NPORT-P
false
0000822977
XXXXXXXX
S000029317
C000090153
C000090154
C000161295
C000202044
C000090152
C000090151
C000090150
GOLDMAN SACHS TRUST
811-05349
0000822977
S2FHCT8U6D2VORP0J605
71 SOUTH WACKER DRIVE
C/O GOLDMAN SACHS & CO
CHICAGO
60606
312-655-4400
Goldman Sachs Strategic Income Fund
S000029317
MM4EWHH604XFXV8H1O93
2021-03-31
2020-12-31
N
1474041234.13
520327734.40
953713499.73
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
161819710.80000000
0.00000000
0.00000000
61623406.97000000
ARS
AUD
BRL
CAD
CHF
CNY
COP
CZK
DOP
EUR
GBP
HUF
IDR
ILS
INR
JPY
KRW
MXN
MYR
NOK
NZD
PHP
PLN
RUB
SEK
SGD
THB
TRY
TWD
USD
ZAR
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-13008.00000000
-0.00136393162
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8507109.60000000
NOK
799871.15000000
EUR
2021-03-17
-13008.00000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-791.71000000
-0.00008301339
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5046065.87000000
NOK
587558.03000000
USD
2021-03-17
-791.71000000
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAC7
440000.00000000
PA
USD
465850.00000000
0.048845906043
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
8.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
15143.34000000
0.001587829049
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
698613.36000000
USD
521690.02000000
GBP
2021-03-17
15143.34000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HZY4
492.02000000
PA
USD
561.78000000
0.000058904482
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.00000000
N
N
N
N
N
N
HUARONG FINANCE 2017 CO
5493006V07LYI3HE6G83
Huarong Finance 2017 Co Ltd
000000000
250000.00000000
PA
USD
273203.13000000
0.028646247544
Long
DBT
CORP
VG
N
2
2027-11-07
Fixed
4.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214048 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR214048 IRS GBP P F 1.00000 2 CCPVANILLA
000000000
12040000.00000000
OU
Notional Amount
-358925.73000000
-0.03763454434
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
GBP
-258021.71000000
GBP
12040000.00000000
GBP
-15847.34000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
1975000.00000000
PA
USD
2293824.25000000
0.240515023709
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02963A SWAPTION US0003M FEB21 0.783 CALL
000000000
12870000.00000000
NC
USD
38234.20000000
0.004008981734
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
12870000.00000000
OU
Notional Amount
N/A
38234.20000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-18
0.00000000
N/A
0.00000000
N/A
12870000.00000000
USD
1.00000000
0.78300000
USD
2021-02-16
XXXX
-25954.92000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03088A SWAPTION US0003M JAN21 0.914 PUT
000000000
-30590000.00000000
NC
USD
-161750.74000000
-0.01696009756
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-161750.74000000
-0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-19
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
0.91400000
USD
2021-01-14
XXXX
56203.01000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-12747.00000000
-0.00133656491
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
33406084.43000000
RUB
436672.28000000
USD
2021-02-08
-12747.00000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-18569.78000000
-0.00194710256
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3075150.22000000
TRY
392493.87000000
USD
2021-01-19
-18569.78000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
230000.00000000
PA
294238.25000000
0.030851849122
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AA9
500000.00000000
PA
USD
556875.00000000
0.058390176940
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.50000000
N
N
N
N
N
N
STATION CASINOS LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AG4
2153000.00000000
PA
USD
2163765.00000000
0.226877883202
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
000000000
725000.00000000
PA
978437.57000000
0.102592400157
Long
DBT
CORP
IE
N
2
2025-06-23
Fixed
6.25000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AH4
261000.00000000
PA
USD
285142.50000000
0.029898129792
Long
DBT
CORP
US
N
2
2028-05-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396KBZ4
576437.59000000
PA
USD
580896.57000000
0.060908917632
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Floating
0.55000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02770A SWAPTION EUR006M JAN21 NEG0.25 CALL
000000000
-10670000.00000000
NC
-32918.61000000
-0.00345162462
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
10670000.00000000
OU
Notional Amount
N/A
-32918.61000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-18
0.00000000
N/A
0.00000000
N/A
10670000.00000000
EUR
1.00000000
-0.25000000
EUR
2021-01-14
XXXX
63844.11000000
N
N
N
Sotera Health Holdings, LLC
549300OVT7MBXFLOFU20
Sotera Health Holdings, LLC 2019 Term Loan
83600VAD3
1650604.93000000
PA
USD
1655424.70000000
0.173576729328
Long
LON
CORP
US
N
2
2026-12-11
Floating
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
209554.57000000
0.021972486502
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7308768.14000000
USD
64481972.34000000
NOK
2021-03-17
209554.57000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
9383.90000000
0.000983932806
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
978728.22000000
USD
72365207.13000000
INR
2021-01-27
9383.90000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-3152.52000000
-0.00033055209
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6108894.64000000
CNY
931432.72000000
USD
2021-03-17
-3152.52000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A7YL8
395873.80000000
PA
USD
398749.66000000
0.041810214504
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Floating
0.53000000
N
N
N
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AU8
123000.00000000
PA
USD
128227.50000000
0.013445075490
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
450000.00000000
PA
USD
500765.63000000
0.052506924788
Long
DBT
CORP
VG
N
2
2026-06-03
Fixed
4.63000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CL2
2225000.00000000
PA
USD
2364908.00000000
0.247968388899
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215095 IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR215095 IRS NOK P F 1.24000 2 CCPVANILLA
000000000
468740000.00000000
OU
Notional Amount
968520.68000000
0.101552581595
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-10-29
3229149.12000000
NOK
0.00000000
NOK
468740000.00000000
NOK
1875393.48000000
N
N
N
Allied Universal
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
1500000.00000000
PA
USD
1593750.00000000
0.167109934005
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.63000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CP9
1915000.00000000
PA
USD
1962875.00000000
0.205813905387
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-11142.88000000
-0.00116836764
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1379291.77000000
NZD
981578.51000000
USD
2021-03-17
-11142.88000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
6173.32000000
0.000647292924
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2772407532.00000000
KRW
2554508.00000000
USD
2021-01-08
6173.32000000
N
N
N
Fortune Star BVI Ltd
2549008CU8NYQQRSNU62
Fortune Star BVI Ltd
000000000
200000.00000000
PA
USD
202187.50000000
0.021200024961
Long
DBT
CORP
VG
N
2
2022-03-23
Fixed
5.25000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2020-C19 Commercial Mortgage Trust
12597NAE3
878000.00000000
PA
USD
688615.41000000
0.072203592608
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XEJD1
27934.16000000
PA
USD
31431.37000000
0.003295682614
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAA1
2555000.00000000
PA
USD
2663587.50000000
0.279285917705
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
7.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
300000.00000000
PA
USD
376857.00000000
0.039514697034
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006023 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006023 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2380000.00000000
OU
Notional Amount
USD
64417.56000000
0.006754393223
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Chile Government International Bond
Chile Government International Bond
Y
sell protection
2025-12-20
63971.48000000
USD
0.00000000
USD
2380000.00000000
USD
446.08000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396VGA0
706367.59000000
PA
USD
709718.67000000
0.074416338890
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Floating
0.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
5761.20000000
0.000604080785
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
977310.26000000
USD
8081476.27000000
SEK
2021-03-17
5761.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215256 IRS CHF R F .00000 CCPVANILLA / Short: SR215256 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
10720000.00000000
OU
Notional Amount
24279.53000000
0.002545788646
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
37943.79000000
CHF
0.00000000
CHF
10720000.00000000
CHF
-18502.96000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WAH5
425000.00000000
PA
USD
427311.15000000
0.044804980753
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Floating
3.15000000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2017-COR2 Mortgage Trust
12595EAN5
800000.00000000
PA
USD
714158.90000000
0.074881911622
Long
ABS-MBS
CORP
US
N
2
2050-09-10
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
86566.18000000
0.009076748942
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1877188.55000000
USD
29090010.02000000
ZAR
2021-03-03
86566.18000000
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
875000.00000000
PA
USD
924218.75000000
0.096907378396
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
1617.59000000
0.000169609636
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
911414.65000000
USD
993314370.00000000
KRW
2021-01-08
1617.59000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-15141.40000000
-0.00158762563
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1210355139.00000000
KRW
1097389.83000000
USD
2021-01-08
-15141.40000000
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust 2007-3
57645NAC4
936651.98000000
PA
USD
1009236.33000000
0.105821751530
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-57883.98000000
-0.00606932585
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
14692160.67000000
ILS
4520456.19000000
USD
2021-03-17
-57883.98000000
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 16-C1 Mortgage Trust
23312LAG3
1000000.00000000
PA
USD
666811.11000000
0.069917339975
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Variable
3.35000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
1635000.00000000
PA
USD
1624649.80000000
0.170349879755
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296M6W4
1176.29000000
PA
USD
1336.74000000
0.000140161589
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C7
46648KAC0
660000.00000000
PA
USD
519643.34000000
0.054486314825
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
65728.53000000
0.006891852743
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2195026.97000000
USD
1653000.00000000
GBP
2021-01-13
65728.53000000
N
N
N
Momentive Performance Materials Inc.
54930021ZH8MCUXACZ50
Momentive Performance Materials Inc. Term Loan B
60877JAB8
2304900.00000000
PA
USD
2270326.50000000
0.238051207269
Long
LON
CORP
US
N
2
2024-05-15
Floating
3.40000000
N
N
N
N
N
N
Travelport Finance (Luxembourg) S.a.r.l.
2221005SGFWYZHL40F77
Travelport Finance (Luxembourg) S.a.r.l. 2020 Super Priority Term Loan
000000000
1725529.42000000
PA
USD
1698835.48000000
0.178128492516
Long
LON
CORP
LU
N
2
2025-02-28
Floating
8.00000000
N
N
N
N
N
N
AMC Entertainment Holdings, Inc.
549300ZO77UNR6NRBR11
AMC Entertainment Holdings, Inc. 2019 Term Loan B
00164DAQ6
2961388.71000000
PA
USD
1894548.43000000
0.198649639596
Long
LON
CORP
US
N
2
2026-04-22
None
0.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UYN1
161191.33000000
PA
USD
32760.38000000
0.003435033687
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Floating
5.95000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AB7
870000.00000000
PA
USD
945037.50000000
0.099090292867
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.88000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAA8
1085000.00000000
PA
USD
1112125.00000000
0.116609967282
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-9615.41000000
-0.00100820739
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1562901.03000000
SGD
1173066.42000000
USD
2021-03-17
-9615.41000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374YSU8
7676513.82000000
PA
USD
1659367.51000000
0.173990145936
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Floating
5.79000000
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
18290000.00000000
OU
Notional Amount
USD
351521.00000000
0.036858134030
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
364577.76000000
USD
0.00000000
USD
18290000.00000000
USD
-13056.76000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-861.17000000
-0.00009029650
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
14516966.60000000
ZAR
977310.26000000
USD
2021-03-17
-861.17000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YF44
5132.62000000
PA
USD
5658.81000000
0.000593344856
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.00000000
N
N
N
N
N
N
DIGICEL INTL FINANCE LTD
N/A
Digicel Holdings Bermuda Ltd / Digicel International Finance Ltd
25381XAA1
1089262.00000000
PA
USD
1147809.83000000
0.120351639179
Long
DBT
CORP
XX
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHZ5
3750000.00000000
PA
USD
3977662.50000000
0.417071007291
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-7330.48000000
-0.00076862495
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8491932.12000000
NOK
803064.39000000
EUR
2021-03-17
-7330.48000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M4EM1
1011.40000000
PA
USD
1157.44000000
0.000121361394
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-188561.54000000
-0.01977129819
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
19697030.69000000
TRY
2438499.77000000
USD
2021-01-25
-188561.54000000
N
N
N
UBS Switzerland AG
549300WOIFUSNYH0FL22
OPS03019A SWAPTION EUR006M JAN21 NEG 0.25 CALL
000000000
-25550000.00000000
NC
-55468.91000000
-0.00581609781
N/A
DIR
DE
N
2
UBS Switzerland AG
549300WOIFUSNYH0FL22
Call
Written
UBS Switzerland AG
549300WOIFUSNYH0FL22
UBS Switzerland AG
549300WOIFUSNYH0FL22
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-55468.91000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-06
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
-0.25000000
EUR
2021-01-04
XXXX
50439.82000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA4
35565RAH6
335000.00000000
PA
USD
338092.02000000
0.035450061270
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Floating
3.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379NPC0
22061233.31000000
PA
USD
3996132.09000000
0.419007604603
Long
ABS-MBS
USGA
US
N
2
2045-07-16
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214471 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214471 IRS EUR P F .26000 2 CCPVANILLA
000000000
42600000.00000000
OU
Notional Amount
26614.43000000
0.002790610598
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2040-05-21
0.00000000
EUR
-104847.74000000
EUR
42600000.00000000
EUR
899110.09000000
N
N
N
CONSTELLIUM SE
724500KRJEMC79KAAU28
Constellium SE
21039CAA2
485000.00000000
PA
USD
521375.00000000
0.054667885077
Long
DBT
CORP
FR
N
2
2028-06-15
Fixed
5.63000000
N
N
N
N
N
N
B&G Foods Inc
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508RAE6
2005000.00000000
PA
USD
2065150.00000000
0.216537775818
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
SPIRIT REALTY LP
549300GTBVIBJRX5BW73
Spirit Realty LP
84861TAE8
3750000.00000000
PA
USD
3983287.50000000
0.417660807058
Long
DBT
US
N
2
2027-01-15
Fixed
3.20000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XPM1
11660.24000000
PA
USD
13343.95000000
0.001399157084
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 17-C6 Mortgage Trust
23312JAQ6
1100000.00000000
PA
USD
966641.50000000
0.101355543386
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Variable
3.23000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS MORTGAGE TRUST 2017-C1
07332VAA3
550000.00000000
PA
USD
491919.69000000
0.051579398859
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
3.51000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02943A SWAPTION US0003M FEB21 0.825 CALL
000000000
14940000.00000000
NC
USD
58533.43000000
0.006137422823
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
14940000.00000000
OU
Notional Amount
N/A
58533.43000000
0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-16
0.00000000
N/A
0.00000000
N/A
14940000.00000000
USD
1.00000000
0.82500000
USD
2021-02-12
XXXX
-20648.57000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6UY2
20495.77000000
PA
USD
23401.61000000
0.002453735844
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-GC46
17328RAG4
1500000.00000000
PA
USD
1273081.89000000
0.133486827056
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.60000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
3925000.00000000
PA
USD
4758159.75000000
0.498908713292
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBE7
1310000.00000000
PA
USD
1355850.00000000
0.142165335856
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288JY67
7522.95000000
PA
USD
8589.24000000
0.000900610089
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WQE1
2596569.88000000
PA
USD
199528.22000000
0.020921190698
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
3.12000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust 2007-3
525245AD8
142260.32000000
PA
USD
136817.21000000
0.014345734860
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
0.76000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DR0
470000.00000000
PA
USD
469765.00000000
0.049256406681
Long
DBT
NUSS
PE
N
2
2121-07-28
Fixed
3.23000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03139A SWAPTION US0003M JAN21 0.958 PUT
000000000
-30590000.00000000
NC
USD
-179884.50000000
-0.01886148199
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-179884.50000000
-0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
0.95800000
USD
2021-01-29
XXXX
25450.88000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
4488.31000000
0.000470614078
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2174649.61000000
USD
60885839.78000000
TWD
2021-02-05
4488.31000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
4775000.00000000
PA
USD
5116269.25000000
0.536457673237
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A8
761119AA4
856175.65000000
PA
USD
736382.04000000
0.077212081008
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
13754.03000000
0.001442155322
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
986401.98000000
USD
73247251.83000000
INR
2021-01-27
13754.03000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
2975000.00000000
PA
USD
3235312.50000000
0.339233166031
Long
DBT
CORP
US
N
2
2031-01-22
Fixed
2.70000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03140A SWAPTION US0003M JAN21 0.958 CALL
000000000
-30590000.00000000
NC
USD
-247953.36000000
-0.02599872603
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-247953.36000000
-0.03000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
0.95800000
USD
2021-01-29
XXXX
-42617.98000000
N
N
N
Easy Tactic Ltd
549300WYFMC41MKE6E16
Easy Tactic Ltd
000000000
200000.00000000
PA
USD
176437.50000000
0.018500052694
Long
DBT
CORP
VG
N
2
2024-02-27
Fixed
8.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
13448.87000000
0.001410158292
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
966462.87000000
USD
716224.70000000
GBP
2021-03-17
13448.87000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
9986.42000000
0.001047109011
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
656607.02000000
USD
9291645940.02000000
IDR
2021-01-06
9986.42000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
21253.35000000
0.002228483711
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
389752.80000000
USD
3149268.88000000
TRY
2021-03-17
21253.35000000
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
60140000.00000000
OU
Notional Amount
-1450261.77000000
-0.15206472073
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
EUR
-782588.26000000
EUR
60140000.00000000
EUR
3441361.84000000
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAB2
1775000.00000000
PA
USD
1950281.25000000
0.204493409242
Long
DBT
CORP
NL
N
2
2027-08-15
Fixed
8.50000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAA2
320000.00000000
PA
USD
339200.00000000
0.035566236620
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
4.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599ED3
1100000.00000000
PA
USD
1192125.00000000
0.124998230636
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
6.63000000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust 2006-OA2
55275NAA9
1188627.14000000
PA
USD
1993242.25000000
0.208998011516
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
1.41000000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
28228PAB7
1000000.00000000
PA
USD
1065000.00000000
0.111668755900
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
8.50000000
N
N
N
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911363AM1
1070000.00000000
PA
USD
1123500.00000000
0.117802673477
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.88000000
N
N
N
N
N
N
HalseyPoint CLO II, Ltd.
549300RT6H1EOIYTDV62
Halseypoint Clo 2 Ltd
40638TAE2
5400000.00000000
PA
USD
5451748.20000000
0.571633745516
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
3.17000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-135844.97000000
-0.01424379229
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3301235.53000000
EUR
3899260.95000000
USD
2021-01-21
-135844.97000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFD1
475000.00000000
PA
USD
575386.50000000
0.060331168654
Long
DBT
CORP
US
N
2
2050-03-22
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131X1AP6
1092.09000000
PA
USD
1204.16000000
0.000126260140
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-426.61000000
-0.00004473146
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
28739535.57000000
TWD
1022832.07000000
USD
2021-01-04
-426.61000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020626
28000000.00000000
PA
USD
29243202.80000000
3.066246080010
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MHMWVKFEDI8G73
SLM Student Loan Trust 2008-2
784442AC9
10062161.25000000
PA
USD
9763745.72000000
1.023760880260
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
0.96000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
19078.74000000
0.002000468694
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1914627.05000000
USD
1582020.00000000
EUR
2021-01-21
19078.74000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-15379.25000000
-0.00161256498
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
19908133.78000000
MXN
976319.64000000
USD
2021-03-17
-15379.25000000
N
N
N
ARD FINANCE SA
6354006P6QPGGPVJW880
ARD Finance SA
00191AAD8
2400000.00000000
PA
USD
2544000.00000000
0.266746774657
Long
DBT
CORP
LU
N
2
2027-06-30
Variable
6.50000000
N
N
Y
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0GW3
1296735.97000000
PA
USD
1349308.63000000
0.141479451678
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Floating
4.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
14055.99000000
0.001473816822
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
976501.25000000
USD
72544277.86000000
INR
2021-01-27
14055.99000000
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAR2
875000.00000000
PA
USD
981233.75000000
0.102885588835
Long
DBT
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
DIGICEL INTL FINANCE LTD
N/A
Digicel Holdings Bermuda Ltd / Digicel International Finance Ltd
25381XAC7
434839.00000000
PA
USD
364177.66000000
0.038185226496
Long
DBT
CORP
XX
N
2
2026-12-31
Fixed
8.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAZ4
9100000.00000000
PA
USD
10427599.00000000
1.093368082023
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-9792.57000000
-0.00102678320
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
74778423.00000000
INR
1011270.85000000
USD
2021-01-27
-9792.57000000
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CF4
800000.00000000
PA
USD
999784.00000000
0.104830643613
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
Erste Group Bank AG
PQOH26KWDF7CG10L6792
Erste Group Bank AG
000000000
800000.00000000
PA
1089320.95000000
0.114218887570
Long
DBT
CORP
AT
N
2
2024-04-15
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-8155.15000000
-0.00085509432
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
705923.82000000
GBP
957663.31000000
USD
2021-03-17
-8155.15000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380UM67
2524056.39000000
PA
USD
415929.91000000
0.043611620273
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Floating
5.55000000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
Chemours Co/The
163851AD0
490000.00000000
PA
USD
507762.50000000
0.053240569641
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
610.57000000
0.000064020274
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
387614.83000000
USD
5761623.12000000
ZAR
2021-03-17
610.57000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BDB6
7824923.09000000
PA
USD
698458.11000000
0.073235632105
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215096 IRS AUD R F 1.24000 2 CCPVANILLA / Short: SR215096 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
58220000.00000000
OU
Notional Amount
-715484.69000000
-0.07502092506
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-10-28
0.00000000
AUD
-555254.37000000
AUD
58220000.00000000
AUD
-104044.82000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0JU4
1763808.13000000
PA
USD
1833525.82000000
0.192251218056
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
4.80000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-2 Trust
05951GCH3
28086.02000000
PA
USD
28579.06000000
0.002996608521
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
3.60000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-847640.79000000
-0.08887792720
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
36096476.38000000
AUD
26998648.28000000
USD
2021-03-17
-847640.79000000
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
71376LAD2
358000.00000000
PA
USD
383060.00000000
0.040165102004
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.88000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX003022 CDS USD R F 3.00000 2 CMBX / Short: CX003022 CDS USD P V 01MEVENT 1 CMBX
000000000
600000.00000000
OU
Notional Amount
USD
-96280.80000000
-0.01009535882
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-17
0.00000000
USD
-95885.89000000
USD
600000.00000000
USD
-394.91000000
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
000000000
230000.00000000
PA
USD
256521.88000000
0.026897163568
Long
DBT
CORP
BR
N
2
2024-06-18
Fixed
9.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03050A SWAPTION EUR006M JAN21 NEG 0.242 CALL
000000000
-25550000.00000000
NC
-90365.22000000
-0.00947509079
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
25550000.00000000
OU
Notional Amount
N/A
-90365.22000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-13
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
-0.24200000
EUR
2021-01-11
XXXX
20244.46000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215251 IRS CAD R F .75000 2 CCPVANILLA / Short: SR215251 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
138760000.00000000
OU
Notional Amount
388362.30000000
0.040721065614
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-17
219388.34000000
CAD
0.00000000
CAD
138760000.00000000
CAD
216110.63000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380XEJ2
1118662.79000000
PA
USD
182393.38000000
0.019124546318
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Floating
6.05000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-22374.02000000
-0.00234598965
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1187661048.00000000
KRW
1069297.32000000
USD
2021-01-08
-22374.02000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR21 XCBT 20210322
000000000
362.00000000
NC
USD
-611127.14000000
-0.06407869241
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USH1 Comdty
2021-03-22
63214502.14000000
USD
-611127.14000000
N
N
N
Orix Credit Alliance Owner Trust
N/A
Orec 2018-CRE1 Ltd
685785AA5
3947000.00000000
PA
USD
3882609.43000000
0.407104379994
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
1.34000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX003021 CDS USD R F 3.00000 2 CMBX / Short: CX003021 CDS USD P V 01MEVENT 1 CMBX
000000000
1200000.00000000
OU
Notional Amount
USD
-148687.20000000
-0.01559034238
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
-158488.66000000
USD
1200000.00000000
USD
9801.46000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
211947.37000000
0.022223379459
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
9156612.92000000
USD
13016721.76000000
NZD
2021-03-17
211947.37000000
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BM8
650000.00000000
PA
USD
948538.50000000
0.099457384242
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
6.60000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
-3909.05000000
-0.00040987676
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
702195.67000000
GBP
781832.33000000
EUR
2021-03-17
-3909.05000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBA8
275000.00000000
PA
USD
328702.00000000
0.034465486762
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
4.75000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAM9
520000.00000000
PA
USD
552500.00000000
0.057931443788
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 GBP
000000000
1.00000000
NC
-16949.00000000
-0.00177715844
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
734026.12000000
GBP
987317.98000000
USD
2021-03-17
-16949.00000000
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAB0
665000.00000000
PA
USD
683287.50000000
0.071644943706
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-4034.17000000
-0.00042299600
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1305246.03000000
EUR
1591370.32000000
USD
2021-01-21
-4034.17000000
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KBD9
495000.00000000
PA
USD
476669.75000000
0.049980392448
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
2.65000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-GC36
17324TAM1
400000.00000000
PA
USD
389582.02000000
0.040848957271
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
4.75000000
N
N
N
N
N
N
SOFTBANK GROUP CORP
5493003BZYYYCDIO0R13
SoftBank Group Corp
000000000
2175000.00000000
PA
USD
2286468.75000000
0.239743775321
Long
DBT
CORP
JP
N
2
2024-09-19
Fixed
4.75000000
N
N
N
N
N
N
MANITOWOC COMPANY INC
2RTSLGQ89VMY18RHX631
Manitowoc Co Inc/The
563571AL2
565000.00000000
PA
USD
610200.00000000
0.063981478732
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.00000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042616
30000000.00000000
PA
USD
32512500.00000000
3.409042653711
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
4.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX002968 CDS USD R F 3.00000 2 CMBX / Short: CX002968 CDS USD P V 01MEVENT 1 CMBX
000000000
1950000.00000000
OU
Notional Amount
USD
-241616.70000000
-0.02533430637
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
-368830.62000000
USD
1950000.00000000
USD
127213.92000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-43673.77000000
-0.00457933855
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4321171.04000000
EUR
5244588.01000000
USD
2021-03-17
-43673.77000000
N
N
N
Getty Images, Inc.
N/A
Getty Images, Inc. 2019 USD Term Loan B
37427UAJ9
920951.92000000
PA
USD
904835.26000000
0.094874955660
Long
LON
CORP
US
N
2
2026-02-19
Floating
4.69000000
N
N
N
N
N
N
GAZPROM PJSC (GAZ FN)
213800UNP9N6BPNYMQ45
Gazprom PJSC via Gaz Finance PLC
000000000
240000.00000000
PA
USD
247575.00000000
0.025959053748
Long
DBT
CORP
GB
N
2
2030-02-25
Fixed
3.25000000
N
N
N
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAA9
565000.00000000
PA
USD
573475.00000000
0.060130741586
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
5.88000000
N
N
N
N
N
N
Core & Main LP
549300ZSLF8Q660SCD17
Core & Main LP
14987KAA1
912000.00000000
PA
USD
937080.00000000
0.098255922797
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
6.13000000
N
N
N
N
N
N
DIGICEL INTL FINANCE LTD
N/A
Digicel Holdings Bermuda Ltd / Digicel International Finance Ltd
25381XAB9
577462.00000000
PA
USD
585582.56000000
0.061400259109
Long
DBT
CORP
XX
N
2
2025-12-31
Fixed
13.00000000
N
N
Y
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XB38
1364.64000000
PA
USD
1561.69000000
0.000163748337
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0KQ1
279363.20000000
PA
USD
292205.36000000
0.030638693914
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Floating
5.15000000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2007-EQ1
86363HAA0
3181583.25000000
PA
USD
2574239.69000000
0.269917505700
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
0.36000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAH3
655000.00000000
PA
USD
660828.12000000
0.069290003778
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Floating
3.90000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214910 IRS KRW R F 1.17900 CCPNDF / Short: SR214910 IRS KRW P V 03MLIBOR CCPNDF
000000000
10152660000.00000000
OU
Notional Amount
-113900.83000000
-0.01194287697
N/A
DIR
KR
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-11
0.00000000
KRW
-100549499.00000000
KRW
10152660000.00000000
KRW
-23033.27000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-64CB
12668AZX6
498723.42000000
PA
USD
409877.24000000
0.042976977899
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.95000000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAH1
400000.00000000
PA
USD
435000.00000000
0.045611181987
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
6.75000000
N
N
N
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAJ4
1540000.00000000
PA
USD
1607375.00000000
0.168538560107
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214462 IRS AUD R F .55300 2 CCPVANILLA / Short: SR214462 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
22920000.00000000
OU
Notional Amount
71707.33000000
0.007518749605
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-16
4995.52000000
AUD
0.00000000
AUD
22920000.00000000
AUD
1470052.60000000
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
000000000
1550000.00000000
PA
USD
1587296.88000000
0.166433303130
Long
DBT
CORP
BR
N
2
2024-04-15
Fixed
6.25000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JW97
2790000.00000000
PA
USD
2888521.88000000
0.302871027915
Long
DBT
NUSS
EG
N
2
2023-11-20
Fixed
4.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NZD
000000000
1.00000000
NC
N/A
-12158.87000000
-0.00127489754
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1348459.76000000
NZD
783109.51000000
EUR
2021-03-17
-12158.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AM46
5231.12000000
PA
USD
5306.58000000
0.000556412381
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
11588.02000000
0.001215042043
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
440123.72000000
USD
6296409938.32000000
IDR
2021-01-06
11588.02000000
N
N
N
SCRIPPS ESCROW INC
N/A
Scripps Escrow Inc
81104PAA7
1555000.00000000
PA
USD
1621087.50000000
0.169976360873
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.88000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
450000.00000000
PA
USD
505125.00000000
0.052964019083
Long
DBT
CORP
FR
N
2
2028-04-06
Fixed
6.75000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
2985000.00000000
PA
USD
3119325.00000000
0.327071494833
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2007-S9 Trust
74958VAA6
2779804.54000000
PA
USD
2162581.19000000
0.226753756826
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Fixed
6.00000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BX0
1175000.00000000
PA
USD
1385983.00000000
0.145324880102
Long
DBT
CORP
US
N
2
2040-05-01
Fixed
4.25000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2017-P8
17326DAM4
1000000.00000000
PA
USD
810671.35000000
0.085001559716
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DCF7
4885120.72000000
PA
USD
5400776.97000000
0.566289244257
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
PetSmart Inc
N/A
PetSmart Inc
716768AD8
485000.00000000
PA
USD
497125.00000000
0.052125192748
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
8.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215025 IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR215025 IRS JPY P F .50000 2 CCPVANILLA
000000000
347280000.00000000
OU
Notional Amount
4128.48000000
0.000432884718
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2041-03-19
0.00000000
JPY
-116733.00000000
JPY
347280000.00000000
JPY
8922.36000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AQC3
2825775.51000000
PA
USD
420389.77000000
0.044079251276
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
6.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: CX003018 CDS USD R F 3.00000 2 CMBX / Short: CX003018 CDS USD P V 01MEVENT 1 CMBX
000000000
1200000.00000000
OU
Notional Amount
USD
-192561.60000000
-0.02019071765
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-17
0.00000000
USD
-223135.07000000
USD
1200000.00000000
USD
30573.47000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02748A SWAPTION US0003M MAR21 1.10 CALL
000000000
92000000.00000000
NC
USD
187109.60000000
0.019619057510
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
92000000.00000000
OU
Notional Amount
N/A
187109.60000000
0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-03-19
0.00000000
N/A
0.00000000
N/A
92000000.00000000
USD
1.00000000
1.10000000
USD
2021-03-17
XXXX
-916890.40000000
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAJ0
2085000.00000000
PA
USD
2251800.00000000
0.236108642756
Long
DBT
US
N
2
2030-07-15
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XLG8
1213.85000000
PA
USD
1389.11000000
0.000145652756
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215291 IRS CHF R F .00000 CCPVANILLA / Short: SR215291 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
48700000.00000000
OU
Notional Amount
-295913.15000000
-0.03102746790
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-03-17
0.00000000
CHF
-192866.01000000
CHF
48700000.00000000
CHF
-78452.32000000
N
N
N
TWITTER INC
549300I8RX485XMK6836
Twitter Inc
90184LAG7
920000.00000000
PA
USD
979800.00000000
0.102735255428
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
22874.38000000
0.002398454043
N/A
DFE
SG
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2237306.05000000
USD
2986803.58000000
SGD
2021-03-17
22874.38000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-143074.51000000
-0.01500183336
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7656385.69000000
TRY
883446.11000000
USD
2021-01-11
-143074.51000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
105568.47000000
0.011069201602
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4694765.94000000
USD
3927290.84000000
EUR
2021-01-21
105568.47000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
34876.99000000
0.003656967213
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2104546.78000000
USD
29821427937.15000000
IDR
2021-01-06
34876.99000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WBD3
1570000.00000000
PA
USD
1624892.22000000
0.170375298290
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Floating
5.25000000
N
N
N
N
N
N
HalseyPoint CLO II, Ltd.
549300RT6H1EOIYTDV62
Halseypoint Clo 2 Ltd
40638TAG7
2800000.00000000
PA
USD
2820221.60000000
0.295709518717
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
3.75000000
N
N
N
N
N
N
Bank
549300664283JRAXM588
BANK 2018-BNK13
06539LAJ9
750000.00000000
PA
USD
607839.30000000
0.063733951566
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
3.00000000
N
N
N
N
N
N
Sprint Capital Corp
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
1610000.00000000
PA
USD
2539775.00000000
0.266303769498
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382DBZ1
456694.13000000
PA
USD
43874.56000000
0.004600392047
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
9370.68000000
0.000982546645
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2328340.99000000
PLN
517121.82000000
EUR
2021-03-17
9370.68000000
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AD8
800000.00000000
PA
USD
877688.00000000
0.092028476083
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128KRY73
27191.99000000
PA
USD
31118.46000000
0.003262872970
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
1920.77000000
0.000201399057
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
17575713.66000000
THB
588633.51000000
USD
2021-03-17
1920.77000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
2110000.00000000
PA
USD
2313087.50000000
0.242534838885
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.88000000
N
N
N
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAC3
345000.00000000
PA
USD
381532.05000000
0.040004891417
Long
DBT
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-7938.90000000
-0.00083241979
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2326736.23000000
USD
64787970.30000000
TWD
2021-02-05
-7938.90000000
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
000000000
200000.00000000
PA
USD
213562.50000000
0.022392731156
Long
DBT
CORP
TR
N
2
2024-03-28
Fixed
8.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
2040.45000000
0.000213947899
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7859900.75000000
MXN
393571.62000000
USD
2021-03-17
2040.45000000
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAQ2
3550000.00000000
PA
USD
2595564.75000000
0.272153508441
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37000000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
90015WAJ2
270000.00000000
PA
USD
265781.25000000
0.027868038994
Long
DBT
CORP
TR
N
2
2025-02-05
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-4303.14000000
-0.00045119839
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
70429559.65000000
INR
957378.64000000
USD
2021-01-27
-4303.14000000
N
N
N
NIELSEN CO LUX SARL/THE
549300MFMRJBOPHHM352
Nielsen Co Luxembourg SARL/The
65410CAC4
1485000.00000000
PA
USD
1525837.50000000
0.159989084817
Long
DBT
CORP
LU
N
2
2025-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382DJV2
6404984.44000000
PA
USD
1076433.21000000
0.112867565605
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Floating
5.90000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
156700AS5
1680000.00000000
PA
USD
1764000.00000000
0.184961206955
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
5.80000000
N
N
N
N
N
N
Tesla Inc
54930043XZGB27CTOV49
Tesla Inc
88160RAE1
1085000.00000000
PA
USD
1131112.50000000
0.118600869162
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.30000000
N
N
N
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBD8
430000.00000000
PA
USD
459025.00000000
0.048130282325
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215241 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215241 IRS EUR P F .00000 CCPVANILLA
000000000
51770000.00000000
OU
Notional Amount
-655229.03000000
-0.06870292076
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-580721.41000000
EUR
51770000.00000000
EUR
47850.74000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379M4U5
2167979.50000000
PA
USD
337854.67000000
0.035425174341
Long
ABS-MBS
USGA
US
N
2
2045-09-16
Fixed
4.50000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAY7
350000.00000000
PA
USD
463351.00000000
0.048583877666
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.70000000
N
N
N
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAB5
500000.00000000
PA
USD
555625.00000000
0.058259110325
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
7.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
196873.06000000
0.020642788432
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7117467.36000000
USD
62732489.01000000
NOK
2021-03-17
196873.06000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-2163.20000000
-0.00022681864
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2939343.57000000
USD
58873000.00000000
MXN
2021-03-04
-2163.20000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215123 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215123 IRS USD P F 1.19000 2 CCPVANILLA
000000000
41180000.00000000
OU
Notional Amount
USD
446955.37000000
0.046864741888
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-10
258342.30000000
USD
0.00000000
USD
41180000.00000000
USD
188613.07000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
3465.57000000
0.000363376422
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
999846.81000000
USD
1091532762.00000000
KRW
2021-01-08
3465.57000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
950000.00000000
PA
USD
1071505.00000000
0.112350826564
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
29168.44000000
0.003058406954
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
976366.68000000
USD
20185892.93000000
MXN
2021-03-17
29168.44000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MNM2
7299145.98000000
PA
USD
1319545.45000000
0.138358684277
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Floating
6.05000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAJ0
1500000.00000000
PA
USD
1528110.00000000
0.160227363923
Long
DBT
CORP
KY
N
2
2027-02-15
Fixed
3.25000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
734000.00000000
PA
USD
794497.01000000
0.083305626923
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.38000000
N
N
N
N
N
N
Altice Financing SA
549300DIYGW8HVDF7Q17
Altice Financing SA
02154CAE3
1535000.00000000
PA
USD
1615587.50000000
0.169399667767
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
7.50000000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
N/A
Nabors Industries Ltd
629571AA8
520000.00000000
PA
USD
363350.00000000
0.038098443620
Long
DBT
CORP
BM
N
2
2026-01-15
Fixed
7.25000000
N
N
N
N
N
N
AERCAP HOLDINGS NV
549300SZYINBBLJQU475
AerCap Holdings NV
00774YAA7
985000.00000000
PA
USD
977612.50000000
0.102505888852
Long
DBT
CORP
NL
N
2
2079-10-10
Fixed
5.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933JV7
1878.36000000
PA
USD
2144.67000000
0.000224875709
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
13780.70000000
0.001444951760
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1008808.28000000
USD
28510939.61000000
TWD
2021-02-17
13780.70000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02746A SWAPTION US0003M MAR21 0.90 CALL
000000000
-92000000.00000000
NC
USD
-78172.40000000
-0.00819663347
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
92000000.00000000
OU
Notional Amount
N/A
-78172.40000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-03-19
0.00000000
N/A
0.00000000
N/A
92000000.00000000
USD
1.00000000
0.90000000
USD
2021-03-17
XXXX
657827.60000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAE6
570000.00000000
PA
USD
566817.46000000
0.059432676601
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
3.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
106130.07000000
0.011128087211
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4694204.34000000
USD
3927290.84000000
EUR
2021-01-21
106130.07000000
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
522840000.00000000
OU
Notional Amount
USD
-175517.39000000
-0.01840357613
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-07-25
175495.73000000
USD
0.00000000
USD
522840000.00000000
USD
-351013.12000000
N
N
N
Adient US LLC
213800SOTRCDGZUHL712
Adient US LLC
00688JAA5
980000.00000000
PA
USD
1062075.00000000
0.111362060021
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
7.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005809 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005809 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
12040000.00000000
OU
Notional Amount
USD
203404.96000000
0.021327679649
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Colombia Government International Bond
Colombia Government International Bond
Y
sell protection
2023-12-20
0.00000000
USD
-140975.59000000
USD
12040000.00000000
USD
344380.55000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BA4
1000000.00000000
PA
USD
1095000.00000000
0.114814354657
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.75000000
N
N
N
N
N
N
SLM Student Loan Trust
549300OORAXMFXOHG132
SLM Student Loan Trust 2008-3
78444GAC8
10849063.44000000
PA
USD
10625992.59000000
1.114170303032
Long
ABS-O
CORP
US
N
2
2021-10-25
Floating
1.21000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
7942.41000000
0.000832787834
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
395390.04000000
USD
5622050978.76000000
IDR
2021-01-06
7942.41000000
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBE6
1300000.00000000
PA
USD
1365000.00000000
0.143124743477
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
39475.41000000
0.004139126688
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
433017.15000000
USD
3534697.34000000
TRY
2021-01-19
39475.41000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-3082.68000000
-0.00032322914
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1297847.50000000
SGD
979027.27000000
USD
2021-03-17
-3082.68000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-826928.70000000
-0.08670619638
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
10393750.78000000
GBP
13388273.53000000
USD
2021-01-13
-826928.70000000
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AQ4
1962000.00000000
PA
USD
1986525.00000000
0.208293685741
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215298 IRS AUD R F .50000 2 CCPVANILLA / Short: SR215298 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
114880000.00000000
OU
Notional Amount
-137570.71000000
-0.01442474181
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-11-25
0.00000000
AUD
-125110.52000000
AUD
114880000.00000000
AUD
-44782.97000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
550000.00000000
PA
USD
559333.50000000
0.058647958758
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
2.10000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02806A SWAPTION US0003M JAN21 0.48 PUT
000000000
-90100000.00000000
NC
USD
-7631.47000000
-0.00080018475
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
90100000.00000000
OU
Notional Amount
N/A
-7631.47000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-01-08
0.00000000
N/A
0.00000000
N/A
90100000.00000000
USD
1.00000000
0.48000000
USD
2021-01-06
XXXX
219871.03000000
N
N
N
Entercom Media Corp
549300S5JUSXRHNCHD80
Entercom Media Corp
124847AC8
2705000.00000000
PA
USD
2711762.50000000
0.284337225043
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 IDR
000000000
1.00000000
NC
-7574.60000000
-0.00079422174
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5613283420.16000000
IDR
395128.85000000
USD
2021-01-06
-7574.60000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382J3W4
5664033.34000000
PA
USD
323150.66000000
0.033883410488
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214996 IRS CAD R F .81000 2 CCPVANILLA / Short: SR214996 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
117340000.00000000
OU
Notional Amount
-60896.22000000
-0.00638516913
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-09-30
14043.89000000
CAD
0.00000000
CAD
117340000.00000000
CAD
-71443.25000000
N
N
N
PENSKE AUTOMOTIVE GROUP
549300W7UTQ0M4C7LB15
Penske Automotive Group Inc
70959WAJ2
1750000.00000000
PA
USD
1758750.00000000
0.184410727173
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AG5
600000.00000000
PA
USD
785280.00000000
0.082339193082
Long
DBT
CORP
US
N
2
2042-01-15
Fixed
4.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-376.40000000
-0.00003946677
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2609496883.56000000
COP
763680.68000000
USD
2021-01-29
-376.40000000
N
N
N
KRATON POLYMERS LLC/CAP
N/A
Kraton Polymers LLC / Kraton Polymers Capital Corp
50077DAE4
1555000.00000000
PA
USD
1636637.50000000
0.171606829562
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.00000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAJ5
2820000.00000000
PA
USD
2950425.00000000
0.309361773827
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
5.50000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAT5
2425000.00000000
PA
USD
2449250.00000000
0.256811925247
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
156700AZ9
445000.00000000
PA
USD
480043.75000000
0.050334167455
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GQY6
5974752.55000000
PA
USD
1048263.76000000
0.109913906041
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Floating
5.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XES0
3932.05000000
PA
USD
4499.68000000
0.000471806260
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
479.53000000
0.000050280299
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1009258.16000000
USD
891876.39000000
CHF
2021-03-17
479.53000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAH3
480000.00000000
PA
USD
513750.00000000
0.053868378726
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
17714.98000000
0.001857473969
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
9332436.63000000
CAD
7350806.27000000
USD
2021-03-11
17714.98000000
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAY2
1970000.00000000
PA
USD
2292014.23000000
0.240325237154
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KUM7
10012.57000000
PA
USD
11039.04000000
0.001157479683
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.00000000
N
N
N
N
N
N
Brookfield Property REIT Inc.
N/A
Brookfield Property REIT Inc. Term Loan A2
11283HAF4
2050000.00000000
PA
USD
1942375.00000000
0.203664412902
Long
LON
CORP
US
N
2
2023-08-28
Floating
3.15000000
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
15890000.00000000
OU
Notional Amount
180263.35000000
0.018901205660
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-19
226475.03000000
AUD
0.00000000
AUD
15890000.00000000
AUD
36601.92000000
N
N
N
CIT BANK NA
FVPV0TNOIM6NUIE59530
CIT Bank NA
12556LBJ4
1850000.00000000
PA
USD
1928199.50000000
0.202178065063
Long
DBT
CORP
US
N
2
2025-09-27
Fixed
2.97000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAC3
2016000.00000000
PA
USD
2109139.20000000
0.221150188248
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297CWV8
285082.27000000
PA
USD
325500.52000000
0.034129801045
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
80000000.00000000
PA
USD
84695760.00000000
8.880629248089
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
2.50000000
N
N
N
N
N
N
SINCLAIR TELEVISION GROU
549300CQGEN0CH65UD62
Sinclair Television Group Inc
829259AY6
470000.00000000
PA
USD
488800.00000000
0.051252289092
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215195 IRS EUR R V 12MLIBOR CCPVANILLA / Short: BR215195 IRS EUR P F .00000 CCPVANILLA
000000000
17750000.00000000
OU
Notional Amount
-57515.41000000
-0.00603068007
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-18
0.00000000
EUR
-41369.20000000
EUR
17750000.00000000
EUR
-8428.77000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XBM5
1471774.43000000
PA
USD
1548297.87000000
0.162344128549
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Floating
6.90000000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAC5
460000.00000000
PA
USD
478400.00000000
0.050161814856
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
SASOL FINANCING INT
N/A
Sasol Financing International Ltd
803865AA2
4008000.00000000
PA
USD
4088160.00000000
0.428657033916
Long
DBT
CORP
IM
N
2
2022-11-14
Fixed
4.50000000
N
N
N
N
N
N
UBS Switzerland AG
549300WOIFUSNYH0FL22
OPS03020A SWAPTION EUR006M JAN21 NEG 0.25 PUT
000000000
-25550000.00000000
NC
-1747.94000000
-0.00018327726
N/A
DIR
DE
N
2
UBS Switzerland AG
549300WOIFUSNYH0FL22
Put
Written
UBS Switzerland AG
549300WOIFUSNYH0FL22
UBS Switzerland AG
549300WOIFUSNYH0FL22
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-1747.94000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-06
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
-0.25000000
EUR
2021-01-04
XXXX
104160.79000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QFW0
4705959.15000000
PA
USD
850747.06000000
0.089203629836
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Floating
6.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EQP5
631856.99000000
PA
USD
71455.19000000
0.007492311896
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YRQ0
1972544.38000000
PA
USD
302409.40000000
0.031708621099
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Floating
6.05000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-74080.03000000
-0.00776753501
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7316980.04000000
TRY
904000.50000000
USD
2021-01-19
-74080.03000000
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CY4
390000.00000000
PA
USD
391340.63000000
0.041033353319
Long
DBT
NUSS
TR
N
2
2030-03-13
Fixed
5.25000000
N
N
N
N
N
N
GROUP 1 AUTOMOTIVE INC
549300US8QAZJLWYAF63
Group 1 Automotive Inc
398905AN9
631000.00000000
PA
USD
645197.50000000
0.067651081816
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR21 XCBT 20210331
000000000
-1593.00000000
NC
USD
-277293.21000000
-0.02907510589
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUH1 Comdty
2021-03-31
-351713481.02000000
USD
-277293.21000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
10788.67000000
0.001131227564
N/A
DFE
SG
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
979130.20000000
USD
1308166.90000000
SGD
2021-03-17
10788.67000000
N
N
N
Freddie Mac - STACR
549300NKHCH87PYOHD44
Freddie Mac STACR Trust 2019-HQA2
35564MBD6
670000.00000000
PA
USD
673847.01000000
0.070655077252
Long
ABS-MBS
USGSE
US
N
2
2049-04-25
Floating
4.25000000
N
N
N
N
N
N
London Wall Mortgage Capital
213800QSO8J75OTK5919
London Wall Mortgage Capital PLC
000000000
4554328.93000000
PA
6221222.50000000
0.652315658922
Long
ABS-MBS
CORP
GB
N
2
2049-11-15
Floating
0.90000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAA9
1495000.00000000
PA
USD
1528637.50000000
0.160282674034
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31398E3D4
127893.46000000
PA
USD
130173.02000000
0.013649069666
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Floating
1.01000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-27418.50000000
-0.00287491998
N/A
DFE
PL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1899177.81000000
USD
6989899.23000000
PLN
2021-03-17
-27418.50000000
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
17390000.00000000
OU
Notional Amount
-1063835.08000000
-0.11154661020
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2040-06-19
0.00000000
EUR
-853280.93000000
EUR
17390000.00000000
EUR
1164172.08000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
10534.23000000
0.001104548693
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
977310.26000000
USD
14660523.71000000
ZAR
2021-03-17
10534.23000000
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BD3
1310000.00000000
PA
USD
1454100.00000000
0.152467171788
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-6763.62000000
-0.00070918782
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1300380.30000000
SGD
977262.96000000
USD
2021-03-17
-6763.62000000
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CM6
235000.00000000
PA
USD
244400.00000000
0.025626144546
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
CORE & MAIN HOLDING LP
N/A
Core & Main Holdings LP
21871MAA1
1900000.00000000
PA
USD
1935625.00000000
0.202956653182
Long
DBT
CORP
US
N
2
2024-09-15
Variable
8.63000000
N
N
Y
N
N
N
CHANGE HEALTH / FIN INC
N/A
Change Healthcare Holdings LLC / Change Healthcare Finance Inc
15911NAA3
2902000.00000000
PA
USD
2952785.00000000
0.309609227596
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.75000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BBVK5
3426962.16000000
PA
USD
478842.91000000
0.050208255428
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
17680.24000000
0.001853831366
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4364769.45000000
USD
5577232.57000000
CAD
2021-03-17
17680.24000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-17011.06000000
-0.00178366564
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7073667042.07000000
COP
2054148.87000000
USD
2021-01-29
-17011.06000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HXB5
1296.68000000
PA
USD
1480.54000000
0.000155239492
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
SCRIPPS ESCROW II INC
N/A
Scripps Escrow II Inc
81105DAB1
600000.00000000
PA
USD
630000.00000000
0.066057573912
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376WS30
5576774.40000000
PA
USD
1000516.83000000
0.104907483251
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Floating
5.53000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
1370000.00000000
PA
USD
1545311.09000000
0.162030954834
Long
DBT
CORP
VG
N
2
2025-01-16
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD EUR
000000000
1.00000000
NC
N/A
1865.45000000
0.000195598573
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
312923.05000000
EUR
3300477.64000000
NOK
2021-03-17
1865.45000000
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAJ3
2270000.00000000
PA
USD
2436050.50000000
0.255427914220
Long
DBT
US
N
2
2029-08-01
Fixed
4.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
1946.38000000
0.000204084350
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5723675.63000000
ZAR
387614.83000000
USD
2021-03-17
1946.38000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
3170.15000000
0.000332400663
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1957945.46000000
USD
12818786.40000000
CNY
2021-03-17
3170.15000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
4036.80000000
0.000423271768
N/A
DFE
TH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
977190.01000000
USD
29393875.50000000
THB
2021-03-17
4036.80000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAA6
850000.00000000
PA
USD
922781.25000000
0.096756651789
Long
DBT
CORP
NL
N
2
2030-01-21
Fixed
3.68000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
7663.42000000
0.000803534814
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
784955.37000000
EUR
7959996.92000000
SEK
2021-03-17
7663.42000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378VAL9
6762807.64000000
PA
USD
1348562.00000000
0.141401165064
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Floating
6.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31398FHA2
68998.64000000
PA
USD
70576.29000000
0.007400156338
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
1.25000000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV
67091GAC7
975000.00000000
PA
USD
1012781.25000000
0.106193448062
Long
DBT
CORP
NL
N
2
2024-11-01
Fixed
5.25000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDJ6
1568000.00000000
PA
USD
1632680.00000000
0.171191872660
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
6.13000000
N
N
N
N
N
N
IRB HOLDING CORP
549300HVW4WNWYBXN830
IRB Holding Corp
44988MAC9
1237000.00000000
PA
USD
1345237.50000000
0.141052580295
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.00000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBD2
470000.00000000
PA
USD
551809.38000000
0.057859030008
Long
DBT
NUSS
QA
N
2
2030-04-16
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
14523.80000000
0.001522868241
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
403288.28000000
USD
31006617.76000000
RUB
2021-01-25
14523.80000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
313721.93000000
0.032894777109
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4671044.49000000
USD
17024555844.32000000
COP
2021-01-29
313721.93000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-5688.37000000
-0.00059644432
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
27856139.87000000
TWD
986117.39000000
USD
2021-01-04
-5688.37000000
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2017-RC1
95001FAC9
756000.00000000
PA
USD
570140.95000000
0.059781155468
Long
ABS-MBS
CORP
US
N
2
2060-01-15
Fixed
3.25000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
30000000.00000000
PA
769957.08000000
0.080732534478
Long
DBT
NUSS
DO
N
2
2028-02-04
Fixed
18.50000000
N
N
N
N
N
N
Ultimate Software Group Inc(The)
529900FKHWSTQ1GXK240
Ultimate Software Group Inc(The) Term Loan B
90385KAB7
913437.50000000
PA
USD
912012.54000000
0.095627517095
Long
LON
CORP
US
N
2
2026-05-04
Floating
3.90000000
N
N
N
N
N
N
Crown City CLO I
549300K60T4GC7BSX929
Crown City CLO I
22823RAC3
2750000.00000000
PA
USD
2757403.00000000
0.289122781713
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
2.86000000
N
N
N
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAV0
315000.00000000
PA
USD
436275.00000000
0.045744869934
Long
DBT
CORP
LU
N
2
2038-06-04
Fixed
7.72000000
N
N
N
N
N
N
Tronox Inc
549300EPZ4YXC7E5P181
Tronox Inc
897051AA6
465000.00000000
PA
USD
481856.25000000
0.050524214047
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288GH39
351.01000000
PA
USD
400.77000000
0.000042022053
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002991 CDS USD R F 1.00000 2 CCPCDX / Short: SX002991 CDS USD P V 03MEVENT 1 CCPCDX
000000000
95475000.00000000
OU
Notional Amount
USD
2338669.67000000
0.245217213624
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S35.V1
2I65BYDX0
Y
sell protection
2025-12-20
2296258.25000000
USD
0.00000000
USD
95475000.00000000
USD
42411.42000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAE3
675000.00000000
PA
USD
796554.00000000
0.083521309096
Long
DBT
CORP
FR
N
2
2026-04-01
Fixed
4.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
8404.28000000
0.000881216424
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
404095.46000000
USD
5749833890.79000000
IDR
2021-01-06
8404.28000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: CX003012 CDS USD R F 3.00000 2 CMBX / Short: CX003012 CDS USD P V 01MEVENT 1 CMBX
000000000
2400000.00000000
OU
Notional Amount
USD
-189614.40000000
-0.01988169403
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-281141.29000000
USD
2400000.00000000
USD
91526.89000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0FW4
408740.15000000
PA
USD
414767.64000000
0.043489752437
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Floating
4.05000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZH9
542000.00000000
PA
USD
548766.87000000
0.057540012818
Long
DBT
CORP
US
N
2
2021-10-12
Fixed
3.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EG4G6
5628.63000000
PA
USD
6315.72000000
0.000662224032
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
7325000.00000000
PA
USD
8516191.50000000
0.892950713438
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
VERITAS US INC/BERMUDA L
N/A
Veritas US Inc / Veritas Bermuda Ltd
92346LAB9
475000.00000000
PA
USD
478562.50000000
0.050178853516
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
7.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-23599.67000000
-0.00247450308
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1188220281.00000000
KRW
1068585.70000000
USD
2021-01-08
-23599.67000000
N
N
N
Apidos CLO
635400C39IXGGYE6DH05
Apidos CLO XXIII
03765YAU8
4800000.00000000
PA
USD
4799995.20000000
0.503295297944
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.46000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02890A SWAPTION US0003M JAN21 0.51 PUT
000000000
-90130000.00000000
NC
USD
-40792.84000000
-0.00427726356
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
90130000.00000000
OU
Notional Amount
N/A
-40792.84000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-01-22
0.00000000
N/A
0.00000000
N/A
90130000.00000000
USD
1.00000000
0.51000000
USD
2021-01-20
XXXX
211571.16000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215243 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215243 IRS EUR P F .00000 2 CCPVANILLA
000000000
10220000.00000000
OU
Notional Amount
-325661.87000000
-0.03414671912
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
EUR
-266399.02000000
EUR
10220000.00000000
EUR
-3132.42000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03077A SWAPTION EUR006M MAR21 NEG 0.02 CALL
000000000
-1920000.00000000
NC
-58760.46000000
-0.00616122766
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
1920000.00000000
OU
Notional Amount
N/A
-58760.46000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-12
0.00000000
N/A
0.00000000
N/A
1920000.00000000
EUR
1.00000000
-0.02000000
EUR
2021-03-10
XXXX
2085.50000000
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAA4
875000.00000000
PA
USD
710937.50000000
0.074544137227
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.38000000
N
N
N
N
N
N
HUB International Ltd
549300JQT6ATTUNS5E06
HUB International Ltd
44332PAD3
2610000.00000000
PA
USD
2714400.00000000
0.284613775601
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
28214.71000000
0.002958405224
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1066157.72000000
USD
1190599649.00000000
KRW
2021-01-08
28214.71000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FWBW9
6466508.80000000
PA
USD
518191.10000000
0.054334042681
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.00000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAC8
310000.00000000
PA
USD
320075.00000000
0.033560917412
Long
DBT
CORP
MX
N
2
2028-04-30
Fixed
3.88000000
N
N
N
N
N
N
ALLIANT HOLD / CO-ISSUER
N/A
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer
01883LAA1
1700000.00000000
PA
USD
1808375.00000000
0.189614071784
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
6.75000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
3225000.00000000
PA
USD
4194435.00000000
0.439800317515
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
Jeld-Wen Inc
549300XWE6NM0N1HFW16
Jeld-Wen Inc
475795AD2
560000.00000000
PA
USD
596400.00000000
0.062534503304
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 MXN
000000000
1.00000000
NC
-2175.28000000
-0.00022808526
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8062367.79000000
MXN
399441.53000000
USD
2021-03-17
-2175.28000000
N
N
N
MERCER INTL INC
549300Z5IAG39VRTY874
Mercer International Inc
588056AW1
1040000.00000000
PA
USD
1055600.00000000
0.110683134956
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QST7
34570.64000000
PA
USD
38812.27000000
0.004069594276
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215292 IRS SEK R F .00000 2 CCPVANILLA / Short: SR215292 IRS SEK P V 03MSTIBO 1 CCPVANILLA
000000000
767830000.00000000
OU
Notional Amount
-706870.96000000
-0.07411774712
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-3861652.92000000
SEK
767830000.00000000
SEK
-251996.95000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7LA2
2586.71000000
PA
USD
2953.45000000
0.000309678955
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
QNB Finance Ltd
549300MY0DXTHQEX5O57
QNB Finance Ltd
000000000
230000.00000000
PA
USD
246315.63000000
0.025827004658
Long
DBT
CORP
KY
N
2
2024-03-28
Fixed
3.50000000
N
N
N
N
N
N
Starfruit Finco B.V
549300K7VB5G6LULFT41
Starfruit Finco B.V 2018 USD Term Loan B
000000000
1675020.16000000
PA
USD
1655472.67000000
0.173581759141
Long
LON
CORP
NL
N
2
2025-10-01
Floating
3.15000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BY7
380000.00000000
PA
USD
414200.00000000
0.043430233515
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAB0
220405.01000000
PA
USD
224911.79000000
0.023582741574
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
5.40000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215208 IRS CNY R V 03MLIBOR CCPVANILLA / Short: BR215208 IRS CNY P F 2.50000 CCPVANILLA
000000000
104270000.00000000
OU
Notional Amount
-192.92000000
-0.00002022829
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
431980.69000000
CNY
0.00000000
CNY
104270000.00000000
CNY
-65964.22000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296RH27
382.24000000
PA
USD
436.44000000
0.000045762170
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.00000000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
200000.00000000
PA
USD
214312.50000000
0.022471371125
Long
DBT
CORP
KY
N
2
2025-02-20
Fixed
7.70000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215242 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215242 IRS EUR P F .00000 CCPVANILLA
000000000
1120000.00000000
OU
Notional Amount
-13012.99000000
-0.00136445483
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-03-17
0.00000000
EUR
-11715.50000000
EUR
1120000.00000000
EUR
1170.99000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS6 Trust
74922EAN9
533184.65000000
PA
USD
507673.15000000
0.053231200999
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-26CB
12667GTM5
397457.50000000
PA
USD
277847.12000000
0.029133185183
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
0.65000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C3K8
965550.34000000
PA
USD
1068979.13000000
0.112085980779
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296UCR0
514.62000000
PA
USD
588.91000000
0.000061749152
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
WOLVERINE ESCROW LLC
N/A
Wolverine Escrow LLC
97789LAC0
460000.00000000
PA
USD
432400.00000000
0.045338563428
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
8.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-10707.00000000
-0.00112266419
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1097025.21000000
CAD
851307.94000000
USD
2021-03-17
-10707.00000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022622
40000000.00000000
PA
USD
42265068.00000000
4.431631513233
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296PKS0
1960.35000000
PA
USD
2238.31000000
0.000234694171
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS005828 CDS USD R V 03MEVENT 1 CCPCORPORATE / Short: BS005828 CDS USD P F 1.00000 2 CCPCORPORATE
000000000
5890000.00000000
OU
Notional Amount
USD
-152914.41000000
-0.01603357927
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
China Government International Bond
China Government International Bond
Y
buy protection
2023-12-20
0.00000000
USD
-40794.10000000
USD
5890000.00000000
USD
-112120.31000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03143A SWAPTION US0003M JAN21 0.948 PUT
000000000
-30590000.00000000
NC
USD
-193120.79000000
-0.02024935057
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-193120.79000000
-0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
0.94800000
USD
2021-01-29
XXXX
11067.46000000
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
78442FAZ1
2680000.00000000
PA
USD
2572800.00000000
0.269766549464
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.63000000
N
N
N
N
N
N
TITAN ACQ/CO-BORROWER
N/A
Titan Acquisition Ltd / Titan Co-Borrower LLC
88827AAA1
1120000.00000000
PA
USD
1164800.00000000
0.122133114434
Long
DBT
CORP
XX
N
2
2026-04-15
Fixed
7.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215164 IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR215164 IRS JPY P F .14370 2 CCPVANILLA
000000000
11284500000.00000000
OU
Notional Amount
-125549.69000000
-0.01316429829
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-13
0.00000000
JPY
-10443347.00000000
JPY
11284500000.00000000
JPY
339701.15000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03027A SWAPTION EUR006M MAR21 0.021 CALL
000000000
-3430000.00000000
NC
-128857.61000000
-0.01351114459
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
3430000.00000000
OU
Notional Amount
N/A
-128857.61000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-04
0.00000000
N/A
0.00000000
N/A
3430000.00000000
EUR
1.00000000
0.02100000
EUR
2021-03-02
XXXX
-14700.84000000
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAY1
450000.00000000
PA
USD
502875.00000000
0.052728099176
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
7575000.00000000
PA
USD
8613547.65000000
0.903158826255
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
BURLINGTON COAT FACTORY
549300SIFDMGE3Y2SW49
Burlington Coat Factory Warehouse Corp
121579AH9
2670000.00000000
PA
USD
2836875.00000000
0.297455682529
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OC8
232434AD2
210432.16000000
PA
USD
224722.97000000
0.023562943175
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.49000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005489 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005489 CDS USD P F 1.00000 2 CORPORATE
000000000
2060000.00000000
OU
Notional Amount
USD
-9217.88000000
-0.00096652506
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
1867.29000000
USD
0.00000000
USD
2060000.00000000
USD
-11085.17000000
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCN9
330000.00000000
PA
USD
497791.80000000
0.052195108923
Long
DBT
CORP
US
N
2
2058-10-15
Fixed
4.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
9581.40000000
0.001004641331
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4680745.90000000
PLN
1032024.23000000
EUR
2021-03-17
9581.40000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-24003.81000000
-0.00251687849
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
152481437.94000000
INR
2058056.93000000
USD
2021-01-27
-24003.81000000
N
N
N
B&G Foods, Inc.
549300TRW1LZMDJZAQ78
B&G Foods, Inc. 2019 Term Loan B4
05508TAU6
454208.33000000
PA
USD
452909.29000000
0.047489029999
Long
LON
CORP
US
N
2
2026-10-10
Floating
2.65000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAQ4
525000.00000000
PA
USD
634667.25000000
0.066546950439
Long
DBT
US
N
2
2050-07-01
Fixed
4.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215349 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215349 IRS USD P F .40000 2 CCPVANILLA
000000000
131820000.00000000
OU
Notional Amount
USD
-199746.85000000
-0.02094411477
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-17
47637.68000000
USD
0.00000000
USD
131820000.00000000
USD
-247384.53000000
N
N
N
MERCER INTL INC
549300Z5IAG39VRTY874
Mercer International Inc
588056AY7
1000000.00000000
PA
USD
1037500.00000000
0.108785290372
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
7.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296UXF3
3173.21000000
PA
USD
3631.42000000
0.000380766341
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAB0
690000.00000000
PA
USD
720187.50000000
0.075514030178
Long
DBT
CORP
MX
N
2
2046-10-31
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380Y2Z7
3025291.92000000
PA
USD
530078.34000000
0.055580458927
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.05000000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427AT5
2625000.00000000
PA
USD
2780925.00000000
0.291589140846
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.10000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BX002990 CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX002990 CDS EUR P F 1.00000 2 CCPCDX
000000000
16950000.00000000
OU
Notional Amount
-538989.98000000
-0.05651487371
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S34.V1
2I666VCX1
Y
buy protection
2025-12-20
0.00000000
EUR
-349621.04000000
EUR
16950000.00000000
EUR
-129877.09000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215238 IRS EUR R F .00000 CCPVANILLA / Short: SR215238 IRS EUR P V 06MLIBOR CCPVANILLA
000000000
32450000.00000000
OU
Notional Amount
215679.23000000
0.022614677265
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
194937.06000000
EUR
0.00000000
EUR
32450000.00000000
EUR
-20331.20000000
N
N
N
Nomura Asset Acceptance Corporation
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR4
65538DAE5
1056872.80000000
PA
USD
976411.49000000
0.102379958999
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-11961.03000000
-0.00125415337
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
521690.02000000
GBP
701795.67000000
USD
2021-03-17
-11961.03000000
N
N
N
CAMELOT FINANCE SA
N/A
Camelot Finance SA
13323AAB6
2750000.00000000
PA
USD
2866875.00000000
0.300601281287
Long
DBT
CORP
LU
N
2
2026-11-01
Fixed
4.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005871 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005871 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
8760000.00000000
OU
Notional Amount
USD
167540.26000000
0.017567147790
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Indonesia Government International Bond
Indonesia Government International Bond
Y
sell protection
2024-06-20
39651.25000000
USD
0.00000000
USD
8760000.00000000
USD
127889.01000000
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RAS8
6075000.00000000
PA
USD
6353903.25000000
0.666227672335
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.60000000
N
N
N
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
870000.00000000
PA
USD
937425.00000000
0.098292097182
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
Sabre GLBL Inc
78573NAC6
1062000.00000000
PA
USD
1263780.00000000
0.132511493268
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
9.25000000
N
N
N
N
N
N
GFL Environmental Inc
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAE4
930000.00000000
PA
USD
1034625.00000000
0.108483837157
Long
DBT
CORP
CA
N
2
2027-05-01
Fixed
8.50000000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BW2
200000.00000000
PA
USD
227187.50000000
0.023821357259
Long
DBT
CORP
MX
N
2
2027-06-05
Fixed
7.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
29692.27000000
0.003113332254
N/A
DFE
BR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
810374.49000000
USD
4362934.70000000
BRL
2021-01-05
29692.27000000
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust 2007-5H
525248AY6
3240551.20000000
PA
USD
3094698.20000000
0.324489293784
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
2.61000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
1050000.00000000
PA
USD
1097250.00000000
0.115050274564
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
000000000
137050000.00000000
PA
USD
3631825.00000000
0.380808806945
Long
DBT
CORP
VE
N
2
2022-10-28
Fixed
6.00000000
Y
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215132 IRS USD R V 03MLIBOR CCP / Short: BR215132 IRS USD P V 03MSOFR CCP +24.125BPS
000000000
310230000.00000000
OU
Notional Amount
USD
-268628.16000000
-0.02816654687
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-10
294.26000000
USD
0.00000000
USD
310230000.00000000
USD
-268922.42000000
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
90015WAK9
530000.00000000
PA
USD
542587.50000000
0.056892085532
Long
DBT
CORP
TR
N
2
2026-01-08
Fixed
6.50000000
N
N
N
N
N
N
REALOGY GROUP/CO-ISSUER
N/A
Realogy Group LLC / Realogy Co-Issuer Corp
75606DAG6
1585000.00000000
PA
USD
1755387.50000000
0.184058157978
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
9.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MGU7
977.73000000
PA
USD
1116.36000000
0.000117054020
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
20942.65000000
0.002195905794
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5333644.37000000
USD
6814402.72000000
CAD
2021-03-17
20942.65000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XYW8
2335000.00000000
PA
USD
2345367.17000000
0.245919468547
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
3.70000000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAA8
1100000.00000000
PA
USD
1149500.00000000
0.120528859067
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
6734.03000000
0.000706085213
N/A
DFE
IL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
527821.25000000
USD
1715419.06000000
ILS
2021-03-17
6734.03000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03052A SWAPTION EUR006M MAR21 0.0001 CALL
000000000
-2170000.00000000
NC
-74069.46000000
-0.00776642671
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
2170000.00000000
OU
Notional Amount
N/A
-74069.46000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-10
0.00000000
N/A
0.00000000
N/A
2170000.00000000
EUR
1.00000000
0.00010000
EUR
2021-03-08
XXXX
-1820.90000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
925000.00000000
PA
USD
924546.75000000
0.096941770276
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CG9
5310000.00000000
PA
USD
5880825.00000000
0.616623860484
Long
DBT
NUSS
ID
N
2
2024-02-11
Fixed
4.45000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QO7 Trust
751150AA1
2943725.44000000
PA
USD
2710255.93000000
0.284179256219
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
1.41000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452151LF8
4280000.00000000
PA
USD
4606178.80000000
0.482973010375
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS02944A SWAPTION EUR006M FEB21 NEG 0.261 CALL
000000000
-18230000.00000000
NC
-89686.26000000
-0.00940389960
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
18230000.00000000
OU
Notional Amount
N/A
-89686.26000000
-0.01000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-02-16
0.00000000
N/A
0.00000000
N/A
18230000.00000000
EUR
1.00000000
-0.26100000
EUR
2021-02-12
XXXX
-17361.99000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-1585.55000000
-0.00016625013
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1344300436.13000000
COP
392023.76000000
USD
2021-01-29
-1585.55000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS2 Trust
761118UQ9
326817.84000000
PA
USD
308372.99000000
0.032333923142
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FW6P0
3690046.29000000
PA
USD
514532.31000000
0.053950406505
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-148751.15000000
-0.01559704775
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12576262.11000000
EUR
15242115.27000000
USD
2021-03-17
-148751.15000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03105A SWAPTION US0003M JUN21 0.555 PUT
000000000
85250000.00000000
NC
USD
367470.13000000
0.038530452814
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
85250000.00000000
OU
Notional Amount
N/A
367470.13000000
0.04000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-06-21
0.00000000
N/A
0.00000000
N/A
85250000.00000000
USD
1.00000000
0.55500000
USD
2021-06-17
XXXX
-13280.83000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215232 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215232 IRS USD P F .25000 2 CCPVANILLA
000000000
106810000.00000000
OU
Notional Amount
USD
25986.87000000
0.002724808866
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-17
141779.17000000
USD
0.00000000
USD
106810000.00000000
USD
-115792.30000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAJ9
1660000.00000000
PA
USD
1805250.00000000
0.189286405247
Long
DBT
NUSS
RO
N
2
2051-02-14
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-968399.98000000
-0.10153992580
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
296181273.44000000
SEK
35060581.39000000
USD
2021-03-17
-968399.98000000
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
16130000.00000000
OU
Notional Amount
-1151324.52000000
-0.12072016599
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-20
0.00000000
EUR
-992671.32000000
EUR
16130000.00000000
EUR
343384.05000000
N
N
N
BRF SA
254900MTXR9LUVQFU480
BRF SA
000000000
600000.00000000
PA
USD
651187.50000000
0.068279153035
Long
DBT
CORP
BR
N
2
2030-01-24
Fixed
4.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NDW4
1188.73000000
PA
USD
1357.27000000
0.000142314227
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
11827937.97000000
PA
USD
12944405.42000000
1.357263520298
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
8865.57000000
0.000929584199
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
427602.94000000
USD
6083934630.32000000
IDR
2021-01-06
8865.57000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-11497.21000000
-0.00120552031
N/A
DFE
HU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
498542.82000000
EUR
177721541.56000000
HUF
2021-03-17
-11497.21000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215237 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215237 IRS USD P F 1.00000 2 CCPVANILLA
000000000
4470000.00000000
OU
Notional Amount
USD
474874.03000000
0.049792105295
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-03-17
431600.85000000
USD
0.00000000
USD
4470000.00000000
USD
43273.18000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-18427.06000000
-0.00193213790
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
724942648.00000000
KRW
647923.93000000
USD
2021-01-08
-18427.06000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: CX002999 CDS USD R F 3.00000 2 CMBX / Short: CX002999 CDS USD P V 01MEVENT 1 CMBX
000000000
2250000.00000000
OU
Notional Amount
USD
-361053.00000000
-0.03785759560
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-17
0.00000000
USD
-617900.94000000
USD
2250000.00000000
USD
256847.94000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042612
48000000.00000000
PA
USD
51510000.00000000
5.400993067056
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
4.50000000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK15
06036FAJ0
780000.00000000
PA
USD
616221.96000000
0.064612901062
Long
ABS-MBS
CORP
US
N
2
2061-11-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288H6W5
525.60000000
PA
USD
600.13000000
0.000062925606
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.00000000
N
N
N
N
N
N
Voya CLO Ltd
549300KSCKXTOBY0IP86
Voya CLO 2019-1 Ltd
92917NAJ7
3900000.00000000
PA
USD
3875613.30000000
0.406370812733
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.30000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NRM1
242.19000000
PA
USD
276.52000000
0.000028994032
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.00000000
N
N
N
N
N
N
UPC Holding BV
213800G1DU7LKI6ZCD69
UPC Holding BV
90320LAG2
465000.00000000
PA
USD
488831.25000000
0.051255565758
Long
DBT
CORP
NL
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
CPG International Inc.
N/A
CPG International Inc. 2017 Term Loan
12626JAE7
1580669.23000000
PA
USD
1578298.23000000
0.165489765054
Long
LON
CORP
US
N
2
2024-05-05
Floating
4.75000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AE1
577000.00000000
PA
USD
633257.50000000
0.066399133511
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.88000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: IBX00036 TRS USD R E IBOXHY INDEX / Short: IBX00036 TRS USD P V 03MLIBOR US0003M+ 0.00 BPS
000000000
5500000.00000000
OU
Notional Amount
USD
355861.53000000
0.037313252889
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Markit iBoxx USD Liquid High Yield Index
IBOXHY Index
Y
equity-performance leg
2021-03-22
0.00000000
USD
0.00000000
USD
5500000.00000000
USD
355861.53000000
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR10
45660LKW8
2584334.32000000
PA
USD
2272123.73000000
0.238239652751
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.67000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288EK97
13943.12000000
PA
USD
15902.59000000
0.001667438911
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
5.00000000
N
N
N
N
N
N
Bombardier Inc
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BR1
2661000.00000000
PA
USD
2527950.00000000
0.265063879321
Long
DBT
CORP
CA
N
2
2024-12-01
Fixed
7.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-12236.77000000
-0.00128306561
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3963596.34000000
USD
79322660.85000000
MXN
2021-03-17
-12236.77000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2019-GC44 Mortgage Trust
12655TAG4
300000.00000000
PA
USD
265505.61000000
0.027839137233
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.50000000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAY6
500000.00000000
PA
USD
532500.00000000
0.055834377950
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR 2019-HQA3
35564XBD2
1350000.00000000
PA
USD
1336386.74000000
0.140124548973
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Floating
3.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380W4A4
4489255.10000000
PA
USD
712282.27000000
0.074685140789
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Floating
6.05000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02949A SWAPTION US0003M NOV22 1.06 CALL
000000000
-8800000.00000000
NC
USD
-396497.20000000
-0.04157403665
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
8800000.00000000
OU
Notional Amount
N/A
-396497.20000000
-0.04000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2052-11-16
0.00000000
N/A
0.00000000
N/A
8800000.00000000
USD
1.00000000
1.06000000
USD
2022-11-14
XXXX
60594.04000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382ET64
9091714.03000000
PA
USD
1775751.76000000
0.186193417677
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Floating
6.29000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX003015 CDS USD R F 3.00000 2 CMBX / Short: CX003015 CDS USD P V 01MEVENT 1 CMBX
000000000
2750000.00000000
OU
Notional Amount
USD
-340741.50000000
-0.03572786797
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
-440094.35000000
USD
2750000.00000000
USD
99352.85000000
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBG6
320000.00000000
PA
USD
336000.00000000
0.035230706086
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
5.00000000
N
N
N
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C6
92936QAJ7
2500000.00000000
PA
USD
2567338.40000000
0.269193882725
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Fixed
4.70000000
N
N
N
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP / Genesis Energy Finance Corp
37185LAL6
2620000.00000000
PA
USD
2508650.00000000
0.263040210787
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
7.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
15413.87000000
0.001616195010
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2180968.71000000
USD
61367661.37000000
TWD
2021-02-05
15413.87000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DDN9
1705959.33000000
PA
USD
1887100.65000000
0.197868715346
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
5.00000000
N
N
N
N
N
N
OCP CLO Ltd
254900NXH68CRC058O44
OCP CLO 2014-5 Ltd
67102SAN4
2950000.00000000
PA
USD
2914411.20000000
0.305585608343
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
1.61000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-17420.43000000
-0.00182658943
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1329738.16000000
AUD
1008393.64000000
USD
2021-03-17
-17420.43000000
N
N
N
LABL ESCROW ISSUER LLC
N/A
LABL Escrow Issuer LLC
50168AAA8
465000.00000000
PA
USD
523125.00000000
0.054851378338
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
925000.00000000
PA
USD
1036721.50000000
0.108703662084
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
BEACON ROOFING SUPPLY IN
549300HDXQWWCBOYXP31
Beacon Roofing Supply Inc
073685AD1
1635000.00000000
PA
USD
1675875.00000000
0.175721010604
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
4.88000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CW8
1666000.00000000
PA
USD
2046691.00000000
0.214602288903
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
9.00000000
N
N
N
N
N
N
USI Inc/NY
N/A
USI Inc/NY
91739VAA6
2250000.00000000
PA
USD
2309062.50000000
0.242112804385
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.88000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR21 XCBT 20210331
000000000
-1652.00000000
NC
USD
-280799.86000000
-0.02944278969
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVH1 Comdty
2021-03-31
-208116419.72000000
USD
-280799.86000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03122A SWAPTION US0003M JAN21 0.955 PUT
000000000
-30590000.00000000
NC
USD
-138499.28000000
-0.01452210543
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-138499.28000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-25
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
0.95500000
USD
2021-01-21
XXXX
65688.97000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215058 IRS ZAR R F 5.25000 2 CCPVANILLA / Short: SR215058 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
283750000.00000000
OU
Notional Amount
302225.13000000
0.031689299782
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
591001.90000000
ZAR
0.00000000
ZAR
283750000.00000000
ZAR
544732.21000000
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAW5
470000.00000000
PA
USD
491737.50000000
0.051560295637
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138APZN1
17832.16000000
PA
USD
19958.77000000
0.002092742737
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAL5
725000.00000000
PA
USD
783377.00000000
0.082139657268
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC42
36257UAA5
250000.00000000
PA
USD
232089.60000000
0.024335358581
Long
ABS-MBS
CORP
US
N
2
2052-09-01
Fixed
2.80000000
N
N
N
N
N
N
NOURYON HOLDING BV
N/A
Nouryon Holding BV
85529VAA2
1330000.00000000
PA
USD
1418112.50000000
0.148693763944
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
8.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
4995.63000000
0.000523808250
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
54995626.53000000
TWD
1973319.55000000
USD
2021-02-05
4995.63000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
305.02000000
0.000031982351
N/A
DFE
PH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
936804.39000000
USD
45091205.70000000
PHP
2021-02-08
305.02000000
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AC8
1195000.00000000
PA
USD
1329437.50000000
0.139395898283
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-2152.03000000
-0.00022564742
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1954544.61000000
USD
54550499.61000000
TWD
2021-02-05
-2152.03000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378VX75
9147573.92000000
PA
USD
1473735.45000000
0.154526013359
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Floating
6.00000000
N
N
N
N
N
N
Sunac China Holdings Ltd
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
240000.00000000
PA
USD
252675.00000000
0.026493805537
Long
DBT
CORP
KY
N
2
2023-04-19
Fixed
8.35000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005905 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005905 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
520000.00000000
OU
Notional Amount
USD
15143.75000000
0.001587872039
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Qatar Government International Bond
Qatar Government International Bond
Y
sell protection
2024-12-20
8723.67000000
USD
0.00000000
USD
520000.00000000
USD
6420.08000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
8947.77000000
0.000938203139
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
390479.36000000
USD
5927867.16000000
ZAR
2021-03-17
8947.77000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR215338 IRS MXN R F 4.40000 2 CCPVANILLA / Short: SR215338 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
906530000.00000000
OU
Notional Amount
93980.82000000
0.009854198354
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-15
243700.38000000
MXN
0.00000000
MXN
906530000.00000000
MXN
81838.15000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
58227.87000000
0.006105383851
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2104444.62000000
USD
1580713.23000000
GBP
2021-03-17
58227.87000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BJMU4
7973949.17000000
PA
USD
1702997.12000000
0.178564854170
Long
ABS-MBS
USGSE
US
N
2
2045-05-15
Floating
5.94000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03091A SWAPTION EUR006M JAN21 NEG 0.265 CALL
000000000
-25550000.00000000
NC
-61499.29000000
-0.00644840300
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-61499.29000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-20
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
-0.26500000
EUR
2021-01-18
XXXX
44745.39000000
N
N
N
Viking Cruises Ltd
549300IJP90T4MV2GL84
Viking Cruises Ltd
92676XAD9
520000.00000000
PA
USD
504400.00000000
0.052888000446
Long
DBT
CORP
BM
N
2
2027-09-15
Fixed
5.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312930J43
5325.70000000
PA
USD
6094.64000000
0.000639043067
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
12252.71000000
0.001284736978
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
988067.86000000
USD
73259303.41000000
INR
2021-01-27
12252.71000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005907 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005907 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
3250000.00000000
OU
Notional Amount
USD
64365.93000000
0.006748979648
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Saudi Government International Bond
Saudi Government International Bond
Y
sell protection
2024-12-20
34483.75000000
USD
0.00000000
USD
3250000.00000000
USD
29882.18000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-7986.16000000
-0.00083737516
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1368400027.60000000
COP
392679.48000000
USD
2021-01-29
-7986.16000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-35823.07000000
-0.00375616681
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1100665.41000000
EUR
1309522.17000000
USD
2021-01-21
-35823.07000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MF20
425.90000000
PA
USD
485.29000000
0.000050884254
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-17605.36000000
-0.00184597995
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
79705036.98000000
INR
1070728.60000000
USD
2021-01-27
-17605.36000000
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
Long: CS005516 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005516 CDS USD P F 1.00000 2 CORPORATE
000000000
2500000.00000000
OU
Notional Amount
USD
-11186.75000000
-0.00117296756
N/A
DCR
GB
N
2
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
385.90000000
USD
0.00000000
USD
2500000.00000000
USD
-11572.65000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
14450.40000000
0.001515172009
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1008808.28000000
USD
28739535.57000000
TWD
2021-01-04
14450.40000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS9 Trust
75115CAL1
1002958.96000000
PA
USD
931811.56000000
0.097703509519
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.50000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
200000.00000000
PA
USD
212000.00000000
0.022228897888
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
155999.53000000
0.016357064259
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2525688.48000000
USD
1960773.85000000
GBP
2021-01-13
155999.53000000
N
N
N
Mauser Packaging Solut
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co
12429TAE4
2010000.00000000
PA
USD
2040150.00000000
0.213916443520
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.25000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
600000.00000000
PA
USD
618696.00000000
0.064872312300
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.75000000
N
N
N
N
N
N
B&G FOODS INC
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508WAB1
475000.00000000
PA
USD
504093.75000000
0.052855889126
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
5.25000000
N
N
N
N
N
N
NAVISTAR INTL CORP
WNDD3CRVXJGC8I7GX671
Navistar International Corp
63934EAT5
460000.00000000
PA
USD
479550.00000000
0.050282396142
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
6.63000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX003024 CDS USD R F 3.00000 2 CMBX / Short: CX003024 CDS USD P V 01MEVENT 1 CMBX
000000000
1100000.00000000
OU
Notional Amount
USD
-86906.60000000
-0.00911244310
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-96839.86000000
USD
1100000.00000000
USD
9933.26000000
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP World PLC
000000000
200000.00000000
PA
USD
254750.00000000
0.026711376117
Long
DBT
CORP
AE
N
2
2048-09-25
Fixed
5.63000000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
CenturyLink Inc
156700BB1
465000.00000000
PA
USD
488250.00000000
0.051194619782
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-178621.70000000
-0.01872907325
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
50307373.14000000
SEK
5941020.47000000
USD
2021-03-17
-178621.70000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-10323.78000000
-0.00108248231
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
13169006829.86000000
IDR
934436.02000000
USD
2021-01-06
-10323.78000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
3352.53000000
0.000351523806
N/A
DFE
PH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
978972.19000000
USD
47217786.67000000
PHP
2021-01-15
3352.53000000
N
N
N
GTCR AP Finance Inc
N/A
GTCR AP Finance Inc
40060QAA3
1375000.00000000
PA
USD
1493593.75000000
0.156608221486
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
8.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-10541.57000000
-0.00110531831
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
70645237.89000000
INR
954085.19000000
USD
2021-01-27
-10541.57000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215032 IRS NOK R F 1.00000 2 CCPVANILLA / Short: SR215032 IRS NOK P V 06MNIBOR 1 CCPVANILLA
000000000
121720000.00000000
OU
Notional Amount
-419673.33000000
-0.04400413018
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-18
0.00000000
NOK
-2908619.31000000
NOK
121720000.00000000
NOK
8336.48000000
N
N
N
CEDAR FAIR/CAN/MAGNUM/MI
N/A
Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp / Millennium Op
150190AF3
703000.00000000
PA
USD
734635.00000000
0.077028898113
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
13229760.00000000
NS
USD
13229760.00000000
1.387183887377
Long
EC
RF
US
N
1
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YJG0
2323598.54000000
PA
USD
354806.29000000
0.037202607502
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.95000000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT MAR21 XSFE 20210315
000000000
-41.00000000
NC
3509.73000000
0.000368006744
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
10 Year Commonwealth Treasury Bond
XMH1 Comdty
2021-03-15
-6038545.85000000
AUD
3509.73000000
N
N
N
HERC HOLDINGS INC
549300TP80QLITMSBP82
Herc Holdings Inc
42704LAA2
2330000.00000000
PA
USD
2475625.00000000
0.259577430821
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03127A SWAPTION EUR006M JAN21 NEG0.251 PUT
000000000
-25550000.00000000
NC
-84999.68000000
-0.00891249626
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-84999.68000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
-0.25100000
EUR
2021-01-29
XXXX
19072.94000000
N
N
N
SOLERA LLC / SOLERA FINA
N/A
Solera LLC / Solera Finance Inc
83422AAA1
1000000.00000000
PA
USD
1035000.00000000
0.108523157142
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
10.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFFB1
4131.69000000
PA
USD
4633.46000000
0.000485833534
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BH7
555000.00000000
PA
USD
582056.25000000
0.061030513898
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.63000000
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC
K5K33XN0PQAU1XF7NN66
Talen Energy Supply LLC
87422VAG3
1125000.00000000
PA
USD
1178437.50000000
0.123563051202
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
14782.24000000
0.001549966526
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
981110.64000000
USD
1290952.04000000
AUD
2021-03-17
14782.24000000
N
N
N
TERRIER MEDIA BUYER INC
N/A
Terrier Media Buyer Inc
88146LAA1
800000.00000000
PA
USD
882000.00000000
0.092480603477
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
8.88000000
N
N
N
N
N
N
UBS Switzerland AG
549300WOIFUSNYH0FL22
Long: CS005510 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005510 CDS USD P F 1.00000 2 CORPORATE
000000000
5910000.00000000
OU
Notional Amount
USD
-26445.48000000
-0.00277289563
N/A
DCR
GB
N
2
UBS Switzerland AG
549300WOIFUSNYH0FL22
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
2775.89000000
USD
0.00000000
USD
5910000.00000000
USD
-29221.37000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382B5X7
2402133.73000000
PA
USD
387447.12000000
0.040625105978
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
5.90000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR214655 IRS BRL R F 4.93000 2 CCPNDFPREDISWAP / Short: SR214655 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
20510000.00000000
OU
Notional Amount
49907.35000000
0.005232949938
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-01-02
13129.46000000
BRL
0.00000000
BRL
20510000.00000000
BRL
55357.94000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
219184.96000000
0.022982264596
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8880071.73000000
USD
9900036770.00000000
KRW
2021-02-19
219184.96000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HXN9
19870.99000000
PA
USD
22688.54000000
0.002378968107
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647AZ0
1685000.00000000
PA
USD
1733443.75000000
0.181757283554
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
3126.70000000
0.000327844787
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1075802559.00000000
KRW
991980.23000000
USD
2021-01-08
3126.70000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
5178.52000000
0.000542984869
N/A
DFE
TH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
977190.01000000
USD
29428077.15000000
THB
2021-03-17
5178.52000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHJ4
3850000.00000000
PA
USD
4589700.50000000
0.481245206374
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
139433.62000000
0.014620074062
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1088182.81000000
USD
9156274.85000000
TRY
2021-01-11
139433.62000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03048A SWAPTION EUR006M MAR21 0.0001 CALL
000000000
-3270000.00000000
NC
-111616.19000000
-0.01170332495
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3270000.00000000
OU
Notional Amount
N/A
-111616.19000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-10
0.00000000
N/A
0.00000000
N/A
3270000.00000000
EUR
1.00000000
0.00010000
EUR
2021-03-08
XXXX
-2325.54000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050619
21000000.00000000
PA
USD
23237812.50000000
2.436561137760
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
5.00000000
N
N
N
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBE0
480000.00000000
PA
USD
624000.00000000
0.065428454161
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAQ0
1063379.74000000
PA
USD
1108158.66000000
0.116194083476
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
2.93000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2020-C55
95002EAA5
800000.00000000
PA
USD
649226.70000000
0.068073556700
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ACYK0
850762.48000000
PA
USD
941895.31000000
0.098760823902
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
WOLVERINE ESCROW LLC
N/A
Wolverine Escrow LLC
97789LAB2
460000.00000000
PA
USD
432400.00000000
0.045338563428
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
9.00000000
N
N
N
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAR6
2900000.00000000
PA
USD
2961625.00000000
0.310536130697
Long
DBT
CORP
LU
N
2
2024-02-15
None
0.00000000
Y
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WVB1
1996031.81000000
PA
USD
300783.63000000
0.031538153762
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
5.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382J3Q7
5767597.78000000
PA
USD
690684.25000000
0.072420517293
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FYD0
2465804.82000000
PA
USD
254343.33000000
0.026668735429
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
4.00000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BN6
1600000.00000000
PA
USD
2452768.00000000
0.257180799128
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
6.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379HWD3
5950607.47000000
PA
USD
731833.67000000
0.076735169441
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
4.00000000
N
N
N
N
N
N
Elmwood CLO IV Ltd
N/A
Elmwood CLO IV Ltd
29002GAB7
9000000.00000000
PA
USD
9010449.00000000
0.944775239372
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.48000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
24834.78000000
0.002604008437
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
461180.46000000
USD
3644017.40000000
TRY
2021-01-25
24834.78000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
16308.84000000
0.001710035561
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
485462.61000000
USD
7446751.22000000
ZAR
2021-03-17
16308.84000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-3966.92000000
-0.00041594462
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
638338.71000000
GBP
869384.13000000
USD
2021-03-17
-3966.92000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FUUT9
16785405.33000000
PA
USD
2199564.55000000
0.230631583869
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
5.00000000
N
N
N
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAR9
950000.00000000
PA
USD
1280125.00000000
0.134225320325
Long
DBT
CORP
LU
N
2
2036-07-18
Fixed
7.20000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AF8
2897000.00000000
PA
USD
3179457.50000000
0.333376585410
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.88000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
2450000.00000000
PA
USD
2880881.50000000
0.302069908920
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DQ2
1090000.00000000
PA
USD
1097085.00000000
0.115032973771
Long
DBT
NUSS
PE
N
2
2060-12-01
Fixed
2.78000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
24239.51000000
0.002541592418
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1013422.91000000
USD
1345096.90000000
AUD
2021-03-17
24239.51000000
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAP0
2575000.00000000
PA
USD
2781000.00000000
0.291597004843
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CE7
975000.00000000
PA
USD
997776.00000000
0.104620098203
Long
DBT
CORP
DE
N
2
2026-11-24
Fixed
2.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
27430.70000000
0.002876199194
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
393181.97000000
USD
3153645.74000000
TRY
2021-01-25
27430.70000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
201.48000000
0.000021125841
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
914189.57000000
USD
807659.06000000
CHF
2021-03-17
201.48000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215258 IRS NOK R F .75000 2 CCPVANILLA / Short: SR215258 IRS NOK P V 06MNIBOR 1 CCPVANILLA
000000000
538190000.00000000
OU
Notional Amount
-716837.63000000
-0.07516278528
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
NOK
-3680246.99000000
NOK
538190000.00000000
NOK
-300095.80000000
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAN1
3230000.00000000
PA
USD
3359200.00000000
0.352223178234
Long
DBT
US
N
2
2031-02-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382LNX5
6584918.18000000
PA
USD
409538.45000000
0.042941454652
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXB90
4086.83000000
PA
USD
4666.31000000
0.000489277964
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XBD1
1016000.00000000
PA
USD
1071789.17000000
0.112380622724
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Floating
6.15000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-11420.79000000
-0.00119750742
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2949406.16000000
TRY
384017.26000000
USD
2021-01-11
-11420.79000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-19594.15000000
-0.00205451112
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1210568633.00000000
KRW
1093133.32000000
USD
2021-01-08
-19594.15000000
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAC9
718000.00000000
PA
USD
732360.00000000
0.076790356874
Long
DBT
US
N
2
2025-02-15
Fixed
3.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAN0
1640000.00000000
PA
USD
1705190.00000000
0.178794784857
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A1UT0
5338016.04000000
PA
USD
886330.06000000
0.092934624523
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
6.30000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214650 IRS PLN R F .75000 2 CCPVANILLA / Short: SR214650 IRS PLN P V 06MWIBOR 1 CCPVANILLA
000000000
32430000.00000000
OU
Notional Amount
63304.35000000
0.006637669490
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-12-16
0.00000000
PLN
-25281.04000000
PLN
32430000.00000000
PLN
70099.73000000
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAC4
430000.00000000
PA
USD
453650.00000000
0.047566695881
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
3.25000000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners LP / GLP Finance Corp
37954FAG9
445000.00000000
PA
USD
476150.00000000
0.049925894950
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
7.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-9501.39000000
-0.00099625201
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
28824622.57000000
THB
952722.61000000
USD
2021-03-17
-9501.39000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAD6
520000.00000000
PA
USD
543400.00000000
0.056977278832
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR214976 IRS BRL R F 4.23000 2 CCPNDFPREDISWAP / Short: SR214976 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
43625000.00000000
OU
Notional Amount
60954.39000000
0.006391268448
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-01-02
0.00000000
BRL
-157320.54000000
BRL
43625000.00000000
BRL
88203.45000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-14978.10000000
-0.00157050309
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
15094612485.36000000
IDR
1067926.88000000
USD
2021-01-06
-14978.10000000
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAP6
1550000.00000000
PA
USD
1590842.50000000
0.166805073059
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-17886.00000000
-0.00187540597
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6831278.31000000
NOK
778611.89000000
USD
2021-03-17
-17886.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215189 IRS PLN R F .34500 2 CCPVANILLA / Short: SR215189 IRS PLN P V 06MWIBOR 1 CCPVANILLA
000000000
27175000.00000000
OU
Notional Amount
14920.54000000
0.001564467736
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-06-16
142.66000000
PLN
0.00000000
PLN
27175000.00000000
PLN
44716.60000000
N
N
N
SERVICE CORP INTL
549300RKVM2ME20JHZ15
Service Corp International/US
817565CF9
780000.00000000
PA
USD
807300.00000000
0.084648062571
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
3.38000000
N
N
N
N
N
N
ENERGIZER HOLDINGS INC
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAC3
230000.00000000
PA
USD
241500.00000000
0.025322069999
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BZG2
3077683.33000000
PA
USD
454217.43000000
0.047626192785
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.90000000
N
N
N
N
N
N
ZAIS CLO 15 Ltd
549300BTYXZYFTGVBO58
Zais Clo 15 Ltd
98888DAA0
2225000.00000000
PA
USD
2239551.50000000
0.234824347210
Long
ABS-CBDO
CORP
KY
N
2
2030-07-28
Floating
2.78000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-266777.51000000
-0.02797250013
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6483091.75000000
EUR
7657516.79000000
USD
2021-01-21
-266777.51000000
N
N
N
ITAU UNIBANCO HLDG SA/KY
5493002W2IVG62O3ZJ94
Itau Unibanco Holding SA/Cayman Island
465562AA4
860000.00000000
PA
USD
844143.75000000
0.088511251045
Long
DBT
CORP
BR
N
2
2025-02-27
Fixed
4.63000000
N
N
N
N
N
N
Vedanta Resources Ltd
2138007MYEKPEAZQTW83
Vedanta Resources Ltd
000000000
200000.00000000
PA
USD
142437.50000000
0.014935040768
Long
DBT
CORP
GB
N
2
2024-08-09
Fixed
6.13000000
N
N
N
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAG0
1550000.00000000
PA
USD
1571312.50000000
0.164757288267
Long
DBT
US
N
2
2021-12-15
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
37887.85000000
0.003972665796
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2133315.58000000
USD
159009876.73000000
INR
2021-01-27
37887.85000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD JPY
000000000
1.00000000
NC
N/A
2042.51000000
0.000214163897
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
94435792.00000000
JPY
749674.86000000
EUR
2021-03-17
2042.51000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMF6
6655000.00000000
PA
USD
6841739.30000000
0.717378888097
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
Vedanta Resources Ltd
2138007MYEKPEAZQTW83
Vedanta Resources Ltd
000000000
310000.00000000
PA
USD
251681.25000000
0.026389607578
Long
DBT
CORP
GB
N
2
2023-05-31
Fixed
7.13000000
N
N
N
N
N
N
Acadia Healthcare Co Inc
5493005CW985Y9D0NC11
Acadia Healthcare Co Inc
00404AAM1
535000.00000000
PA
USD
547706.25000000
0.057428803320
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD NZD
000000000
1.00000000
NC
N/A
93206.31000000
0.009772988431
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8422736.13000000
NZD
7979000.00000000
AUD
2021-03-17
93206.31000000
N
N
N
HalseyPoint CLO II, Ltd.
549300RT6H1EOIYTDV62
Halseypoint Clo 2 Ltd
40638TAA0
5800000.00000000
PA
USD
5818009.00000000
0.610037396099
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
2.08000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YE47
4107980.32000000
PA
USD
294767.31000000
0.030907322805
Long
ABS-MBS
USGA
US
N
2
2042-12-16
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
14463.49000000
0.001516544539
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3524999.82000000
PLN
783124.46000000
EUR
2021-03-17
14463.49000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-12824.33000000
-0.00134467321
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
49100792.79000000
INR
657623.39000000
USD
2021-01-27
-12824.33000000
N
N
N
Dun & Bradstreet Corp
RI37BMPWE56BCJ747E14
Dun & Bradstreet Corp/The
26483EAK6
249000.00000000
PA
USD
280747.50000000
0.029437299574
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
10.25000000
N
N
N
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AF3
515000.00000000
PA
USD
545900.00000000
0.057239412061
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215246 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215246 IRS EUR P F .00000 2 CCPVANILLA
000000000
13070000.00000000
OU
Notional Amount
-133782.43000000
-0.01402752818
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-03-17
0.00000000
EUR
-87188.46000000
EUR
13070000.00000000
EUR
-28057.55000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-6456.49000000
-0.00067698423
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
96112237.00000000
JPY
925205.88000000
USD
2021-03-17
-6456.49000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAK9
5625000.00000000
PA
USD
6863512.50000000
0.719661879793
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AECB0
5267662.85000000
PA
USD
5823698.90000000
0.610634000844
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-68013.95000000
-0.00713148655
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7537605.26000000
TRY
939558.15000000
USD
2021-01-19
-68013.95000000
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAB6
240000.00000000
PA
USD
248400.00000000
0.026045557714
Long
DBT
CORP
JE
N
2
2036-03-31
Fixed
2.63000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XCL6
2143434.19000000
PA
USD
2254871.12000000
0.236430659798
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
5.45000000
N
N
N
N
N
N
True Religion Apparel Inc
549300GTMO7GHVPIDW58
True Religion Warrant
000000000
2355.00000000
NS
USD
0.00000000
0.000000
N/A
DE
US
N
2
N/A
N/A
Call
Purchased
True Religion Apparel Inc
True Religion Apparel Inc
1.00000000
1.00000000
USD
2099-12-31
XXXX
0.00000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HZN8
15167.99000000
PA
USD
17318.69000000
0.001815921658
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-28204.72000000
-0.00295735773
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
118276899.00000000
RUB
1563000.00000000
USD
2021-02-08
-28204.72000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
41949.21000000
0.004398512762
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1318934.42000000
USD
1764080.80000000
AUD
2021-03-17
41949.21000000
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAP8
150000.00000000
PA
USD
200404.50000000
0.021013071541
Long
DBT
CORP
US
N
2
2048-08-20
Fixed
4.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380TZK5
2325203.59000000
PA
USD
357741.41000000
0.037510364496
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Floating
5.51000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBX6
8725000.00000000
PA
USD
9822866.75000000
1.029959914878
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-L1
61691QAN8
900000.00000000
PA
USD
780937.63000000
0.081883881293
Long
ABS-MBS
CORP
US
N
2
2051-10-15
Fixed
3.00000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: CX003009 CDS USD R F 3.00000 2 CMBX / Short: CX003009 CDS USD P V 01MEVENT 1 CMBX
000000000
2600000.00000000
OU
Notional Amount
USD
-205415.60000000
-0.02153850187
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-405856.06000000
USD
2600000.00000000
USD
200440.46000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD EUR
000000000
1.00000000
NC
N/A
18653.72000000
0.001955903948
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
799519.17000000
EUR
1292526.68000000
AUD
2021-03-17
18653.72000000
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAA9
420000.00000000
PA
USD
462000.00000000
0.048442220869
Long
DBT
CORP
FR
N
2
2027-02-01
Fixed
8.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
384660.75000000
0.040332945911
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8715281.41000000
USD
9900036770.00000000
KRW
2021-01-15
384660.75000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-15465.30000000
-0.00162158761
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8507469.33000000
NOK
976469.31000000
USD
2021-03-17
-15465.30000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
4195.10000000
0.000439870044
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
381318.17000000
USD
3306409.85000000
NOK
2021-03-17
4195.10000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215213 IRS CAD R F .70000 2 CCPVANILLA / Short: SR215213 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
118220000.00000000
OU
Notional Amount
104911.07000000
0.011000271048
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-11-18
4154.74000000
CAD
0.00000000
CAD
118220000.00000000
CAD
156779.89000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-16305.04000000
-0.00170963711
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
13291188549.93000000
IDR
937220.22000000
USD
2021-01-06
-16305.04000000
N
N
N
South Texas Higher Education Authority Inc
N/A
S TEXAS ST HGR EDU AUTH
840555DB9
50370.38000000
PA
USD
48584.02000000
0.005094194431
Long
DBT
MUN
US
N
2
2029-12-03
Floating
0.76000000
N
N
N
N
N
N
MATCH GROUP HLD II LLC
N/A
Match Group Holdings II LLC
57665RAN6
2597000.00000000
PA
USD
2726850.00000000
0.285919199085
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-465.19000000
-0.00004877670
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
382430.55000000
USD
5668718.33000000
ZAR
2021-03-17
-465.19000000
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
4280000.00000000
PA
USD
4871175.00000000
0.510758734292
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
201.56000000
0.000021134229
N/A
DFE
PH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
953935.82000000
USD
45910546.18000000
PHP
2021-02-08
201.56000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBE4
650000.00000000
PA
USD
663283.47000000
0.069547455308
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Floating
5.73000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKH4
1250000.00000000
PA
USD
1270062.50000000
0.133170234075
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
1620000.00000000
PA
2357570.87000000
0.247199066665
Long
DBT
NUSS
RO
N
2
2030-05-26
Fixed
3.62000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-25189.82000000
-0.00264123554
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
724273.13000000
GBP
965733.48000000
USD
2021-03-17
-25189.82000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03087A SWAPTION US0003M JAN21 0.914 CALL
000000000
-30590000.00000000
NC
USD
-114067.05000000
-0.01196030569
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-114067.05000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-19
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
0.91400000
USD
2021-01-14
XXXX
103886.70000000
N
N
N
MPH Acquisition Holdings LLC
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC 2016 Term Loan B
55328HAE1
1707846.97000000
PA
USD
1698248.87000000
0.178066984527
Long
LON
CORP
US
N
2
2023-06-07
Floating
3.75000000
N
N
N
N
N
N
Verscend Escrow Corp
N/A
Verscend Escrow Corp
92535WAA8
970000.00000000
PA
USD
1052450.00000000
0.110352847086
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
9.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
293400.52000000
0.030764010374
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
39287926.32000000
USD
4083292402.00000000
JPY
2021-03-17
293400.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR212021 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR212021 IRS EUR P F 1.25000 2 CCPVANILLA
000000000
2630000.00000000
OU
Notional Amount
-421548.61000000
-0.04420075946
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-12-19
0.00000000
EUR
-55991.51000000
EUR
2630000.00000000
EUR
-358617.00000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BY8
1225000.00000000
PA
USD
1480302.25000000
0.155214563956
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
4.35000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
850000.00000000
PA
USD
895857.50000000
0.093933607970
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.38000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR21 XCBT 20210322
000000000
-322.00000000
NC
USD
101900.89000000
0.010684643766
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYH1 Comdty
2021-03-22
-50404338.39000000
USD
101900.89000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214902 IRS AUD R F .92000 2 CCPVANILLA / Short: SR214902 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
174310000.00000000
OU
Notional Amount
-846204.45000000
-0.08872732222
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-09-04
0.00000000
AUD
-155790.72000000
AUD
174310000.00000000
AUD
-270522.45000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABA2
2575000.00000000
PA
USD
2845902.88000000
0.298402285466
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
220000.00000000
PA
USD
233887.50000000
0.024523874315
Long
DBT
CORP
VG
N
2
2029-11-13
Fixed
3.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-83683.90000000
-0.00877453239
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
464981082.64000000
INR
6265409.26000000
USD
2021-01-27
-83683.90000000
N
N
N
Flex Acquisition Co Inc
549300HHED2KGPBEDW39
Flex Acquisition Co Inc
33936YAC9
480000.00000000
PA
USD
505200.00000000
0.052971883080
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
7.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
13771.23000000
0.001443958799
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
434738.38000000
USD
581392.25000000
AUD
2021-03-17
13771.23000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297BBH4
7670.24000000
PA
USD
8777.81000000
0.000920382274
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AE8
490000.00000000
PA
USD
504700.00000000
0.052919456434
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
7.13000000
N
N
N
N
N
N
RAYMOND JAMES FINANCIAL
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730AG4
400000.00000000
PA
USD
490944.00000000
0.051477094550
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.65000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566ABD0
1521000.00000000
PA
USD
1568771.72000000
0.164490879120
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Floating
4.88000000
N
N
N
N
N
N
CORNERSTONE BUILDING
549300IW41QEWQ6T0H29
Cornerstone Building Brands Inc
72431PAA0
1760000.00000000
PA
USD
1843600.00000000
0.193307528992
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
8.00000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAW9
3725000.00000000
PA
USD
4360112.50000000
0.457172148788
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.90000000
N
N
N
N
N
N
CSC Holdings, LLC
3HG2WD2W22M120IUNG49
CSC Holdings, LLC 2017 Term Loan B1
64072UAE2
1964376.58000000
PA
USD
1932101.87000000
0.202587241403
Long
LON
CORP
US
N
2
2025-07-17
Floating
2.41000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PG70
6519.16000000
PA
USD
7315.78000000
0.000767083615
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBJ4
425000.00000000
PA
USD
523816.75000000
0.054923910602
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
4.49000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215196 IRS CAD R F .81250 2 CCPVANILLA / Short: SR215196 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
171460000.00000000
OU
Notional Amount
201201.83000000
0.021096674216
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-17
0.00000000
CAD
-60032.24000000
CAD
171460000.00000000
CAD
357410.69000000
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AB3
1345000.00000000
PA
USD
1466050.00000000
0.153720168626
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
9.75000000
N
N
N
N
N
N
FREDDIEMAC STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UP26
12858873.59000000
PA
USD
720612.56000000
0.075558599118
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
N
N
N
N
N
N
Goldman Sachs Access High Yield Corporate Bond ETF
549300MBOA0YMWNF0550
Goldman Sachs Access High Yield Corporate Bond ETF
381430453
439970.00000000
NS
USD
22156889.20000000
2.323222771437
Long
EC
RF
US
N
1
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-8326.54000000
-0.00087306512
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1223759.99000000
CAD
953273.42000000
USD
2021-03-17
-8326.54000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296TXJ8
1438.50000000
PA
USD
1642.45000000
0.000172216289
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LST9
653.91000000
PA
USD
746.63000000
0.000078286613
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
QUICKEN LOANS LLC/QUICKN
N/A
Quicken Loans LLC / Quicken Loans Co-Issuer Inc
74841CAB7
1324000.00000000
PA
USD
1361032.28000000
0.142708714974
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.88000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006012 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006012 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2880000.00000000
OU
Notional Amount
USD
62052.19000000
0.006506376392
N/A
DCR
GB
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Peruvian Government International Bond
Peruvian Government International Bond
Y
sell protection
2025-12-20
57858.19000000
USD
0.00000000
USD
2880000.00000000
USD
4194.00000000
N
N
N
KBR INC
254900OFQDXZRKRCV808
KBR Inc
48242WAC0
1257000.00000000
PA
USD
1310422.50000000
0.137402112937
Long
DBT
CORP
US
N
2
2028-09-30
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-594.48000000
-0.00006233318
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
392867.27000000
USD
7874788.71000000
MXN
2021-03-17
-594.48000000
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBN4
1500000.00000000
PA
USD
1811550.00000000
0.189946980986
Long
DBT
CORP
US
N
2
2030-04-02
Fixed
4.91000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HAH8
3712000.00000000
PA
USD
3683949.90000000
0.386274274301
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
1.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
5599.59000000
0.000587135444
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
978957.08000000
USD
6435531.68000000
CNY
2021-03-17
5599.59000000
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAH2
3072000.00000000
PA
USD
3451944.96000000
0.361947792599
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296YGA5
624.90000000
PA
USD
715.13000000
0.000074983734
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Bank
549300GL0Y86051URC66
BANK 2018-BNK10
065404AA3
500000.00000000
PA
USD
394915.01000000
0.041408138829
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
2.60000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
12140.34000000
0.001272954614
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1010541.96000000
USD
28574084.46000000
TWD
2021-02-05
12140.34000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAD6
1149522.53000000
PA
USD
1156533.93000000
0.121266389783
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Floating
4.55000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR213583 IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR213583 IRS JPY P F .25000 2 CCPVANILLA
000000000
951150000.00000000
OU
Notional Amount
-75091.62000000
-0.00787360355
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-19
0.00000000
JPY
-6807001.00000000
JPY
951150000.00000000
JPY
-10518.25000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AR9
1625000.00000000
PA
USD
1726562.50000000
0.181035761839
Long
DBT
CORP
CH
N
2
2027-02-11
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215239 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215239 IRS EUR P F .00000 CCPVANILLA
000000000
7760000.00000000
OU
Notional Amount
-73391.35000000
-0.00769532464
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-17
0.00000000
EUR
-67078.06000000
EUR
7760000.00000000
EUR
7820.11000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
4265.59000000
0.000447261153
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
25568519.88000000
TWD
919377.07000000
USD
2021-02-05
4265.59000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AXB95
2771055.40000000
PA
USD
511721.10000000
0.053655641882
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Floating
6.00000000
N
N
N
N
N
N
PetSmart Inc
N/A
PetSmart Inc
04021LAA8
485000.00000000
PA
USD
483787.50000000
0.050726711967
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
7.13000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006017 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006017 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2880000.00000000
OU
Notional Amount
USD
46901.38000000
0.004917764088
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Saudi Government International Bond
Saudi Government International Bond
Y
sell protection
2025-12-20
48005.72000000
USD
0.00000000
USD
2880000.00000000
USD
-1104.34000000
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
51938600.00000000
OU
Notional Amount
USD
4804242.59000000
0.503740650767
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
-1167181.52000000
USD
51938600.00000000
USD
5971424.11000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-17491.50000000
-0.00183404135
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1441728370.68000000
COP
404644.57000000
USD
2021-01-29
-17491.50000000
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BW6
1475000.00000000
PA
USD
1537687.50000000
0.161231596326
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
4.75000000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AM3
72000.00000000
PA
USD
79740.00000000
0.008361001498
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
7.75000000
N
N
N
N
N
N
OZLM Ltd
5493008RJIODIVVGSK16
OZLM XV Ltd
67111DAS5
1500000.00000000
PA
USD
1493506.50000000
0.156599073036
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
1.97000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215422 IRS EUR R V 12MLIBOR CCPVANILLA / Short: BR215422 IRS EUR P F .00000 CCPVANILLA
000000000
103870000.00000000
OU
Notional Amount
-484184.83000000
-0.05076837332
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-589388.32000000
EUR
103870000.00000000
EUR
229947.39000000
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
250000.00000000
PA
341680.26000000
0.035826300046
Long
DBT
CORP
IT
N
2
2031-09-01
Fixed
5.88000000
N
N
N
N
N
N
HLF FIN SARL LLC/HERBALI
N/A
HLF Financing Sarl LLC / Herbalife International Inc
40390DAA3
535000.00000000
PA
USD
565762.50000000
0.059322060572
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
7.25000000
N
N
N
N
N
N
SELECT MEDICAL CORP
549300X05KS0JKR8CB50
Select Medical Corp
816196AT6
1200000.00000000
PA
USD
1290000.00000000
0.135260746583
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FW34
14041478.18000000
PA
USD
2151790.54000000
0.225622321652
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Floating
6.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296USS1
4536.96000000
PA
USD
5192.02000000
0.000544400388
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBE8
42000.00000000
PA
USD
46830.00000000
0.004910279660
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
5.09000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAN7
738000.00000000
PA
USD
774900.00000000
0.081250815912
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379TTV1
9976390.70000000
PA
USD
1799126.34000000
0.188644319337
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Floating
5.50000000
N
N
N
N
N
N
H&E EQUIPMENT SERVICES
N/A
H&E Equipment Services Inc
404030AJ7
1055000.00000000
PA
USD
1060275.00000000
0.111173324095
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-179472.85000000
-0.01881831913
N/A
DFE
PL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6246410.80000000
USD
22657000.00000000
PLN
2021-03-10
-179472.85000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-16CB
02152AAU3
2611194.26000000
PA
USD
1948687.27000000
0.204326275191
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
0.65000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283Z1
1270000.00000000
PA
USD
1399877.35000000
0.146781748438
Long
DBT
UST
US
N
1
2025-02-28
Fixed
2.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215423 IRS EUR R V 12MLIBOR CCPVANILLA / Short: BR215423 IRS EUR P F .00000 CCPVANILLA
000000000
44800000.00000000
OU
Notional Amount
-50772.95000000
-0.00532371094
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-03-17
0.00000000
EUR
-151927.39000000
EUR
44800000.00000000
EUR
133309.84000000
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AV1
1400000.00000000
PA
USD
1561000.00000000
0.163675988694
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
6.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2017-RB1
95000TAC0
500000.00000000
PA
USD
469185.09000000
0.049195601208
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
295685.21000000
0.031003567642
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4891701.93000000
USD
39747524.01000000
TRY
2021-03-17
295685.21000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296TGJ7
3277.93000000
PA
USD
3751.21000000
0.000393326717
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215124 IRS AUD R F 1.25000 2 CCPVANILLA / Short: SR215124 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
65600000.00000000
OU
Notional Amount
-799736.76000000
-0.08385503195
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-09
0.00000000
AUD
-616341.50000000
AUD
65600000.00000000
AUD
186412.51000000
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBF8
4925000.00000000
PA
USD
5258127.00000000
0.551331925309
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131X06S7
2124.41000000
PA
USD
2342.63000000
0.000245632467
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-1657.35000000
-0.00017377860
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1345058845.10000000
COP
392174.02000000
USD
2021-01-29
-1657.35000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBD0
341000.00000000
PA
USD
350363.21000000
0.036736735937
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Floating
4.08000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002944 CDS USD R F 1.00000 2 CCPCDX / Short: SX002944 CDS USD P V 03MEVENT 1 CCPCDX
000000000
99575000.00000000
OU
Notional Amount
USD
1625123.75000000
0.170399574972
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2025-06-20
1542091.90000000
USD
0.00000000
USD
99575000.00000000
USD
83031.85000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-25174.83000000
-0.00263966379
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
739991.16000000
GBP
987253.29000000
USD
2021-03-17
-25174.83000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OPS02962A SWAPTION EUR006M FEB21 NEG 0.293 CALL
000000000
-15680000.00000000
NC
-52148.86000000
-0.00546797964
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
15680000.00000000
OU
Notional Amount
N/A
-52148.86000000
-0.01000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-02-18
0.00000000
N/A
0.00000000
N/A
15680000.00000000
EUR
1.00000000
-0.29300000
EUR
2021-02-16
XXXX
6852.65000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HX33
19821.55000000
PA
USD
22632.09000000
0.002373049139
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-34121.43000000
-0.00357774426
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
32658371511.65000000
IDR
2308827.96000000
USD
2021-01-06
-34121.43000000
N
N
N
TICP CLO Ltd
N/A
TICP CLO VII Ltd
87248TAN5
2300000.00000000
PA
USD
2300878.60000000
0.241254695529
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.94000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215191 IRS ZAR R F 4.00000 2 CCPVANILLA / Short: SR215191 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
177555426.00000000
OU
Notional Amount
56040.82000000
0.005876064459
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-06-16
540794.17000000
ZAR
0.00000000
ZAR
177555426.00000000
ZAR
53679.40000000
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
65343HAA9
1350000.00000000
PA
USD
1449562.50000000
0.151991399976
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BS58
29868.77000000
PA
USD
33460.76000000
0.003508470836
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-21137.45000000
-0.00221633121
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
72475531.52000000
RUB
955465.44000000
USD
2021-01-25
-21137.45000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214839 IRS PLN R V 03MWIBOR 1 CCPZERO / Short: BR214839 IRS PLN P F .25000 2 CCPZERO
000000000
161390000.00000000
OU
Notional Amount
-44880.48000000
-0.00470586607
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2021-12-16
0.00000000
PLN
-28698.34000000
PLN
161390000.00000000
PLN
-37180.60000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AHF6
2197769.16000000
PA
USD
361467.75000000
0.037901083512
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
6.05000000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
1350000.00000000
PA
USD
1538203.50000000
0.161285700625
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.63000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAR0
116000.00000000
PA
USD
127638.28000000
0.013383293833
Long
DBT
CORP
XX
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397GX39
162994.68000000
PA
USD
164258.52000000
0.017223046548
Long
ABS-MBS
USGSE
US
N
2
2036-12-15
Floating
0.56000000
N
N
N
N
N
N
POST HOLDINGS INC
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AP9
775000.00000000
PA
USD
845718.75000000
0.088676394980
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
5.50000000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-H Trust
05950PAU7
8007766.74000000
PA
USD
6991014.99000000
0.733030935598
Long
ABS-MBS
CORP
US
N
2
2036-10-20
Floating
0.34000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
200000.00000000
PA
244330.02000000
0.025618806913
Long
DBT
CORP
ES
N
2
2026-01-14
Fixed
4.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A3MV8
1936909.77000000
PA
USD
30957.63000000
0.003246009415
Long
ABS-MBS
USGSE
US
N
2
2038-11-15
Floating
5.89000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02771A SWAPTION EUR006M JAN21 0.0001 PUT
000000000
-10670000.00000000
NC
-272.43000000
-0.00002856518
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
10670000.00000000
OU
Notional Amount
N/A
-272.43000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-18
0.00000000
N/A
0.00000000
N/A
10670000.00000000
EUR
1.00000000
0.00010000
EUR
2021-01-14
XXXX
33222.36000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
120000.00000000
PA
168221.22000000
0.017638548688
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-516598.71000000
-0.05416707534
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
272096213.30000000
NOK
31208658.22000000
USD
2021-03-17
-516598.71000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FV84
13052241.18000000
PA
USD
1683842.22000000
0.176556399849
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-5891.10000000
-0.00061770122
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5880574.98000000
ZAR
390349.42000000
USD
2021-03-17
-5891.10000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XSF3
634.57000000
PA
USD
726.20000000
0.000076144460
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
MOTION BONDCO DAC
635400KFD3IETNQLA755
Motion Bondco DAC
61978XAA5
1010000.00000000
PA
USD
1047875.00000000
0.109873143275
Long
DBT
CORP
IE
N
2
2027-11-15
Fixed
6.63000000
N
N
N
N
N
N
Nabors Industries Inc
549300VFQWRKICUFNU92
Nabors Industries Inc
629568AX4
62000.00000000
PA
USD
55025.00000000
0.005769552388
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
4.63000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
175000.00000000
PA
USD
237849.50000000
0.024939303057
Long
DBT
CORP
US
N
2
2048-11-14
Fixed
4.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMC60
952518.57000000
PA
USD
1055165.47000000
0.110637573055
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
5.00000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAK6
475000.00000000
PA
USD
567074.00000000
0.059459575665
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.80000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BF3
1320000.00000000
PA
USD
1301850.00000000
0.136503258092
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.38000000
N
N
N
N
N
N
OCP CLO Ltd
254900NXH68CRC058O44
OCP CLO 2014-5 Ltd
67102SAQ7
2200000.00000000
PA
USD
2147512.40000000
0.225173744589
Long
ABS-CBDO
CORP
KY
N
2
2031-04-26
Floating
2.01000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
1612000.00000000
PA
USD
1938123.72000000
0.203218652199
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.33000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
1625000.00000000
PA
USD
1718908.75000000
0.180233240956
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.88000000
N
N
N
N
N
N
Intelsat Jackson Holdings S.A.
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings S.A. 2020 DIP Term Loan
000000000
551165.79000000
PA
USD
561362.36000000
0.058860691408
Long
LON
CORP
LU
N
2
2022-07-13
Floating
6.50000000
N
N
N
N
N
N
DP WORLD CRESCENT LTD
21380096JRTWB8TL9236
DP World Crescent Ltd
000000000
200000.00000000
PA
USD
219500.00000000
0.023015297577
Long
DBT
CORP
KY
N
2
2029-07-18
Fixed
3.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LQG9
1003.77000000
PA
USD
1145.39000000
0.000120097912
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396KXS6
588758.70000000
PA
USD
593453.23000000
0.062225524769
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Floating
0.55000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215133 IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR215133 IRS CAD P F 1.43000 2 CCPVANILLA
000000000
95360000.00000000
OU
Notional Amount
-397486.91000000
-0.04167781101
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-09
0.00000000
CAD
-122845.31000000
CAD
95360000.00000000
CAD
-304098.39000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03092A SWAPTION EUR006M JAN21 NEG 0.265 PUT
000000000
-25550000.00000000
NC
-64564.43000000
-0.00676979302
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-64564.43000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-20
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
-0.26500000
EUR
2021-01-18
XXXX
41680.25000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AC5
875000.00000000
PA
USD
925312.50000000
0.097022061684
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4.63000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCK7
2395000.00000000
PA
USD
2523731.25000000
0.264621529496
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
1831.01000000
0.000191987426
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
56372425.54000000
TWD
2019431.33000000
USD
2021-02-05
1831.01000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215233 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215233 IRS USD P F .50000 2 CCPVANILLA
000000000
6810000.00000000
OU
Notional Amount
USD
-13510.36000000
-0.00141660572
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
USD
-5877.25000000
USD
6810000.00000000
USD
-7633.11000000
N
N
N
Travelport Finance (Luxembourg) S.a.r.l.
2221005SGFWYZHL40F77
Travelport Finance (Luxembourg) S.a.r.l. 2019 Term Loan
000000000
1452361.50000000
PA
USD
980039.02000000
0.102760317461
Long
LON
CORP
LU
N
2
2026-05-29
Floating
5.25000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBD6
460000.00000000
PA
USD
460362.62000000
0.048270536186
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Floating
3.08000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B0LQ7
2049308.23000000
PA
USD
347953.07000000
0.036484024824
Long
ABS-MBS
USGSE
US
N
2
2048-01-25
Floating
6.00000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2006-16AX
617487AA1
769376.27000000
PA
USD
224441.98000000
0.023533480449
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.32000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152GS4
4470000.00000000
PA
USD
5329402.20000000
0.558805364662
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
7.35000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR21 XCBT 20210322
000000000
-110.00000000
NC
USD
138648.48000000
0.014537749548
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Ultra Long Bond
WNH1 Comdty
2021-03-22
-23575523.48000000
USD
138648.48000000
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PED6
700000.00000000
PA
USD
757531.25000000
0.079429645298
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02747A SWAPTION US0003M MAR21 0.70 CALL
000000000
-92000000.00000000
NC
USD
-30470.40000000
-0.00319492174
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
92000000.00000000
OU
Notional Amount
N/A
-30470.40000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-03-19
0.00000000
N/A
0.00000000
N/A
92000000.00000000
USD
1.00000000
0.70000000
USD
2021-03-17
XXXX
389509.60000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-20201.18000000
-0.00211816022
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1209111646.00000000
KRW
1091187.06000000
USD
2021-01-08
-20201.18000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
15306.61000000
0.001604948446
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1068452.08000000
USD
79369962.76000000
INR
2021-01-27
15306.61000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B13 Mortgage Trust
08162DAR9
750000.00000000
PA
USD
686858.31000000
0.072019354889
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
4884.97000000
0.000512205185
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
390815.15000000
USD
7943591.49000000
MXN
2021-03-17
4884.97000000
N
N
N
UNIVAR SOLUTIONS USA INC
5493008FTB9VZW6CVA82
Univar Solutions USA Inc/Washington
91337CAA4
550000.00000000
PA
USD
578875.00000000
0.060696949363
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.13000000
N
N
N
N
N
N
PetSmart Inc
N/A
PetSmart Inc
716768AC0
565000.00000000
PA
USD
579125.00000000
0.060723162686
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
5.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
2064.19000000
0.000216437116
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7837788.59000000
MXN
392493.87000000
USD
2021-03-17
2064.19000000
N
N
N
Banff Merger Sub Inc
549300DSDR5SWIGOZV63
Banff Merger Sub Inc
05988LAA6
485000.00000000
PA
USD
521375.00000000
0.054667885077
Long
DBT
CORP
US
N
2
2026-09-01
Fixed
9.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MHNP4
2905.97000000
PA
USD
3238.91000000
0.000339610375
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.50000000
N
N
N
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
Long: CS005490 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005490 CDS USD P F 1.00000 2 CORPORATE
000000000
470000.00000000
OU
Notional Amount
USD
-2103.11000000
-0.00022051800
N/A
DCR
GB
N
2
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
410.76000000
USD
0.00000000
USD
470000.00000000
USD
-2513.87000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XYX6
2068112.38000000
PA
USD
2057909.97000000
0.215778634839
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
2.40000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAD2
325000.00000000
PA
USD
455256.75000000
0.047735168908
Long
DBT
CORP
US
N
2
2048-05-25
Fixed
5.09000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QO7 Trust
751150AH6
117239.10000000
PA
USD
114839.72000000
0.012041322685
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.35000000
N
N
N
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AH4
585000.00000000
PA
USD
589387.50000000
0.061799219594
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.88000000
N
N
N
N
N
N
Freddie Mac - STACR
549300KB1O80CETXGJ21
Freddie Mac STACR Trust 2019-DNA3
35564TBD1
1335000.00000000
PA
USD
1334195.66000000
0.139894807023
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
3.40000000
N
N
N
N
N
N
True Religion Apparel Inc
549300GTMO7GHVPIDW58
True Religion Warrant 2
000000000
8897.00000000
NS
USD
0.00000000
0.000000
N/A
DE
US
N
2
N/A
N/A
Call
Purchased
True Religion Apparel Inc
True Religion Apparel Inc
1.00000000
1.00000000
USD
2099-12-31
XXXX
0.00000000
N
N
N
WEST STREET MERGER SUB
N/A
West Street Merger Sub Inc
95616AAA1
1095000.00000000
PA
USD
1119637.50000000
0.117397677637
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
6.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RZ3
10000.00000000
PA
USD
12545.31000000
0.001315417051
Long
DBT
UST
US
N
1
2047-11-15
Fixed
2.75000000
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
882263.21000000
0.092508201912
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
2.50000000
N
N
N
N
N
N
CUMULUS MEDIA NEW HLDGS
5493001D9VBAVY1OKJ46
Cumulus Media New Holdings Inc
23110AAA4
1278000.00000000
PA
USD
1303560.00000000
0.136682557221
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
6.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-5554.00000000
-0.00058235518
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5393273587.98000000
IDR
381365.69000000
USD
2021-01-06
-5554.00000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BBVP4
12069508.09000000
PA
USD
993041.71000000
0.104123692312
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296KES8
513.50000000
PA
USD
586.31000000
0.000061476533
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-1026.59000000
-0.00010764134
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6251821.39000000
CNY
955424.68000000
USD
2021-03-17
-1026.59000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
15580.32000000
0.001633647841
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2013296.00000000
USD
1657845.61000000
EUR
2021-03-17
15580.32000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
52182.55000000
0.005471512148
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1124837.84000000
USD
87489887.20000000
RUB
2021-02-08
52182.55000000
N
N
N
SBA Communications Corp
5299001HX8ZN8Y8QIT49
SBA Communications Corp
78410GAB0
2935000.00000000
PA
USD
2964350.00000000
0.310821855917
Long
DBT
US
N
2
2022-10-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-16154.31000000
-0.00169383258
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6703206.81000000
USD
8510257.30000000
CAD
2021-03-11
-16154.31000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-16318.54000000
-0.00171105263
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4293477.50000000
BRL
810374.49000000
USD
2021-01-05
-16318.54000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-18734.70000000
-0.00196439496
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1301323.31000000
AUD
985159.00000000
USD
2021-03-17
-18734.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215243 IRS EUR R F .00000 2 CCPVANILLA / Short: SR215243 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
15560000.00000000
OU
Notional Amount
495821.80000000
0.051988547938
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
401890.19000000
EUR
0.00000000
EUR
15560000.00000000
EUR
59878.07000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-3009.43000000
-0.00031554864
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
29621001.63000000
THB
985799.30000000
USD
2021-03-17
-3009.43000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-384840.00000000
-0.04035174086
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
9900036770.00000000
KRW
8715051.25000000
USD
2021-01-08
-384840.00000000
N
N
N
THAMES WATER UTIL FIN
213800ESMPQ4RQ7G8351
Thames Water Utilities Finance PLC
000000000
3975000.00000000
PA
5797895.35000000
0.607928413684
Long
DBT
CORP
GB
N
2
2030-09-13
Fixed
5.75000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
2200000.00000000
PA
USD
2663100.00000000
0.279234801725
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02773A SWAPTION EUR006M JAN21 NEG0.25 CALL
000000000
-10670000.00000000
NC
-32918.61000000
-0.00345162462
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
10670000.00000000
OU
Notional Amount
N/A
-32918.61000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-18
0.00000000
N/A
0.00000000
N/A
10670000.00000000
EUR
1.00000000
-0.25000000
EUR
2021-01-14
XXXX
63223.83000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
32037.36000000
0.003359222660
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1033471.56000000
USD
778788.31000000
GBP
2021-03-17
32037.36000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03121A SWAPTION US0003M JAN21 0.955 CALL
000000000
-30590000.00000000
NC
USD
-206519.21000000
-0.02165421901
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-206519.21000000
-0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-25
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
0.95500000
USD
2021-01-21
XXXX
-2330.96000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
1169.49000000
0.000122624876
N/A
DFE
BR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
957553.96000000
USD
4982019.20000000
BRL
2021-02-02
1169.49000000
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
Chemours Co/The
163851AE8
550000.00000000
PA
USD
583000.00000000
0.061129469192
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.38000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBB0
1140000.00000000
PA
USD
1214100.00000000
0.127302381726
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
7.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
50152.12000000
0.005258614879
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
889674.88000000
USD
7030806.98000000
TRY
2021-01-19
50152.12000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02772A SWAPTION EUR006M JAN21 0.0001 PUT
000000000
-10670000.00000000
NC
-272.43000000
-0.00002856518
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
10670000.00000000
OU
Notional Amount
N/A
-272.43000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-18
0.00000000
N/A
0.00000000
N/A
10670000.00000000
EUR
1.00000000
0.00010000
EUR
2021-01-14
XXXX
33222.36000000
N
N
N
COMMERZBANK AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
000000000
1000000.00000000
PA
1301924.71000000
0.136511091681
Long
DBT
CORP
DE
N
2
2025-10-09
Fixed
6.13000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397BVG3
272807.13000000
PA
USD
274644.27000000
0.028797355817
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Floating
0.51000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AYTL7
2399401.20000000
PA
USD
432967.15000000
0.045398030972
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EKB2
3460029.32000000
PA
USD
322537.01000000
0.033819067266
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FWXZ8
963799.57000000
PA
USD
114385.28000000
0.011993673155
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Fixed
3.00000000
N
N
N
N
N
N
USA COM PART/USA COM FIN
N/A
USA Compression Partners LP / USA Compression Finance Corp
91740PAC2
545000.00000000
PA
USD
570887.50000000
0.059859433693
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 TWD
000000000
1.00000000
NC
-11441.94000000
-0.00119972507
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
30226925.07000000
TWD
1070396.44000000
USD
2021-02-05
-11441.94000000
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
28410000.00000000
OU
Notional Amount
USD
256070.69000000
0.026849854812
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-20
403386.89000000
USD
0.00000000
USD
28410000.00000000
USD
-147316.20000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02889A SWAPTION US0003M JAN21 0.31 CALL
000000000
-90130000.00000000
NC
USD
-13591.60000000
-0.00142512400
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
90130000.00000000
OU
Notional Amount
N/A
-13591.60000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-01-22
0.00000000
N/A
0.00000000
N/A
90130000.00000000
USD
1.00000000
0.31000000
USD
2021-01-20
XXXX
90057.90000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215235 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215235 IRS USD P F .75000 2 CCPVANILLA
000000000
9870000.00000000
OU
Notional Amount
USD
195123.98000000
0.020459391636
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
177433.69000000
USD
0.00000000
USD
9870000.00000000
USD
17690.29000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006022 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006022 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2370000.00000000
OU
Notional Amount
USD
75346.80000000
0.007900360016
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Philippine Government International Bond
Philippine Government International Bond
Y
sell protection
2025-12-20
76002.16000000
USD
0.00000000
USD
2370000.00000000
USD
-655.36000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03144A SWAPTION US0003M JAN21 0.948 CALL
000000000
-30590000.00000000
NC
USD
-231303.23000000
-0.02425290509
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-231303.23000000
-0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
0.94800000
USD
2021-01-29
XXXX
-27114.98000000
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBE3
575000.00000000
PA
USD
591100.00000000
0.061978780856
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AK1
2121000.00000000
PA
USD
2174703.72000000
0.228024844003
Long
DBT
CORP
CA
N
2
2023-04-01
Fixed
7.25000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKG6
1025000.00000000
PA
USD
1047129.75000000
0.109795001360
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
14727.97000000
0.001544276137
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1067751.55000000
USD
79276281.58000000
INR
2021-01-27
14727.97000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03028A SWAPTION EUR006M MAR21 0.021 CALL
000000000
-2010000.00000000
NC
-75511.32000000
-0.00791761047
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
2010000.00000000
OU
Notional Amount
N/A
-75511.32000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-04
0.00000000
N/A
0.00000000
N/A
2010000.00000000
EUR
1.00000000
0.02100000
EUR
2021-03-02
XXXX
-9587.83000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAD0
600000.00000000
PA
USD
622500.00000000
0.065271174223
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.03000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-15910.49000000
-0.00166826725
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1115300255.00000000
KRW
1009248.43000000
USD
2021-01-08
-15910.49000000
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2018-C14 Commercial Mortgage Trust
12596GAG4
650000.00000000
PA
USD
582732.42000000
0.061101412548
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Variable
4.89000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02876A SWAPTION JAN21 0.61 CALL
000000000
14990000.00000000
NC
USD
683.54000000
0.000071671419
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
14990000.00000000
OU
Notional Amount
N/A
683.54000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-19
0.00000000
N/A
0.00000000
N/A
14990000.00000000
USD
1.00000000
0.61000000
USD
2021-01-15
XXXX
-81011.96000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
11497.36000000
0.001205536044
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
777494.96000000
EUR
703862.30000000
GBP
2021-03-17
11497.36000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215245 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215245 IRS EUR P F .25000 2 CCPVANILLA
000000000
800000.00000000
OU
Notional Amount
-49206.11000000
-0.00515942261
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2041-03-17
0.00000000
EUR
-40388.65000000
EUR
800000.00000000
EUR
-307.53000000
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
87690000.00000000
OU
Notional Amount
1043101.40000000
0.109372615601
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-21
406248.24000000
EUR
0.00000000
EUR
87690000.00000000
EUR
2140199.37000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
200000.00000000
PA
USD
234000.00000000
0.024535670310
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
6.00000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAM2
1520000.00000000
PA
USD
1563320.00000000
0.163919248332
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.66000000
N
N
N
N
N
N
LABL ESCROW ISSUER LLC
N/A
LABL Escrow Issuer LLC
50168AAB6
450000.00000000
PA
USD
483750.00000000
0.050722779968
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.75000000
N
N
N
N
N
N
Crown City CLO I
549300K60T4GC7BSX929
Crown City CLO I
22823RAE9
1800000.00000000
PA
USD
1800241.20000000
0.188761216079
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
3.34000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
13427.93000000
0.001407962664
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1036000.00000000
USD
9000569.09000000
NOK
2021-03-17
13427.93000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR21 XCBT 20210322
000000000
2243.00000000
NC
USD
372995.53000000
0.039109809193
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYH1 Comdty
2021-03-22
309231098.22000000
USD
372995.53000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397KNW7
252893.71000000
PA
USD
256825.50000000
0.026928999125
Long
ABS-MBS
USGSE
US
N
2
2037-09-15
Floating
0.76000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
513979.82000000
0.053892476110
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
63947436.90000000
USD
52673036.75000000
EUR
2021-03-17
513979.82000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BM2
675000.00000000
PA
USD
716343.75000000
0.075111000337
Long
DBT
CORP
GB
N
2
2029-11-01
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
3933.76000000
0.000412467685
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
969444.73000000
USD
6362465.76000000
CNY
2021-03-17
3933.76000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R03
20753MAF5
230422.76000000
PA
USD
229642.34000000
0.024078755314
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGNK6
16989.63000000
PA
USD
18989.22000000
0.001991082228
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-3895.40000000
-0.00040844551
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
104587677.00000000
JPY
1009923.50000000
USD
2021-03-17
-3895.40000000
N
N
N
STERICYCLE INC
B8PTJH2P0AXSWSMP2136
Stericycle Inc
858912AF5
1000000.00000000
PA
USD
1042500.00000000
0.109309556831
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
5.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-725.67000000
-0.00007608888
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
957378.62000000
USD
26672568.35000000
TWD
2021-02-17
-725.67000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
670.47000000
0.000070300986
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
977224.43000000
USD
19631021.82000000
MXN
2021-03-17
670.47000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02877A SWAPTION JAN21 NEG 0.39 CALL
000000000
-18290000.00000000
NC
-904.94000000
-0.00009488593
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
18290000.00000000
OU
Notional Amount
N/A
-904.94000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-19
0.00000000
N/A
0.00000000
N/A
18290000.00000000
EUR
1.00000000
-0.39000000
EUR
2021-01-15
XXXX
73593.29000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-7017.40000000
-0.00073579749
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
32135458.50000000
THB
1065728.97000000
USD
2021-03-17
-7017.40000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YR64
1626889.26000000
PA
USD
288762.43000000
0.030277691369
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378W2X0
59105.07000000
PA
USD
11766.55000000
0.001233761502
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Floating
5.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
40189.71000000
0.004214023395
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2292000.00000000
USD
170799840.00000000
INR
2021-01-27
40189.71000000
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAE6
1210000.00000000
PA
USD
1297725.00000000
0.136070738263
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BTA2
5031476.49000000
PA
USD
794015.80000000
0.083255170470
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.90000000
N
N
N
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
69867DAC2
1570000.00000000
PA
USD
1703450.00000000
0.178612340129
Long
DBT
CORP
XX
N
2
2027-05-15
Fixed
8.50000000
N
N
N
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
Asurion LLC 2020 Term Loan B8
000000000
2681227.52000000
PA
USD
2650929.65000000
0.277958700464
Long
LON
CORP
US
N
2
2026-12-23
None
0.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296PBX9
11171.86000000
PA
USD
12755.34000000
0.001337439388
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
200000.00000000
PA
280368.69000000
0.029397580099
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03110A SWAPTION US0003M JUN21 0.659 PUT
000000000
-85250000.00000000
NC
USD
-233508.28000000
-0.02448411184
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
85250000.00000000
OU
Notional Amount
N/A
-233508.28000000
-0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-06-21
0.00000000
N/A
0.00000000
N/A
85250000.00000000
USD
1.00000000
0.65900000
USD
2021-06-17
XXXX
-2139.54000000
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDG4
760000.00000000
PA
USD
831174.00000000
0.087151330062
Long
DBT
CORP
MX
N
2
2025-10-16
Fixed
6.88000000
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
7150000.00000000
OU
Notional Amount
24477.02000000
0.002566496123
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-17
4103.09000000
CHF
0.00000000
CHF
7150000.00000000
CHF
28275.74000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
5113.95000000
0.000536214492
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
784955.37000000
EUR
7939038.61000000
SEK
2021-03-17
5113.95000000
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAC4
430000.00000000
PA
USD
467625.00000000
0.049032020636
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
8.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DY8
1410000.00000000
PA
USD
1593300.00000000
0.167062750024
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
8.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
14570.99000000
0.001527816268
N/A
DFE
IL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1040440.88000000
USD
3385594.62000000
ILS
2021-03-17
14570.99000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
42525.79000000
0.004458969073
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5415635.28000000
USD
4460000.00000000
EUR
2021-03-17
42525.79000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LK75
6610.25000000
PA
USD
7547.53000000
0.000791383366
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
230000.00000000
PA
USD
235031.25000000
0.024643800267
Long
DBT
CORP
KY
N
2
2025-04-16
Fixed
11.25000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust
N/A
Banc of America Commercial Mortgage Trust 2016-UBS10
06054MAW3
1100000.00000000
PA
USD
871187.97000000
0.091346926539
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Fixed
3.00000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BL0
1250000.00000000
PA
USD
1312500.00000000
0.137619945651
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005898 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005898 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1340000.00000000
OU
Notional Amount
USD
16583.04000000
0.001738786334
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Russian Foreign Bond - Eurobond
Russian Foreign Bond - Eurobond
Y
sell protection
2024-12-20
3815.92000000
USD
0.00000000
USD
1340000.00000000
USD
12767.12000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
37113.70000000
0.003891493620
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2299075.78000000
USD
32658371511.65000000
IDR
2021-03-05
37113.70000000
N
N
N
LUKOIL SECURITIES BV
724500IVNQ6LF8OFIO42
Lukoil Securities BV
54988LAB2
1290000.00000000
PA
USD
1394902.80000000
0.146260150495
Long
DBT
CORP
NL
N
2
2030-05-06
Fixed
3.88000000
N
N
N
N
N
N
Acis CLO LTD
549300GLSPRHLAVL0K92
ACIS CLO 2014-4 Ltd
00100VAC4
3257737.15000000
PA
USD
3257838.14000000
0.341595053537
Long
ABS-CBDO
CORP
KY
N
2
2026-05-01
Floating
1.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KVX8
13859705.16000000
PA
USD
1348364.98000000
0.141380506869
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
97332.06000000
0.010205586900
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
873305.61000000
USD
7261300.35000000
TRY
2021-01-19
97332.06000000
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust 2006-OA2
55275NAM3
343691.55000000
PA
USD
625375.34000000
0.065572663087
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
1.46000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312930J76
2902.78000000
PA
USD
3314.33000000
0.000347518411
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
69346VAA7
1900000.00000000
PA
USD
2004500.00000000
0.210178423663
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
eG Global Finance PLC
549300TL8Q5207VYET27
eG Global Finance PLC
28228PAA9
1413000.00000000
PA
USD
1455390.00000000
0.152602432534
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
6.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
26473.93000000
0.002775878710
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
850104.73000000
USD
65157552.45000000
RUB
2021-02-08
26473.93000000
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAG6
2000000.00000000
PA
USD
2110000.00000000
0.221240445961
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: IBX00037 TRS USD R E IBOXHY INDEX / Short: IBX00037 TRS USD P V 03MLIBOR US0003M+0.00 BPS
000000000
4000000.00000000
OU
Notional Amount
USD
262356.80000000
0.027508974138
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Markit iBoxx USD Liquid High Yield Index
IBOXHY Index
Y
equity-performance leg
2021-03-22
0.00000000
USD
0.00000000
USD
4000000.00000000
USD
262356.80000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-14056.77000000
-0.00147389860
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1398800181.63000000
COP
395509.99000000
USD
2021-01-29
-14056.77000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
402452.38000000
0.042198456886
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
11191971.84000000
USD
12613911860.00000000
KRW
2021-01-08
402452.38000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296TQ72
1108.26000000
PA
USD
1265.40000000
0.000132681355
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03076A SWAPTION EUR006M MAR21 NEG 0.02 CALL
000000000
-3440000.00000000
NC
-105279.18000000
-0.01103886859
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
3440000.00000000
OU
Notional Amount
N/A
-105279.18000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-12
0.00000000
N/A
0.00000000
N/A
3440000.00000000
EUR
1.00000000
-0.02000000
EUR
2021-03-10
XXXX
4989.55000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FUAM6
12520694.55000000
PA
USD
2336399.17000000
0.244979144225
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Floating
5.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-85519.65000000
-0.00896701682
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3927290.84000000
EUR
4714814.76000000
USD
2021-01-21
-85519.65000000
N
N
N
GRUBHUB HOLDINGS INC
N/A
GrubHub Holdings Inc
40010PAA6
2530000.00000000
PA
USD
2650175.00000000
0.277879572927
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
5.50000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
3336000.00000000
PA
USD
3602880.00000000
0.377773828410
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
2521.53000000
0.000264390721
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
926016.19000000
USD
95789892.00000000
JPY
2021-03-17
2521.53000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0HW2
1955546.60000000
PA
USD
2040437.46000000
0.213946584648
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Floating
5.70000000
N
N
N
N
N
N
HalseyPoint CLO I, Ltd.
549300POBLM5RW6LD816
Halsey Point CLO I Ltd
406375AA3
25900000.00000000
PA
USD
25935612.50000000
2.719434348716
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
1.57000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
4283.38000000
0.000449126493
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
983659.44000000
USD
6457665.20000000
CNY
2021-03-17
4283.38000000
N
N
N
Waste Pro USA Inc
549300BY1QXU5BI3UF28
Waste Pro USA Inc
94107JAA1
2825000.00000000
PA
USD
2881500.00000000
0.302134760681
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-5315.59000000
-0.00055735711
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
633000.00000000
GBP
860731.24000000
USD
2021-03-17
-5315.59000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296JQB5
1292.56000000
PA
USD
1475.83000000
0.000154745633
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EW73
10776620.96000000
PA
USD
1564161.87000000
0.164007521173
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Floating
5.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-219312.83000000
-0.02299567218
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
9900036770.00000000
KRW
8880629.33000000
USD
2021-01-15
-219312.83000000
N
N
N
PRESIDIO HOLDING INC
N/A
Presidio Holdings Inc
74101XAF7
315000.00000000
PA
USD
347681.25000000
0.036455523603
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
8.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
2131.56000000
0.000223501082
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
58012083.05000000
MXN
2896360.69000000
USD
2021-03-04
2131.56000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
468000.00000000
PA
USD
488475.00000000
0.051218211773
Long
DBT
CORP
MX
N
2
2046-10-31
Fixed
5.50000000
N
N
N
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAF1
115000.00000000
PA
USD
122331.25000000
0.012826834267
Long
DBT
CORP
CA
N
2
2026-12-15
Fixed
5.13000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAR0
2755000.00000000
PA
USD
3092487.50000000
0.324257494611
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.38000000
N
N
N
N
N
N
Tronox Finance PLC
N/A
Tronox Finance PLC
89705PAA3
470000.00000000
PA
USD
487625.00000000
0.051129086474
Long
DBT
CORP
GB
N
2
2025-10-01
Fixed
5.75000000
N
N
N
N
N
N
Triumph Group Inc
5493007L6S47Q14SL582
Triumph Group Inc
896818AP6
450000.00000000
PA
USD
411187.50000000
0.043114362973
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
7.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-141181.70000000
-0.01480336600
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
42281624.47000000
CAD
33082660.02000000
USD
2021-03-17
-141181.70000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292H4H4
6098.56000000
PA
USD
6963.29000000
0.000730123879
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NV61
4310.32000000
PA
USD
4921.49000000
0.000516034427
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
000000000
200000.00000000
PA
USD
219750.00000000
0.023041510900
Long
DBT
CORP
MX
N
2
2029-11-19
Fixed
5.45000000
N
N
N
N
N
N
ARD FINANCE SA
6354006P6QPGGPVJW880
ARD Finance SA
000000000
575000.00000000
PA
714868.09000000
0.074956272528
Long
DBT
CORP
LU
N
2
2027-06-30
Variable
5.00000000
N
N
Y
N
N
N
CASTLE US HOLDING CORP
N/A
Castle US Holding Corp
14852LAA1
1085000.00000000
PA
USD
1085000.00000000
0.113765821738
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
9.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
7348.15000000
0.000770477717
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
381267.13000000
USD
1327244256.93000000
COP
2021-01-29
7348.15000000
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAA1
1355000.00000000
PA
USD
1393956.25000000
0.146160901611
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M5CH1
81855.08000000
PA
USD
93460.29000000
0.009799619070
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBL9
1250000.00000000
PA
USD
1340725.00000000
0.140579429816
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-1765.99000000
-0.00018516986
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
101004989.00000000
JPY
977324.19000000
USD
2021-03-17
-1765.99000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215285 IRS USD R F 1.24500 2 CCPVANILLA / Short: SR215285 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
90970000.00000000
OU
Notional Amount
USD
-770897.97000000
-0.08083118989
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-24
0.00000000
USD
-105680.52000000
USD
90970000.00000000
USD
-665217.45000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-7539.08000000
-0.00079049735
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1188069.51000000
CAD
926016.19000000
USD
2021-03-17
-7539.08000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: CS005512 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005512 CDS USD P F 1.00000 2 CORPORATE
000000000
3640000.00000000
OU
Notional Amount
USD
-16287.91000000
-0.00170784098
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
1762.33000000
USD
0.00000000
USD
3640000.00000000
USD
-18050.24000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02950A SWAPTION US0003M NOV22 0.7 CALL
000000000
45500000.00000000
NC
USD
480184.25000000
0.050348899343
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
45500000.00000000
OU
Notional Amount
N/A
480184.25000000
0.05000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2027-11-16
0.00000000
N/A
0.00000000
N/A
45500000.00000000
USD
1.00000000
0.70000000
USD
2022-11-14
XXXX
19657.93000000
N
N
N
OCP CLO Ltd
5493006T10144GM16690
OCP CLO 2015-8 Ltd
67091RAM1
850000.00000000
PA
USD
849847.00000000
0.089109255582
Long
ABS-CBDO
CORP
KY
N
2
2027-04-17
Floating
1.67000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
000000000
800000.00000000
PA
1038695.77000000
0.108910670793
Long
DBT
CORP
NL
N
2
2025-09-22
Fixed
4.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296YUA9
449.78000000
PA
USD
514.73000000
0.000053971134
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03128A SWAPTION EUR006M JAN21 NEG0.251 CALL
000000000
-25550000.00000000
NC
-118485.15000000
-0.01242355802
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-118485.15000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
-0.25100000
EUR
2021-01-29
XXXX
-14412.53000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR215446 IRS MXN R F 4.90000 2 CCPVANILLA / Short: SR215446 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
244130000.00000000
OU
Notional Amount
84483.37000000
0.008858359457
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-11
116724.09000000
MXN
0.00000000
MXN
244130000.00000000
MXN
78705.08000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379M2Q6
3634955.95000000
PA
USD
578502.15000000
0.060657854813
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Floating
5.55000000
N
N
N
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AE1
1120000.00000000
PA
USD
1219400.00000000
0.127858104173
Long
DBT
CORP
NL
N
2
2027-12-15
Fixed
5.50000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAS8
1890000.00000000
PA
USD
2130521.40000000
0.223392182306
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
5.38000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03111A SWAPTION US0003M JUN21 0.763 PUT
000000000
-85250000.00000000
NC
USD
-151634.18000000
-0.01589934294
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
85250000.00000000
OU
Notional Amount
N/A
-151634.18000000
-0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-06-21
0.00000000
N/A
0.00000000
N/A
85250000.00000000
USD
1.00000000
0.76300000
USD
2021-06-17
XXXX
-2251.96000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-448635.09000000
-0.04704086605
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
38134003.17000000
NZD
26997653.96000000
USD
2021-03-17
-448635.09000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-30242.13000000
-0.00317098688
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1558350370.43000000
COP
426040.70000000
USD
2021-01-29
-30242.13000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215135 IRS CAD R F .96000 2 CCPVANILLA / Short: SR215135 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
473570000.00000000
OU
Notional Amount
664910.29000000
0.069718032741
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-09
196030.58000000
CAD
0.00000000
CAD
473570000.00000000
CAD
515172.16000000
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
Long: CS005511 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005511 CDS USD P F 1.00000 2 CORPORATE
000000000
7360000.00000000
OU
Notional Amount
USD
-32933.79000000
-0.00345321629
N/A
DCR
GB
N
2
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
3563.40000000
USD
0.00000000
USD
7360000.00000000
USD
-36497.19000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MF38
1014.39000000
PA
USD
1154.50000000
0.000121053125
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAB0
1865000.00000000
PA
USD
2095793.75000000
0.219750873883
Long
DBT
CORP
LU
N
2
2027-05-15
Fixed
10.50000000
N
N
N
N
N
N
GRIFFON CORPORATION
5493000C2SGNC7ZN3242
Griffon Corp
398433AP7
527000.00000000
PA
USD
557302.50000000
0.058435001723
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
67365.46000000
0.007063490243
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4610059.38000000
USD
342555072.39000000
INR
2021-01-27
67365.46000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-19393.19000000
-0.00203343981
N/A
DFE
PL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
814613.43000000
EUR
3650500.28000000
PLN
2021-03-17
-19393.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215024 IRS CAD R F 1.50000 2 CCPVANILLA / Short: SR215024 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
14920000.00000000
OU
Notional Amount
-80693.89000000
-0.00846102000
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
CAD
-81123.40000000
CAD
14920000.00000000
CAD
-18283.81000000
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BX0
350000.00000000
PA
USD
382375.00000000
0.040093277499
Long
DBT
CORP
MX
N
2
2030-09-17
Fixed
5.20000000
N
N
N
N
N
N
ICE Clear Europe Limited
5R6J7JCQRIPQR1EEP713
Long: SS005888 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005888 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1330000.00000000
OU
Notional Amount
USD
35410.45000000
0.003712902251
N/A
DCR
US
N
2
ICE Clear Europe Limited
5R6J7JCQRIPQR1EEP713
Qatar Government International Bond
Qatar Government International Bond
Y
sell protection
2024-06-20
20061.15000000
USD
0.00000000
USD
1330000.00000000
USD
15349.30000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AEE36
6520702.11000000
PA
USD
7206966.88000000
0.755674202162
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
LPL HOLDINGS INC
549300Z5YF8CCRMYUL26
LPL Holdings Inc
50212YAC8
825000.00000000
PA
USD
853875.00000000
0.089531604642
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
4.63000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QO5 Trust
761118QM3
2485416.60000000
PA
USD
2367135.13000000
0.248201910811
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
1.61000000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
3290093.00000000
PA
USD
2911732.31000000
0.305304717907
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AE6
950000.00000000
PA
USD
1015312.50000000
0.106458857957
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HNAB8
58145.37000000
PA
USD
64392.01000000
0.006751714222
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A7NR9
5168800.80000000
PA
USD
878501.27000000
0.092113750119
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
6.52000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
9299.51000000
0.000975084236
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
379535.13000000
USD
1327993419.87000000
COP
2021-01-29
9299.51000000
N
N
N
Flex Acquisition Co Inc
549300HHED2KGPBEDW39
Flex Acquisition Co Inc
33936YAA3
1095000.00000000
PA
USD
1110056.25000000
0.116393052034
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
6.88000000
N
N
N
N
N
N
Greywolf CLO Ltd
5493002TWMA4NNPZ2B66
Greywolf CLO III Ltd
39809CAS3
6000000.00000000
PA
USD
5891388.00000000
0.617731425807
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
2.67000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-6182.06000000
-0.00064820934
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
653029.31000000
EUR
792016.80000000
USD
2021-01-21
-6182.06000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31395NEU7
505123.56000000
PA
USD
509442.16000000
0.053416687521
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
0.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-71479.89000000
-0.00749490177
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
25770448.31000000
NOK
2396827.38000000
EUR
2021-03-17
-71479.89000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LBD7
3640000.00000000
PA
USD
3662230.94000000
0.383996969848
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
80063.93000000
0.008394966624
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7018007.02000000
USD
732251834.00000000
JPY
2021-03-17
80063.93000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020618
98000000.00000000
PA
USD
102515820.40000000
10.74912124333
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
2.00000000
N
N
N
N
N
N
MEG Energy Corp
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AC2
345000.00000000
PA
USD
347587.50000000
0.036445693606
Long
DBT
CORP
CA
N
2
2024-03-31
Fixed
7.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX002964 CDS USD R F 3.00000 2 CMBX / Short: CX002964 CDS USD P V 01MEVENT 1 CMBX
000000000
3000000.00000000
OU
Notional Amount
USD
-237018.00000000
-0.02485211754
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-847969.47000000
USD
3000000.00000000
USD
610951.47000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02807A SWAPTION US0003M JAN21 0.28 CALL
000000000
-90100000.00000000
NC
USD
-18.02000000
-0.00000188945
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
90100000.00000000
OU
Notional Amount
N/A
-18.02000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-01-08
0.00000000
N/A
0.00000000
N/A
90100000.00000000
USD
1.00000000
0.28000000
USD
2021-01-06
XXXX
99091.98000000
N
N
N
Marble Point CLO XIX Ltd
N/A
Marble Point CLO XIX Ltd
56607KAJ3
1000000.00000000
PA
USD
993504.00000000
0.104172164940
Long
ABS-CBDO
CORP
KY
N
2
2034-01-19
Variable
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
172193.18000000
0.018055021770
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
21738000.00000000
PLN
5993047.54000000
USD
2021-03-10
172193.18000000
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BZ9
1245000.00000000
PA
USD
1329037.50000000
0.139353956966
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
2554534.02000000
PA
USD
2546316.08000000
0.266989623269
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
2.45000000
N
N
N
N
N
N
Resideo Funding Inc
5493000IFJ6XJKH66598
Resideo Funding Inc
76119LAA9
1650000.00000000
PA
USD
1741274.70000000
0.182578384440
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
6.13000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R06
20754JAC8
1140000.00000000
PA
USD
1097450.07000000
0.115071252562
Long
ABS-MBS
USGSE
US
N
2
2039-09-25
Floating
3.90000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1550000.00000000
PA
1806572.33000000
0.189425055901
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
4.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
413.49000000
0.000043355787
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
991392.27000000
USD
27856139.87000000
TWD
2021-01-04
413.49000000
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAC5
470000.00000000
PA
USD
481750.00000000
0.050513073384
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
6.38000000
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
15800000.00000000
OU
Notional Amount
USD
-14757.20000000
-0.00154734099
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2040-06-19
120854.10000000
USD
0.00000000
USD
15800000.00000000
USD
-135611.30000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379Q8A6
8283051.79000000
PA
USD
1457364.86000000
0.152809503106
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Floating
5.55000000
N
N
N
N
N
N
INGEVITY CORP
5493009UTFC4B5IMGF87
Ingevity Corp
45688CAB3
1025000.00000000
PA
USD
1027562.50000000
0.107743310783
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.88000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: CS005515 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005515 CDS USD P F 1.00000 2 CORPORATE
000000000
11160000.00000000
OU
Notional Amount
USD
-49937.65000000
-0.00523612699
N/A
DCR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
3942.82000000
USD
0.00000000
USD
11160000.00000000
USD
-53880.47000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FUKH6
1843864.98000000
PA
USD
250715.67000000
0.026288363336
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
4.00000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AN1
1145000.00000000
PA
USD
1167900.00000000
0.122458159639
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
4.35000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214056 IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR214056 IRS JPY P F .50000 2 CCPVANILLA
000000000
405420000.00000000
OU
Notional Amount
57094.90000000
0.005986588217
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-20
4537448.00000000
JPY
0.00000000
JPY
405420000.00000000
JPY
62634.76000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BA5V2
2879734.43000000
PA
USD
443922.58000000
0.046546743872
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396W3K0
205315.40000000
PA
USD
207385.94000000
0.021745098507
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Floating
0.60000000
N
N
N
N
N
N
DP World Crescent Ltd
21380096JRTWB8TL9236
DP World Crescent Ltd
000000000
200000.00000000
PA
USD
232500.00000000
0.024378390372
Long
DBT
CORP
KY
N
2
2028-09-26
Fixed
4.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BG65
962860.77000000
PA
USD
150184.71000000
0.015747361240
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.90000000
N
N
N
N
N
N
Envision Healthcare Corp
549300OL60X0LPKY8N60
Envision Healthcare Corp
29373TAA2
1175000.00000000
PA
USD
728500.00000000
0.076385623167
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.75000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
2340000.00000000
PA
USD
1415700.00000000
0.148440805378
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR213542 IRS NZD R F 1.75000 2 CCPVANILLA / Short: SR213542 IRS NZD P V 03MNZDBB 1 CCPVANILLA
000000000
6620000.00000000
OU
Notional Amount
95205.60000000
0.009982620569
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-19
188308.01000000
NZD
0.00000000
NZD
6620000.00000000
NZD
-35103.51000000
N
N
N
Par Pharmaceutical Inc
549300KK5WR4MGN4YT97
Par Pharmaceutical Inc
69888XAA7
480000.00000000
PA
USD
518400.00000000
0.054355946533
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KWP4
1783210.76000000
PA
USD
211675.14000000
0.022194835247
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAA7
370000.00000000
PA
USD
412224.40000000
0.043223085351
Long
DBT
US
N
2
2024-04-01
Fixed
4.60000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAY6
1025000.00000000
PA
USD
1093562.25000000
0.114663601837
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QO1 Trust
761118RM2
1586865.48000000
PA
USD
1055070.84000000
0.110627650788
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
0.69000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K9D71
732064.15000000
PA
USD
810024.59000000
0.084933744801
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
22662.38000000
0.002376225145
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
438014.87000000
USD
34242907.50000000
RUB
2021-02-08
22662.38000000
N
N
N
Bank
N/A
BANK 2018-BNK14
06035RAX4
500000.00000000
PA
USD
426570.09000000
0.044727278173
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.00000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DL1
975000.00000000
PA
USD
1217833.50000000
0.127693851491
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03049A SWAPTION EUR006M JAN21 NEG 0.242 PUT
000000000
-25550000.00000000
NC
-15253.88000000
-0.00159941953
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
25550000.00000000
OU
Notional Amount
N/A
-15253.88000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-13
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
-0.24200000
EUR
2021-01-11
XXXX
95355.80000000
N
N
N
Terrier Media Buyer, Inc.
N/A
Terrier Media Buyer, Inc. Term Loan B
88145LAB0
495000.00000000
PA
USD
494846.55000000
0.051886289765
Long
LON
CORP
US
N
2
2026-12-17
Floating
4.40000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDS0
52000.00000000
PA
USD
72000.24000000
0.007549462183
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
5.01000000
N
N
N
N
N
N
Regionalcare/Lifepoint
N/A
RegionalCare Hospital Partners Holdings Inc / LifePoint Health Inc
53219LAR0
420000.00000000
PA
USD
458850.00000000
0.048111932999
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
9.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FY45
13674590.75000000
PA
USD
2758610.75000000
0.289249418277
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Floating
6.05000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215286 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215286 IRS USD P F 1.54300 2 CCPVANILLA
000000000
100250000.00000000
OU
Notional Amount
USD
1007352.10000000
0.105624183812
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2035-11-25
26868.42000000
USD
0.00000000
USD
100250000.00000000
USD
980483.68000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
11824618.68000000
PA
USD
12762250.64000000
1.338163991975
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
6108.24000000
0.000640469071
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
29159120.93000000
THB
979498.47000000
USD
2021-03-17
6108.24000000
N
N
N
CNAC HK FINBRIDGE CO LTD
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
420000.00000000
PA
USD
424593.75000000
0.044520052418
Long
DBT
CORP
HK
N
2
2029-06-19
Fixed
3.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
3141.57000000
0.000329403956
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1002518.74000000
USD
1279832.47000000
CAD
2021-03-17
3141.57000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214050 IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR214050 IRS SEK P F .75000 2 CCPVANILLA
000000000
75760000.00000000
OU
Notional Amount
-73453.39000000
-0.00770182974
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
SEK
-403958.41000000
SEK
75760000.00000000
SEK
33554.78000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137ABF48
2156301.36000000
PA
USD
324137.38000000
0.033986871328
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.84000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
37660.16000000
0.003948791750
N/A
DFE
TH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6106398.93000000
USD
184052970.12000000
THB
2021-03-17
37660.16000000
N
N
N
Babson CLO Ltd
549300Q89L7I93JSRH83
Barings CLO Ltd 2020-IV
06762BAJ9
1000000.00000000
PA
USD
1000520.00000000
0.104907815636
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Variable
0.00000000
N
N
N
N
N
N
Venture CDO Ltd
549300VI1BOFEK7C6D74
Venture 39 CLO Ltd
92332TAB8
6200000.00000000
PA
USD
6204786.40000000
0.650592279731
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.52000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002992 CDS EUR R F 5.00000 2 CCPCDX / Short: SX002992 CDS EUR P V 03MEVENT 1 CCPCDX
000000000
5150000.00000000
OU
Notional Amount
743497.76000000
0.077958187674
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S34.V1
2I667KIK6
Y
sell protection
2025-12-20
407030.64000000
EUR
0.00000000
EUR
5150000.00000000
EUR
267206.40000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-12591.86000000
-0.00132029797
N/A
DFE
HU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
527368.73000000
EUR
187869836.38000000
HUF
2021-03-17
-12591.86000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-2000.38000000
-0.00020974642
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1132178.94000000
CAD
887637.48000000
USD
2021-03-17
-2000.38000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AC3P3
473288.50000000
PA
USD
524578.30000000
0.055003761627
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
31624.87000000
0.003315971726
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1572108.04000000
USD
22354433069.58000000
IDR
2021-01-06
31624.87000000
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AG6
110000.00000000
PA
USD
117150.00000000
0.012283563149
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379M2L7
2572840.28000000
PA
USD
438583.33000000
0.045986905933
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Floating
5.55000000
N
N
N
N
N
N
2021-01-28
GOLDMAN SACHS TRUST
Peter Fortner
Peter Fortner
Vice President
XXXX