CO LTD
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
230000.00000000
PA
USD
238696.88000000
0.019520908100
Long
DBT
CORP
HK
N
2
2024-06-19
Fixed
3.38000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
3096.45000000
0.000253231277
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
536791.13000000
GBP
668536.31000000
USD
2020-09-16
3096.45000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-3276.92000000
-0.00026799032
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1017413.12000000
AUD
699023.86000000
USD
2020-09-16
-3276.92000000
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
670000.00000000
PA
USD
685075.07000000
0.056026234961
Long
DBT
CORP
LU
N
2
2021-01-23
Fixed
6.00000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAC3
620000.00000000
PA
USD
615350.00000000
0.050324037749
Long
DBT
CORP
CA
N
2
2024-05-15
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
5913.99000000
0.000483652971
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2480589780.26000000
COP
664413.14000000
USD
2020-07-27
5913.99000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR SEP20 XCME 20200914
000000000
-74.00000000
NC
USD
-344358.44000000
-0.02816203320
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Eurodollar Time Deposit
EDU0 Comdty
2020-09-14
-18106616.56000000
USD
-344358.44000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
3598.18000000
0.000294263339
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
4210944.10000000
TRY
616229.71000000
USD
2020-07-13
3598.18000000
N
N
N
TIME WARNER ENT
N/A
Time Warner Entertainment Co LP
88731EAF7
1701000.00000000
PA
USD
2010275.82000000
0.164402691560
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
8.38000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
8418.26000000
0.000688455080
N/A
DFE
CO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
581377.99000000
USD
2217637273.96000000
COP
2020-07-06
8418.26000000
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
200000.00000000
PA
USD
226562.50000000
0.018528544409
Long
DBT
NUSS
ID
N
2
2024-01-15
Fixed
5.88000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK
2IGI19DL77OX0HC3ZE78
Canadian Imperial Bank of Commerce
13607GRK2
2625000.00000000
PA
USD
2634633.75000000
0.215463408288
Long
DBT
CORP
CA
N
2
2023-06-23
Fixed
0.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
4522.60000000
0.000369863481
N/A
DFE
TR
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
419758.43000000
USD
2970882.26000000
TRY
2020-09-16
4522.60000000
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BD5
6950000.00000000
PA
USD
7505027.00000000
0.613769825394
Long
DBT
CORP
JP
N
2
2024-03-07
Fixed
3.41000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-4507.26000000
-0.00036860895
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
20196980.06000000
TWD
689693.35000000
USD
2020-09-16
-4507.26000000
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBQ1
7500000.00000000
PA
USD
7956000.00000000
0.650650921153
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
Pennsylvania Higher Education Assistance Agency
N/A
PHEAA Student Loan Trust 2012-1
69338YAA1
35764.36000000
PA
USD
33988.14000000
0.002779589567
Long
ABS-O
CORP
US
N
2
2057-05-25
Floating
0.73000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
6133.93000000
0.000501639920
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3199563.57000000
BRL
594445.04000000
USD
2020-07-02
6133.93000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
192039.98000000
0.015705252625
N/A
DFE
RU
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3820760.91000000
USD
287263908.80000000
RUB
2020-08-17
192039.98000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USW3
7872366.98000000
PA
USD
8535506.83000000
0.698043662827
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-1854.84000000
-0.00015169096
N/A
DFE
PL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
570317.57000000
EUR
2531411.57000000
PLN
2020-09-16
-1854.84000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AQC57
893946.04000000
PA
USD
160452.86000000
0.013122021262
Long
ABS-MBS
USGSE
US
N
2
2046-02-25
Floating
5.97000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
759.68000000
0.000062127512
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
535376.52000000
USD
3806954.82000000
CNY
2020-09-16
759.68000000
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
1200000.00000000
PA
USD
1293216.00000000
0.105760706592
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAW8
3025000.00000000
PA
USD
3154863.25000000
0.258008381061
Long
DBT
CORP
US
N
2
2022-11-07
Fixed
2.65000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAR2
1900000.00000000
PA
USD
1959470.00000000
0.160247732588
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
4.25000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
900000.00000000
PA
USD
973575.00000000
0.079620094339
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B9HA6
539564.60000000
PA
USD
95126.48000000
0.007779554026
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Floating
5.87000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
11000000.00000000
PA
USD
11553850.00000000
0.944887273174
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
1037.49000000
0.000084847137
N/A
DFE
CH
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
275539.07000000
EUR
294107.65000000
CHF
2020-09-16
1037.49000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAG7
850000.00000000
PA
USD
878704.50000000
0.071861474653
Long
DBT
CORP
FR
N
2
2025-01-14
Fixed
2.38000000
N
N
N
N
N
N
Diageo Capital PLC
213800L23DJLALFC4O95
Diageo Capital PLC
25243YAY5
1975000.00000000
PA
USD
2143191.00000000
0.175272649366
Long
DBT
CORP
GB
N
2
2023-09-18
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02202A SWAPTION APR21 0.02 CALL
000000000
-1610000.00000000
NC
-46582.19000000
-0.00380954560
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
1610000.00000000
OU
Notional Amount
N/A
-46582.19000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-04-07
0.00000000
N/A
0.00000000
N/A
1610000.00000000
EUR
1.00000000
0.02000000
EUR
2021-04-01
XXXX
-3667.37000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-25042.26000000
-0.00204798511
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2996071.15000000
TRY
410842.80000000
USD
2020-07-13
-25042.26000000
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAF9
1500000.00000000
PA
USD
1433295.00000000
0.117216529918
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
2.30000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDN9
1324000.00000000
PA
USD
1381276.24000000
0.112962375304
Long
DBT
CORP
US
N
2
2022-03-01
Fixed
3.20000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-2380.57000000
-0.00019468577
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
8661018.97000000
CNY
1217356.99000000
USD
2020-09-16
-2380.57000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-28123.03000000
-0.00229993405
N/A
DFE
CL
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
623753.14000000
USD
489203350.00000000
CLP
2020-07-03
-28123.03000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-22078.35000000
-0.00180559310
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6257701.87000000
ILS
1788205.02000000
USD
2020-09-16
-22078.35000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02368A SWAPTION NOV20 0.41 CALL
000000000
-6400000.00000000
NC
USD
-44685.44000000
-0.00365442718
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
6400000.00000000
OU
Notional Amount
N/A
-44685.44000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-11-25
0.00000000
N/A
0.00000000
N/A
6400000.00000000
USD
1.00000000
0.41000000
USD
2020-11-23
XXXX
434.56000000
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAD1
717473.43000000
PA
USD
676430.65000000
0.055319284253
Long
ABS-O
CORP
US
N
2
2022-01-25
Floating
1.32000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-19496.35000000
-0.00159443414
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
18084087.74000000
NOK
1859863.00000000
USD
2020-09-16
-19496.35000000
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BM2
125000.00000000
PA
USD
81562.50000000
0.006670275987
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
7.50000000
N
N
N
N
N
N
US Foods Inc
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAB7
2120000.00000000
PA
USD
2014000.00000000
0.164707259326
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
5.88000000
N
N
N
N
N
N
B&G Foods Inc
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508RAE6
2050000.00000000
PA
USD
2060250.00000000
0.168489638047
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
PARKER-HANNIFIN CORP
5493002CONDB4N2HKI23
Parker-Hannifin Corp
701094AM6
625000.00000000
PA
USD
666406.25000000
0.054499477177
Long
DBT
CORP
US
N
2
2024-06-14
Fixed
2.70000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-14737.76000000
-0.00120527113
N/A
DFE
JP
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1223372.13000000
USD
130366204.00000000
JPY
2020-09-16
-14737.76000000
N
N
N
CIT Group Inc
N8O96ZZJQRFYQUJY7K79
CIT Group Inc
125581GY8
125000.00000000
PA
USD
126250.00000000
0.010324871643
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
4.75000000
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
1990000.00000000
OU
Notional Amount
USD
96642.16000000
0.007903508097
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-09-16
178279.21000000
USD
0.00000000
USD
1990000.00000000
USD
-81637.05000000
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
870000.00000000
PA
USD
879515.63000000
0.071927809807
Long
DBT
NUSS
QA
N
2
2021-06-02
Fixed
2.38000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAU0
350000.00000000
PA
USD
379512.00000000
0.031036932175
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1408.07000000
-0.00011515360
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
598750.13000000
USD
530767.80000000
EUR
2020-09-16
-1408.07000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BZG2
1093277.97000000
PA
USD
161270.20000000
0.013188864276
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.86000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
2950000.00000000
PA
USD
3250162.50000000
0.265802064419
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHL6
1175000.00000000
PA
USD
1274898.50000000
0.104262680166
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
3.86000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBL2
5190000.00000000
PA
USD
5368899.30000000
0.439074820905
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214356 IRS USD R F .84500 2 CCPVANILLA / Short: SR214356 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
4680000.00000000
OU
Notional Amount
USD
-26693.32000000
-0.00218301071
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2050-04-10
168.48000000
USD
0.00000000
USD
4680000.00000000
USD
-26861.80000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
2051.12000000
0.000167742976
N/A
DFE
IN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1865178.00000000
USD
141314092.06000000
INR
2020-07-15
2051.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
12930.74000000
0.001057490936
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3147522.96000000
BRL
591673.02000000
USD
2020-07-02
12930.74000000
N
N
N
AIG GLOBAL FUNDING
54930057MDZ7KOVOTV71
AIG Global Funding
00138CAK4
299000.00000000
PA
USD
308460.36000000
0.025226246527
Long
DBT
CORP
US
N
2
2022-07-01
Fixed
2.30000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RCS9
3225000.00000000
PA
USD
3461489.25000000
0.283084611497
Long
DBT
CORP
US
N
2
2023-02-17
Fixed
3.60000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RHR6
950000.00000000
PA
USD
1038768.00000000
0.084951653602
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.55000000
N
N
N
N
N
N
CANADIAN NATL RESOURCES
549300T15RIMIKZC5Q38
Canadian Natural Resources Ltd
136385AW1
1400000.00000000
PA
USD
1445976.00000000
0.118253596828
Long
DBT
CORP
CA
N
2
2023-01-15
Fixed
2.95000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RHP0
1800000.00000000
PA
USD
1996056.00000000
0.163239778164
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
4.05000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-319.04000000
-0.00002609146
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
448812.74000000
CAD
330325.36000000
USD
2020-09-16
-319.04000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
-1347.53000000
-0.00011020256
N/A
DFE
XX
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2437257.99000000
PLN
546320.96000000
EUR
2020-09-16
-1347.53000000
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
14990000.00000000
OU
Notional Amount
-9412.92000000
-0.00076979953
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Canada Bankers Acceptances 3 Months
CDOR03 Index
Y
2030-06-24
0.00000000
CAD
-20601.09000000
CAD
14990000.00000000
CAD
5672.62000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02353A SWAPTION MAY21 0.48 CALL
000000000
-6800000.00000000
NC
USD
-73455.64000000
-0.00600728756
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
6800000.00000000
OU
Notional Amount
N/A
-73455.64000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-05-21
0.00000000
N/A
0.00000000
N/A
6800000.00000000
USD
1.00000000
0.48000000
USD
2021-05-19
XXXX
-4316.64000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-6357.89000000
-0.00051995562
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
617772.37000000
EUR
555717.14000000
GBP
2020-09-16
-6357.89000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-3677.99000000
-0.00030079029
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
52533942.47000000
INR
689693.35000000
USD
2020-07-28
-3677.99000000
N
N
N
GEORGIA POWER CO
D981X4Z4RWS7PDMJUZ03
Georgia Power Co
373334KM2
1825000.00000000
PA
USD
1899113.25000000
0.155311687467
Long
DBT
CORP
US
N
2
2023-07-30
Fixed
2.10000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-1707.03000000
-0.00013960289
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
46407856.12000000
INR
610808.91000000
USD
2020-07-28
-1707.03000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-7333.61000000
-0.00059975114
N/A
DFE
SE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1105163.20000000
USD
10220082.86000000
SEK
2020-09-16
-7333.61000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
1125000.00000000
PA
USD
1149795.00000000
0.094031570624
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.22000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
1198.91000000
0.000098048252
N/A
DFE
CN
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
706092.90000000
USD
5022283.46000000
CNY
2020-09-16
1198.91000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
13584.09000000
0.001110922658
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3514896.89000000
BRL
659876.26000000
USD
2020-07-02
13584.09000000
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
4530000.00000000
OU
Notional Amount
USD
34743.74000000
0.002841383413
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2045-04-09
163.08000000
USD
0.00000000
USD
4530000.00000000
USD
34580.66000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
5055.95000000
0.000413481463
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
575855.55000000
EUR
653141.12000000
USD
2020-09-16
5055.95000000
N
N
N
Utah State Board of Regents
549300SAYC054T80UK17
UTAH ST BRD OF RGTS STUDENT LOAN REVENUE
917546HY2
1200000.00000000
PA
USD
1157737.32000000
0.094681102779
Long
DBT
MUN
US
N
2
2035-05-01
Floating
1.54000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2020-C19 Commercial Mortgage Trust
12597NAE3
884000.00000000
PA
USD
473666.18000000
0.038736970379
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.50000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAH0
2475000.00000000
PA
USD
2650774.50000000
0.216783417571
Long
DBT
CORP
BM
N
2
2024-05-01
Fixed
3.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-26515.17000000
-0.00216844140
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1252098497.00000000
KRW
1017395.52000000
USD
2020-09-02
-26515.17000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
3174.58000000
0.000259620839
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
6145648.13000000
SEK
663333.06000000
USD
2020-09-16
3174.58000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
114.62000000
0.000009373756
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
2375133.83000000
TRY
344037.81000000
USD
2020-07-29
114.62000000
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BM1
1275000.00000000
PA
USD
1323016.50000000
0.108197826096
Long
DBT
CORP
GB
N
2
2023-01-20
Fixed
4.25000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-30954.46000000
-0.00253149169
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
1234642.01000000
USD
17537274888.32000000
IDR
2020-07-20
-30954.46000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
6716.54000000
0.000549286442
N/A
DFE
TW
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
715845.07000000
USD
21166107.12000000
TWD
2020-07-20
6716.54000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AYTL7
704504.95000000
PA
USD
131276.75000000
0.010735965097
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
5.97000000
N
N
N
N
N
N
Viking Cruises Ltd
549300IJP90T4MV2GL84
Viking Cruises Ltd
92676XAD9
115000.00000000
PA
USD
67850.00000000
0.005548851809
Long
DBT
CORP
BM
N
2
2027-09-15
Fixed
5.88000000
N
N
N
N
N
N
CIT GROUP INC
N8O96ZZJQRFYQUJY7K79
CIT Group Inc
125581HA9
2850000.00000000
PA
USD
2785875.00000000
0.227832093384
Long
DBT
CORP
US
N
2
2024-06-19
Fixed
3.93000000
N
N
N
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAA7
285000.00000000
PA
USD
305995.95000000
0.025024704215
Long
DBT
US
N
2
2024-04-01
Fixed
4.60000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005922 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005922 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
825000.00000000
OU
Notional Amount
USD
-24681.94000000
-0.00201851772
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2024-12-20
0.00000000
USD
-11738.29000000
USD
825000.00000000
USD
-12943.65000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
-4285.28000000
-0.00035045517
N/A
DFE
GB
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
611611.58000000
EUR
551795.97000000
GBP
2020-09-16
-4285.28000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABG9
1575000.00000000
PA
USD
1574905.50000000
0.128797601094
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
1.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128284V9
850000.00000000
PA
USD
1006187.50000000
0.082287182469
Long
DBT
UST
US
N
1
2028-08-15
Fixed
2.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
23492.55000000
0.001921248026
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
9650934.17000000
PLN
2463465.54000000
USD
2020-09-16
23492.55000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CU9
275000.00000000
PA
USD
296694.75000000
0.024264041275
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
4.88000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NAY6
1975000.00000000
PA
USD
2024375.00000000
0.165555738877
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
4.13000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
9509.42000000
0.000777691413
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
479182444.00000000
CLP
593378.05000000
USD
2020-08-27
9509.42000000
N
N
N
DUPONT DE NEMOURS INC
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26614NAA0
2150000.00000000
PA
USD
2190441.50000000
0.179136850139
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
2.17000000
N
N
N
N
N
N
MEG Energy Corp
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AC2
78000.00000000
PA
USD
66300.00000000
0.005422091009
Long
DBT
CORP
CA
N
2
2024-03-31
Fixed
7.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-19396.23000000
-0.00158624621
N/A
DFE
ID
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
617528.37000000
USD
8714560357.44000000
IDR
2020-07-20
-19396.23000000
N
N
N
Citibank NA
E57ODZWZ7FF32TWEFA76
Citibank NA
17325FAS7
1425000.00000000
PA
USD
1562598.00000000
0.127791079448
Long
DBT
CORP
US
N
2
2024-01-23
Fixed
3.65000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RBD3
900000.00000000
PA
USD
937134.00000000
0.076639907031
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.00000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BB9
1650000.00000000
PA
USD
1759758.00000000
0.143915053256
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31398SH97
190860.27000000
PA
USD
31546.45000000
0.002579905323
Long
ABS-MBS
USGSE
US
N
2
2040-12-25
Floating
5.77000000
N
N
N
N
N
N
BSPRT 2018-FL4 Issuer, Ltd.
N/A
BSPRT 2018-FL4 Issuer Ltd
05586AAA6
4400000.00000000
PA
USD
4312094.60000000
0.352648105026
Long
ABS-CBDO
CORP
KY
N
2
2035-09-15
Variable
1.23000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-132950.02000000
-0.01087280706
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
3681730.87000000
USD
34148053.86000000
NOK
2020-09-16
-132950.02000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD HUF
000000000
1.00000000
NC
1360.19000000
0.000111237918
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
13844253.92000000
HUF
45265.03000000
USD
2020-09-16
1360.19000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002901 CDS USD R F 1.00000 2 CCPCDX / Short: SX002901 CDS USD P V 03MEVENT 1 CCPCDX
000000000
225000.00000000
OU
Notional Amount
USD
2773.76000000
0.000226841314
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S32.V1
2I65BYBE4
Y
sell protection
2024-06-20
3359.97000000
USD
0.00000000
USD
225000.00000000
USD
-586.21000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
204.95000000
0.000016761049
N/A
DFE
CA
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
670337.56000000
USD
910186.35000000
CAD
2020-09-16
204.95000000
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAC7
1625000.00000000
PA
USD
1726188.75000000
0.141169720999
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
2.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
3630.82000000
0.000296932676
N/A
DFE
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
72139122.00000000
JPY
672437.76000000
USD
2020-09-16
3630.82000000
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBE3
1975000.00000000
PA
USD
1989694.00000000
0.162719486414
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-4139.76000000
-0.00033855438
N/A
DFE
NO
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
658734.38000000
USD
6298820.12000000
NOK
2020-09-16
-4139.76000000
N
N
N
2020-07-31
GOLDMAN SACHS TRUST
Peter Fortner
Peter Fortner
Vice President
XXXX