NPORT-P
false
0000822977
XXXXXXXX
S000013795
C000037818
C000037819
C000058985
C000041010
C000058984
C000037820
C000202041
C000161293
GOLDMAN SACHS TRUST
811-05349
0000822977
S2FHCT8U6D2VORP0J605
71 SOUTH WACKER DRIVE
C/O GOLDMAN SACHS & CO
CHICAGO
60606
312-655-4400
Goldman Sachs Bond Fund
S000013795
K5ZYN8ZUQE8S5OUPBU26
2021-03-31
2020-12-31
N
704835620.21
190217852.39
514617767.82
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
45166992.19000000
0.00000000
0.00000000
16896754.41000000
AUD
BRL
CAD
CHF
CNY
COP
CZK
EUR
GBP
HUF
IDR
ILS
INR
JPY
KRW
MXN
MYR
NOK
NZD
PHP
PLN
RUB
SEK
SGD
THB
TRY
TWD
USD
ZAR
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W7WP5
17804.37000000
PA
USD
19528.30000000
0.003794719347
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-3119.43000000
-0.00060616445
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
46436250.00000000
JPY
447009.59000000
USD
2021-03-17
-3119.43000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
12201.67000000
0.002371016075
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
461068.21000000
USD
514884091.00000000
KRW
2021-01-08
12201.67000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290NBS0
8476.76000000
PA
USD
9459.45000000
0.001838150680
Long
ABS-MBS
USGA
US
N
2
2033-09-15
Fixed
5.50000000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
000000000
1110000.00000000
PA
USD
35520.00000000
0.006902210188
Long
DBT
CORP
VE
N
2
2027-04-12
Fixed
5.38000000
Y
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
3890.10000000
0.000755920266
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
187044.18000000
USD
2661432932.80000000
IDR
2021-01-06
3890.10000000
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAW8
1325000.00000000
PA
USD
1397967.75000000
0.271651667979
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MKQH2
29649.97000000
PA
USD
32520.86000000
0.006319420360
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Stratton Mortgage Funding PLC
213800RHNWAD2QXB3483
Stratton Mortgage Funding 2019-1 PLC
000000000
1301031.21000000
PA
1782151.98000000
0.346305955884
Long
ABS-MBS
CORP
GB
N
2
2051-05-25
Floating
1.25000000
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
2400000.00000000
OU
Notional Amount
-71546.66000000
-0.01390287403
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
GBP
-51432.90000000
GBP
2400000.00000000
GBP
-3158.94000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468P7
400000.00000000
PA
USD
464572.00000000
0.090275157417
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.62000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
375000.00000000
PA
USD
449760.00000000
0.087396904678
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02963A SWAPTION US0003M FEB21 0.783 CALL
000000000
2250000.00000000
NC
USD
6684.30000000
0.001298886361
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
2250000.00000000
OU
Notional Amount
N/A
6684.30000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-18
0.00000000
N/A
0.00000000
N/A
2250000.00000000
USD
1.00000000
0.78300000
USD
2021-02-16
XXXX
-4537.57000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03088A SWAPTION US0003M JAN21 0.914 PUT
000000000
-3780000.00000000
NC
USD
-19987.51000000
-0.00388395256
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-19987.51000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-19
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.91400000
USD
2021-01-14
XXXX
6944.99000000
N
N
N
Adobe Inc
FU4LY2G4933NH2E1CP29
Adobe Inc
00724FAC5
30000.00000000
PA
USD
33080.10000000
0.006428091307
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
10366.81000000
0.002014467950
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
192511.11000000
USD
1521126.54000000
TRY
2021-01-25
10366.81000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BK6
225000.00000000
PA
USD
248591.25000000
0.048305998266
Long
DBT
CORP
GB
N
2
2025-03-22
Fixed
4.27000000
N
N
N
N
N
N
AMERICAN TOWER CORP
5493006ORUSIL88JOE18
American Tower Corp
03027XBC3
500000.00000000
PA
USD
513230.00000000
0.099730330372
Long
DBT
US
N
2
2030-06-15
Fixed
2.10000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAP8
150000.00000000
PA
USD
150849.00000000
0.029312823892
Long
DBT
CORP
ES
N
2
2021-02-16
Fixed
5.46000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
70000.00000000
PA
89550.77000000
0.017401414331
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAF6
200000.00000000
PA
USD
220728.00000000
0.042891639932
Long
DBT
US
N
2
2028-01-15
Fixed
3.40000000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AH9
400000.00000000
PA
USD
446756.00000000
0.086813170460
Long
DBT
US
N
2
2025-11-15
Fixed
4.00000000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
000000000
400000.00000000
PA
539827.63000000
0.104898754717
Long
DBT
CORP
IE
N
2
2025-06-23
Fixed
6.25000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAP6
1150000.00000000
PA
USD
1208983.50000000
0.234928441184
Long
DBT
CORP
IE
N
2
2022-07-01
Fixed
4.63000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DT9
470000.00000000
PA
USD
522170.00000000
0.101467542057
Long
DBT
NUSS
CO
N
2
2051-05-15
Fixed
4.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-1047.38000000
-0.00020352581
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
951265.06000000
USD
26549398.78000000
TWD
2021-02-05
-1047.38000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KN0
1050000.00000000
PA
USD
1184589.00000000
0.230188126814
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
3.40000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02770A SWAPTION EUR006M JAN21 NEG0.25 CALL
000000000
-2340000.00000000
NC
-7219.27000000
-0.00140284118
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
2340000.00000000
OU
Notional Amount
N/A
-7219.27000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-18
0.00000000
N/A
0.00000000
N/A
2340000.00000000
EUR
1.00000000
-0.25000000
EUR
2021-01-14
XXXX
14001.42000000
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BG3
372000.00000000
PA
USD
480155.28000000
0.093303284500
Long
DBT
CORP
US
N
2
2044-12-15
Fixed
4.69000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-7710.14000000
-0.00149822654
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
303326049.00000000
KRW
271100.35000000
USD
2021-01-08
-7710.14000000
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
Long: CS005470 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005470 CDS USD P F 1.00000 2 CORPORATE
000000000
80000.00000000
OU
Notional Amount
USD
-357.98000000
-0.00006956230
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
68.19000000
USD
0.00000000
USD
80000.00000000
USD
-426.17000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFW7
175000.00000000
PA
USD
218737.75000000
0.042504896581
Long
DBT
CORP
US
N
2
2037-08-15
Fixed
4.90000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CH2
678000.00000000
PA
USD
722070.00000000
0.140311906263
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.75000000
N
N
N
N
N
N
Vodafone Group PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBL3
30000.00000000
PA
USD
39165.90000000
0.007610677759
Long
DBT
CORP
GB
N
2
2038-05-30
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AQL3
655043.47000000
PA
USD
101351.67000000
0.019694553188
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
6.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
949746SH5
2750000.00000000
PA
USD
3046560.00000000
0.592004433291
Long
DBT
CORP
US
N
2
2026-10-23
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-19733.49000000
-0.00383459165
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2061348.76000000
TRY
255195.75000000
USD
2021-01-25
-19733.49000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201SQC6
30549.48000000
PA
USD
34587.83000000
0.006721071863
Long
ABS-MBS
USGA
US
N
2
2033-02-15
Fixed
5.50000000
N
N
N
N
N
N
Whitehorse Ltd
5493006SRQWF2ZFME608
WhiteHorse IX Ltd
965249AF2
496043.14000000
PA
USD
495844.72000000
0.096352040486
Long
ABS-CBDO
CORP
KY
N
2
2026-07-17
Floating
1.38000000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo Inc
74736KAJ0
725000.00000000
PA
USD
746750.00000000
0.145107698702
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
3.38000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CL2
525000.00000000
PA
USD
558012.00000000
0.108432322957
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.40000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAG8
600000.00000000
PA
USD
663642.00000000
0.128958236869
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
5.45000000
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
91340000.00000000
OU
Notional Amount
188728.68000000
0.036673564692
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-10-29
633926.32000000
NOK
0.00000000
NOK
91340000.00000000
NOK
359885.63000000
N
N
N
Mylan Inc
30ZMPDNA1RHIBH89C294
Mylan Inc
628530BC0
60000.00000000
PA
USD
79255.80000000
0.015400906256
Long
DBT
CORP
US
N
2
2043-11-29
Fixed
5.40000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGR83
2999999.96000000
PA
USD
3237977.96000000
0.629200576131
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MJGD5
13235.66000000
PA
USD
14500.67000000
0.002817755411
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291GXG6
18886.97000000
PA
USD
21046.63000000
0.004089759684
Long
ABS-MBS
USGA
US
N
2
2034-04-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD EUR
000000000
1.00000000
NC
N/A
9081.72000000
0.001764750571
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
389252.76000000
EUR
629277.69000000
AUD
2021-03-17
9081.72000000
N
N
N
Fifth Third Bancorp
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CX6
25000.00000000
PA
USD
27260.50000000
0.005297232568
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
3.65000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-1426.81000000
-0.00027725626
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
14043662.78000000
THB
467378.96000000
USD
2021-03-17
-1426.81000000
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2020-C19 Commercial Mortgage Trust
12597NAE3
387000.00000000
PA
USD
303524.10000000
0.058980493675
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LVE8
9648.15000000
PA
USD
11016.18000000
0.002140652866
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAN9
200000.00000000
PA
USD
216370.00000000
0.042044797815
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B06N1
1260393.63000000
PA
USD
79597.89000000
0.015467380836
Long
ABS-MBS
USGSE
US
N
2
2048-03-25
Floating
2.50000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAC6
35000.00000000
PA
USD
37770.25000000
0.007339476473
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.18000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QT50
357124.66000000
PA
USD
392366.15000000
0.076244190258
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179N5W4
4242.11000000
PA
USD
4668.68000000
0.000907213137
Long
ABS-MBS
USGA
US
N
2
2044-03-20
Fixed
4.00000000
N
N
N
N
N
N
AIR PRODUCTS & CHEMICALS
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158BA3
50000.00000000
PA
USD
54872.00000000
0.010662671099
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
2.80000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAH5
425000.00000000
PA
USD
459110.50000000
0.089213884305
Long
DBT
CORP
US
N
2
2025-07-01
Fixed
3.38000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
750000.00000000
PA
USD
942142.50000000
0.183076170104
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31397S7M0
308797.92000000
PA
USD
353388.34000000
0.068670061956
Long
ABS-MBS
USGSE
US
N
2
2041-06-25
Fixed
5.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDJ7
225000.00000000
PA
USD
247432.50000000
0.048080831147
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.10000000
N
N
N
N
N
N
IHO Verwaltungs GmbH
529900JL0HDVGZMUJF32
IHO Verwaltungs GmbH
44963BAD0
823000.00000000
PA
USD
903242.50000000
0.175517161761
Long
DBT
CORP
DE
N
2
2029-05-15
Fixed
6.38000000
N
N
Y
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
3769.62000000
0.000732508715
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
187659.74000000
USD
2668333843.06000000
IDR
2021-01-06
3769.62000000
N
N
N
JAB HOLDINGS BV
529900RRNKUM3INJGF98
JAB Holdings BV
46653KAA6
250000.00000000
PA
USD
250645.00000000
0.048705080872
Long
DBT
CORP
NL
N
2
2030-11-23
Fixed
2.20000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215256 IRS CHF R F .00000 CCPVANILLA / Short: SR215256 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
1700000.00000000
OU
Notional Amount
3850.30000000
0.000748186370
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
6017.20000000
CHF
0.00000000
CHF
1700000.00000000
CHF
-2934.23000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WAH5
195000.00000000
PA
USD
196060.41000000
0.038098258991
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
350000.00000000
PA
USD
312444.52000000
0.060713900595
Long
ABS-MBS
CORP
US
N
2
2050-09-10
Fixed
3.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CW3
850000.00000000
PA
USD
817062.50000000
0.158770752020
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.90000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAF9
65000.00000000
PA
USD
71819.80000000
0.013955950317
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
3.55000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Long: CX002956 CDS USD R F 3.00000 2 CMBX / Short: CX002956 CDS USD P V 01MEVENT 1 CMBX
000000000
350000.00000000
OU
Notional Amount
USD
-27652.10000000
-0.00537332788
N/A
DCR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Markit CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-107767.74000000
USD
350000.00000000
USD
80115.64000000
N
N
N
SPIRIT REALTY LP
549300GTBVIBJRX5BW73
Spirit Realty LP
84861TAD0
725000.00000000
PA
USD
812094.25000000
0.157805326745
Long
DBT
US
N
2
2029-07-15
Fixed
4.00000000
N
N
N
N
N
N
PFIZER INC
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081EW9
200000.00000000
PA
USD
221764.00000000
0.043092954395
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.63000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
330000.00000000
PA
USD
350295.00000000
0.068068967281
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
2800.99000000
0.000544285521
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
475150.84000000
USD
3929069.81000000
SEK
2021-03-17
2800.99000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-1885.85000000
-0.00036645644
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
796293.10000000
USD
1011000.00000000
CAD
2021-03-11
-1885.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ERH60
116176.34000000
PA
USD
126239.83000000
0.024530795066
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
9074.09000000
0.001763267917
N/A
DFE
SG
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
887522.33000000
USD
1184842.31000000
SGD
2021-03-17
9074.09000000
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
125000.00000000
PA
USD
124208.70000000
0.024136107955
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
2.00000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBD2
50000.00000000
PA
USD
64692.00000000
0.012570883487
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
6.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418BZY5
61311.02000000
PA
USD
66817.84000000
0.012983974549
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBN8
250000.00000000
PA
USD
249897.50000000
0.048559827434
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
1.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WRNS5
14679.02000000
PA
USD
16100.33000000
0.003128599711
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RAN9
350000.00000000
PA
USD
352240.00000000
0.068446917698
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
4.65000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081DK6
25000.00000000
PA
USD
33629.00000000
0.006534752995
Long
DBT
CORP
US
N
2
2044-05-15
Fixed
4.40000000
N
N
N
N
N
N
Welltower Inc
T6IZ0MBEG5ACZDTR7D06
Welltower Inc
95040QAG9
65000.00000000
PA
USD
70881.20000000
0.013773562521
Long
DBT
US
N
2
2024-03-15
Fixed
3.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ3T5
1069485.29000000
PA
USD
1140699.28000000
0.221659521168
Long
ABS-MBS
USGSE
US
N
2
2048-04-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
3802.39000000
0.000738876548
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
389474.03000000
EUR
3949539.30000000
SEK
2021-03-17
3802.39000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-18260.20000000
-0.00354830344
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2421248.07000000
AUD
1849511.50000000
USD
2021-03-11
-18260.20000000
N
N
N
TALLGRASS NRG PRTNR/FIN
N/A
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
87470LAJ0
700000.00000000
PA
USD
721000.00000000
0.140103984954
Long
DBT
CORP
US
N
2
2030-12-31
Fixed
6.00000000
N
N
N
N
N
N
East Bay Municipal Utility District Water System Revenue
N/A
EAST BAY CA MUNI UTILITY DIST WTR SYS REVENUE
271014TU6
900000.00000000
PA
USD
1352583.00000000
0.262832549627
Long
DBT
MUN
US
N
2
2040-06-01
Fixed
5.87000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36210AT31
102685.81000000
PA
USD
117255.56000000
0.022784980879
Long
ABS-MBS
USGA
US
N
2
2035-01-15
Fixed
5.50000000
N
N
N
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAA8
435000.00000000
PA
USD
445875.00000000
0.086641975439
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FEG0
191624.41000000
PA
USD
33555.62000000
0.006520493869
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Floating
6.10000000
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
3650000.00000000
OU
Notional Amount
USD
70150.45000000
0.013631563926
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
77266.84000000
USD
0.00000000
USD
3650000.00000000
USD
-7116.39000000
N
N
N
J2 GLOBAL
5493008OJYGLHD7MXA18
J2 Global Inc
48123VAF9
1045000.00000000
PA
USD
1097678.45000000
0.213299757342
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
4.63000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CQ7
625000.00000000
PA
USD
653125.00000000
0.126914584151
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
5.00000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAC7
875000.00000000
PA
USD
943171.25000000
0.183276075755
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GYKA6
793588.49000000
PA
USD
871604.43000000
0.169369284253
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
SEAGATE HDD CAYMAN
529900BD50TRWEG1SF63
Seagate HDD Cayman
81180WBB6
1323000.00000000
PA
USD
1328093.55000000
0.258073784670
Long
DBT
CORP
KY
N
2
2031-07-15
Fixed
3.38000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHZ5
75000.00000000
PA
USD
79553.25000000
0.015458706437
Long
DBT
CORP
US
N
2
2031-02-13
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M4EM1
2518.42000000
PA
USD
2882.07000000
0.000560040904
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBT1
320000.00000000
PA
USD
351651.20000000
0.068332502682
Long
DBT
CORP
US
N
2
2024-10-30
Fixed
3.30000000
N
N
N
N
N
N
UBS Switzerland AG
549300WOIFUSNYH0FL22
OPS03019A SWAPTION EUR006M JAN21 NEG 0.25 CALL
000000000
-3350000.00000000
NC
-7272.84000000
-0.00141325085
N/A
DIR
DE
N
2
UBS Switzerland AG
549300WOIFUSNYH0FL22
Call
Written
UBS Switzerland AG
549300WOIFUSNYH0FL22
UBS Switzerland AG
549300WOIFUSNYH0FL22
IRS Swap
N/A
3350000.00000000
OU
Notional Amount
N/A
-7272.84000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-06
0.00000000
N/A
0.00000000
N/A
3350000.00000000
EUR
1.00000000
-0.25000000
EUR
2021-01-04
XXXX
6613.43000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-1885.90000000
-0.00036646616
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
50634567.00000000
JPY
488939.43000000
USD
2021-03-17
-1885.90000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA4
35565RAH6
665000.00000000
PA
USD
671137.88000000
0.130414828629
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Floating
3.30000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
4538.43000000
0.000881903090
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
473352.20000000
USD
34998714.96000000
INR
2021-01-27
4538.43000000
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
6160000.00000000
OU
Notional Amount
3848.47000000
0.000747830766
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2040-05-21
0.00000000
EUR
-14810.53000000
EUR
6160000.00000000
EUR
48883.27000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-2847.62000000
-0.00055334661
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2842528.49000000
ZAR
188685.52000000
USD
2021-03-17
-2847.62000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAE2
525000.00000000
PA
USD
632436.00000000
0.122894318763
Long
DBT
CORP
FR
N
2
2028-09-12
Fixed
4.63000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VAN3
475000.00000000
PA
USD
409155.50000000
0.079506679633
Long
DBT
CORP
US
N
2
2067-06-01
Variable
3.00000000
N
N
N
N
N
N
Weyerhaeuser Co
08IRJODWFYBI7QWRGS31
Weyerhaeuser Co
962166BR4
50000.00000000
PA
USD
74807.00000000
0.014536419975
Long
DBT
US
N
2
2032-03-15
Fixed
7.38000000
N
N
N
N
N
N
INTUIT INC
VI90HBPH7XSFMB9E4M29
Intuit Inc
46124HAC0
175000.00000000
PA
USD
178876.25000000
0.034759050539
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
1.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-11875.78000000
-0.00230768946
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
11366567014.95000000
IDR
803574.90000000
USD
2021-01-06
-11875.78000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-1051.48000000
-0.00020432252
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3897154.71000000
MXN
193080.43000000
USD
2021-03-17
-1051.48000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A9EA2
25711.05000000
PA
USD
31628.12000000
0.006145944034
Long
ABS-MBS
USGSE
US
N
2
2042-10-25
Fixed
7.00000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS MORTGAGE TRUST 2017-C1
07332VAA3
150000.00000000
PA
USD
134159.91000000
0.026069816937
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
2620000.00000000
NC
USD
10264.90000000
0.001994664903
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
2620000.00000000
OU
Notional Amount
N/A
10264.90000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-16
0.00000000
N/A
0.00000000
N/A
2620000.00000000
USD
1.00000000
0.82500000
USD
2021-02-12
XXXX
-3621.10000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36213X3S1
15800.97000000
PA
USD
17830.03000000
0.003464713252
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
5.50000000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2020-GC46
17328RAG4
650000.00000000
PA
USD
551668.82000000
0.107199722686
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.60000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YFA2
361208.10000000
PA
USD
71103.60000000
0.013816779063
Long
ABS-MBS
USGA
US
N
2
2043-11-20
Floating
5.95000000
N
N
N
N
N
N
TD AMERITRADE HOLDING CO
ZI85ER3E6RXD4HPHW309
TD Ameritrade Holding Corp
87236YAF5
55000.00000000
PA
USD
61958.60000000
0.012039731986
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MP3
450000.00000000
PA
USD
545521.50000000
0.106005181731
Long
DBT
CORP
US
N
2
2031-03-31
Fixed
4.41000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-382.39000000
-0.00007430563
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2437215.48000000
NOK
283786.53000000
USD
2021-03-17
-382.39000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-8424.88000000
-0.00163711409
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
504258291.00000000
KRW
455078.01000000
USD
2021-01-08
-8424.88000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-5397.71000000
-0.00104887750
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
668141.34000000
NZD
475485.46000000
USD
2021-03-17
-5397.71000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UML3
1604090.09000000
PA
USD
1717393.87000000
0.333722225968
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Fixed
4.00000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAG5
750000.00000000
PA
USD
814642.50000000
0.158300500087
Long
DBT
CORP
US
N
2
2023-05-25
Fixed
4.06000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: CS005482 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005482 CDS USD P F 1.00000 2 CORPORATE
000000000
670000.00000000
OU
Notional Amount
USD
-2998.05000000
-0.00058257801
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
731.71000000
USD
0.00000000
USD
670000.00000000
USD
-3729.76000000
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAM6
1268000.00000000
PA
USD
1293360.00000000
0.251324396644
Long
DBT
CORP
CA
N
2
2028-09-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WQE1
1416108.74000000
PA
USD
108818.04000000
0.021145410594
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
3.12000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
75000.00000000
PA
USD
104308.50000000
0.020269121379
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DR0
170000.00000000
PA
USD
169915.00000000
0.033017709574
Long
DBT
NUSS
PE
N
2
2121-07-28
Fixed
3.23000000
N
N
N
N
N
N
NUTRITION & BIOSCIENCES
N/A
Nutrition & Biosciences Inc
67079BAE0
275000.00000000
PA
USD
294989.75000000
0.057322107483
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
3.27000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAP5
35000.00000000
PA
USD
41963.25000000
0.008154255959
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.15000000
N
N
N
N
N
N
REINSURANCE GRP OF AMER
LORM1GNEU1DKEW527V90
Reinsurance Group of America Inc
759351AN9
65000.00000000
PA
USD
74521.85000000
0.014481009918
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
3.90000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03139A SWAPTION US0003M JAN21 0.958 PUT
000000000
-3780000.00000000
NC
USD
-22228.29000000
-0.00431937865
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-22228.29000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.95800000
USD
2021-01-29
XXXX
3144.96000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJB6
1975000.00000000
PA
USD
2116153.25000000
0.411208742163
Long
DBT
CORP
US
N
2
2031-04-29
Fixed
2.59000000
N
N
N
N
N
N
TEACHERS INSUR & ANNUITY
O06XD7BJ4EPXNABVFN69
Teachers Insurance & Annuity Association of America
878091BD8
295000.00000000
PA
USD
397783.90000000
0.077296961915
Long
DBT
CORP
US
N
2
2044-09-15
Fixed
4.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312940FB0
13809.75000000
PA
USD
15927.72000000
0.003095058312
Long
ABS-MBS
USGSE
US
N
2
2040-04-01
Fixed
5.00000000
N
N
N
N
N
N
Post Holdings Inc
JM1I5YUAURL6DC8N1468
Post Holdings Inc
737446AM6
450000.00000000
PA
USD
477000.00000000
0.092690153707
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
AEP Transmission Co LLC
549300X123Z1I0LA3Y84
AEP Transmission Co LLC
00115AAM1
50000.00000000
PA
USD
60388.50000000
0.011734631755
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
3.65000000
N
N
N
N
N
N
BAUSCH HEALTH AMERICAS
KOO0397YRO83WY5MGD97
Bausch Health Americas Inc
91911XAV6
200000.00000000
PA
USD
222750.00000000
0.043284552910
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.25000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AP4
325000.00000000
PA
USD
374192.00000000
0.072712607958
Long
DBT
US
N
2
2026-04-15
Fixed
3.80000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468L6
1275000.00000000
PA
USD
1386562.50000000
0.269435411426
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
-3780000.00000000
NC
USD
-30639.55000000
-0.00595384611
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-30639.55000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.95800000
USD
2021-01-29
XXXX
-5266.30000000
N
N
N
AXALTA COATING SYSTEMS
549300G80QONCHILSF69
Axalta Coating Systems LLC
05453GAC9
965000.00000000
PA
USD
966206.25000000
0.187752213471
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
5607.85000000
0.001089711694
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
466788.42000000
USD
13198909.36000000
TWD
2021-02-05
5607.85000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CCW2
25521.29000000
PA
USD
27732.01000000
0.005388855910
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RD89
23469.74000000
PA
USD
25741.76000000
0.005002112559
Long
ABS-MBS
USGA
US
N
2
2045-05-20
Fixed
4.00000000
N
N
N
N
N
N
AMDOCS LTD
N/A
Amdocs Ltd
02342TAE9
350000.00000000
PA
USD
368158.00000000
0.071540087230
Long
DBT
CORP
GG
N
2
2030-06-15
Fixed
2.54000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214058 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214058 IRS EUR P F .25000 2 CCPVANILLA
000000000
11620000.00000000
OU
Notional Amount
-280213.53000000
-0.05445080747
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
EUR
-158274.69000000
EUR
11620000.00000000
EUR
524957.66000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
1399.51000000
0.000271951356
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
44002.31000000
USD
58853.29000000
AUD
2021-03-17
1399.51000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-4125.73000000
-0.00080170764
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
132937506.00000000
JPY
1284519.63000000
USD
2021-03-18
-4125.73000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911363AM1
400000.00000000
PA
USD
420000.00000000
0.081613971818
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HBH76
637626.71000000
PA
USD
699911.87000000
0.136006161031
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-4145.81000000
-0.00080560957
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
609314.45000000
CAD
474638.23000000
USD
2021-03-17
-4145.81000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-12596.58000000
-0.00244775458
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
380805.83000000
EUR
452863.05000000
USD
2021-01-21
-12596.58000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
4167.65000000
0.000809853499
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
274023.00000000
USD
3877699473.00000000
IDR
2021-01-06
4167.65000000
N
N
N
SCRIPPS ESCROW II INC
N/A
Scripps Escrow II Inc
81105DAA3
490000.00000000
PA
USD
510825.00000000
0.099262993223
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
3.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020626
12000000.00000000
PA
USD
12532801.20000000
2.435361152237
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.00000000
N
N
N
N
N
N
KIMBERLY-CLARK CORP
MP3J6QPYPGN75NVW2S34
Kimberly-Clark Corp
494368CA9
10000.00000000
PA
USD
11220.60000000
0.002180375552
Long
DBT
CORP
US
N
2
2050-02-07
Fixed
2.88000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GEN5
5000.00000000
PA
USD
7578.20000000
0.001472588098
Long
DBT
CORP
US
N
2
2042-02-07
Fixed
5.88000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MHMWVKFEDI8G73
SLM Student Loan Trust 2008-2
784442AC9
184438.80000000
PA
USD
178968.86000000
0.034777046419
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
0.96000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAY5
155000.00000000
PA
USD
204527.15000000
0.039743507276
Long
DBT
CORP
US
N
2
2045-10-15
Fixed
6.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MQQ6
2575.55000000
PA
USD
2839.37000000
0.000551743483
Long
ABS-MBS
USGA
US
N
2
2042-10-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WK2U8
144340.39000000
PA
USD
158214.43000000
0.030744066741
Long
ABS-MBS
USGSE
US
N
2
2047-06-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-4740.73000000
-0.00092121382
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
14382096.67000000
THB
475362.64000000
USD
2021-03-17
-4740.73000000
N
N
N
Phillips 66
5493005JBO5YSIGK1814
Phillips 66
718546AK0
60000.00000000
PA
USD
72202.80000000
0.014030374486
Long
DBT
CORP
US
N
2
2034-11-15
Fixed
4.65000000
N
N
N
N
N
N
FIDELITY NATIONAL INFORM
6WQI0GK1PRFVBA061U48
Fidelity National Information Services Inc
31620MAY2
60000.00000000
PA
USD
71170.80000000
0.013829837298
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A2K28
254214.09000000
PA
USD
46266.53000000
0.008990464941
Long
ABS-MBS
USGSE
US
N
2
2041-12-25
Floating
6.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
14626.88000000
0.002842280409
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
882615.14000000
USD
12506656561.67000000
IDR
2021-01-06
14626.88000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
5109.39000000
0.000992851455
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1590775.47000000
USD
164632535.00000000
JPY
2021-03-18
5109.39000000
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAR2
75000.00000000
PA
USD
84105.75000000
0.016343343595
Long
DBT
US
N
2
2030-07-01
Fixed
3.30000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CF4
200000.00000000
PA
USD
249946.00000000
0.048569251904
Long
DBT
CORP
GB
N
2
2030-03-31
Fixed
4.95000000
N
N
N
N
N
N
XEROX HOLDINGS CORP
5493000Y33XDVO2CXC18
Xerox Holdings Corp
98421MAA4
1215000.00000000
PA
USD
1287900.00000000
0.250263415011
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
5.00000000
N
N
N
N
N
N
Erste Group Bank AG
PQOH26KWDF7CG10L6792
Erste Group Bank AG
000000000
400000.00000000
PA
544660.47000000
0.105837867259
Long
DBT
CORP
AT
N
2
2024-04-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPA4
2049146.00000000
PA
USD
2193245.64000000
0.426189256793
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.00000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BW9
40000.00000000
PA
USD
53876.40000000
0.010469207122
Long
DBT
CORP
US
N
2
2036-02-23
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-9065.17000000
-0.00176153459
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
629672.57000000
AUD
476689.84000000
USD
2021-03-17
-9065.17000000
N
N
N
BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
Bank of Nova Scotia/The
064159MK9
50000.00000000
PA
USD
54415.50000000
0.010573964484
Long
DBT
CORP
CA
N
2
2024-02-11
Fixed
3.40000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAP0
70000.00000000
PA
USD
74825.10000000
0.014539937149
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
97.29000000
0.000018905293
N/A
DFE
PH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
460451.71000000
USD
22160389.67000000
PHP
2021-02-08
97.29000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
90695.47000000
0.017623851268
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3674441.62000000
USD
4096487980.00000000
KRW
2021-02-19
90695.47000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BDB6
1569746.36000000
PA
USD
140116.66000000
0.027227326524
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CG4
545000.00000000
PA
USD
589962.50000000
0.114640911544
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417MFB4
7034.27000000
PA
USD
7894.20000000
0.001533992896
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.50000000
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
10770000.00000000
OU
Notional Amount
-132356.06000000
-0.02571929464
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-10-28
0.00000000
AUD
-109454.21000000
AUD
10770000.00000000
AUD
-16176.84000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: CS005471 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005471 CDS USD P F 1.00000 2 CORPORATE
000000000
10000.00000000
OU
Notional Amount
USD
-44.75000000
-0.00000869577
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
8.96000000
USD
0.00000000
USD
10000.00000000
USD
-53.71000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
3664.43000000
0.000712068301
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
190133.21000000
USD
661880322.66000000
COP
2021-01-29
3664.43000000
N
N
N
CINEMARK USA INC
54930008H2137JSCPQ09
Cinemark USA Inc
172441BC0
665000.00000000
PA
USD
718200.00000000
0.139559891809
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
8.75000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BM7
25000.00000000
PA
USD
27953.00000000
0.005431798462
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.30000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-6333.06000000
-0.00123063376
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4141759.28000000
NOK
389424.13000000
EUR
2021-03-17
-6333.06000000
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
71376LAD2
255000.00000000
PA
USD
272850.00000000
0.053019933834
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.88000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAX8
650000.00000000
PA
USD
678665.00000000
0.131877490914
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
2.70000000
N
N
N
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
000000000
200000.00000000
PA
USD
223062.50000000
0.043345277592
Long
DBT
CORP
BR
N
2
2024-06-18
Fixed
9.00000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017DD8
475000.00000000
PA
USD
544791.75000000
0.105863377455
Long
DBT
CORP
US
N
2
2025-08-16
Fixed
3.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
1960.70000000
0.000381001225
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
483199.68000000
USD
3171239.50000000
CNY
2021-03-17
1960.70000000
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756CC2
200000.00000000
PA
USD
211000.00000000
0.041001304889
Long
DBT
NUSS
BR
N
2
2030-06-12
Fixed
3.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-5562.70000000
-0.00108093819
N/A
DFE
HU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
241210.39000000
EUR
85987162.25000000
HUF
2021-03-17
-5562.70000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03050A SWAPTION EUR006M JAN21 NEG 0.242 CALL
000000000
-3350000.00000000
NC
-11848.28000000
-0.00230234569
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
3350000.00000000
OU
Notional Amount
N/A
-11848.28000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-13
0.00000000
N/A
0.00000000
N/A
3350000.00000000
EUR
1.00000000
-0.24200000
EUR
2021-01-11
XXXX
2654.36000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JN8
30000.00000000
PA
USD
35545.50000000
0.006907165322
Long
DBT
CORP
US
N
2
2050-07-01
Fixed
4.95000000
N
N
N
N
N
N
BELL CANADA
549300O5ZKB2MUUSKB97
Bell Canada
0778FPAA7
55000.00000000
PA
USD
73093.35000000
0.014203425254
Long
DBT
CORP
CA
N
2
2048-04-01
Fixed
4.46000000
N
N
N
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
22320000.00000000
OU
Notional Amount
62469.34000000
0.012138978462
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-17
35289.34000000
CAD
0.00000000
CAD
22320000.00000000
CAD
34762.09000000
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAB2
100000.00000000
PA
USD
115919.00000000
0.022525261902
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
4.25000000
N
N
N
N
N
N
MOUNTAIN VIEW CLO
N/A
Mountain View CLO 2016-1 LLC
62432FAM6
1200000.00000000
PA
USD
1199996.40000000
0.233182077075
Long
ABS-CBDO
CORP
KY
N
2
2033-04-14
Floating
1.59000000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
State Street Corp
857477BN2
25000.00000000
PA
USD
28494.50000000
0.005537022190
Long
DBT
CORP
US
N
2
2031-03-30
Fixed
3.15000000
N
N
N
N
N
N
NUTRITION & BIOSCIENCES
N/A
Nutrition & Biosciences Inc
67079BAD2
1150000.00000000
PA
USD
1182269.00000000
0.229737306779
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
2.30000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
6385.51000000
0.001240825793
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
467447.80000000
USD
13211009.72000000
TWD
2021-02-17
6385.51000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
4637.55000000
0.000901163988
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
189269.49000000
USD
662253945.51000000
COP
2021-01-29
4637.55000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR21 XCBT 20210322
000000000
140.00000000
NC
USD
-222830.54000000
-0.04330020336
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Long Bond
USH1 Comdty
2021-03-22
24434080.54000000
USD
-222830.54000000
N
N
N
Orix Credit Alliance Owner Trust
N/A
Orec 2018-CRE1 Ltd
685785AA5
1475000.00000000
PA
USD
1450937.15000000
0.281944627785
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
1.34000000
N
N
N
N
N
N
MidOcean Credit CLO
549300T32RO3I7BJ4V26
Midocean Credit Clo VIII
000000000
500000.00000000
PA
USD
497660.50000000
0.096704881004
Long
ABS-CBDO
CORP
KY
N
2
2031-02-20
Floating
1.52000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
2957.41000000
0.000574680896
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
14117899.12000000
THB
474241.34000000
USD
2021-03-17
2957.41000000
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities 2019-3 Trust
949831AA9
175936.23000000
PA
USD
180612.30000000
0.035096398005
Long
ABS-MBS
CORP
US
N
2
2049-07-25
Variable
3.50000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BM8
75000.00000000
PA
USD
109446.75000000
0.021267580881
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
6.60000000
N
N
N
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAQ7
500000.00000000
PA
USD
534270.00000000
0.103818801722
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.72000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CC1
300000.00000000
PA
USD
308445.00000000
0.059936717946
Long
DBT
CORP
DE
N
2
2024-09-18
Fixed
2.22000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376VHU4
597126.28000000
PA
USD
120224.45000000
0.023361892557
Long
ABS-MBS
USGA
US
N
2
2040-02-20
Floating
6.10000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDH1
75000.00000000
PA
USD
90353.25000000
0.017557351426
Long
DBT
CORP
US
N
2
2040-04-01
Fixed
3.75000000
N
N
N
N
N
N
Walmart Inc
Y87794H0US1R65VBXU25
Walmart Inc
931142DP5
65000.00000000
PA
USD
70718.05000000
0.013741859380
Long
DBT
CORP
US
N
2
2024-04-22
Fixed
3.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRK75
53326.22000000
PA
USD
58422.93000000
0.011352684196
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBL8
825000.00000000
PA
USD
886074.75000000
0.172181142084
Long
DBT
CORP
GB
N
2
2026-05-07
Fixed
2.85000000
N
N
N
N
N
N
NXP BV/NXP FDG/NXP USA
N/A
NXP BV / NXP Funding LLC / NXP USA Inc
62954HAD0
275000.00000000
PA
USD
311789.50000000
0.060586617776
Long
DBT
CORP
XX
N
2
2030-05-01
Fixed
3.40000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042616
7000000.00000000
PA
USD
7586250.00000000
1.474152365966
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WVN49
26879.59000000
PA
USD
29482.23000000
0.005728956877
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
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
600000.00000000
OU
Notional Amount
USD
-74343.60000000
-0.01444637256
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
-113486.35000000
USD
600000.00000000
USD
39142.75000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-7348.16000000
-0.00142788695
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
515094077.00000000
KRW
466114.74000000
USD
2021-01-08
-7348.16000000
N
N
N
Ameren Corp
XRZQ5S7HYJFPHJ78L959
Ameren Corp
023608AJ1
125000.00000000
PA
USD
143958.75000000
0.027973917536
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
3.50000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CP2
200000.00000000
PA
USD
248698.00000000
0.048326741817
Long
DBT
CORP
US
N
2
2047-05-04
Fixed
4.05000000
N
N
N
N
N
N
FIRST HORIZON CORP
TF3RXI1ZB1TQ30H9JV10
First Horizon Corp
320517AD7
700000.00000000
PA
USD
781158.00000000
0.151793826184
Long
DBT
CORP
US
N
2
2025-05-26
Fixed
4.00000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAP4
1240000.00000000
PA
USD
1240000.00000000
0.240955535844
Long
DBT
CORP
CA
N
2
2029-02-15
Fixed
3.50000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABE4
1100000.00000000
PA
USD
1273178.50000000
0.247402748139
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
3.88000000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XCS3
125000.00000000
PA
USD
154760.00000000
0.030072805425
Long
DBT
CORP
US
N
2
2029-01-17
Fixed
5.65000000
N
N
N
N
N
N
GAZPROM PJSC (GAZ FN)
213800UNP9N6BPNYMQ45
Gazprom PJSC via Gaz Finance PLC
000000000
280000.00000000
PA
USD
288837.50000000
0.056126608535
Long
DBT
CORP
GB
N
2
2030-02-25
Fixed
3.25000000
N
N
N
N
N
N
Vodafone Group PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBH2
1175000.00000000
PA
USD
1284228.00000000
0.249549875714
Long
DBT
CORP
GB
N
2
2024-01-16
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
2702.46000000
0.000525139272
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
472461.90000000
USD
3105900.75000000
CNY
2021-03-17
2702.46000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAH3
295000.00000000
PA
USD
297624.88000000
0.057834163258
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
1932190000.00000000
OU
Notional Amount
-21676.89000000
-0.00421223116
N/A
DIR
KR
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-11
0.00000000
KRW
-19135945.00000000
KRW
1932190000.00000000
KRW
-4383.55000000
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBC7
325000.00000000
PA
USD
362300.25000000
0.070401815221
Long
DBT
CORP
LU
N
2
2029-07-16
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WPGT5
15387.12000000
PA
USD
16876.99000000
0.003279519491
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201SSU4
14002.41000000
PA
USD
15838.42000000
0.003077705627
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
5.50000000
N
N
N
N
N
N
Harben Finance
213800J7WLPUU61CJY65
Harben Finance 2017-1 PLC
000000000
707931.32000000
PA
967780.08000000
0.188058038512
Long
ABS-MBS
CORP
GB
N
2
2056-08-20
Floating
0.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBJ8
2802935.67000000
PA
USD
3004922.33000000
0.583913443705
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
4.50000000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LBD7
1122000.00000000
PA
USD
1249028.35000000
0.242709915611
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-117926.31000000
-0.02291532033
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5021849.19000000
AUD
3756132.28000000
USD
2021-03-17
-117926.31000000
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBH7
30000.00000000
PA
USD
36263.10000000
0.007046608622
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
3.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-8220.50000000
-0.00159739917
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
356012.67000000
GBP
478862.67000000
USD
2021-03-17
-8220.50000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EML8
1155395.64000000
PA
USD
199419.32000000
0.038750958958
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Floating
5.90000000
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
4640000.00000000
OU
Notional Amount
14516.67000000
0.002820864514
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-16
1011.31000000
AUD
0.00000000
AUD
4640000.00000000
AUD
297602.29000000
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
000000000
200000.00000000
PA
USD
204812.50000000
0.039798956197
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
200000.00000000
PA
USD
207062.50000000
0.040236173903
Long
DBT
NUSS
EG
N
2
2023-11-20
Fixed
4.55000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAG8
550000.00000000
PA
USD
641723.50000000
0.124699056295
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
ALEXANDRIA REAL ESTATE E
MGCJBT4MKTQBVLNUIS88
Alexandria Real Estate Equities Inc
015271AR0
380000.00000000
PA
USD
435388.80000000
0.084604307745
Long
DBT
US
N
2
2031-08-15
Fixed
3.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AM46
909.76000000
PA
USD
922.88000000
0.000179333100
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBF5
615000.00000000
PA
USD
698996.70000000
0.135828326130
Long
DBT
CORP
US
N
2
2024-10-01
Fixed
4.65000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
21359.22000000
0.004150501855
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
771955.27000000
USD
579839.40000000
GBP
2021-03-17
21359.22000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200N3F6
126217.87000000
PA
USD
143822.66000000
0.027947472666
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
20594.45000000
0.004001892528
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
744542.65000000
USD
6562308.04000000
NOK
2021-03-17
20594.45000000
N
N
N
SLM Student Loan Trust
549300L7X3DWAOC00Z83
SLM Student Loan Trust 2005-4
78442GPG5
152110.52000000
PA
USD
150770.58000000
0.029297585397
Long
ABS-O
CORP
US
N
2
2027-01-25
Floating
0.33000000
N
N
N
N
N
N
VALVOLINE INC
549300CMHPBEY6VPOT75
Valvoline Inc
92047WAG6
315000.00000000
PA
USD
323662.50000000
0.062893767032
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
3.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD EUR
000000000
1.00000000
NC
N/A
-9417.47000000
-0.00182999316
N/A
DFE
PL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
395581.99000000
EUR
1772708.52000000
PLN
2021-03-17
-9417.47000000
N
N
N
Barclays PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBE4
1275000.00000000
PA
USD
1330870.50000000
0.258613398763
Long
DBT
CORP
GB
N
2
2023-02-15
Fixed
4.61000000
N
N
N
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAE8
200000.00000000
PA
USD
196400.00000000
0.038164247774
Long
DBT
CORP
NL
N
2
2051-02-08
Fixed
3.83000000
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
71150000.00000000
OU
Notional Amount
845.84000000
0.000164362766
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2041-03-19
0.00000000
JPY
-23916.00000000
JPY
71150000.00000000
JPY
1763.91000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AQC3
512152.04000000
PA
USD
76192.71000000
0.014805689730
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
6.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EPK94
1687460.50000000
PA
USD
1926670.18000000
0.374388585174
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02748A SWAPTION US0003M MAR21 1.10 CALL
000000000
20000000.00000000
NC
USD
40676.00000000
0.007904118851
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
20000000.00000000
OU
Notional Amount
N/A
40676.00000000
0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-03-19
0.00000000
N/A
0.00000000
N/A
20000000.00000000
USD
1.00000000
1.10000000
USD
2021-03-17
XXXX
-199324.00000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215291 IRS CHF R F .00000 CCPVANILLA / Short: SR215291 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
9630000.00000000
OU
Notional Amount
-58514.25000000
-0.01137042940
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-03-17
0.00000000
CHF
-37147.49000000
CHF
9630000.00000000
CHF
-16628.91000000
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135AN6
20000.00000000
PA
USD
22479.00000000
0.004368096363
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8G58
830470.47000000
PA
USD
907700.32000000
0.176383400799
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005864 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005864 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
825000.00000000
OU
Notional Amount
USD
18397.91000000
0.003575063114
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Prudential Financial Inc
Prudential Financial Inc
Y
sell protection
2024-06-20
9654.44000000
USD
0.00000000
USD
825000.00000000
USD
8743.47000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B5SN6
682360.48000000
PA
USD
139683.90000000
0.027143233042
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
5.90000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCA5
650000.00000000
PA
USD
785343.00000000
0.152607051118
Long
DBT
CORP
US
N
2
2039-11-21
Fixed
4.05000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WBD3
705000.00000000
PA
USD
729649.06000000
0.141784661476
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Floating
5.25000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAG5
225000.00000000
PA
USD
249417.00000000
0.048466457164
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
4.00000000
N
N
N
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BH9
425000.00000000
PA
USD
454750.00000000
0.088366556391
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
7.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-7130.98000000
-0.00138568476
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7186448217.33000000
IDR
508433.14000000
USD
2021-01-06
-7130.98000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B8QW0
2766122.09000000
PA
USD
546188.51000000
0.106134794434
Long
ABS-MBS
USGSE
US
N
2
2039-07-15
Floating
5.94000000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AC1
225000.00000000
PA
USD
236778.75000000
0.046010605308
Long
DBT
CORP
CA
N
2
2023-05-15
Fixed
2.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
7361.72000000
0.001430521925
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
488604.02000000
USD
642908.49000000
AUD
2021-03-17
7361.72000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132L5TH6
12848.16000000
PA
USD
14152.48000000
0.002750095485
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AD8
300000.00000000
PA
USD
329133.00000000
0.063956789015
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMWQ0
64125.95000000
PA
USD
70335.01000000
0.013667427438
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAM6
65000.00000000
PA
USD
71716.45000000
0.013935867450
Long
DBT
CORP
US
N
2
2024-03-04
Fixed
4.30000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
200000.00000000
PA
USD
219250.00000000
0.042604436478
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
105000.00000000
PA
USD
116118.45000000
0.022564018823
Long
DBT
US
N
2
2025-02-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-766.42000000
-0.00014892995
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
649802509.27000000
COP
189494.86000000
USD
2021-01-29
-766.42000000
N
N
N
REGENCY CENTERS LP
5493008PTR2GAOYBXW28
Regency Centers LP
75884RAZ6
700000.00000000
PA
USD
746396.00000000
0.145038909783
Long
DBT
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179MAY6
4209.13000000
PA
USD
4650.80000000
0.000903738714
Long
ABS-MBS
USGA
US
N
2
2042-04-20
Fixed
4.00000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
35000.00000000
PA
USD
46036.55000000
0.008945775462
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
000000000
200000.00000000
PA
USD
213562.50000000
0.041499247277
Long
DBT
CORP
TR
N
2
2024-03-28
Fixed
8.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
4830.54000000
0.000938665608
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
183468.46000000
USD
2624699788.76000000
IDR
2021-01-06
4830.54000000
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JVL0
1050000.00000000
PA
USD
1168954.50000000
0.227150046713
Long
DBT
CORP
US
N
2
2024-10-23
Fixed
3.70000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBB3
625000.00000000
PA
USD
726862.50000000
0.141243179977
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.40000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687CR5
1125000.00000000
PA
USD
1225586.25000000
0.238154670638
Long
DBT
CORP
US
N
2
2023-10-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61746BEC6
1550000.00000000
PA
USD
1578938.50000000
0.306817719622
Long
DBT
CORP
US
N
2
2023-10-24
Floating
1.61000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382DJV2
1198119.60000000
PA
USD
201358.14000000
0.039127708484
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Floating
5.90000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967EW7
15000.00000000
PA
USD
26838.15000000
0.005215161947
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-12064.49000000
-0.00234435939
N/A
DFE
PL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
835662.98000000
USD
3075646.74000000
PLN
2021-03-17
-12064.49000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215241 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215241 IRS EUR P F .00000 CCPVANILLA
000000000
7630000.00000000
OU
Notional Amount
-96569.40000000
-0.01876526735
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-85476.35000000
EUR
7630000.00000000
EUR
6916.88000000
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAP1
195000.00000000
PA
USD
208817.70000000
0.040577242578
Long
DBT
CORP
US
N
2
2024-04-23
Fixed
3.56000000
N
N
N
N
N
N
STRYKER CORP
5493002F0SC4JTBU5137
Stryker Corp
863667AY7
850000.00000000
PA
USD
873689.50000000
0.169774452930
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.95000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397YQ0
330000.00000000
PA
USD
335503.41000000
0.065194680592
Long
DBT
CORP
US
N
2
2022-08-03
Fixed
2.98000000
N
N
N
N
N
N
Bausch Health Cos Inc
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
91911KAP7
650000.00000000
PA
USD
719062.50000000
0.139727491929
Long
DBT
CORP
CA
N
2
2025-12-15
Fixed
9.00000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BR9
450000.00000000
PA
USD
453060.00000000
0.088038157314
Long
DBT
CORP
GB
N
2
2024-05-18
Floating
1.22000000
N
N
N
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AZ3
675000.00000000
PA
USD
676478.25000000
0.131452563883
Long
DBT
CORP
US
N
2
2032-02-15
Fixed
1.75000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAY7
50000.00000000
PA
USD
66193.00000000
0.012862556277
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.70000000
N
N
N
N
N
N
PNC FINANCIAL SERVICES
CFGNEKW0P8842LEUIA51
PNC Financial Services Group Inc/The
693475AV7
35000.00000000
PA
USD
38148.25000000
0.007412929048
Long
DBT
CORP
US
N
2
2024-01-23
Fixed
3.50000000
N
N
N
N
N
N
Energizer Holdings Inc
5493000D6NN0V57UME20
Energizer Holdings Inc
29272WAB5
1075000.00000000
PA
USD
1194593.75000000
0.232132239634
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
7.75000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2L7
350000.00000000
PA
USD
366296.00000000
0.071178265288
Long
DBT
CORP
FR
N
2
2026-06-09
Fixed
2.22000000
N
N
N
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
9690000.00000000
OU
Notional Amount
USD
105172.35000000
0.020436983830
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-10
68544.78000000
USD
0.00000000
USD
9690000.00000000
USD
36627.57000000
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AF5
525000.00000000
PA
USD
594079.50000000
0.115440922787
Long
DBT
CORP
CH
N
2
2029-01-12
Fixed
3.87000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BJ7
625000.00000000
PA
USD
645300.00000000
0.125394038129
Long
DBT
CORP
GB
N
2
2023-03-13
Fixed
3.26000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
5212.51000000
0.001012889629
N/A
DFE
SG
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
473062.91000000
USD
632035.70000000
SGD
2021-03-17
5212.51000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BV4
125000.00000000
PA
USD
140987.50000000
0.027396547265
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
3.45000000
N
N
N
N
N
N
MERITOR INC
5LTG829X630QFHTFBO82
Meritor Inc
59001KAG5
165000.00000000
PA
USD
177787.50000000
0.034547485749
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
6.25000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAN1
2331000.00000000
PA
USD
2585685.06000000
0.502447684803
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.46000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264AAW5
60000.00000000
PA
USD
72873.00000000
0.014160607067
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
4.38000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
227000.00000000
PA
USD
266715.92000000
0.051827965662
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
3832.08000000
0.000744645878
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
184828.37000000
USD
2629738048.36000000
IDR
2021-01-06
3832.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WWKV0
19323.76000000
PA
USD
21194.80000000
0.004118551928
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Fixed
3.00000000
N
N
N
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAK6
30000.00000000
PA
USD
40752.00000000
0.007918887094
Long
DBT
CORP
US
N
2
2036-04-01
Fixed
6.60000000
N
N
N
N
N
N
DUKE REALTY LP
2549009GZDBNY1KE9O81
Duke Realty LP
26441YBE6
300000.00000000
PA
USD
303588.00000000
0.058992910657
Long
DBT
US
N
2
2030-07-01
Fixed
1.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38377DKS4
261718.68000000
PA
USD
51471.58000000
0.010001904951
Long
ABS-MBS
USGA
US
N
2
2040-08-20
Floating
5.85000000
N
N
N
N
N
N
EAST OHIO GAS CO/THE
BC95Y6MXLT75BGO7UM71
East Ohio Gas Co/The
27409LAC7
125000.00000000
PA
USD
129142.50000000
0.025094838941
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
2.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02746A SWAPTION US0003M MAR21 0.90 CALL
000000000
-20000000.00000000
NC
USD
-16994.00000000
-0.00330225675
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
20000000.00000000
OU
Notional Amount
N/A
-16994.00000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-03-19
0.00000000
N/A
0.00000000
N/A
20000000.00000000
USD
1.00000000
0.90000000
USD
2021-03-17
XXXX
143006.00000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CN8
150000.00000000
PA
USD
201003.00000000
0.039058698041
Long
DBT
CORP
US
N
2
2045-07-20
Fixed
5.13000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DAZ8
840000.00000000
PA
USD
909409.20000000
0.176715468619
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
3.22000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR213187 IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187 IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
000000000
41260000.00000000
OU
Notional Amount
USD
-13850.98000000
-0.00269150831
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-07-25
13847.94000000
USD
0.00000000
USD
41260000.00000000
USD
-27698.92000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-28617.01000000
-0.00556082820
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2826539.22000000
TRY
349214.14000000
USD
2021-01-19
-28617.01000000
N
N
N
Access Group Inc
635400C9RW3TYNTIJP57
AccessLex Institute
00432CBN0
531523.86000000
PA
USD
518864.24000000
0.100825170144
Long
ABS-O
CORP
US
N
2
2033-09-26
Floating
0.44000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BV1
25000.00000000
PA
USD
27440.00000000
0.005332112825
Long
DBT
CORP
US
N
2
2024-05-22
Fixed
3.63000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308HH3
35000.00000000
PA
USD
39133.15000000
0.007604313812
Long
DBT
CORP
US
N
2
2044-02-15
Fixed
4.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
968.44000000
0.000188186273
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3730460.46000000
MXN
186796.68000000
USD
2021-03-17
968.44000000
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164QNA2
250000.00000000
PA
USD
298090.00000000
0.057924544903
Long
DBT
CORP
IE
N
2
2035-11-15
Fixed
4.42000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAK1
400000.00000000
PA
USD
437504.00000000
0.085015331253
Long
DBT
CORP
IE
N
2
2024-01-16
Fixed
4.88000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBB6
275000.00000000
PA
USD
329177.75000000
0.063965484789
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
5.85000000
N
N
N
N
N
N
AstraZeneca PLC
PY6ZZQWO2IZFZC3IOL08
AstraZeneca PLC
046353AD0
45000.00000000
PA
USD
69051.15000000
0.013417949071
Long
DBT
CORP
GB
N
2
2037-09-15
Fixed
6.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WLA60
754223.45000000
PA
USD
830499.73000000
0.161381860855
Long
ABS-MBS
USGSE
US
N
2
2047-07-01
Fixed
4.50000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BJ9
850000.00000000
PA
USD
928013.00000000
0.180330540068
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.52000000
N
N
N
N
N
N
MID-AMERICA APARTMENTS
549300FXWGE3QSYCUJ38
Mid-America Apartments LP
59523UAS6
325000.00000000
PA
USD
324821.25000000
0.063118934151
Long
DBT
US
N
2
2031-02-15
Fixed
1.70000000
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
28450000.00000000
OU
Notional Amount
-34069.34000000
-0.00662031941
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-11-25
0.00000000
AUD
-31358.52000000
AUD
28450000.00000000
AUD
-10810.25000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGL8
600000.00000000
PA
USD
703770.00000000
0.136755868920
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RAZ2
400266.40000000
PA
USD
33986.70000000
0.006604260895
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Floating
3.64000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2R3
70000.00000000
PA
USD
71950.90000000
0.013981425535
Long
DBT
CORP
US
N
2
2024-06-02
Fixed
1.65000000
N
N
N
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAB7
375000.00000000
PA
USD
378345.00000000
0.073519614684
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
1.57000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
6406.46000000
0.001244896775
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
464456.94000000
USD
34484069.97000000
INR
2021-01-27
6406.46000000
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AP2
325000.00000000
PA
USD
313262.30000000
0.060872810771
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
2.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
21734.75000000
0.004223474461
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
468510.43000000
USD
36440741.25000000
RUB
2021-02-08
21734.75000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JF5
250000.00000000
PA
USD
254242.50000000
0.049404143404
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
-19900000.00000000
NC
USD
-1685.53000000
-0.00032753047
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
19900000.00000000
OU
Notional Amount
N/A
-1685.53000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-01-08
0.00000000
N/A
0.00000000
N/A
19900000.00000000
USD
1.00000000
0.48000000
USD
2021-01-06
XXXX
48561.97000000
N
N
N
Entercom Media Corp
549300S5JUSXRHNCHD80
Entercom Media Corp
124847AC8
400000.00000000
PA
USD
401000.00000000
0.077921911188
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
7.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QCY9
304376.95000000
PA
USD
58487.28000000
0.011365188622
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Floating
6.10000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
20000.00000000
PA
27578.75000000
0.005359074584
Long
DBT
NUSS
RO
N
2
2029-03-11
Fixed
2.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140GULV7
323731.25000000
PA
USD
357280.23000000
0.069426330053
Long
ABS-MBS
USGSE
US
N
2
2047-11-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
927.72000000
0.000180273604
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8488950.10000000
THB
284305.98000000
USD
2021-03-17
927.72000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382J3W4
1291797.08000000
PA
USD
73701.03000000
0.014321509012
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
27540000.00000000
OU
Notional Amount
-14292.49000000
-0.00277730208
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-09-30
3296.14000000
CAD
0.00000000
CAD
27540000.00000000
CAD
-16767.92000000
N
N
N
BANK OF NY MELLON CORP
WFLLPEPC7FZXENRZV188
Bank of New York Mellon Corp/The
06406RAN7
40000.00000000
PA
USD
41783.20000000
0.008119268826
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
1.60000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-5359.71000000
-0.00104149338
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
20520847.89000000
INR
274842.60000000
USD
2021-01-27
-5359.71000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD JPY
000000000
1.00000000
NC
N/A
987.09000000
0.000191810322
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
45638115.00000000
JPY
362296.40000000
EUR
2021-03-17
987.09000000
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAY4
500000.00000000
PA
USD
570415.00000000
0.110842461273
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.60000000
N
N
N
N
N
N
Banco Santander SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAB1
600000.00000000
PA
USD
695454.00000000
0.135139912278
Long
DBT
CORP
ES
N
2
2027-04-11
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416MVP6
4937.57000000
PA
USD
5547.33000000
0.001077951510
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
Tenet Healthcare Corp
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GCN8
500000.00000000
PA
USD
536250.00000000
0.104203553303
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
6.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
16868.46000000
0.003277861950
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
962000.00000000
USD
71688240.00000000
INR
2021-01-27
16868.46000000
N
N
N
Arch Capital Finance LLC
549300XG4URFY0200M65
Arch Capital Finance LLC
03939CAA1
1000000.00000000
PA
USD
1160150.00000000
0.225439165249
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
4.01000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAT5
555000.00000000
PA
USD
560550.00000000
0.108925504530
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GQY6
207712.46000000
PA
USD
36442.92000000
0.007081551061
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Floating
5.45000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W4AP6
13581.35000000
PA
USD
14896.38000000
0.002894649375
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
AID-ISRAEL
213800T8ZHTFZIBYPE21
Israel Government AID Bond
46513EFG2
40000.00000000
PA
USD
58777.20000000
0.011421525581
Long
DBT
NUSS
IL
N
2
2033-09-18
Fixed
5.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31394EZ35
38901.17000000
PA
USD
44667.77000000
0.008679795528
Long
ABS-MBS
USGSE
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JX62
620000.00000000
PA
USD
726756.25000000
0.141222533586
Long
DBT
NUSS
EG
N
2
2050-05-29
Fixed
8.88000000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAM4
100000.00000000
PA
USD
106769.00000000
0.020747243231
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
2.05000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: CS005484 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005484 CDS USD P F 1.00000 2 CORPORATE
000000000
460000.00000000
OU
Notional Amount
USD
-2058.36000000
-0.00039997841
N/A
DCR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
500.47000000
USD
0.00000000
USD
460000.00000000
USD
-2558.83000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAH3
130000.00000000
PA
USD
139140.63000000
0.027037665370
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABG9
375000.00000000
PA
USD
384142.50000000
0.074646178974
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
1.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MQHG1
12418.21000000
PA
USD
13605.09000000
0.002643727218
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAH4
675000.00000000
PA
USD
687089.25000000
0.133514482585
Long
DBT
CORP
KY
N
2
2025-02-15
Fixed
2.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
85872.02000000
0.016686563381
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3709868.24000000
USD
5273819.38000000
NZD
2021-03-17
85872.02000000
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
3100000.00000000
OU
Notional Amount
35167.80000000
0.006833771043
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-19
44186.30000000
AUD
0.00000000
AUD
3100000.00000000
AUD
7134.64000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-1921.28000000
-0.00037334117
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
309164.05000000
GBP
421065.36000000
USD
2021-03-17
-1921.28000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005922 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005922 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
475000.00000000
OU
Notional Amount
USD
4294.38000000
0.000834479543
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2024-12-20
0.00000000
USD
-6001.28000000
USD
475000.00000000
USD
10295.66000000
N
N
N
CIT BANK NA
FVPV0TNOIM6NUIE59530
CIT Bank NA
12556LBJ4
600000.00000000
PA
USD
625362.00000000
0.121519706295
Long
DBT
CORP
US
N
2
2025-09-27
Fixed
2.97000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCA7
350000.00000000
PA
USD
393169.00000000
0.076400199251
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
3.15000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
1255.38000000
0.000243944161
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
673007.01000000
CAD
530079.96000000
USD
2021-03-11
1255.38000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
12000000.00000000
PA
USD
12704364.00000000
2.468699060628
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAE9
338673.93000000
PA
USD
338249.47000000
0.065728292171
Long
ABS-MBS
USGSE
US
N
2
2031-04-25
Floating
2.55000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G4B7
55000.00000000
PA
USD
80891.80000000
0.015718812108
Long
DBT
CORP
US
N
2
2039-01-10
Fixed
6.88000000
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
3440000.00000000
OU
Notional Amount
-11146.66000000
-0.00216600760
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-05-18
0.00000000
EUR
-8017.46000000
EUR
3440000.00000000
EUR
-1633.53000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-3790.38000000
-0.00073654277
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
649469063.49000000
COP
186373.26000000
USD
2021-01-29
-3790.38000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CU9
150000.00000000
PA
USD
159298.50000000
0.030954722118
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
4.88000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WVH46
18159.94000000
PA
USD
19918.29000000
0.003870501806
Long
ABS-MBS
USGSE
US
N
2
2043-05-01
Fixed
3.00000000
N
N
N
N
N
N
UBS Switzerland AG
549300WOIFUSNYH0FL22
OPS03020A SWAPTION EUR006M JAN21 NEG 0.25 PUT
000000000
-3350000.00000000
NC
-229.18000000
-0.00004453402
N/A
DIR
DE
N
2
UBS Switzerland AG
549300WOIFUSNYH0FL22
Put
Written
UBS Switzerland AG
549300WOIFUSNYH0FL22
UBS Switzerland AG
549300WOIFUSNYH0FL22
IRS Swap
N/A
3350000.00000000
OU
Notional Amount
N/A
-229.18000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-06
0.00000000
N/A
0.00000000
N/A
3350000.00000000
EUR
1.00000000
-0.25000000
EUR
2021-01-04
XXXX
13657.09000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-5342.28000000
-0.00103810640
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
547362.69000000
CAD
424761.62000000
USD
2021-03-17
-5342.28000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EQP5
1769182.42000000
PA
USD
200072.59000000
0.038877901718
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY51
1451.37000000
PA
USD
1502.98000000
0.000292057541
Long
ABS-MBS
USGSE
US
N
2
2023-10-01
Fixed
5.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAE2
50000.00000000
PA
USD
52766.00000000
0.010253435326
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UYD3
249881.74000000
PA
USD
49883.89000000
0.009693386649
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Floating
6.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YRQ0
281792.05000000
PA
USD
43201.34000000
0.008394840345
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Floating
6.05000000
N
N
N
N
N
N
UDR INC
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90265EAT7
150000.00000000
PA
USD
152560.50000000
0.029645400827
Long
DBT
US
N
2
2032-08-01
Fixed
2.10000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418QAH6
98066.61000000
PA
USD
109606.47000000
0.021298617508
Long
ABS-MBS
USGSE
US
N
2
2040-06-01
Fixed
4.50000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AL5
500000.00000000
PA
USD
525000.00000000
0.102017464772
Long
DBT
CORP
US
N
2
2031-05-01
Fixed
4.00000000
N
N
N
N
N
N
WPX ENERGY INC
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAM5
340000.00000000
PA
USD
369750.00000000
0.071849443047
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
5.88000000
N
N
N
N
N
N
GROUP 1 AUTOMOTIVE INC
549300US8QAZJLWYAF63
Group 1 Automotive Inc
398905AN9
115000.00000000
PA
USD
117587.50000000
0.022849483121
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
-69.00000000
NC
USD
-9097.55000000
-0.00176782664
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUH1 Comdty
2021-03-31
-15237207.17000000
USD
-9097.55000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200KFF9
7723.44000000
PA
USD
8369.69000000
0.001626389628
Long
ABS-MBS
USGA
US
N
2
2034-05-15
Fixed
5.50000000
N
N
N
N
N
N
Bacardi Ltd
549300R32WTQNHNN5055
Bacardi Ltd
067316AH2
600000.00000000
PA
USD
828330.00000000
0.160960241133
Long
DBT
CORP
BM
N
2
2048-05-15
Fixed
5.30000000
N
N
N
N
N
N
HP Inc
WHKXQACZ14C5XRO8LW03
HP Inc
428236BR3
30000.00000000
PA
USD
39140.70000000
0.007605780920
Long
DBT
CORP
US
N
2
2041-09-15
Fixed
6.00000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DZ7
450000.00000000
PA
USD
481882.50000000
0.093638916130
Long
DBT
CORP
US
N
2
2050-10-15
Fixed
3.00000000
N
N
N
N
N
N
London Wall Mortgage Capital
213800QSO8J75OTK5919
London Wall Mortgage Capital PLC
000000000
583405.77000000
PA
796933.46000000
0.154859297489
Long
ABS-MBS
CORP
GB
N
2
2049-11-15
Floating
0.90000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
81814.28000000
0.015898067481
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1353503.76000000
USD
10997894.80000000
TRY
2021-03-17
81814.28000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
554.81000000
0.000107810113
N/A
DFE
BR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
454262.80000000
USD
2363465.75000000
BRL
2021-02-02
554.81000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YG9
60000.00000000
PA
USD
63946.88000000
0.012426092529
Long
DBT
UST
US
N
1
2026-09-30
Fixed
1.63000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214055 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214055 IRS EUR P F .75000 2 CCPVANILLA
000000000
3410000.00000000
OU
Notional Amount
-208607.11000000
-0.04053632094
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2040-06-19
0.00000000
EUR
-166380.30000000
EUR
3410000.00000000
EUR
190472.94000000
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
228227BD5
575000.00000000
PA
USD
628849.33000000
0.122197360705
Long
DBT
US
N
2
2023-01-15
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200AGF0
10715.46000000
PA
USD
11853.32000000
0.002303325058
Long
ABS-MBS
USGA
US
N
2
2032-11-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-12264.84000000
-0.00238329120
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
352646.09000000
GBP
470212.30000000
USD
2021-03-17
-12264.84000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NZD
000000000
1.00000000
NC
N/A
-6048.42000000
-0.00117532280
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
670789.94000000
NZD
389557.03000000
EUR
2021-03-17
-6048.42000000
N
N
N
ANTERO MIDSTREAM PART/FI
N/A
Antero Midstream Partners LP / Antero Midstream Finance Corp
03690AAD8
340000.00000000
PA
USD
333200.00000000
0.064747084309
Long
DBT
CORP
US
N
2
2027-03-01
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
13294.68000000
0.002583408663
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
660893.35000000
USD
9397506965.36000000
IDR
2021-01-06
13294.68000000
N
N
N
MOLSON COORS BEVERAGE
54930073LBBH6ZCBE225
Molson Coors Beverage Co
60871RAD2
20000.00000000
PA
USD
24853.20000000
0.004829448486
Long
DBT
CORP
US
N
2
2042-05-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3622.09000000
-0.00070384083
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
455680.32000000
EUR
553356.76000000
USD
2021-01-21
-3622.09000000
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348AW6
500000.00000000
PA
USD
567145.00000000
0.110207038206
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.45000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
800000.00000000
PA
USD
825184.00000000
0.160348913620
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
4.60000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
05565AHN6
200000.00000000
PA
USD
218376.00000000
0.042434601689
Long
DBT
CORP
FR
N
2
2024-03-25
Fixed
6.63000000
N
N
N
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAU3
35000.00000000
PA
USD
38272.15000000
0.007437005170
Long
DBT
CORP
US
N
2
2027-10-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138M6P76
11587.87000000
PA
USD
12695.39000000
0.002466955242
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
200000.00000000
PA
USD
225592.86000000
0.043836974567
Long
DBT
CORP
VG
N
2
2025-01-16
Fixed
5.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BQ6
1012000.00000000
PA
USD
1123492.04000000
0.218315827834
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
4.50000000
N
N
N
N
N
N
Altria Group Inc
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
820000.00000000
PA
USD
895407.20000000
0.173994614253
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BE6
166000.00000000
PA
USD
176790.00000000
0.034353652566
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
6.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-3557.77000000
-0.00069134223
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2636542162.99000000
IDR
185590.82000000
USD
2021-01-06
-3557.77000000
N
N
N
NIELSEN FINANCE LLC/CO
N/A
Nielsen Finance LLC / Nielsen Finance Co
65409QBF8
83000.00000000
PA
USD
93893.75000000
0.018245337777
Long
DBT
CORP
US
N
2
2030-10-01
Fixed
5.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-5325.80000000
-0.00103490402
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
13957336.82000000
RUB
182445.27000000
USD
2021-02-08
-5325.80000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-3993.92000000
-0.00077609446
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
420645.61000000
EUR
510161.94000000
USD
2021-01-21
-3993.92000000
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAD1
800000.00000000
PA
USD
921840.00000000
0.179131009002
Long
DBT
US
N
2
2025-11-01
Fixed
4.63000000
N
N
N
N
N
N
IRB HOLDING CORP
549300HVW4WNWYBXN830
IRB Holding Corp
44988MAC9
254000.00000000
PA
USD
276225.00000000
0.053675760393
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.00000000
N
N
N
N
N
N
Boston Properties LP
BVHHEFJI6SHNOKQT2572
Boston Properties LP
10112RAS3
75000.00000000
PA
USD
75301.50000000
0.014632510711
Long
DBT
US
N
2
2021-05-15
Fixed
4.13000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-178.86000000
-0.00003475589
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1240021987.62000000
COP
362897.86000000
USD
2021-01-29
-178.86000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MRXV8
14383.28000000
PA
USD
15757.98000000
0.003062074608
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-2578.01000000
-0.00050095627
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
307000.00000000
GBP
417447.86000000
USD
2021-03-17
-2578.01000000
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2017-RC1
95001FAC9
150000.00000000
PA
USD
113123.21000000
0.021981986840
Long
ABS-MBS
CORP
US
N
2
2060-01-15
Fixed
3.25000000
N
N
N
N
N
N
Crown City CLO I
549300K60T4GC7BSX929
Crown City CLO I
22823RAC3
1200000.00000000
PA
USD
1203230.40000000
0.233810504658
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
2.86000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FQJA2
195710.99000000
PA
USD
25869.22000000
0.005026880457
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
5.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-63323.53000000
-0.01230496379
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5382503.54000000
NZD
3810640.27000000
USD
2021-03-17
-63323.53000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BBWT5
947063.48000000
PA
USD
144620.00000000
0.028102410962
Long
ABS-MBS
USGSE
US
N
2
2048-06-25
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MTQ7
1278659.63000000
PA
USD
223027.39000000
0.043338455052
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Floating
5.56000000
N
N
N
N
N
N
Sprint Capital Corp
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AD4
10000.00000000
PA
USD
13187.50000000
0.002562581555
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
6.88000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAB6
425000.00000000
PA
USD
469149.00000000
0.091164555391
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
4.21000000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CR5
645000.00000000
PA
USD
636937.50000000
0.123769045654
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.75000000
N
N
N
N
N
N
NISOURCE INC
549300D8GOWWH0SJB189
NiSource Inc
65473PAJ4
100000.00000000
PA
USD
115749.00000000
0.022492227676
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.60000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAH3
385000.00000000
PA
USD
487991.35000000
0.094825981634
Long
DBT
CORP
US
N
2
2036-02-01
Fixed
4.70000000
N
N
N
N
N
N
Kilroy Realty LP
5493008CT3N3JR7P1552
Kilroy Realty LP
49427RAN2
500000.00000000
PA
USD
588650.00000000
0.114385867882
Long
DBT
US
N
2
2028-12-15
Fixed
4.75000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
1900000.00000000
PA
USD
2208978.00000000
0.429246352949
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.91000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AA6
800000.00000000
PA
USD
844160.00000000
0.164036310595
Long
DBT
US
N
2
2023-04-15
Fixed
3.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR21 XCBT 20210322
000000000
124.00000000
NC
USD
-272433.88000000
-0.05293907382
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNH1 Comdty
2021-03-22
26692183.88000000
USD
-272433.88000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-197.68000000
-0.00003841297
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
13316933.40000000
TWD
473945.95000000
USD
2021-01-04
-197.68000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02890A SWAPTION US0003M JAN21 0.51 PUT
000000000
-19930000.00000000
NC
USD
-9020.32000000
-0.00175281938
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
19930000.00000000
OU
Notional Amount
N/A
-9020.32000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-01-22
0.00000000
N/A
0.00000000
N/A
19930000.00000000
USD
1.00000000
0.51000000
USD
2021-01-20
XXXX
46783.68000000
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
1720000.00000000
OU
Notional Amount
-54808.06000000
-0.01065024634
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
0.00000000
EUR
-44834.28000000
EUR
1720000.00000000
EUR
-527.18000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03077A SWAPTION EUR006M MAR21 NEG 0.02 CALL
000000000
-500000.00000000
NC
-15302.21000000
-0.00297350984
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
500000.00000000
OU
Notional Amount
N/A
-15302.21000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-12
0.00000000
N/A
0.00000000
N/A
500000.00000000
EUR
1.00000000
-0.02000000
EUR
2021-03-10
XXXX
543.09000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-10546.57000000
-0.00204939873
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
36161795.30000000
RUB
476731.18000000
USD
2021-01-25
-10546.57000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
86188.12000000
0.016747987611
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3006037.77000000
USD
26520918.57000000
NOK
2021-03-17
86188.12000000
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAA4
420000.00000000
PA
USD
341250.00000000
0.066311352102
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WN5M7
55679.77000000
PA
USD
61071.02000000
0.011867258345
Long
ABS-MBS
USGSE
US
N
2
2043-04-01
Fixed
3.00000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AZ7
200000.00000000
PA
USD
203348.00000000
0.039514376050
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
1.30000000
N
N
N
N
N
N
NEW YORK LIFE INSURANCE
TAE73CY392TBWJ3O3305
New York Life Insurance Co
64952GAT5
275000.00000000
PA
USD
326779.75000000
0.063499507874
Long
DBT
CORP
US
N
2
2050-05-15
Fixed
3.75000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGG8
5000.00000000
PA
USD
6615.45000000
0.001285507499
Long
DBT
CORP
US
N
2
2048-01-20
Fixed
4.44000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ3P3
1012076.15000000
PA
USD
1087427.18000000
0.211307741006
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-4054.47000000
-0.00078786047
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
350962.13000000
GBP
476118.74000000
USD
2021-03-17
-4054.47000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FWBW9
1403202.97000000
PA
USD
112445.11000000
0.021850219139
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.00000000
N
N
N
N
N
N
AMERICAN HONDA FINANCE
B6Q2VFHD1797Q7NZ3E43
American Honda Finance Corp
02665WBP5
65000.00000000
PA
USD
69651.40000000
0.013534589039
Long
DBT
CORP
US
N
2
2024-02-16
Fixed
2.90000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DE7
195000.00000000
PA
USD
208891.80000000
0.040591641614
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.63000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAC8
250000.00000000
PA
USD
258125.00000000
0.050158586846
Long
DBT
CORP
MX
N
2
2028-04-30
Fixed
3.88000000
N
N
N
N
N
N
GLAXOSMITHKLINE CAPITAL
549300U0LV41VX7LEP38
GlaxoSmithKline Capital PLC
377373AG0
25000.00000000
PA
USD
27006.00000000
0.005247778387
Long
DBT
CORP
GB
N
2
2024-06-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-9681.47000000
-0.00188129338
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
513913142.00000000
KRW
462695.94000000
USD
2021-01-08
-9681.47000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-6327.34000000
-0.00122952225
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
505787097.00000000
KRW
458580.79000000
USD
2021-01-08
-6327.34000000
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAH8
275000.00000000
PA
USD
300627.25000000
0.058417580736
Long
DBT
CORP
LU
N
2
2029-11-15
Fixed
2.60000000
N
N
N
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAJ9
2050000.00000000
PA
USD
2666230.00000000
0.518099095430
Long
DBT
CORP
US
N
2
2046-02-01
Fixed
4.90000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
605.36000000
0.000117632938
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
18637650.78000000
TWD
667657.20000000
USD
2021-02-05
605.36000000
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
22540A7A0
832.21000000
PA
USD
797.67000000
0.000155002421
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Floating
0.77000000
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
153770000.00000000
OU
Notional Amount
-141562.00000000
-0.02750818352
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
SEK
-748926.23000000
SEK
153770000.00000000
SEK
-53278.82000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-9000.66000000
-0.00174899907
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1490506.44000000
TRY
190239.37000000
USD
2021-01-19
-9000.66000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-1572.96000000
-0.00030565598
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3048043.83000000
CNY
464740.01000000
USD
2021-03-17
-1572.96000000
N
N
N
Applied Materials Inc
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222AM7
15000.00000000
PA
USD
20778.00000000
0.004037559777
Long
DBT
CORP
US
N
2
2047-04-01
Fixed
4.35000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7LA2
529.38000000
PA
USD
604.43000000
0.000117452221
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
BOOKING HOLDINGS INC
FXM8FAOHMYDIPD38UZ17
Booking Holdings Inc
09857LAP3
175000.00000000
PA
USD
198674.00000000
0.038606129135
Long
DBT
CORP
US
N
2
2025-04-13
Fixed
4.10000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DVLL7
3999999.75000000
PA
USD
4312303.73000000
0.837962464504
Long
ABS-MBS
USGSE
US
N
2
2050-12-01
Fixed
3.00000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHX0
525000.00000000
PA
USD
574224.00000000
0.111582622269
Long
DBT
CORP
US
N
2
2030-10-22
Fixed
2.88000000
N
N
N
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816CC1
65000.00000000
PA
USD
70831.80000000
0.013763963164
Long
DBT
CORP
US
N
2
2024-02-22
Fixed
3.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
6695.83000000
0.001301126859
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
467447.80000000
USD
13316933.40000000
TWD
2021-01-04
6695.83000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BY7
430000.00000000
PA
USD
468700.00000000
0.091077306169
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
98288.72000000
PA
USD
100298.50000000
0.019489902267
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
5.40000000
N
N
N
N
N
N
Boston Scientific Corp
Y6ZDD9FP4P8JSSJMW954
Boston Scientific Corp
101137AV9
65000.00000000
PA
USD
70366.40000000
0.013673527110
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
3.45000000
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
11840000.00000000
OU
Notional Amount
-21.90000000
-0.00000425558
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
49474.83000000
CNY
0.00000000
CNY
11840000.00000000
CNY
-7553.78000000
N
N
N
CREDIT SUISSE NEW YORK
549300D0YARF5HYP1809
Credit Suisse AG/New York NY
22550L2C4
300000.00000000
PA
USD
328941.00000000
0.063919479771
Long
DBT
CORP
CH
N
2
2025-04-09
Fixed
2.95000000
N
N
N
N
N
N
BRITISH TELECOMMUNICATIO
549300OWFMSO9NYV4H90
British Telecommunications PLC
111021AE1
25000.00000000
PA
USD
41350.00000000
0.008035089844
Long
DBT
CORP
GB
N
2
2030-12-15
Fixed
9.63000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297KFM9
93941.95000000
PA
USD
107506.98000000
0.020890646752
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAN3
175000.00000000
PA
USD
257145.00000000
0.049968154245
Long
DBT
CORP
US
N
2
2036-07-15
Fixed
8.10000000
N
N
N
N
N
N
Dominion Energy Inc
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDG1
225000.00000000
PA
USD
256171.50000000
0.049778984718
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.38000000
N
N
N
N
N
N
Simon Property Group LP
MR92GTD0MJTTTTQDVG45
Simon Property Group LP
828807CS4
20000.00000000
PA
USD
21750.20000000
0.004226476690
Long
DBT
US
N
2
2024-10-01
Fixed
3.38000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BK9
700000.00000000
PA
USD
844893.00000000
0.164178746408
Long
DBT
CORP
JP
N
2
2039-07-18
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WMKE0
13098.87000000
PA
USD
14367.18000000
0.002791815770
Long
ABS-MBS
USGSE
US
N
2
2043-03-01
Fixed
3.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDC3
400000.00000000
PA
USD
446464.00000000
0.086756429318
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
4.45000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
16539.47000000
0.003213932948
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
181426.17000000
USD
1480972.75000000
TRY
2021-01-19
16539.47000000
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713AY2
700000.00000000
PA
USD
780934.00000000
0.151750298733
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
4.85000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QWF4
82987.68000000
PA
USD
91177.00000000
0.017717421686
Long
ABS-MBS
USGA
US
N
2
2044-12-20
Fixed
4.00000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AL1
700000.00000000
PA
USD
699619.20000000
0.135949289695
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.65000000
N
N
N
N
N
N
VEREIT OPERATING PARTNER
5493005TQOUJE1LCS698
VEREIT Operating Partnership LP
92340LAG4
400000.00000000
PA
USD
417800.00000000
0.081186470061
Long
DBT
US
N
2
2032-12-15
Fixed
2.85000000
N
N
N
N
N
N
US Bancorp
N1GZ7BBF3NP8GI976H15
US Bancorp
91159HHR4
60000.00000000
PA
USD
67687.20000000
0.013152907698
Long
DBT
CORP
US
N
2
2027-04-27
Fixed
3.15000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-118504.29000000
-0.02302763281
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
41701485.07000000
SEK
4953069.86000000
USD
2021-02-26
-118504.29000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
1000.50000000
0.000194416140
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3798928.03000000
MXN
190239.37000000
USD
2021-03-17
1000.50000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CF5
950000.00000000
PA
USD
1038312.00000000
0.201763729301
Long
DBT
CORP
US
N
2
2024-08-12
Fixed
3.38000000
N
N
N
N
N
N
AIB Group PLC
635400AKJBGNS5WNQL34
AIB Group PLC
00135TAA2
1300000.00000000
PA
USD
1429194.00000000
0.277719521044
Long
DBT
CORP
IE
N
2
2023-10-12
Fixed
4.75000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2D5
550000.00000000
PA
USD
602211.50000000
0.117021124737
Long
DBT
CORP
FR
N
2
2025-01-09
Fixed
3.38000000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
Chemours Co/The
163851AF5
985000.00000000
PA
USD
1004700.00000000
0.195232279727
Long
DBT
CORP
US
N
2
2028-11-15
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
167189.62000000
0.032488116511
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4649448.34000000
USD
5240160746.00000000
KRW
2021-01-08
167189.62000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022622
6000000.00000000
PA
USD
6339760.20000000
1.231935738802
Long
ABS-MBS
USGA
US
N
2
2051-02-20
Fixed
2.50000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KA8
1125000.00000000
PA
USD
1327916.25000000
0.258039331915
Long
DBT
CORP
US
N
2
2027-09-29
Fixed
4.45000000
N
N
N
N
N
N
NEWCREST FINANCE PTY LTD
549300I0XDZ4K7PDSS04
Newcrest Finance Pty Ltd
65120FAD6
150000.00000000
PA
USD
166275.00000000
0.032310388485
Long
DBT
CORP
AU
N
2
2030-05-13
Fixed
3.25000000
N
N
N
N
N
N
Target Corp
8WDDFXB5T1Z6J0XC1L66
Target Corp
87612EBD7
65000.00000000
PA
USD
72003.75000000
0.013991695293
Long
DBT
CORP
US
N
2
2024-07-01
Fixed
3.50000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887CK3
25000.00000000
PA
USD
29683.75000000
0.005768116037
Long
DBT
CORP
US
N
2
2050-05-20
Fixed
3.79000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03143A SWAPTION US0003M JAN21 0.948 PUT
000000000
-3780000.00000000
NC
USD
-23863.90000000
-0.00463720871
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-23863.90000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.94800000
USD
2021-01-29
XXXX
1367.60000000
N
N
N
Chevron Corp
N/A
Chevron Corp
166764BT6
65000.00000000
PA
USD
69711.85000000
0.013546335622
Long
DBT
CORP
US
N
2
2024-03-03
Fixed
2.90000000
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
2163360000.00000000
OU
Notional Amount
-24069.23000000
-0.00467710823
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-13
0.00000000
JPY
-2017477.00000000
JPY
2163360000.00000000
JPY
60652.73000000
N
N
N
NETAPP INC
QTX3D84DZDD5JYOCYH15
NetApp Inc
64110DAJ3
35000.00000000
PA
USD
37363.55000000
0.007260446944
Long
DBT
CORP
US
N
2
2027-06-22
Fixed
2.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-1492.54000000
-0.00029002885
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
628375.60000000
SGD
474013.20000000
USD
2021-03-17
-1492.54000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03027A SWAPTION EUR006M MAR21 0.021 CALL
000000000
-870000.00000000
NC
-32684.00000000
-0.00635112155
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
870000.00000000
OU
Notional Amount
N/A
-32684.00000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-04
0.00000000
N/A
0.00000000
N/A
870000.00000000
EUR
1.00000000
0.02100000
EUR
2021-03-02
XXXX
-3728.78000000
N
N
N
WILLIS NORTH AMERICA INC
5493004KVU1HWZCP0C66
Willis North America Inc
970648AJ0
205000.00000000
PA
USD
223946.10000000
0.043516977843
Long
DBT
CORP
US
N
2
2029-09-15
Fixed
2.95000000
N
N
N
N
N
N
KRATON POLYMERS LLC/CAP
N/A
Kraton Polymers LLC / Kraton Polymers Capital Corp
50076XAC5
305000.00000000
PA
USD
311100.00000000
0.060452634839
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
4.25000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
1050000.00000000
PA
USD
1193957.10000000
0.232008526456
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
538000.00000000
PA
USD
571625.00000000
0.111077587239
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-13102.56000000
-0.00254607610
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
675163515.95000000
COP
184584.38000000
USD
2021-01-29
-13102.56000000
N
N
N
GFL ENVIRONMENTAL INC
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAK0
400000.00000000
PA
USD
408500.00000000
0.079379303542
Long
DBT
CORP
CA
N
2
2025-08-01
Fixed
3.75000000
N
N
N
N
N
N
Dollar Tree Inc
549300PMSTQITB1WHR43
Dollar Tree Inc
256746AG3
525000.00000000
PA
USD
592599.00000000
0.115153233536
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.00000000
N
N
N
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAB8
225000.00000000
PA
USD
249781.50000000
0.048537286432
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.20000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
1962.62000000
0.000381374317
N/A
DFE
TH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
475092.38000000
USD
14290778.79000000
THB
2021-03-17
1962.62000000
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZJ5
250000.00000000
PA
USD
266261.25000000
0.051739614651
Long
DBT
CORP
US
N
2
2025-06-09
Fixed
4.69000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AU8
375000.00000000
PA
USD
401632.50000000
0.078044817943
Long
DBT
CORP
US
N
2
2023-04-06
Fixed
3.70000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023BS3
25000.00000000
PA
USD
24444.50000000
0.004750030319
Long
DBT
CORP
US
N
2
2046-06-15
Fixed
3.38000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
9000000.00000000
PA
USD
9514690.20000000
1.848884899622
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
3.50000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAQ4
50000.00000000
PA
USD
60444.50000000
0.011745513618
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
26180000.00000000
OU
Notional Amount
USD
-39670.55000000
-0.00770874083
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-17
9481.41000000
USD
0.00000000
USD
26180000.00000000
USD
-49151.96000000
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBL5
130000.00000000
PA
USD
141050.00000000
0.027408692202
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
5121.56000000
0.000995216317
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
475150.84000000
USD
7127685.48000000
ZAR
2021-03-17
5121.56000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380Y2Z7
702741.41000000
PA
USD
123131.26000000
0.023926740913
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.05000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJF7
600000.00000000
PA
USD
606840.00000000
0.117920530138
Long
DBT
CORP
US
N
2
2031-07-23
Fixed
1.90000000
N
N
N
N
N
N
WALGREENS BOOTS ALLIANCE
549300RPTUOIXG4LIH86
Walgreens Boots Alliance Inc
931427AT5
275000.00000000
PA
USD
291335.00000000
0.056611920189
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
4.10000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FVA93
1827740.94000000
PA
USD
254295.61000000
0.049414463685
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Fixed
4.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BX002990 CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX002990 CDS EUR P F 1.00000 2 CCPCDX
000000000
7650000.00000000
OU
Notional Amount
-243260.97000000
-0.04727022369
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S34.V1
2I666VCX1
Y
buy protection
2025-12-20
0.00000000
EUR
-157793.57000000
EUR
7650000.00000000
EUR
-58617.14000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002967 CDS USD R F 1.00000 2 CCPCDX / Short: SX002967 CDS USD P V 03MEVENT 1 CCPCDX
000000000
7575000.00000000
OU
Notional Amount
USD
109023.95000000
0.021185422816
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2023-06-20
79938.37000000
USD
0.00000000
USD
7575000.00000000
USD
29085.58000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
20935.06000000
0.004068079516
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
371378.04000000
USD
2934878.10000000
TRY
2021-01-19
20935.06000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215238 IRS EUR R F .00000 CCPVANILLA / Short: SR215238 IRS EUR P V 06MLIBOR CCPVANILLA
000000000
3710000.00000000
OU
Notional Amount
24658.55000000
0.004791624297
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-17
22287.11000000
EUR
0.00000000
EUR
3710000.00000000
EUR
-2324.47000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FQHS5
535332.52000000
PA
USD
70444.73000000
0.013688748116
Long
ABS-MBS
USGSE
US
N
2
2049-12-25
Floating
5.85000000
N
N
N
N
N
N
SLM Student Loan Trust
549300IZGFDRVV7YTH38
SLM Student Loan Trust 2007-7
78444EAD1
652840.75000000
PA
USD
622703.99000000
0.121003204502
Long
ABS-O
CORP
US
N
2
2022-01-25
Floating
0.54000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
7194.85000000
0.001398095916
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1753507.55000000
PLN
389564.46000000
EUR
2021-03-17
7194.85000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
20566.84000000
0.003996527381
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2619176.08000000
USD
2157000.00000000
EUR
2021-03-17
20566.84000000
N
N
N
SLM Student Loan Trust
549300EQOYJZL2D96G46
SLM Student Loan Trust 2008-4
78445AAD8
423588.14000000
PA
USD
422097.07000000
0.082021472322
Long
ABS-O
CORP
US
N
2
2022-07-25
Floating
1.86000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005871 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005871 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2430000.00000000
OU
Notional Amount
USD
46475.21000000
0.009031015426
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Indonesia Government International Bond
Indonesia Government International Bond
Y
sell protection
2024-06-20
5197.64000000
USD
0.00000000
USD
2430000.00000000
USD
41277.57000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JH1
125000.00000000
PA
USD
125131.25000000
0.024315376931
Long
DBT
CORP
US
N
2
2040-08-01
Fixed
3.30000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBK5
60000.00000000
PA
USD
68238.00000000
0.013259938592
Long
DBT
CORP
US
N
2
2027-04-06
Fixed
3.54000000
N
N
N
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAT6
50000.00000000
PA
USD
64896.00000000
0.012610524559
Long
DBT
CORP
US
N
2
2047-09-20
Fixed
5.20000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BD2
826000.00000000
PA
USD
895730.92000000
0.174057519194
Long
DBT
CORP
GB
N
2
2023-09-12
Fixed
3.88000000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
95000.00000000
PA
USD
99275.00000000
0.019291016791
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
4280000.00000000
PA
USD
113420.00000000
0.022039658770
Long
DBT
CORP
VE
N
2
2022-10-28
Fixed
6.00000000
Y
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
Truist Bank
89788KAA4
350000.00000000
PA
USD
367237.50000000
0.071361216608
Long
DBT
CORP
US
N
2
2030-03-11
Fixed
2.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
4111.00000000
0.000798845328
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
122371.34000000
USD
1877114.59000000
ZAR
2021-03-17
4111.00000000
N
N
N
ROYALTY PHARMA PLC
549300FGFN7VOK8BZR03
Royalty Pharma PLC
78081BAB9
425000.00000000
PA
USD
431562.00000000
0.083860687870
Long
DBT
CORP
GB
N
2
2025-09-02
Fixed
1.20000000
N
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
24480000.00000000
OU
Notional Amount
USD
-21197.23000000
-0.00411902412
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-10
23.22000000
USD
0.00000000
USD
24480000.00000000
USD
-21220.45000000
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851AV1
35000.00000000
PA
USD
38108.70000000
0.007405243732
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.55000000
N
N
N
N
N
N
KINDER MORGAN ENER PART
549300PDHUGWPWGOT525
Kinder Morgan Energy Partners LP
494550BQ8
1025000.00000000
PA
USD
1097631.50000000
0.213290634066
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
3.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300SRMXHPGI3BJ386
SLM Student Loan Trust 2008-5
78444YAD7
718917.63000000
PA
USD
723544.30000000
0.140598390736
Long
ABS-O
CORP
US
N
2
2023-07-25
Floating
1.91000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBA3
1000000.00000000
PA
USD
1149480.00000000
0.223365781727
Long
DBT
CORP
US
N
2
2027-01-29
Fixed
3.96000000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
90015WAK9
200000.00000000
PA
USD
204750.00000000
0.039786811261
Long
DBT
CORP
TR
N
2
2026-01-08
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FY67
7900.57000000
PA
USD
8729.59000000
0.001696325029
Long
ABS-MBS
USGA
US
N
2
2041-11-20
Fixed
4.00000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NDK4
550000.00000000
PA
USD
625498.50000000
0.121546230836
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
3.30000000
N
N
N
N
N
N
EXELON GENERATION CO LLC
S2PEWKCZFFECR4533P43
Exelon Generation Co LLC
30161MAS2
35000.00000000
PA
USD
38202.15000000
0.007423402841
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MNK6
545045.92000000
PA
USD
59363.62000000
0.011535478118
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Fixed
4.00000000
N
N
N
N
N
N
DOMINION ENERGY INC
ILUL7B6Z54MRYCF6H308
Dominion Energy Inc
25746UDB2
675000.00000000
PA
USD
728878.50000000
0.141634927042
Long
DBT
CORP
US
N
2
2024-08-15
Variable
3.07000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-3135.40000000
-0.00060926773
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
918925.00000000
USD
25587466.64000000
TWD
2021-02-05
-3135.40000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
17130.04000000
0.003328691909
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2043613.12000000
USD
1683884.81000000
EUR
2021-03-17
17130.04000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
-13732.43000000
-0.00266847179
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
57587153.00000000
RUB
761000.00000000
USD
2021-02-08
-13732.43000000
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GN7
725000.00000000
PA
USD
812594.50000000
0.157902534815
Long
DBT
CORP
US
N
2
2025-08-01
Fixed
3.70000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03052A SWAPTION EUR006M MAR21 0.0001 CALL
000000000
-550000.00000000
NC
-18773.37000000
-0.00364802211
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
550000.00000000
OU
Notional Amount
N/A
-18773.37000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-10
0.00000000
N/A
0.00000000
N/A
550000.00000000
EUR
1.00000000
0.00010000
EUR
2021-03-08
XXXX
-461.52000000
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JG3
425000.00000000
PA
USD
424791.75000000
0.082545099793
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
2.50000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687EH5
45000.00000000
PA
USD
70841.25000000
0.013765799478
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
6.65000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132GEV56
2388.39000000
PA
USD
2750.96000000
0.000534563742
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
5.00000000
N
N
N
N
N
N
APPALACHIAN POWER CO
3SCHO1ABYYIG382BEI70
Appalachian Power Co
037735CY1
30000.00000000
PA
USD
36020.40000000
0.006999447405
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
3.70000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452151LF8
530000.00000000
PA
USD
570391.30000000
0.110837855913
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
-3190000.00000000
NC
-15693.87000000
-0.00304961681
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3190000.00000000
OU
Notional Amount
N/A
-15693.87000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-02-16
0.00000000
N/A
0.00000000
N/A
3190000.00000000
EUR
1.00000000
-0.26100000
EUR
2021-02-12
XXXX
-3038.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416A6T2
7417.27000000
PA
USD
8307.00000000
0.001614207771
Long
ABS-MBS
USGSE
US
N
2
2039-02-01
Fixed
4.50000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCY3
30000.00000000
PA
USD
37953.90000000
0.007375163154
Long
DBT
CORP
US
N
2
2035-03-15
Fixed
4.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202FP67
5060.56000000
PA
USD
5597.90000000
0.001087778221
Long
ABS-MBS
USGA
US
N
2
2041-02-20
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03105A SWAPTION US0003M JUN21 0.555 PUT
000000000
20710000.00000000
NC
USD
89270.46000000
0.017346944777
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
20710000.00000000
OU
Notional Amount
N/A
89270.46000000
0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-06-21
0.00000000
N/A
0.00000000
N/A
20710000.00000000
USD
1.00000000
0.55500000
USD
2021-06-17
XXXX
-3226.34000000
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582CC4
35000.00000000
PA
USD
36873.90000000
0.007165298655
Long
DBT
CORP
NL
N
2
2024-11-07
Fixed
2.00000000
N
N
N
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
16590000.00000000
OU
Notional Amount
USD
4036.35000000
0.000784339417
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-03-17
22021.50000000
USD
0.00000000
USD
16590000.00000000
USD
-17985.15000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-79662.84000000
-0.01548000185
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
22436400.43000000
SEK
2649613.88000000
USD
2021-03-17
-79662.84000000
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBU1
55000.00000000
PA
USD
74255.50000000
0.014429253057
Long
DBT
CORP
US
N
2
2039-01-23
Fixed
5.45000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAJ9
230000.00000000
PA
USD
250125.00000000
0.048604035002
Long
DBT
NUSS
RO
N
2
2051-02-14
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
1225.92000000
0.000238219524
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
450212.58000000
USD
46571339.00000000
JPY
2021-03-17
1225.92000000
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
3170000.00000000
OU
Notional Amount
-226267.75000000
-0.04396811850
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-20
0.00000000
EUR
-194411.53000000
EUR
3170000.00000000
EUR
59142.93000000
N
N
N
BRF SA
254900MTXR9LUVQFU480
BRF SA
000000000
210000.00000000
PA
USD
227915.63000000
0.044288332866
Long
DBT
CORP
BR
N
2
2030-01-24
Fixed
4.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
1963855.99000000
PA
USD
2149229.07000000
0.417636001785
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933AN4
4404.03000000
PA
USD
5015.22000000
0.000974552437
Long
ABS-MBS
USGSE
US
N
2
2039-05-01
Fixed
5.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CR7
75000.00000000
PA
USD
100974.00000000
0.019621164738
Long
DBT
CORP
US
N
2
2049-10-26
Fixed
4.25000000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAN3
755000.00000000
PA
USD
886694.65000000
0.172301600420
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.50000000
N
N
N
N
N
N
TEGNA INC
549300YC5EDBGX85AO10
TEGNA Inc
87901JAE5
950000.00000000
PA
USD
974937.50000000
0.189448861070
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
4.63000000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: CX002999 CDS USD R F 3.00000 2 CMBX / Short: CX002999 CDS USD P V 01MEVENT 1 CMBX
000000000
700000.00000000
OU
Notional Amount
USD
-112327.60000000
-0.02182738471
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
-192235.86000000
USD
700000.00000000
USD
79908.26000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBA8
50000.00000000
PA
USD
61260.00000000
0.011903980746
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
5.30000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGM5
30000.00000000
PA
USD
37032.60000000
0.007196137077
Long
DBT
CORP
US
N
2
2038-04-24
Fixed
4.24000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002829 CDS USD R F 1.00000 2I65BYDN2 / Short: SX002829 CDS USD P V 03MEVENT 2I65BYDN2
000000000
11100000.00000000
OU
Notional Amount
USD
92404.17000000
0.017955884110
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S28.V1
2I65BYDN2
Y
sell protection
2022-06-20
112493.95000000
USD
0.00000000
USD
11100000.00000000
USD
-20089.78000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAR4
100000.00000000
PA
USD
150512.00000000
0.029247338395
Long
DBT
CORP
US
N
2
2046-07-15
Fixed
8.35000000
N
N
N
N
N
N
GMAC Mortgage Corporation Loan Trust
N/A
GMACM Home Equity Loan Trust 2007-HE3
36186MAC5
17513.34000000
PA
USD
17774.26000000
0.003453876082
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
7.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
26412.67000000
0.005132483107
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2675246.36000000
USD
3502241.05000000
AUD
2021-03-11
26412.67000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UEB4
3353904.88000000
PA
USD
3675728.49000000
0.714263812843
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36202SBG2
16972.54000000
PA
USD
18519.86000000
0.003598760314
Long
ABS-MBS
USGA
US
N
2
2033-01-15
Fixed
5.50000000
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
1250000.00000000
OU
Notional Amount
USD
80874.42000000
0.015715434844
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Markit iBoxx USD Liquid High Yield Index
IBOXHY Index
Y
equity-performance leg
2021-03-22
0.00000000
USD
0.00000000
USD
1250000.00000000
USD
80874.42000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7L3
3554544.61000000
PA
USD
3841122.66000000
0.746403039341
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
4.50000000
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
25152R2Y8
65000.00000000
PA
USD
72096.70000000
0.014009757242
Long
DBT
CORP
DE
N
2
2026-01-13
Fixed
4.10000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
3820555.48000000
PA
USD
4177306.72000000
0.811729983147
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RXE4
510896.67000000
PA
USD
559396.70000000
0.108701396449
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215233 IRS USD R F .50000 2 CCPVANILLA / Short: SR215233 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
250000.00000000
OU
Notional Amount
USD
495.98000000
0.000096378327
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
170.49000000
USD
0.00000000
USD
250000.00000000
USD
325.49000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGF0
525000.00000000
PA
USD
602652.75000000
0.117106867987
Long
DBT
CORP
US
N
2
2028-01-20
Fixed
3.82000000
N
N
N
N
N
N
TAKEDA PHARMACEUTICAL
549300ZLMVP4X0OGR454
Takeda Pharmaceutical Co Ltd
874060AX4
680000.00000000
PA
USD
695014.40000000
0.135054489654
Long
DBT
CORP
JP
N
2
2030-03-31
Fixed
2.05000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHM4
750000.00000000
PA
USD
892072.50000000
0.173346618749
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.27000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02949A SWAPTION US0003M NOV22 1.06 CALL
000000000
-2000000.00000000
NC
USD
-90113.00000000
-0.01751066629
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
2000000.00000000
OU
Notional Amount
N/A
-90113.00000000
-0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2052-11-16
0.00000000
N/A
0.00000000
N/A
2000000.00000000
USD
1.00000000
1.06000000
USD
2022-11-14
XXXX
13771.37000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382ET64
394845.57000000
PA
USD
77119.42000000
0.014985767072
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Floating
6.29000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-159241.06000000
-0.03094356043
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4096487980.00000000
KRW
3606158.60000000
USD
2021-01-08
-159241.06000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-801.12000000
-0.00015567282
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
650169133.13000000
COP
189567.50000000
USD
2021-01-29
-801.12000000
N
N
N
GLENCORE FINANCE CANADA
5493005TTO0UJ33KCK70
Glencore Finance Canada Ltd
98417EAT7
650000.00000000
PA
USD
691717.00000000
0.134413742248
Long
DBT
CORP
CA
N
2
2022-10-25
Fixed
4.25000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VFE9
575000.00000000
PA
USD
644448.50000000
0.125228575517
Long
DBT
CORP
US
N
2
2030-03-22
Fixed
3.15000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-19562.11000000
-0.00380128927
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5858533.12000000
CAD
4583926.51000000
USD
2021-03-17
-19562.11000000
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NBY6
256000.00000000
PA
USD
288762.88000000
0.056112108453
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
3.30000000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CW8
27000.00000000
PA
USD
33169.66000000
0.006445494515
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
9.00000000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO VIII Ltd
87248WAA6
2000000.00000000
PA
USD
2000050.00000000
0.388647676988
Long
ABS-CBDO
CORP
KY
N
2
2030-10-20
Floating
1.45000000
N
N
N
N
N
N
MPH ACQUISITION HOLDINGS
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC
553283AC6
1280000.00000000
PA
USD
1254400.00000000
0.243753729163
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
5.75000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust
22541NAD1
256.60000000
PA
USD
218.96000000
0.000042548083
Long
ABS-MBS
CORP
US
N
2
2032-11-25
Floating
0.75000000
N
N
N
N
N
N
IHS Markit Ltd
549300HLPTRASHS0E726
IHS Markit Ltd
44962LAC1
550000.00000000
PA
USD
628496.00000000
0.122128701980
Long
DBT
CORP
BM
N
2
2026-03-01
Fixed
4.00000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DK0
375000.00000000
PA
USD
444843.75000000
0.086441583990
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
4.20000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96950FAQ7
450000.00000000
PA
USD
499720.50000000
0.097105178104
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
3.90000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523CK4
475000.00000000
PA
USD
532422.75000000
0.103459845985
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
3.40000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BB2
575000.00000000
PA
USD
596562.50000000
0.115923416816
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.38000000
N
N
N
N
N
N
Starbucks Corp
OQSJ1DU9TAOC51A47K68
Starbucks Corp
855244AQ2
850000.00000000
PA
USD
966934.50000000
0.187893726269
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.80000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128P7FQ1
93260.37000000
PA
USD
103916.33000000
0.020192915304
Long
ABS-MBS
USGSE
US
N
2
2027-08-01
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD NZD
000000000
1.00000000
NC
N/A
44190.94000000
0.008587138408
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3993383.98000000
NZD
3783000.00000000
AUD
2021-03-17
44190.94000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR21 XCBT 20210331
000000000
-173.00000000
NC
USD
-28352.55000000
-0.00550943861
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVH1 Comdty
2021-03-31
-21795327.22000000
USD
-28352.55000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03122A SWAPTION US0003M JAN21 0.955 PUT
000000000
-3780000.00000000
NC
USD
-17114.33000000
-0.00332563915
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-17114.33000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-25
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.95500000
USD
2021-01-21
XXXX
8117.17000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGA1
1300000.00000000
PA
USD
1455090.00000000
0.282751605364
Long
DBT
CORP
US
N
2
2027-10-21
Fixed
3.25000000
N
N
N
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
45030000.00000000
OU
Notional Amount
47961.93000000
0.009319913341
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
75215.37000000
ZAR
0.00000000
ZAR
45030000.00000000
ZAR
43081.56000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040610
-5000000.00000000
PA
USD
-5339453.00000000
-1.03755706349
Short
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
4.00000000
N
N
N
N
N
N
PROCTER & GAMBLE CO/THE
2572IBTT8CCZW6AU4141
Procter & Gamble Co/The
742718FG9
45000.00000000
PA
USD
50147.10000000
0.009744533348
Long
DBT
CORP
US
N
2
2027-03-25
Fixed
2.80000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDC5
50000.00000000
PA
USD
61314.00000000
0.011914473971
Long
DBT
CORP
US
N
2
2046-08-15
Fixed
4.13000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RAZ5
600000.00000000
PA
USD
618174.00000000
0.120122941463
Long
DBT
CORP
US
N
2
2022-06-01
Fixed
3.65000000
N
N
N
N
N
N
VIACOMCBS INC
5KYC8KF17ROCY24M3H09
ViacomCBS Inc
925524AX8
10000.00000000
PA
USD
14605.20000000
0.002838067574
Long
DBT
CORP
US
N
2
2036-04-30
Fixed
6.88000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SJ8
3510000.00000000
PA
USD
4015110.94000000
0.780212264533
Long
DBT
UST
US
N
1
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAL5
175000.00000000
PA
USD
189091.00000000
0.036743970345
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201SSM2
18526.23000000
PA
USD
20950.45000000
0.004071070085
Long
ABS-MBS
USGA
US
N
2
2033-03-15
Fixed
5.50000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2019-GC42
36257UAA5
200000.00000000
PA
USD
185671.68000000
0.036079531568
Long
ABS-MBS
CORP
US
N
2
2052-09-01
Fixed
2.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-3271.16000000
-0.00063564847
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
628916.04000000
SGD
472643.54000000
USD
2021-03-17
-3271.16000000
N
N
N
ALLISON TRANSMISSION INC
MWKQ3I0U1GXP2YDSZW75
Allison Transmission Inc
019736AG2
696000.00000000
PA
USD
709920.00000000
0.137950930650
Long
DBT
CORP
US
N
2
2031-01-30
Fixed
3.75000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DC9
1345000.00000000
PA
USD
1533972.50000000
0.298079972344
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.88000000
N
N
N
N
N
N
Marble Point CLO Ltd.
254900N4UCG37B1HFL93
Marble Point CLO XIV Ltd
56608KAA1
3000000.00000000
PA
USD
2997438.00000000
0.582459096330
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
1.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-8434.87000000
-0.00163905533
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
643851.63000000
AUD
488258.45000000
USD
2021-03-17
-8434.87000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-57706.28000000
-0.01121342549
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3088051.96000000
TRY
356320.54000000
USD
2021-01-11
-57706.28000000
N
N
N
Steele Creek CLO Ltd
N/A
Steele Creek CLO 2019-1 LTD
85817BAJ8
1350000.00000000
PA
USD
1350445.50000000
0.262417192807
Long
ABS-CBDO
CORP
KY
N
2
2032-04-15
Floating
4.34000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
5773.27000000
0.001121855940
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
465560.79000000
USD
34518539.21000000
INR
2021-01-27
5773.27000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005905 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005905 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
100000.00000000
OU
Notional Amount
USD
2912.26000000
0.000565907394
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Qatar Government International Bond
Qatar Government International Bond
Y
sell protection
2024-12-20
1674.66000000
USD
0.00000000
USD
100000.00000000
USD
1237.60000000
N
N
N
EAST OHIO GAS CO/THE
BC95Y6MXLT75BGO7UM71
East Ohio Gas Co/The
27409LAA1
150000.00000000
PA
USD
153061.50000000
0.029742754636
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
1.30000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36291NPZ8
20121.42000000
PA
USD
22821.72000000
0.004434693364
Long
ABS-MBS
USGA
US
N
2
2034-09-15
Fixed
5.50000000
N
N
N
N
N
N
CSX CORP
549300JVQR4N1MMP3Q88
CSX Corp
126408HS5
25000.00000000
PA
USD
30832.25000000
0.005991291387
Long
DBT
CORP
US
N
2
2050-04-15
Fixed
3.80000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAU0
220000.00000000
PA
USD
238277.60000000
0.046301860312
Long
DBT
CORP
US
N
2
2024-07-23
Fixed
3.80000000
N
N
N
N
N
N
AMERICAN CAMPUS CMNTYS
RDKVCX5HITZ2GPIR7153
American Campus Communities Operating Partnership LP
024836AG3
175000.00000000
PA
USD
196105.00000000
0.038106923674
Long
DBT
US
N
2
2031-01-30
Fixed
3.88000000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EBJ3
30000.00000000
PA
USD
34693.20000000
0.006741547254
Long
DBT
CORP
US
N
2
2029-04-18
Fixed
3.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
4667.39000000
0.000906962466
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1159710.05000000
PLN
257570.25000000
EUR
2021-03-17
4667.39000000
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
117130000.00000000
OU
Notional Amount
12142.98000000
0.002359611494
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-03-15
29711.59000000
MXN
0.00000000
MXN
117130000.00000000
MXN
10662.14000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD EUR
000000000
1.00000000
NC
N/A
882.07000000
0.000171402943
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
147963.62000000
EUR
1560609.29000000
NOK
2021-03-17
882.07000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-12694.53000000
-0.00246678812
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
390040.06000000
EUR
464052.11000000
USD
2021-01-21
-12694.53000000
N
N
N
GLOBAL PAYMENTS INC
549300NOMHGVQBX6S778
Global Payments Inc
37940XAA0
375000.00000000
PA
USD
401722.50000000
0.078062306651
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
2.65000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297KC91
47673.49000000
PA
USD
54556.74000000
0.010601410097
Long
ABS-MBS
USGSE
US
N
2
2034-12-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03091A SWAPTION EUR006M JAN21 NEG 0.265 CALL
000000000
-3350000.00000000
NC
-8063.51000000
-0.00156689304
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
3350000.00000000
OU
Notional Amount
N/A
-8063.51000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-20
0.00000000
N/A
0.00000000
N/A
3350000.00000000
EUR
1.00000000
-0.26500000
EUR
2021-01-18
XXXX
5866.82000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
2086.57000000
0.000405460155
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
189660.87000000
USD
1644549.40000000
NOK
2021-03-17
2086.57000000
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BX6
200000.00000000
PA
USD
261602.00000000
0.050834233941
Long
DBT
CORP
US
N
2
2047-06-06
Fixed
4.67000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJZ6
450000.00000000
PA
USD
483030.00000000
0.093861897160
Long
DBT
CORP
US
N
2
2041-06-01
Fixed
3.50000000
N
N
N
N
N
N
Fiserv Inc
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AP3
55000.00000000
PA
USD
62103.80000000
0.012067947102
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
3.85000000
N
N
N
N
N
N
KIMBERLY-CLARK CORP
MP3J6QPYPGN75NVW2S34
Kimberly-Clark Corp
494368CB7
100000.00000000
PA
USD
114987.00000000
0.022344156612
Long
DBT
CORP
US
N
2
2030-03-26
Fixed
3.10000000
N
N
N
N
N
N
NRG Energy Inc
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CK6
675000.00000000
PA
USD
738180.00000000
0.143442385039
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
780.68000000
0.000151700941
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
439864.71000000
USD
479390953.00000000
KRW
2021-01-08
780.68000000
N
N
N
ALLY FINANCIAL INC
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBL3
275000.00000000
PA
USD
280676.00000000
0.054540674176
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
1.45000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
2039.29000000
0.000396272753
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
468313.95000000
USD
3074452.98000000
CNY
2021-03-17
2039.29000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418MUL4
96374.81000000
PA
USD
108134.45000000
0.021012576083
Long
ABS-MBS
USGSE
US
N
2
2039-12-01
Fixed
4.50000000
N
N
N
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCS8
550000.00000000
PA
USD
631488.00000000
0.122710104370
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
3.95000000
N
N
N
N
N
N
HOLOGIC INC
549300DYP6F5ZJL0LB74
Hologic Inc
436440AP6
450000.00000000
PA
USD
458437.50000000
0.089083107631
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
6542.57000000
0.001271345532
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1666252.21000000
USD
2128847.15000000
CAD
2021-03-17
6542.57000000
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BE0
1200000.00000000
PA
USD
1201500.00000000
0.233474255094
Long
DBT
CORP
US
N
2
2023-11-15
Fixed
5.13000000
N
N
N
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
34740.00000000
PA
USD
22320.45000000
0.004337287088
Long
DBT
NUSS
EC
N
2
2030-07-31
Variable
0.50000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
400000.00000000
PA
USD
424000.00000000
0.082391247740
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
4.25000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
400000.00000000
PA
USD
412464.00000000
0.080149583980
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.75000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CJ2
35000.00000000
PA
USD
36911.00000000
0.007172507889
Long
DBT
CORP
US
N
2
2034-05-01
Fixed
3.60000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
425000.00000000
PA
USD
448885.00000000
0.087226875570
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAEL8
2759572.90000000
PA
USD
3145724.08000000
0.611273896221
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
1674.38000000
0.000325363814
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
483072.05000000
USD
527369757.00000000
KRW
2021-01-08
1674.38000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-8515.41000000
-0.00165470578
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3252327.86000000
NOK
370692.13000000
USD
2021-03-17
-8515.41000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36200NXX4
155236.81000000
PA
USD
176582.06000000
0.034313245877
Long
ABS-MBS
USGA
US
N
2
2034-12-15
Fixed
5.50000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816CG2
165000.00000000
PA
USD
176327.25000000
0.034263731457
Long
DBT
CORP
US
N
2
2024-07-30
Fixed
2.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
000000000
250000.00000000
PA
324500.80000000
0.063056664633
Long
DBT
NUSS
ID
N
2
2024-07-18
Fixed
2.15000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AN2A4
660852.72000000
PA
USD
133530.31000000
0.025947473707
Long
ABS-MBS
USGSE
US
N
2
2045-06-25
Floating
5.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-34785.29000000
-0.00675944208
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12541044.55000000
NOK
1166402.64000000
EUR
2021-03-17
-34785.29000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
1943.43000000
0.000377645336
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
872784151.00000000
KRW
804187.00000000
USD
2021-01-08
1943.43000000
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAG8
1150000.00000000
PA
USD
1202762.00000000
0.233719485647
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
1.65000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468U6
750000.00000000
PA
USD
754342.50000000
0.146583065562
Long
DBT
CORP
US
N
2
2032-02-13
Fixed
1.79000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TXW0
2414493.36000000
PA
USD
2612929.70000000
0.507741835473
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U4E9
2349798.90000000
PA
USD
2530635.92000000
0.491750592040
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.50000000
N
N
N
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AH9
800000.00000000
PA
USD
841880.00000000
0.163593263319
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
6.25000000
N
N
N
N
N
N
NBCUniversal Media LLC
VTBDOQJ6KOGQ6K786R46
NBCUniversal Media LLC
63946BAJ9
458000.00000000
PA
USD
599508.26000000
0.116495833896
Long
DBT
CORP
US
N
2
2043-01-15
Fixed
4.45000000
N
N
N
N
N
N
AECOM
0EEB8GF0W0NPCIHZX097
AECOM
00774CAB3
310000.00000000
PA
USD
344100.00000000
0.066865161196
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
5.13000000
N
N
N
N
N
N
TRONOX INC
549300EPZ4YXC7E5P181
Tronox Inc
897051AB4
1250000.00000000
PA
USD
1335937.50000000
0.259598013037
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.50000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
480000.00000000
PA
USD
505200.00000000
0.098169948958
Long
DBT
CORP
VG
N
2
2024-05-29
Fixed
3.75000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
315000.00000000
PA
USD
343857.15000000
0.066817970832
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC
K5K33XN0PQAU1XF7NN66
Talen Energy Supply LLC
87422VAJ7
700000.00000000
PA
USD
754250.00000000
0.146565091056
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
7.63000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BC5
65000.00000000
PA
USD
71268.60000000
0.013848841695
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
3.75000000
N
N
N
N
N
N
Metropolitan Transportation Authority
5493000TKYODLXADQD60
MET TRANSPRTN AUTH NY REVENUE
59261AG76
800000.00000000
PA
USD
937416.00000000
0.182157721442
Long
DBT
MUN
US
N
2
2049-11-15
Fixed
5.18000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
13726.71000000
0.002667360293
N/A
DFE
BR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
374635.42000000
USD
2016980.91000000
BRL
2021-01-05
13726.71000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
7069.24000000
0.001373687509
N/A
DFE
IL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
504778.89000000
USD
1642550.51000000
ILS
2021-03-17
7069.24000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-2688.42000000
-0.00052241103
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
13165275.02000000
TWD
466055.48000000
USD
2021-01-04
-2688.42000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8DN2
1195381.38000000
PA
USD
1313643.81000000
0.255265925924
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31397UTT6
76140.08000000
PA
USD
77114.76000000
0.014984861546
Long
ABS-MBS
USGSE
US
N
2
2041-07-25
Floating
0.60000000
N
N
N
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
24370000.00000000
OU
Notional Amount
-84024.31000000
-0.01632751825
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-18
0.00000000
NOK
-586853.84000000
NOK
24370000.00000000
NOK
2214.83000000
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
1313265.21000000
NS
USD
1313265.21000000
0.255192356758
Long
EC
RF
US
N
1
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJX1
2175000.00000000
PA
USD
2318028.00000000
0.450436837775
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
2.30000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
425000.00000000
PA
USD
475796.00000000
0.092456193655
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YJG0
603780.16000000
PA
USD
92195.36000000
0.017915308363
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
-11.00000000
NC
73.07000000
0.000014198887
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
10 Year Commonwealth Treasury Bond
XMH1 Comdty
2021-03-15
-1618971.05000000
AUD
73.07000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W3FS7
35285.99000000
PA
USD
38702.59000000
0.007520647832
Long
ABS-MBS
USGSE
US
N
2
2043-02-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
32216.09000000
0.006260197765
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2823902.23000000
USD
294643135.00000000
JPY
2021-03-17
32216.09000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M9UC4
22018.60000000
PA
USD
24312.94000000
0.004724465714
Long
ABS-MBS
USGSE
US
N
2
2041-02-01
Fixed
4.00000000
N
N
N
N
N
N
Southern Power Co
5LADC78JBG2BMZD5XF57
Southern Power Co
843646AU4
60000.00000000
PA
USD
71994.60000000
0.013989917274
Long
DBT
CORP
US
N
2
2046-12-15
Fixed
4.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03127A SWAPTION EUR006M JAN21 NEG0.251 PUT
000000000
-3350000.00000000
NC
-11144.77000000
-0.00216564034
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
3350000.00000000
OU
Notional Amount
N/A
-11144.77000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
3350000.00000000
EUR
1.00000000
-0.25100000
EUR
2021-01-29
XXXX
2500.76000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382B5X7
456319.31000000
PA
USD
73601.06000000
0.014302082944
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
1840000.00000000
OU
Notional Amount
4477.30000000
0.000870024371
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-01-02
238.73000000
BRL
0.00000000
BRL
1840000.00000000
BRL
5278.08000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
11728.80000000
0.002279128458
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
490365.92000000
USD
650853.34000000
AUD
2021-03-17
11728.80000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBB6
15920000.00000000
PA
USD
15895125.00000000
3.088724485229
Long
DBT
UST
US
N
1
2027-12-31
Fixed
0.63000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647AZ0
50000.00000000
PA
USD
51437.50000000
0.009995282560
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.50000000
N
N
N
N
N
N
TRUST F/1401
N/A
Trust Fibra Uno
898324AA6
300000.00000000
PA
USD
332250.00000000
0.064562481277
Long
DBT
MX
N
2
2024-12-15
Fixed
5.25000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
225000.00000000
PA
USD
270308.25000000
0.052526023566
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
14181.17000000
0.002755670496
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
474692.09000000
USD
9814021.61000000
MXN
2021-03-17
14181.17000000
N
N
N
CARRIER GLOBAL CORP
549300JE3W6CWY2NAN77
Carrier Global Corp
14448CAP9
1125000.00000000
PA
USD
1213290.00000000
0.235765275874
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
2.49000000
N
N
N
N
N
N
Time Warner Cable LLC
549300U5NFR7S6E3GM41
Time Warner Cable LLC
88732JAY4
30000.00000000
PA
USD
39815.10000000
0.007736829641
Long
DBT
CORP
US
N
2
2040-11-15
Fixed
5.88000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03048A SWAPTION EUR006M MAR21 0.0001 CALL
000000000
-830000.00000000
NC
-28330.71000000
-0.00550519468
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
830000.00000000
OU
Notional Amount
N/A
-28330.71000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-10
0.00000000
N/A
0.00000000
N/A
830000.00000000
EUR
1.00000000
0.00010000
EUR
2021-03-08
XXXX
-590.27000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379LKS4
1084339.01000000
PA
USD
182069.19000000
0.035379499384
Long
ABS-MBS
USGA
US
N
2
2045-04-20
Floating
5.45000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050619
1000000.00000000
PA
USD
1106562.50000000
0.215026096881
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
200000.00000000
PA
USD
260000.00000000
0.050522934935
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
298102.27000000
PA
USD
310655.36000000
0.060366232848
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
2.93000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-72427.45000000
-0.01407402824
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
38148057.84000000
NOK
4375473.24000000
USD
2021-03-17
-72427.45000000
N
N
N
SOUTHERN CO
549300FC3G3YU2FBZD92
Southern Co/The
842587CV7
1050000.00000000
PA
USD
1177239.00000000
0.228759882307
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.25000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005852 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005852 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
500000.00000000
OU
Notional Amount
USD
-1246.15000000
-0.00024215059
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Boeing Co/The
Boeing Co/The
Y
sell protection
2024-06-20
7523.76000000
USD
0.00000000
USD
500000.00000000
USD
-8769.91000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382J3Q7
994413.41000000
PA
USD
119083.49000000
0.023140182373
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
SYSCO CORPORATION
5RGWIFLMGH3YS7KWI652
Sysco Corp
871829BN6
275000.00000000
PA
USD
421569.50000000
0.081918955458
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
6.60000000
N
N
N
N
N
N
SUNCOR ENERGY INC
549300W70ZOQDVLCHY06
Suncor Energy Inc
867224AD9
450000.00000000
PA
USD
492916.50000000
0.095783031761
Long
DBT
CORP
CA
N
2
2025-05-15
Fixed
3.10000000
N
N
N
N
N
N
Oracle Corp
1Z4GXXU7ZHVWFCD8TV52
Oracle Corp
68389XBP9
30000.00000000
PA
USD
36041.40000000
0.007003528104
Long
DBT
CORP
US
N
2
2037-11-15
Fixed
3.80000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GGC7
925000.00000000
PA
USD
1073314.50000000
0.208565379416
Long
DBT
CORP
US
N
2
2027-11-25
Fixed
4.18000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KJMH2
981678.73000000
PA
USD
1036973.21000000
0.201503576993
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABH7
1175000.00000000
PA
USD
1221941.25000000
0.237446377954
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
2.05000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AH6P0
308138.60000000
PA
USD
56906.76000000
0.011058063587
Long
ABS-MBS
USGSE
US
N
2
2044-02-25
Floating
6.45000000
N
N
N
N
N
N
GOODYEAR TIRE & RUBBER
5493002BI0S2ZQUY3437
Goodyear Tire & Rubber Co/The
382550BH3
790000.00000000
PA
USD
889737.50000000
0.172892883929
Long
DBT
CORP
US
N
2
2025-05-31
Fixed
9.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MN5G1
24131.17000000
PA
USD
26467.69000000
0.005143174537
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Credit Suisse Securities (Europe) Limited
DL6FFRRLF74S01HE2M14
Long: SR214327 IRS BRL R F 4.12000 CCPNDFPREDISWAP / Short: SR214327 IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
000000000
1300000.00000000
OU
Notional Amount
6124.68000000
0.001190141573
N/A
DIR
BR
N
2
Credit Suisse Securities (Europe) Limited
DL6FFRRLF74S01HE2M14
N/A
N/A
Y
2022-01-03
21766.20000000
BRL
0.00000000
BRL
1300000.00000000
BRL
2264.38000000
N
N
N
SOUTHERN CAL EDISON
9R1Z5I36FERIBVKW4P77
Southern California Edison Co
842400GQ0
450000.00000000
PA
USD
527382.00000000
0.102480332584
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.20000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AF8
1204000.00000000
PA
USD
1321390.00000000
0.256771157668
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.88000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAE9
800000.00000000
PA
USD
855120.00000000
0.166166046621
Long
DBT
CORP
ES
N
2
2025-05-28
Fixed
2.75000000
N
N
N
N
N
N
Pfizer Inc
765LHXWGK1KXCLTFYQ30
Pfizer Inc
717081ET6
750000.00000000
PA
USD
875272.50000000
0.170082059876
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.45000000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DQ2
280000.00000000
PA
USD
281820.00000000
0.054762975090
Long
DBT
NUSS
PE
N
2
2060-12-01
Fixed
2.78000000
N
N
N
N
N
N
State of California
N/A
CALIFORNIA ST
13063A5G5
210000.00000000
PA
USD
368718.00000000
0.071648905859
Long
DBT
MUN
US
N
2
2039-04-01
Fixed
7.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USU7
1534517.52000000
PA
USD
1640988.94000000
0.318875297864
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2020-R01
20754CAB5
50000.00000000
PA
USD
49623.51000000
0.009642789872
Long
ABS-MBS
USGSE
US
N
2
2040-01-25
Floating
2.20000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468G7
700000.00000000
PA
USD
852950.00000000
0.165744374434
Long
DBT
CORP
US
N
2
2030-01-23
Fixed
4.43000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WXWH6
14734.73000000
PA
USD
16175.25000000
0.003143158089
Long
ABS-MBS
USGSE
US
N
2
2043-07-01
Fixed
3.00000000
N
N
N
N
N
N
Exelon Corp
3SOUA6IRML7435B56G12
Exelon Corp
30161NAX9
325000.00000000
PA
USD
384566.00000000
0.074728473062
Long
DBT
CORP
US
N
2
2030-04-15
Fixed
4.05000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BA1
25000.00000000
PA
USD
35467.75000000
0.006892057021
Long
DBT
CORP
US
N
2
2045-10-23
Fixed
6.48000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526CE7
450000.00000000
PA
USD
460512.00000000
0.089486222356
Long
DBT
CORP
DE
N
2
2026-11-24
Fixed
2.13000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A3B75
376668.42000000
PA
USD
63845.82000000
0.012406454652
Long
ABS-MBS
USGSE
US
N
2
2042-02-25
Floating
5.80000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-282.87000000
-0.00005496701
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
186936.85000000
USD
3747037.00000000
MXN
2021-03-17
-282.87000000
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
95630000.00000000
OU
Notional Amount
-127373.57000000
-0.02475110226
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
NOK
-653936.38000000
NOK
95630000.00000000
NOK
-53323.49000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
325.64000000
0.000063278032
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
474623.31000000
USD
9534494.09000000
MXN
2021-03-17
325.64000000
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FBC4
1200000.00000000
PA
USD
1375824.00000000
0.267348717054
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
4.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382LNX5
1297029.34000000
PA
USD
80666.66000000
0.015675063133
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-493123.16000000
-0.09582318972
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
11983628.60000000
EUR
14154486.89000000
USD
2021-01-21
-493123.16000000
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AN1
250000.00000000
PA
USD
260840.00000000
0.050686162878
Long
DBT
CORP
US
N
2
2030-03-01
Fixed
2.30000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
452091.82000000
0.087850021563
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12976733.37000000
USD
10986505.86000000
EUR
2021-01-21
452091.82000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XBD1
465000.00000000
PA
USD
490533.43000000
0.095319956028
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Floating
6.15000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9CT8
582782.94000000
PA
USD
639710.81000000
0.124307952426
Long
ABS-MBS
USGSE
US
N
2
2048-06-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-134791.45000000
-0.02619253714
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
41225426.14000000
SEK
4880076.96000000
USD
2021-03-17
-134791.45000000
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAN1
65000.00000000
PA
USD
71630.65000000
0.013919194881
Long
DBT
US
N
2
2029-11-15
Fixed
3.10000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-1357.73000000
-0.00026383270
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
439289.89000000
EUR
535587.07000000
USD
2021-01-21
-1357.73000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
145.08000000
0.000028191797
N/A
DFE
PH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
445599.66000000
USD
21448048.43000000
PHP
2021-02-08
145.08000000
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAZ9
300000.00000000
PA
USD
336399.00000000
0.065368710727
Long
DBT
CORP
US
N
2
2025-07-13
Fixed
4.30000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DB1
65000.00000000
PA
USD
71277.70000000
0.013850609997
Long
DBT
CORP
US
N
2
2024-05-15
Fixed
3.63000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAN0
624000.00000000
PA
USD
648804.00000000
0.126074931836
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77000000
N
N
N
N
N
N
CREDIT AGRICOLE LONDON
969500TJ5KRTCJQWXH05
Credit Agricole SA/London
22535WAG2
375000.00000000
PA
USD
388395.00000000
0.075472520438
Long
DBT
CORP
FR
N
2
2026-06-16
Fixed
1.91000000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBK0
25000.00000000
PA
USD
28748.00000000
0.005586282051
Long
DBT
CORP
US
N
2
2049-09-06
Fixed
4.76000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
6833.77000000
0.001327931219
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
474757.52000000
USD
35269736.16000000
INR
2021-01-27
6833.77000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
2361.28000000
0.000458841522
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
188910.65000000
USD
3839741.20000000
MXN
2021-03-17
2361.28000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214650 IRS PLN R F .75000 2 CCPVANILLA / Short: SR214650 IRS PLN P V 06MWIBOR 1 CCPVANILLA
000000000
3690000.00000000
OU
Notional Amount
7203.00000000
0.001399679616
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-12-16
0.00000000
PLN
-2874.78000000
PLN
3690000.00000000
PLN
7975.72000000
N
N
N
NATIONWIDE BLDG SOCIETY
549300XFX12G42QIKN82
Nationwide Building Society
63861VAE7
400000.00000000
PA
USD
465928.00000000
0.090538653955
Long
DBT
CORP
GB
N
2
2030-07-18
Fixed
3.96000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAD6
310000.00000000
PA
USD
323950.00000000
0.062949633739
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
6722.65000000
0.001306338494
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
186670.58000000
USD
14352074.21000000
RUB
2021-01-25
6722.65000000
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
6130000.00000000
OU
Notional Amount
8565.05000000
0.001664351784
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-01-02
0.00000000
BRL
-22661.89000000
BRL
6130000.00000000
BRL
12496.88000000
N
N
N
THERMO FISHER SCIENTIFIC
HCHV7422L5HDJZCRFL38
Thermo Fisher Scientific Inc
883556CG5
250000.00000000
PA
USD
312102.50000000
0.060647439617
Long
DBT
CORP
US
N
2
2030-03-25
Fixed
4.50000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
230000.00000000
PA
USD
241643.75000000
0.046955967148
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AJ3
75000.00000000
PA
USD
74062.50000000
0.014391749494
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.30000000
N
N
N
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
3830000.00000000
OU
Notional Amount
2102.87000000
0.000408627554
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-06-16
20.11000000
PLN
0.00000000
PLN
3830000.00000000
PLN
6302.28000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
4325.14000000
0.000840456795
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
188748.34000000
USD
2865388.55000000
ZAR
2021-03-17
4325.14000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BAC36
687624.82000000
PA
USD
136402.55000000
0.026505604456
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Floating
5.95000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BZG2
200049.42000000
PA
USD
29524.13000000
0.005737098842
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.90000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312946ZH2
753.17000000
PA
USD
867.98000000
0.000168664988
Long
ABS-MBS
USGSE
US
N
2
2041-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPC0
313755.85000000
PA
USD
342710.18000000
0.066595092791
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
5.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCV9
60000.00000000
PA
USD
66070.20000000
0.012838693906
Long
DBT
CORP
US
N
2
2024-06-15
Fixed
3.85000000
N
N
N
N
N
N
ZAIS CLO 15 Ltd
549300BTYXZYFTGVBO58
Zais Clo 15 Ltd
98888DAA0
1275000.00000000
PA
USD
1283338.50000000
0.249377028981
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 INR / SOLD USD
000000000
1.00000000
NC
25812.46000000
0.005015850911
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1766438.56000000
USD
131256984.01000000
INR
2021-01-27
25812.46000000
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
65000.00000000
PA
USD
73512.40000000
0.014284854623
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2D4
75000.00000000
PA
USD
88856.25000000
0.017266455912
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
ITAU UNIBANCO HLDG SA/KY
5493002W2IVG62O3ZJ94
Itau Unibanco Holding SA/Cayman Island
465562AA4
200000.00000000
PA
USD
196312.50000000
0.038147244863
Long
DBT
CORP
BR
N
2
2025-02-27
Fixed
4.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD EUR
000000000
1.00000000
NC
N/A
2537.40000000
0.000493064981
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
389474.03000000
EUR
3939140.34000000
SEK
2021-03-17
2537.40000000
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
369604BD4
75000.00000000
PA
USD
77924.25000000
0.015142160817
Long
DBT
CORP
US
N
2
2022-10-09
Fixed
2.70000000
N
N
N
N
N
N
CSX Corp
549300JVQR4N1MMP3Q88
CSX Corp
126408HH9
65000.00000000
PA
USD
73386.30000000
0.014260351000
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-3665.37000000
-0.00071225096
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
577618.24000000
CAD
450212.58000000
USD
2021-03-17
-3665.37000000
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468J1
800000.00000000
PA
USD
855728.00000000
0.166284192561
Long
DBT
CORP
US
N
2
2025-07-22
Fixed
2.72000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
58364.58000000
0.011341345684
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
455495.10000000
USD
3832663.31000000
TRY
2021-01-11
58364.58000000
N
N
N
VIRGIN MEDIA FINANCE PLC
2138001LVYC87DDHT482
Virgin Media Finance PLC
92769VAJ8
950000.00000000
PA
USD
986812.50000000
0.191756398963
Long
DBT
CORP
GB
N
2
2030-07-15
Fixed
5.00000000
N
N
N
N
N
N
ZIMMER BIOMET HOLDINGS
2P2YLDVPES3BXQ1FRB91
Zimmer Biomet Holdings Inc
98956PAT9
800000.00000000
PA
USD
907328.00000000
0.176311051956
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-4676.44000000
-0.00090872105
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
760113.98000000
SGD
570518.65000000
USD
2021-03-17
-4676.44000000
N
N
N
Tower Bridge Funding
21380047RBYCB9KTR712
Tower Bridge Funding NO 2 PLC
000000000
708431.81000000
PA
969265.46000000
0.188346676039
Long
ABS-MBS
CORP
GB
N
2
2056-03-20
Floating
0.93000000
N
N
N
N
N
N
American Money Management Corporation
549300D0GYBG49KJD582
AMMC CLO 15 Ltd
00175MBK5
750000.00000000
PA
USD
729084.00000000
0.141674859593
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
3.64000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RMF6
694000.00000000
PA
USD
713473.64000000
0.138641470352
Long
DBT
CORP
US
N
2
2033-12-01
Fixed
2.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-26273.69000000
-0.00510547665
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2911766.38000000
TRY
362950.00000000
USD
2021-01-19
-26273.69000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005911 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005911 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1125000.00000000
OU
Notional Amount
USD
12168.56000000
0.002364582173
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2024-06-20
0.00000000
USD
-13328.25000000
USD
1125000.00000000
USD
25496.81000000
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AM3
225000.00000000
PA
USD
256430.25000000
0.049829264754
Long
DBT
CORP
US
N
2
2028-04-15
Fixed
3.25000000
N
N
N
N
N
N
Phillips 66 Partners LP
549300TL5L4IG0H4FX64
Phillips 66 Partners LP
718549AF5
30000.00000000
PA
USD
32619.00000000
0.006338490825
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
3.75000000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP Carey Inc
92936UAF6
425000.00000000
PA
USD
482341.00000000
0.093728011382
Long
DBT
US
N
2
2029-07-15
Fixed
3.85000000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2007-7AX
61754HAA0
2795811.72000000
PA
USD
1027108.26000000
0.199586629966
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.37000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-32172.34000000
-0.00625169630
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12849265.25000000
NOK
1466127.58000000
USD
2021-03-01
-32172.34000000
N
N
N
HalseyPoint CLO II, Ltd.
549300RT6H1EOIYTDV62
Halseypoint Clo 2 Ltd
40638TAA0
2350000.00000000
PA
USD
2357296.75000000
0.458067501241
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
2.08000000
N
N
N
N
N
N
INTERCONTINENTALEXCHANGE
5493000F4ZO33MV32P92
Intercontinental Exchange Inc
45866FAL8
350000.00000000
PA
USD
370135.50000000
0.071924353014
Long
DBT
CORP
US
N
2
2050-06-15
Fixed
3.00000000
N
N
N
N
N
N
ADOBE INC
FU4LY2G4933NH2E1CP29
Adobe Inc
00724PAD1
600000.00000000
PA
USD
647982.00000000
0.125915201634
Long
DBT
CORP
US
N
2
2030-02-01
Fixed
2.30000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005468 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005468 CDS USD P F 1.00000 2 CORPORATE
000000000
310000.00000000
OU
Notional Amount
USD
-1387.16000000
-0.00026955151
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
270.97000000
USD
0.00000000
USD
310000.00000000
USD
-1658.13000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380ABR7
771091.70000000
PA
USD
87379.11000000
0.016979419573
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCC4
1411211.75000000
PA
USD
1524987.87000000
0.296334088202
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
4.50000000
N
N
N
N
N
N
MARSH & MCLENNAN COS INC
549300XMP3KDCKJXIU47
Marsh & McLennan Cos Inc
571748BG6
575000.00000000
PA
USD
699999.25000000
0.136023140624
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.38000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
6658.16000000
0.001293806863
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
464761.64000000
USD
34524818.43000000
INR
2021-01-27
6658.16000000
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BN9
275000.00000000
PA
USD
282826.50000000
0.054958557143
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.65000000
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
2630000.00000000
OU
Notional Amount
-26920.25000000
-0.00523111553
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-03-17
0.00000000
EUR
-17625.45000000
EUR
2630000.00000000
EUR
-5547.47000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-8167.22000000
-0.00158704586
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
504588021.00000000
KRW
455638.75000000
USD
2021-01-08
-8167.22000000
N
N
N
SASOL Financing USA LLC
549300XRB1PFMESFEL85
SASOL Financing USA LLC
80386WAA3
310000.00000000
PA
USD
329762.50000000
0.064079112813
Long
DBT
CORP
US
N
2
2024-03-27
Fixed
5.88000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-948.98000000
-0.00018440482
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
537104.75000000
CAD
421094.48000000
USD
2021-03-17
-948.98000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
59022CAJ2
100000.00000000
PA
USD
145565.00000000
0.028286042399
Long
DBT
CORP
US
N
2
2037-01-29
Fixed
6.11000000
N
N
N
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
Long: CS005589 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005589 CDS USD P F 1.00000 2 CORPORATE
000000000
690000.00000000
OU
Notional Amount
USD
-6341.17000000
-0.00123220968
N/A
DCR
GB
N
2
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
China Government International Bond
China Government International Bond
Y
buy protection
2021-12-20
0.00000000
USD
-531.19000000
USD
690000.00000000
USD
-5809.98000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022618
5000000.00000000
PA
USD
5272459.00000000
1.024538857710
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
2.50000000
N
N
N
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAK9
325000.00000000
PA
USD
396558.50000000
0.077058843436
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAB6
200000.00000000
PA
USD
207000.00000000
0.040224028967
Long
DBT
CORP
JE
N
2
2036-03-31
Fixed
2.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
91282CBC4
16060000.00000000
PA
USD
16070037.50000000
3.122713303910
Long
DBT
UST
US
N
1
2025-12-31
Fixed
0.38000000
N
N
N
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc
28368EAE6
500.00000000
PA
USD
726.36000000
0.000141145534
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
7.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VKP4
952717.28000000
PA
USD
1021372.51000000
0.198472064873
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
4.50000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAD7
450000.00000000
PA
USD
469008.00000000
0.091137156415
Long
DBT
CORP
IE
N
2
2023-01-23
Fixed
3.30000000
N
N
N
N
N
N
Zoetis Inc
549300HD9Q1LOC9KLJ48
Zoetis Inc
98978VAP8
50000.00000000
PA
USD
66801.50000000
0.012980799377
Long
DBT
CORP
US
N
2
2048-08-20
Fixed
4.45000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AR2
20000.00000000
PA
USD
26250.00000000
0.005100873238
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.45000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FMW24
678263.43000000
PA
USD
119232.13000000
0.023169065946
Long
ABS-MBS
USGSE
US
N
2
2049-08-25
Floating
5.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WHGK2
81761.10000000
PA
USD
88843.45000000
0.017263968629
Long
ABS-MBS
USGSE
US
N
2
2046-06-01
Fixed
4.00000000
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
900000.00000000
OU
Notional Amount
USD
-71105.40000000
-0.01381712883
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
-140488.64000000
USD
900000.00000000
USD
69383.24000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8KK0
461416.91000000
PA
USD
504326.51000000
0.098000213272
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEB0
310000.00000000
PA
USD
363959.38000000
0.070724215672
Long
DBT
NUSS
DO
N
2
2049-06-05
Fixed
6.40000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030611
12000000.00000000
PA
USD
12572334.00000000
2.443043125630
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
3.00000000
N
N
N
N
N
N
HUNTSMAN INTERNATIONAL L
3YTEJFW18LGIUQ2N5J61
Huntsman International LLC
44701QBE1
350000.00000000
PA
USD
404208.35000000
0.078545354489
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.50000000
N
N
N
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
29930000.00000000
OU
Notional Amount
26560.55000000
0.005161218998
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-11-18
783.25000000
CAD
0.00000000
CAD
29930000.00000000
CAD
25958.43000000
N
N
N
APPLIED MATERIALS INC
41BNNE1AFPNAZELZ6K07
Applied Materials Inc
038222AN5
275000.00000000
PA
USD
285150.25000000
0.055410105874
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
1.75000000
N
N
N
N
N
N
WESTERN MIDSTREAM OPERAT
L6D8A6MLSY454J2JXJ60
Western Midstream Operating LP
958254AD6
100000.00000000
PA
USD
101000.00000000
0.019626217032
Long
DBT
CORP
US
N
2
2044-04-01
Fixed
5.45000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967JC6
125000.00000000
PA
USD
145833.75000000
0.028338265625
Long
DBT
CORP
US
N
2
2026-11-20
Fixed
4.30000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
-24157.65000000
-0.00469428991
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6131712.27000000
ILS
1886593.62000000
USD
2021-03-17
-24157.65000000
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAB8
875000.00000000
PA
USD
965063.75000000
0.187530204036
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
3.75000000
N
N
N
N
N
N
PHILLIPS 66
5493005JBO5YSIGK1814
Phillips 66
718546AV6
100000.00000000
PA
USD
112660.00000000
0.021891976345
Long
DBT
CORP
US
N
2
2025-04-09
Fixed
3.85000000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
230000.00000000
PA
USD
261768.75000000
0.050866636631
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
500000.00000000
PA
727645.33000000
0.141395298705
Long
DBT
NUSS
RO
N
2
2030-05-26
Fixed
3.62000000
N
N
N
N
N
N
PACIFIC GAS & ELECTRIC
1HNPXZSMMB7HMBMVBS46
Pacific Gas and Electric Co
694308JJ7
275000.00000000
PA
USD
272500.25000000
0.052951970771
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36292MYM8
467.29000000
PA
USD
515.08000000
0.000100089820
Long
ABS-MBS
USGA
US
N
2
2036-05-15
Fixed
5.50000000
N
N
N
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAD6
1050000.00000000
PA
USD
1110375.00000000
0.215766937994
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
6.25000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03087A SWAPTION US0003M JAN21 0.914 CALL
000000000
-3780000.00000000
NC
USD
-14095.24000000
-0.00273897266
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-14095.24000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-19
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.91400000
USD
2021-01-14
XXXX
12837.26000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
12673.68000000
0.002462736577
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
406965.08000000
USD
31192448.74000000
RUB
2021-02-08
12673.68000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD EUR
000000000
1.00000000
NC
N/A
5719.35000000
0.001111378261
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
386764.07000000
EUR
350135.58000000
GBP
2021-03-17
5719.35000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ATA61
1720283.57000000
PA
USD
349706.99000000
0.067954705777
Long
ABS-MBS
USGSE
US
N
2
2046-10-25
Floating
5.95000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR21 XCBT 20210322
000000000
-98.00000000
NC
USD
54911.85000000
0.010670414710
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYH1 Comdty
2021-03-22
-15364349.35000000
USD
54911.85000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967GT2
780000.00000000
PA
USD
835871.40000000
0.162425678293
Long
DBT
CORP
US
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214902 IRS AUD R F .92000 2 CCPVANILLA / Short: SR214902 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
34330000.00000000
OU
Notional Amount
-166658.25000000
-0.03238486123
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-09-04
0.00000000
AUD
-36267.52000000
AUD
34330000.00000000
AUD
-106350.42000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABA2
625000.00000000
PA
USD
690753.13000000
0.134226444012
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HCA1
50000.00000000
PA
USD
54752.50000000
0.010639449980
Long
DBT
CORP
US
N
2
2024-01-29
Fixed
3.90000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AG6
1321000.00000000
PA
USD
1330907.50000000
0.258620588565
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
3.50000000
N
N
N
N
N
N
Wyeth LLC
549300Q9GR3WRH4N4836
Wyeth LLC
983024AN0
45000.00000000
PA
USD
67701.60000000
0.013155705891
Long
DBT
CORP
US
N
2
2037-04-01
Fixed
5.95000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
6174468C6
50000.00000000
PA
USD
57177.50000000
0.011110673508
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.00000000
N
N
N
N
N
N
LOWE'S COS INC
WAFCR4OKGSC504WU3E95
Lowe's Cos Inc
548661DY0
650000.00000000
PA
USD
656669.00000000
0.127603250618
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
1.70000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
8000000.00000000
PA
USD
8364756.00000000
1.625430858214
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAR9
35000.00000000
PA
USD
45643.15000000
0.008869330375
Long
DBT
CORP
US
N
2
2039-04-22
Fixed
4.46000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD PLN
000000000
1.00000000
NC
N/A
4549.31000000
0.000884017281
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2222447.16000000
PLN
490011.50000000
EUR
2021-03-17
4549.31000000
N
N
N
MASTERCARD INC
AR5L2ODV9HN37376R084
Mastercard Inc
57636QAR5
300000.00000000
PA
USD
342126.00000000
0.066481575529
Long
DBT
CORP
US
N
2
2027-03-26
Fixed
3.30000000
N
N
N
N
N
N
RAYMOND JAMES FINANCIAL
RGUZHJ05YTITL6D76949
Raymond James Financial Inc
754730AG4
75000.00000000
PA
USD
92052.00000000
0.017887450794
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
4.65000000
N
N
N
N
N
N
AUTONATION INC
N/A
AutoNation Inc
05329WAQ5
225000.00000000
PA
USD
270792.00000000
0.052620025372
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
4.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290XLG3
14609.41000000
PA
USD
16344.68000000
0.003176081554
Long
ABS-MBS
USGA
US
N
2
2033-08-15
Fixed
5.50000000
N
N
N
N
N
N
COMMONSPIRIT HEALTH
4SXHN5XW08IBO0UG2V58
CommonSpirit Health
20268JAG8
635000.00000000
PA
USD
706661.69000000
0.137317779172
Long
DBT
CORP
US
N
2
2050-10-01
Fixed
3.91000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBP0
275000.00000000
PA
USD
300993.00000000
0.058488652903
Long
DBT
CORP
US
N
2
2031-05-13
Fixed
2.96000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8QW8
1054961.43000000
PA
USD
1153067.88000000
0.224062974911
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566ABD0
713000.00000000
PA
USD
735393.98000000
0.142901008473
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Floating
4.88000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAW9
909000.00000000
PA
USD
1063984.50000000
0.206752383328
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.90000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBD3
425000.00000000
PA
USD
453810.75000000
0.088184042288
Long
DBT
CORP
US
N
2
2023-10-15
Fixed
3.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
296.70000000
0.000057654441
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
188355.03000000
USD
2799765.67000000
ZAR
2021-03-17
296.70000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBJ4
75000.00000000
PA
USD
92438.25000000
0.017962506501
Long
DBT
CORP
US
N
2
2031-03-24
Fixed
4.49000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QEK43
994316.70000000
PA
USD
1050442.82000000
0.204120977876
Long
ABS-MBS
USGSE
US
N
2
2050-08-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-7601.57000000
-0.00147712933
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
34414698.08000000
INR
462314.59000000
USD
2021-01-27
-7601.57000000
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
34000000.00000000
OU
Notional Amount
39897.71000000
0.007752882332
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-17
0.00000000
CAD
-14214.14000000
CAD
34000000.00000000
CAD
50972.16000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDJ8
25000.00000000
PA
USD
29789.75000000
0.005788713849
Long
DBT
CORP
US
N
2
2048-03-09
Fixed
4.50000000
N
N
N
N
N
N
FREDDIEMAC STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UP26
158715.66000000
PA
USD
8894.44000000
0.001728358513
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
16394.98000000
0.003185855799
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
923136.56000000
USD
68807368.20000000
INR
2021-01-27
16394.98000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-2140.33000000
-0.00041590674
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
35030793.76000000
INR
476188.32000000
USD
2021-01-27
-2140.33000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CAY0
22368.23000000
PA
USD
24305.82000000
0.004723082163
Long
ABS-MBS
USGSE
US
N
2
2046-08-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
97.44000000
0.000018934441
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
442138.72000000
USD
390616.29000000
CHF
2021-03-17
97.44000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DR5
650000.00000000
PA
USD
743606.50000000
0.144496856987
Long
DBT
CORP
US
N
2
2030-06-30
Fixed
3.40000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152BM2
115000.00000000
PA
USD
131749.75000000
0.025601477103
Long
DBT
MUN
US
N
2
2035-02-01
Fixed
6.63000000
N
N
N
N
N
N
NASDAQ INC
549300L8X1Q78ERXFD06
Nasdaq Inc
63111XAB7
100000.00000000
PA
USD
109291.00000000
0.021237315699
Long
DBT
CORP
US
N
2
2050-04-28
Fixed
3.25000000
N
N
N
N
N
N
GREAT-WEST LIFECO FIN 18
N/A
Great-West Lifeco Finance 2018 LP
39138QAA3
325000.00000000
PA
USD
380854.50000000
0.074007258166
Long
DBT
CORP
US
N
2
2028-05-17
Fixed
4.05000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-4951.05000000
-0.00096208298
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
13079501.40000000
TWD
463171.55000000
USD
2021-02-05
-4951.05000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
2058.94000000
0.000400091121
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12341572.97000000
TWD
443770.67000000
USD
2021-02-05
2058.94000000
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING Groep NV
456837AU7
950000.00000000
PA
USD
964924.50000000
0.187503145118
Long
DBT
CORP
NL
N
2
2026-07-01
Fixed
1.40000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-360.94000000
-0.00007013749
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
476188.32000000
USD
13266606.60000000
TWD
2021-02-17
-360.94000000
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00774MAN5
295000.00000000
PA
USD
352648.90000000
0.068526374729
Long
DBT
CORP
IE
N
2
2025-07-15
Fixed
6.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382AES0
1026653.11000000
PA
USD
121524.00000000
0.023614419788
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HAH8
970000.00000000
PA
USD
962670.10000000
0.187065072408
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
1.85000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MQTN3
19935.87000000
PA
USD
21841.26000000
0.004244171376
Long
ABS-MBS
USGSE
US
N
2
2042-12-01
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
6506.59000000
0.001264353935
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
502000.00000000
USD
4361279.62000000
NOK
2021-03-17
6506.59000000
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAH2
800000.00000000
PA
USD
898944.00000000
0.174681881624
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
3.88000000
N
N
N
N
N
N
CANADIAN PACIFIC RAILWAY
54930036474DURYNB481
Canadian Pacific Railway Co
13648TAA5
200000.00000000
PA
USD
209736.00000000
0.040755685698
Long
DBT
CORP
CA
N
2
2030-03-05
Fixed
2.05000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-5794.38000000
-0.00112595801
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
252726.69000000
GBP
339976.79000000
USD
2021-03-17
-5794.38000000
N
N
N
Bank
549300GL0Y86051URC66
BANK 2018-BNK10
065404AA3
200000.00000000
PA
USD
157966.00000000
0.030695792076
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
2.60000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABK0
325000.00000000
PA
USD
336215.75000000
0.065333101774
Long
DBT
CORP
US
N
2
2041-02-15
Fixed
3.00000000
N
N
N
N
N
N
VMware Inc
549300BUDHS3LRWBE814
VMware Inc
928563AC9
35000.00000000
PA
USD
39509.75000000
0.007677494340
Long
DBT
CORP
US
N
2
2027-08-21
Fixed
3.90000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-90748.39000000
-0.01763413462
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4096487980.00000000
KRW
3674672.34000000
USD
2021-01-15
-90748.39000000
N
N
N
American Express Co
R4PP93JZOLY261QX3811
American Express Co
025816BL2
345000.00000000
PA
USD
339393.75000000
0.065950647494
Long
DBT
CORP
US
N
2
2021-03-15
Variable
3.50000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2E3
1750000.00000000
PA
USD
1860302.50000000
0.361492085257
Long
DBT
CORP
FR
N
2
2023-03-01
Fixed
3.50000000
N
N
N
N
N
N
FISERV INC
GI7UBEJLXYLGR2C7GV83
Fiserv Inc
337738AT5
750000.00000000
PA
USD
839632.50000000
0.163156531411
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAD6
524918.41000000
PA
USD
528120.10000000
0.102623759423
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Floating
4.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36201U5P5
20403.89000000
PA
USD
23107.27000000
0.004490181148
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
9459.98000000
0.001838253669
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
182841.07000000
USD
14294057.75000000
RUB
2021-02-08
9459.98000000
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
163600000.00000000
OU
Notional Amount
-12915.94000000
-0.00250981229
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-19
0.00000000
JPY
-1170820.00000000
JPY
163600000.00000000
JPY
-1809.18000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-62084.94000000
-0.01206428224
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5249010.75000000
EUR
6361669.80000000
USD
2021-03-17
-62084.94000000
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAK3
1275000.00000000
PA
USD
1368228.00000000
0.265872670078
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
2.57000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140EWUP8
67611.53000000
PA
USD
73468.21000000
0.014276267667
Long
ABS-MBS
USGSE
US
N
2
2046-03-01
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
6705.65000000
0.001303035071
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
481881.63000000
USD
357112.04000000
GBP
2021-03-17
6705.65000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
1245519.00000000
PA
USD
1284411.07000000
0.249585449690
Long
DBT
UST
US
N
1
2022-07-15
Fixed
0.13000000
N
N
N
N
N
N
CROWN CASTLE INTL CORP
54930012H97VSM0I2R19
Crown Castle International Corp
22822VAJ0
1275000.00000000
PA
USD
1356217.50000000
0.263538801962
Long
DBT
US
N
2
2023-07-15
Fixed
3.15000000
N
N
N
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
038522AR9
343000.00000000
PA
USD
367867.50000000
0.071483637566
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.38000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDE7
150000.00000000
PA
USD
164250.00000000
0.031916892550
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
7.50000000
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
20130000.00000000
OU
Notional Amount
-93834.99000000
-0.01823391959
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-17
0.00000000
EUR
-114223.45000000
EUR
20130000.00000000
EUR
44563.81000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBF2
550000.00000000
PA
USD
583863.50000000
0.113455760082
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
2.30000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9ME0
808775.06000000
PA
USD
882976.37000000
0.171579068041
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HKK5
1710000.00000000
PA
USD
1709162.10000000
0.332122636814
Long
DBT
CORP
US
N
2
2021-02-01
Variable
4.01000000
N
N
N
N
N
N
SERVICENOW INC
549300HJTQM36M0E1G39
ServiceNow Inc
81762PAE2
975000.00000000
PA
USD
950820.00000000
0.184762373057
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
1.40000000
N
N
N
N
N
N
SHERWIN-WILLIAMS CO
Z15BMIOX8DDH0X2OBP21
Sherwin-Williams Co/The
824348BJ4
475000.00000000
PA
USD
524965.25000000
0.102010712188
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.95000000
N
N
N
N
N
N
QUALCOMM Inc
H1J8DDZKZP6H7RWC0H53
QUALCOMM Inc
747525AK9
25000.00000000
PA
USD
35443.00000000
0.006887247626
Long
DBT
CORP
US
N
2
2045-05-20
Fixed
4.80000000
N
N
N
N
N
N
HLF FIN SARL LLC/HERBALI
N/A
HLF Financing Sarl LLC / Herbalife International Inc
40390DAA3
235000.00000000
PA
USD
248512.50000000
0.048290695646
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
7.25000000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCR0
615000.00000000
PA
USD
677939.10000000
0.131736434766
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
3.70000000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAW0
425000.00000000
PA
USD
477347.25000000
0.092757630973
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
5.40000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MPDQ5
19954.21000000
PA
USD
21861.35000000
0.004248075244
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBE8
20000.00000000
PA
USD
22300.00000000
0.004333313265
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
5.09000000
N
N
N
N
N
N
Navient Student Loan Trust
N/A
Navient Student Loan Trust 2017-2
63939RAA2
3203264.49000000
PA
USD
3231323.16000000
0.627907422180
Long
ABS-O
CORP
US
N
2
2066-12-27
Floating
1.20000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
925000.00000000
PA
USD
1027221.75000000
0.199608683227
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.38000000
N
N
N
N
N
N
COSTAR GROUP INC
N/A
CoStar Group Inc
22160NAA7
625000.00000000
PA
USD
648650.00000000
0.126045006713
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
2.80000000
N
N
N
N
N
N
SUNOCO LP/FINANCE CORP
N/A
Sunoco LP / Sunoco Finance Corp
86765LAR8
630000.00000000
PA
USD
654412.50000000
0.127164769839
Long
DBT
CORP
US
N
2
2029-05-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
1968855.61000000
PA
USD
2154700.62000000
0.418699227803
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582AD4
35000.00000000
PA
USD
54559.05000000
0.010601858974
Long
DBT
CORP
NL
N
2
2038-12-15
Fixed
6.38000000
N
N
N
N
N
N
Conagra Brands Inc
54930035UDEIH090K650
Conagra Brands Inc
205887CA8
35000.00000000
PA
USD
39160.10000000
0.007609550709
Long
DBT
CORP
US
N
2
2024-05-01
Fixed
4.30000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAN7
413000.00000000
PA
USD
433650.00000000
0.084266425902
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.25000000
N
N
N
N
N
N
Credit Agricole SA
969500TJ5KRTCJQWXH05
Credit Agricole SA
225313AL9
250000.00000000
PA
USD
278195.00000000
0.054058568785
Long
DBT
CORP
FR
N
2
2024-09-23
Fixed
6.88000000
N
N
N
N
N
N
CAPITAL ONE FINANCIAL CO
ZUE8T73ROZOF6FLBAR73
Capital One Financial Corp
14040HBD6
325000.00000000
PA
USD
348465.00000000
0.067713363546
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.50000000
N
N
N
N
N
N
H&E EQUIPMENT SERVICES
N/A
H&E Equipment Services Inc
404030AJ7
325000.00000000
PA
USD
326625.00000000
0.063469437012
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.88000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAW1
1050000.00000000
PA
USD
1109650.50000000
0.215626153892
Long
DBT
CORP
US
N
2
2030-10-15
Fixed
3.00000000
N
N
N
N
N
N
Abbott Laboratories
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BG4
50000.00000000
PA
USD
68881.50000000
0.013384982856
Long
DBT
CORP
US
N
2
2036-11-30
Fixed
4.75000000
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
8770000.00000000
OU
Notional Amount
-9939.26000000
-0.00193138687
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-03-17
0.00000000
EUR
-29182.21000000
EUR
8770000.00000000
EUR
25430.51000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380WG86
417507.58000000
PA
USD
54469.25000000
0.010584409129
Long
ABS-MBS
USGA
US
N
2
2046-04-20
Fixed
4.00000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CL2
450000.00000000
PA
USD
509481.00000000
0.099001828514
Long
DBT
CORP
US
N
2
2025-07-20
Fixed
3.88000000
N
N
N
N
N
N
OTIS WORLDWIDE CORP
549300ZLBKR8VSU25153
Otis Worldwide Corp
68902VAJ6
175000.00000000
PA
USD
187082.00000000
0.036353583513
Long
DBT
CORP
US
N
2
2027-04-05
Fixed
2.29000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H040616
-3000000.00000000
PA
USD
-3198046.80000000
-0.62144119382
Short
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
4.00000000
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
13670000.00000000
OU
Notional Amount
-166652.46000000
-0.03238373612
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-09
0.00000000
AUD
-115677.39000000
AUD
13670000.00000000
AUD
24779.06000000
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBG1
300000.00000000
PA
USD
309000.00000000
0.060044564980
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.75000000
N
N
N
N
N
N
GE CAPITAL INTL FUNDING
549300G6UZOB126GBY72
GE Capital International Funding Co Unlimited Co
36164Q6M5
1600000.00000000
PA
USD
1778688.00000000
0.345632838822
Long
DBT
CORP
IE
N
2
2025-11-15
Fixed
3.37000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
200000.00000000
PA
USD
234500.00000000
0.045567800931
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
QORVO INC
254900YAUJV2EUEVBR11
Qorvo Inc
74736KAH4
600000.00000000
PA
USD
660000.00000000
0.128250527142
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
4.38000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBD0
161000.00000000
PA
USD
165420.75000000
0.032144391496
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
3325000.00000000
OU
Notional Amount
USD
54266.00000000
0.010544913796
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2025-06-20
42496.08000000
USD
0.00000000
USD
3325000.00000000
USD
11769.92000000
N
N
N
SOUTHWESTERN ELEC POWER
R64UBJHEC74EB3HGQ410
Southwestern Electric Power Co
845437BP6
35000.00000000
PA
USD
37929.50000000
0.007370421771
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BBF9
1985463.38000000
PA
USD
214512.04000000
0.041683760921
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.50000000
N
N
N
N
N
N
CAMDEN PROPERTY TRUST
5493002MYX22OHYJBD89
Camden Property Trust
133131AX0
65000.00000000
PA
USD
73196.50000000
0.014223469257
Long
DBT
US
N
2
2029-07-01
Fixed
3.15000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
OPS02962A SWAPTION EUR006M FEB21 NEG 0.293 CALL
000000000
-2750000.00000000
NC
-9146.01000000
-0.00177724333
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
2750000.00000000
OU
Notional Amount
N/A
-9146.01000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-02-18
0.00000000
N/A
0.00000000
N/A
2750000.00000000
EUR
1.00000000
-0.29300000
EUR
2021-02-16
XXXX
1201.83000000
N
N
N
Entercom Media Corp
549300S5JUSXRHNCHD80
Entercom Media Corp
29365DAA7
675000.00000000
PA
USD
685125.00000000
0.133132791528
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
1878.73000000
0.000365072898
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
910271.92000000
USD
25485793.22000000
TWD
2021-02-05
1878.73000000
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
16216485.00000000
OU
Notional Amount
5118.32000000
0.000994586724
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-06-16
50404.07000000
ZAR
0.00000000
ZAR
16216485.00000000
ZAR
5348.32000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-427080.19000000
-0.08298978712
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5368014.26000000
GBP
6914582.11000000
USD
2021-01-13
-427080.19000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-7731.26000000
-0.00150233056
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6302204852.12000000
IDR
444396.21000000
USD
2021-01-06
-7731.26000000
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874CY1
100000.00000000
PA
USD
110628.00000000
0.021497120176
Long
DBT
CORP
US
N
2
2024-02-15
Fixed
4.13000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382ET31
1489205.32000000
PA
USD
152941.09000000
0.029719356688
Long
ABS-MBS
USGA
US
N
2
2050-05-20
Fixed
5.00000000
N
N
N
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAT7
925000.00000000
PA
USD
1006890.25000000
0.195657886875
Long
DBT
US
N
2
2024-05-15
Fixed
3.38000000
N
N
N
N
N
N
SYNGENTA FINANCE NV
54930042S3BYCEGOCN86
Syngenta Finance NV
87164KAE4
1485000.00000000
PA
USD
1496033.55000000
0.290707714258
Long
DBT
CORP
NL
N
2
2021-04-23
Fixed
3.93000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VHV5
915575.98000000
PA
USD
979950.58000000
0.190422997665
Long
ABS-MBS
USGA
US
N
2
2050-03-20
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214839 IRS PLN R V 03MWIBOR 1 CCPZERO / Short: BR214839 IRS PLN P F .25000 2 CCPZERO
000000000
18330000.00000000
OU
Notional Amount
-5097.34000000
-0.00099050991
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2021-12-16
0.00000000
PLN
-3259.10000000
PLN
18330000.00000000
PLN
-4222.91000000
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
175000.00000000
PA
USD
199396.75000000
0.038746573178
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RE0
1100000.00000000
PA
USD
1556156.25000000
0.302390696029
Long
DBT
UST
US
N
1
2044-02-15
Fixed
3.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-2682.25000000
-0.00052121208
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2604625618.62000000
IDR
184176.61000000
USD
2021-01-06
-2682.25000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36290QX75
17927.66000000
PA
USD
20402.95000000
0.003964680443
Long
ABS-MBS
USGA
US
N
2
2033-07-15
Fixed
5.50000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAR0
53000.00000000
PA
USD
58317.49000000
0.011332195203
Long
DBT
CORP
XX
N
2
2028-01-15
Fixed
3.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-854.10000000
-0.00016596784
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
48850061.00000000
JPY
472673.15000000
USD
2021-03-17
-854.10000000
N
N
N
MARATHON PETROLEUM CORP
3BNYRYQHD39K4LCKQF12
Marathon Petroleum Corp
56585ABG6
625000.00000000
PA
USD
678843.75000000
0.131912225432
Long
DBT
CORP
US
N
2
2023-05-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
7336.01000000
0.001425525984
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
338435.16000000
USD
252726.69000000
GBP
2021-03-17
7336.01000000
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
200000.00000000
PA
244330.02000000
0.047477960396
Long
DBT
CORP
ES
N
2
2026-01-14
Fixed
4.38000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02771A SWAPTION EUR006M JAN21 0.0001 PUT
000000000
-2340000.00000000
NC
-59.75000000
-0.00001161055
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
2340000.00000000
OU
Notional Amount
N/A
-59.75000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-18
0.00000000
N/A
0.00000000
N/A
2340000.00000000
EUR
1.00000000
0.00010000
EUR
2021-01-14
XXXX
7285.87000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
70000.00000000
PA
98129.04000000
0.019068335012
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FV84
2417081.70000000
PA
USD
311822.63000000
0.060593055564
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
4.00000000
N
N
N
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AN4
525000.00000000
PA
USD
532516.43000000
0.103478049787
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
3.92000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
30000.00000000
PA
USD
32534.70000000
0.006322109735
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36000000
N
N
N
N
N
N
AbbVie Inc
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBD0
25000.00000000
PA
USD
33978.50000000
0.006602667479
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
6243655.26000000
PA
USD
6916494.47000000
1.344006154179
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
100000.00000000
PA
USD
119384.00000000
0.023198577170
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
243000.00000000
PA
USD
239658.75000000
0.046570243972
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.38000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
630000.00000000
PA
USD
757455.30000000
0.147187941685
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.33000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017BS7
10000.00000000
PA
USD
14636.70000000
0.002844188622
Long
DBT
CORP
US
N
2
2040-04-15
Fixed
5.70000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-11381.74000000
-0.00221168811
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
72301228.83000000
INR
975856.78000000
USD
2021-01-27
-11381.74000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EP2E3
193351.74000000
PA
USD
220881.59000000
0.042921485384
Long
ABS-MBS
USGSE
US
N
2
2045-05-01
Fixed
4.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
475000.00000000
PA
USD
502450.25000000
0.097635620341
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.88000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BB9
30000.00000000
PA
USD
38237.40000000
0.007430252585
Long
DBT
CORP
JP
N
2
2038-07-26
Fixed
4.29000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179QDZ1
5133.87000000
PA
USD
5640.49000000
0.001096054266
Long
ABS-MBS
USGA
US
N
2
2044-05-20
Fixed
4.00000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
1875000.00000000
PA
USD
2043112.50000000
0.397015538086
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005631 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005631 CDS USD P F 1.00000 2 CORPORATE
000000000
80000.00000000
OU
Notional Amount
USD
-1102.44000000
-0.00021422501
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2022-06-20
0.00000000
USD
-354.20000000
USD
80000.00000000
USD
-748.24000000
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
13310000.00000000
OU
Notional Amount
-55479.78000000
-0.01078077428
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-09
0.00000000
CAD
-51715.35000000
CAD
13310000.00000000
CAD
-15907.70000000
N
N
N
Comcast Corp
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NAK7
25000.00000000
PA
USD
38610.50000000
0.007502752997
Long
DBT
CORP
US
N
2
2035-11-15
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03092A SWAPTION EUR006M JAN21 NEG 0.265 PUT
000000000
-3350000.00000000
NC
-8465.40000000
-0.00164498789
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
3350000.00000000
OU
Notional Amount
N/A
-8465.40000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-20
0.00000000
N/A
0.00000000
N/A
3350000.00000000
EUR
1.00000000
-0.26500000
EUR
2021-01-18
XXXX
5464.93000000
N
N
N
Hyundai Capital America
549300RIPPWJB5Z0FK07
Hyundai Capital America
44891CAK9
70000.00000000
PA
USD
73922.10000000
0.014364467109
Long
DBT
CORP
US
N
2
2026-09-27
Fixed
2.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-5665.67000000
-0.00110094721
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1463151.91000000
TRY
190504.65000000
USD
2021-01-11
-5665.67000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
-1942.05000000
-0.00037737717
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
348855.83000000
GBP
388419.89000000
EUR
2021-03-17
-1942.05000000
N
N
N
SENSATA TECHNOLOGIES INC
N/A
Sensata Technologies Inc
81728UAB0
276000.00000000
PA
USD
284970.00000000
0.055375079878
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBD6
612000.00000000
PA
USD
612482.44000000
0.119016963326
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Floating
3.08000000
N
N
N
N
N
N
Pennsylvania Higher Education Assistance Agency
N/A
PHEAA Student Loan Trust 2016-1
69343FAA5
1279848.64000000
PA
USD
1292757.58000000
0.251207335004
Long
ABS-O
CORP
US
N
2
2065-09-25
Floating
1.30000000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152GS4
730000.00000000
PA
USD
870349.80000000
0.169125485831
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
7.35000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CQ3
319000.00000000
PA
USD
326576.25000000
0.063459963961
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
3.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36202F2M7
1313.99000000
PA
USD
1451.87000000
0.000282125898
Long
ABS-MBS
USGA
US
N
2
2042-01-20
Fixed
4.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PED6
150000.00000000
PA
USD
162328.13000000
0.031543436731
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAD4
550000.00000000
PA
USD
564762.00000000
0.109743976076
Long
DBT
CORP
US
N
2
2023-01-15
Fixed
2.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02747A SWAPTION US0003M MAR21 0.70 CALL
000000000
-20000000.00000000
NC
USD
-6624.00000000
-0.00128716892
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
20000000.00000000
OU
Notional Amount
N/A
-6624.00000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-03-19
0.00000000
N/A
0.00000000
N/A
20000000.00000000
USD
1.00000000
0.70000000
USD
2021-03-17
XXXX
84676.00000000
N
N
N
The Bancorp Commercial Mortgage Trust
5493007HKNHP2VEB5M24
Bancorp Commercial Mortgage 2018 CRE4 Trust
05972LAA4
33727.08000000
PA
USD
33589.07000000
0.006526993838
Long
ABS-MBS
CORP
US
N
2
2035-09-15
Floating
1.06000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QED33
985977.62000000
PA
USD
1041633.02000000
0.202409066521
Long
ABS-MBS
USGSE
US
N
2
2050-07-01
Fixed
3.00000000
N
N
N
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PepsiCo Inc
713448EQ7
40000.00000000
PA
USD
42816.40000000
0.008320039197
Long
DBT
CORP
US
N
2
2025-03-19
Fixed
2.25000000
N
N
N
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAF7
650000.00000000
PA
USD
701187.50000000
0.136254040153
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-35354.68000000
-0.00687008537
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
196444680.91000000
INR
2647003.00000000
USD
2021-01-27
-35354.68000000
N
N
N
REPUBLIC OF ECUADOR
5299003Y2U5XK0A35H71
Ecuador Government International Bond
000000000
41572.00000000
PA
USD
19642.77000000
0.003816963040
Long
DBT
NUSS
EC
N
2
2030-07-31
None
0.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDR0
40000.00000000
PA
USD
51718.00000000
0.010049789034
Long
DBT
CORP
US
N
2
2037-03-01
Fixed
5.25000000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZB2
900000.00000000
PA
USD
926005.50000000
0.179940444715
Long
DBT
CORP
US
N
2
2023-02-15
Fixed
4.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XRXN4
38948.66000000
PA
USD
44000.28000000
0.008550089552
Long
ABS-MBS
USGSE
US
N
2
2044-06-01
Fixed
5.00000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAD2
50000.00000000
PA
USD
70039.50000000
0.013610004236
Long
DBT
CORP
US
N
2
2048-05-25
Fixed
5.09000000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225433AR2
307000.00000000
PA
USD
361231.55000000
0.070194146527
Long
DBT
CORP
CH
N
2
2026-04-17
Fixed
4.55000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ET6A9
930369.60000000
PA
USD
1038362.59000000
0.201773559898
Long
ABS-MBS
USGSE
US
N
2
2045-06-01
Fixed
4.50000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005472 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005472 CDS USD P F 1.00000 2 CORPORATE
000000000
250000.00000000
OU
Notional Amount
USD
-1118.68000000
-0.00021738075
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
218.33000000
USD
0.00000000
USD
250000.00000000
USD
-1337.01000000
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2M4
75000.00000000
PA
USD
106410.00000000
0.020677482717
Long
DBT
CORP
US
N
2
2051-04-04
Fixed
5.01000000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CY4
375000.00000000
PA
USD
398891.25000000
0.077512141038
Long
DBT
CORP
US
N
2
2025-01-28
Fixed
2.38000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAQ1
415000.00000000
PA
USD
446448.70000000
0.086753456238
Long
DBT
CORP
US
N
2
2024-04-24
Fixed
3.74000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
12917.22000000
0.002510061021
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
800180.71000000
USD
11366567014.95000000
IDR
2021-03-05
12917.22000000
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RJY9
625000.00000000
PA
USD
667437.50000000
0.129695774560
Long
DBT
CORP
US
N
2
2031-06-01
Fixed
2.75000000
N
N
N
N
N
N
Cantor Commercial Real Estate Lending
N/A
Cantor Commercial Real Estate Lending 2019-CF2
12528YAV5
500000.00000000
PA
USD
367609.67000000
0.071433536303
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
2.50000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAF3
510000.00000000
PA
USD
503625.00000000
0.097863896564
Long
DBT
CORP
US
N
2
2027-08-31
Fixed
3.38000000
N
N
N
N
N
N
McDonald's Corp
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFH2
75000.00000000
PA
USD
97624.50000000
0.018970293313
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.45000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CJ6
1050000.00000000
PA
USD
1074475.50000000
0.208790983753
Long
DBT
CORP
GB
N
2
2026-04-18
Fixed
1.65000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBE2
30000.00000000
PA
USD
33607.50000000
0.006530575137
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-2710.39000000
-0.00052668022
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
564523.51000000
CHF
636138.02000000
USD
2021-03-03
-2710.39000000
N
N
N
JM SMUCKER CO
5493000WDH6A0LHDJD55
J M Smucker Co/The
832696AS7
225000.00000000
PA
USD
238626.00000000
0.046369561045
Long
DBT
CORP
US
N
2
2030-03-15
Fixed
2.38000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122DE5
300000.00000000
PA
USD
355701.00000000
0.069119455689
Long
DBT
CORP
US
N
2
2028-02-20
Fixed
3.90000000
N
N
N
N
N
N
Apple Inc
HWUPKR0MPOU8FGXBT394
Apple Inc
037833CG3
65000.00000000
PA
USD
69945.20000000
0.013591679956
Long
DBT
CORP
US
N
2
2024-02-09
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-6602.42000000
-0.00128297552
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
657012193.13000000
COP
185769.84000000
USD
2021-01-29
-6602.42000000
N
N
N
MICROCHIP TECHNOLOGY INC
5493007PTFULNYZJ1R12
Microchip Technology Inc
595017AQ7
625000.00000000
PA
USD
654381.25000000
0.127158697371
Long
DBT
CORP
US
N
2
2023-09-01
Fixed
2.67000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BBVP4
1922289.95000000
PA
USD
158160.06000000
0.030733501618
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
2368.75000000
0.000460293085
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
26076953.47000000
TWD
935677.35000000
USD
2021-02-05
2368.75000000
N
N
N
DENTSPLY SIRONA INC
9NHEHR1SOZCYXDO8HO28
DENTSPLY SIRONA Inc
24906PAA7
350000.00000000
PA
USD
389599.00000000
0.075706480491
Long
DBT
CORP
US
N
2
2030-06-01
Fixed
3.25000000
N
N
N
N
N
N
LAM RESEARCH CORP
549300I4GMO6D34U1T02
Lam Research Corp
512807AV0
375000.00000000
PA
USD
389085.00000000
0.075606600535
Long
DBT
CORP
US
N
2
2030-06-15
Fixed
1.90000000
N
N
N
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
2060000.00000000
OU
Notional Amount
65642.22000000
0.012755529269
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
53225.19000000
EUR
0.00000000
EUR
2060000.00000000
EUR
8214.92000000
N
N
N
XLIT Ltd
635400XCGXK8NVDIVE95
XLIT Ltd
98420EAC9
775000.00000000
PA
USD
884864.00000000
0.171945870378
Long
DBT
CORP
KY
N
2
2025-03-31
Fixed
4.45000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YEC4
677809.67000000
PA
USD
105839.30000000
0.020566584874
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.90000000
N
N
N
N
N
N
BORGWARNER INC
549300DSFX2IE88NSX47
BorgWarner Inc
099724AM8
60000.00000000
PA
USD
70533.00000000
0.013705900652
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GV20
186166.93000000
PA
USD
31015.73000000
0.006026945033
Long
ABS-MBS
USGA
US
N
2
2044-11-20
Floating
5.45000000
N
N
N
N
N
N
HOME DEPOT INC
QEKMOTMBBKA8I816DO57
Home Depot Inc/The
437076BW1
275000.00000000
PA
USD
330811.25000000
0.064282904844
Long
DBT
CORP
US
N
2
2028-12-06
Fixed
3.90000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02773A SWAPTION EUR006M JAN21 NEG0.25 CALL
000000000
-2340000.00000000
NC
-7219.27000000
-0.00140284118
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
2340000.00000000
OU
Notional Amount
N/A
-7219.27000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-18
0.00000000
N/A
0.00000000
N/A
2340000.00000000
EUR
1.00000000
-0.25000000
EUR
2021-01-14
XXXX
13865.39000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-8096.32000000
-0.00157326864
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
667334656.13000000
COP
187298.35000000
USD
2021-01-29
-8096.32000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03121A SWAPTION US0003M JAN21 0.955 CALL
000000000
-3780000.00000000
NC
USD
-25519.54000000
-0.00495893099
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-25519.54000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-25
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.95500000
USD
2021-01-21
XXXX
-288.04000000
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP / Genesis Energy Finance Corp
37185LAJ1
260000.00000000
PA
USD
250900.00000000
0.048754632212
Long
DBT
CORP
US
N
2
2025-10-01
Fixed
6.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020612
11000000.00000000
PA
USD
11434792.60000000
2.221997240483
Long
ABS-MBS
USGSE
US
N
2
2051-01-15
Fixed
2.00000000
N
N
N
N
N
N
Halliburton Co
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
2000.00000000
PA
USD
2242.86000000
0.000435830268
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CBG3
1300000.00000000
PA
USD
1431495.00000000
0.278166649018
Long
DBT
CORP
US
N
2
2023-10-02
Fixed
4.45000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02772A SWAPTION EUR006M JAN21 0.0001 PUT
000000000
-2340000.00000000
NC
-59.75000000
-0.00001161055
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
2340000.00000000
OU
Notional Amount
N/A
-59.75000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-18
0.00000000
N/A
0.00000000
N/A
2340000.00000000
EUR
1.00000000
0.00010000
EUR
2021-01-14
XXXX
7285.87000000
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
17308CC53
550000.00000000
PA
USD
605352.00000000
0.117631383495
Long
DBT
CORP
US
N
2
2030-11-05
Fixed
2.98000000
N
N
N
N
N
N
COMMERZBANK AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
000000000
400000.00000000
PA
520769.88000000
0.101195472166
Long
DBT
CORP
DE
N
2
2025-10-09
Fixed
6.13000000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AN0
925000.00000000
PA
USD
1165934.75000000
0.226563251972
Long
DBT
CORP
US
N
2
2048-04-15
Fixed
4.60000000
N
N
N
N
N
N
Cox Communications Inc
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CJ4
30000.00000000
PA
USD
33915.60000000
0.006590444815
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J8MQ3
701144.74000000
PA
USD
770072.74000000
0.149639749762
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AYTL7
599850.30000000
PA
USD
108241.79000000
0.021033434282
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
756459.23000000
PA
USD
70515.62000000
0.013702523389
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
1317848.39000000
PA
USD
156404.36000000
0.030392335784
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-5248.69000000
-0.00101992008
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
35174515.25000000
INR
475042.41000000
USD
2021-01-27
-5248.69000000
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
5770000.00000000
OU
Notional Amount
USD
52007.32000000
0.010106009401
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-20
78152.32000000
USD
0.00000000
USD
5770000.00000000
USD
-26145.00000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02889A SWAPTION US0003M JAN21 0.31 CALL
000000000
-19930000.00000000
NC
USD
-3005.44000000
-0.00058401403
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
19930000.00000000
OU
Notional Amount
N/A
-3005.44000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-01-22
0.00000000
N/A
0.00000000
N/A
19930000.00000000
USD
1.00000000
0.31000000
USD
2021-01-20
XXXX
19914.06000000
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFR0
175000.00000000
PA
USD
224071.75000000
0.043541394023
Long
DBT
CORP
US
N
2
2050-04-01
Fixed
4.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C6A7
2811176.86000000
PA
USD
3043646.29000000
0.591438244134
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
4.50000000
N
N
N
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
930000.00000000
OU
Notional Amount
USD
18385.54000000
0.003572659389
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-17
16718.68000000
USD
0.00000000
USD
930000.00000000
USD
1666.86000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
50000.00000000
PA
USD
51044.00000000
0.009918818041
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-7544.05000000
-0.00146595210
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1984870.90000000
BRL
374635.42000000
USD
2021-01-05
-7544.05000000
N
N
N
Amazon.com Inc
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BF2
440000.00000000
PA
USD
547826.40000000
0.106453067549
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03144A SWAPTION US0003M JAN21 0.948 CALL
000000000
-3780000.00000000
NC
USD
-28582.09000000
-0.00555404258
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3780000.00000000
OU
Notional Amount
N/A
-28582.09000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
3780000.00000000
USD
1.00000000
0.94800000
USD
2021-01-29
XXXX
-3350.59000000
N
N
N
Home Equity Loan Trust
N/A
Home Equity Loan Trust
43710XAD0
1108144.63000000
PA
USD
1023839.65000000
0.198951477003
Long
ABS-O
CORP
US
N
2
2037-04-25
Floating
0.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LKE0
540.89000000
PA
USD
617.58000000
0.000120007515
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKG6
100000.00000000
PA
USD
102159.00000000
0.019851432730
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-231.38000000
-0.00004496152
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
190214.15000000
USD
2819519.62000000
ZAR
2021-03-17
-231.38000000
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
240000.00000000
PA
USD
351975.00000000
0.068395423168
Long
DBT
CORP
LU
N
2
2037-08-16
Fixed
7.29000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PHP / SOLD USD
000000000
1.00000000
NC
1619.76000000
0.000314750111
N/A
DFE
PH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
472986.56000000
USD
22813087.76000000
PHP
2021-01-15
1619.76000000
N
N
N
General Motors Co
54930070NSV60J38I987
General Motors Co
37045VAT7
50000.00000000
PA
USD
67377.50000000
0.013092727109
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03028A SWAPTION EUR006M MAR21 0.021 CALL
000000000
-510000.00000000
NC
-19159.59000000
-0.00372307199
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
510000.00000000
OU
Notional Amount
N/A
-19159.59000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-04
0.00000000
N/A
0.00000000
N/A
510000.00000000
EUR
1.00000000
0.02100000
EUR
2021-03-02
XXXX
-2432.73000000
N
N
N
ON SEMICONDUCTOR CORP
ZV20P4CNJVT8V1ZGJ064
ON Semiconductor Corp
682189AQ8
860000.00000000
PA
USD
893325.00000000
0.173590003272
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.88000000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAM1
447000.00000000
PA
USD
450352.50000000
0.087512038674
Long
DBT
CORP
CA
N
2
2030-10-15
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179RJF7
90253.70000000
PA
USD
98990.82000000
0.019235795223
Long
ABS-MBS
USGA
US
N
2
2045-07-20
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
2575.50000000
0.000500468534
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
635819.70000000
USD
812440.24000000
CAD
2021-03-17
2575.50000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAD0
200000.00000000
PA
USD
207500.00000000
0.040321188457
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.03000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
39327.65000000
0.007642108854
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5266185.55000000
USD
547327830.00000000
JPY
2021-03-17
39327.65000000
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DCH6
950000.00000000
PA
USD
1035500.00000000
0.201217304327
Long
DBT
CORP
US
N
2
2030-08-01
Fixed
4.63000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2018-C14 Commercial Mortgage Trust
12596GAG4
250000.00000000
PA
USD
224127.85000000
0.043552295318
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Variable
4.89000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2K8
45000.00000000
PA
USD
47307.60000000
0.009192764602
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
2.16000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02876A SWAPTION JAN21 0.61 CALL
000000000
2600000.00000000
NC
USD
118.56000000
0.000023038458
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
2600000.00000000
OU
Notional Amount
N/A
118.56000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2031-01-19
0.00000000
N/A
0.00000000
N/A
2600000.00000000
USD
1.00000000
0.61000000
USD
2021-01-15
XXXX
-14051.44000000
N
N
N
Glencore Funding LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
300000.00000000
PA
USD
329166.00000000
0.063963201541
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.13000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BM3
750000.00000000
PA
USD
815910.00000000
0.158546799395
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
2.93000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
15598.89000000
0.003031160402
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
503193.73000000
USD
379189.34000000
GBP
2021-03-17
15598.89000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
159166.90000000
0.030929149740
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3606253.83000000
USD
4096487980.00000000
KRW
2021-01-15
159166.90000000
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
130000.00000000
OU
Notional Amount
-7995.99000000
-0.00155377262
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2041-03-17
0.00000000
EUR
-6563.15000000
EUR
130000.00000000
EUR
-49.98000000
N
N
N
FirstEnergy Corp
549300SVYJS666PQJH88
FirstEnergy Corp
337932AJ6
25000.00000000
PA
USD
31048.18000000
0.006033250684
Long
DBT
CORP
US
N
2
2047-07-15
Fixed
4.85000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214470 IRS EUR R F .05000 2 CCPVANILLA / Short: SR214470 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
12910000.00000000
OU
Notional Amount
153568.69000000
0.029841311280
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-21
75022.30000000
EUR
0.00000000
EUR
12910000.00000000
EUR
123821.48000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
20000.00000000
PA
USD
23400.00000000
0.004547064144
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
6.00000000
N
N
N
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAE0
55000.00000000
PA
USD
74384.20000000
0.014454261910
Long
DBT
CORP
US
N
2
2038-11-15
Fixed
5.32000000
N
N
N
N
N
N
Standard Chartered PLC
U4LOSYZ7YG4W3S5F2G91
Standard Chartered PLC
853254BM1
1325000.00000000
PA
USD
1373296.25000000
0.266857527251
Long
DBT
CORP
GB
N
2
2023-01-20
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BPDJ5
1050826.50000000
PA
USD
181885.56000000
0.035343816590
Long
ABS-MBS
USGSE
US
N
2
2046-05-15
Floating
5.84000000
N
N
N
N
N
N
Crown City CLO I
549300K60T4GC7BSX929
Crown City CLO I
22823RAE9
1000000.00000000
PA
USD
1000134.00000000
0.194345019262
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 INR / SOLD USD
000000000
1.00000000
NC
6500.38000000
0.001263147214
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
466189.98000000
USD
34617869.34000000
INR
2021-01-27
6500.38000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-7477.12000000
-0.00145294633
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
9678980.07000000
MXN
474669.22000000
USD
2021-03-17
-7477.12000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR21 XCBT 20210322
000000000
241.00000000
NC
USD
11941.66000000
0.002320491196
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYH1 Comdty
2021-03-22
33253589.59000000
USD
11941.66000000
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BM2
200000.00000000
PA
USD
212250.00000000
0.041244203615
Long
DBT
CORP
GB
N
2
2029-11-01
Fixed
3.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-10211.82000000
-0.00198435045
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
514155133.00000000
KRW
462388.02000000
USD
2021-01-08
-10211.82000000
N
N
N
WMG ACQUISITION CORP
549300NAS11NXI33CP80
WMG Acquisition Corp
92933BAQ7
1141000.00000000
PA
USD
1209460.00000000
0.235021034179
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.88000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS02877A SWAPTION JAN21 NEG 0.39 CALL
000000000
-3170000.00000000
NC
-156.85000000
-0.00003047893
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
3170000.00000000
OU
Notional Amount
N/A
-156.85000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2031-01-19
0.00000000
N/A
0.00000000
N/A
3170000.00000000
EUR
1.00000000
-0.39000000
EUR
2021-01-15
XXXX
12755.09000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YR64
818541.98000000
PA
USD
145285.96000000
0.028231819630
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.05000000
N
N
N
N
N
N
WALT DISNEY COMPANY/THE
549300GZKULIZ0WOW665
Walt Disney Co/The
254687FN1
35000.00000000
PA
USD
38796.80000000
0.007538954623
Long
DBT
CORP
US
N
2
2025-03-24
Fixed
3.35000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378W2X0
80214.03000000
PA
USD
15968.90000000
0.003103060368
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 CNH / SOLD USD
000000000
1.00000000
NC
1534.88000000
0.000298256316
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
947973.59000000
USD
6206439.97000000
CNY
2021-03-17
1534.88000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
5808.85000000
0.001128769809
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
424483.88000000
USD
314617.78000000
GBP
2021-01-13
5808.85000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
16110.60000000
0.003130595367
N/A
DFE
TH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2612250.65000000
USD
78735846.79000000
THB
2021-03-17
16110.60000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BTA2
755838.09000000
PA
USD
119278.58000000
0.023178092063
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.90000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138YDZ28
17844.05000000
PA
USD
19145.42000000
0.003720318496
Long
ABS-MBS
USGSE
US
N
2
2045-03-01
Fixed
3.50000000
N
N
N
N
N
N
TOTAL CAPITAL INTL SA
549300U37G2I8G4RUG09
Total Capital International SA
89153VAV1
45000.00000000
PA
USD
48937.95000000
0.009509572552
Long
DBT
CORP
FR
N
2
2050-05-29
Fixed
3.13000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAL7
225000.00000000
PA
USD
274545.00000000
0.053349304506
Long
DBT
CORP
US
N
2
2041-07-15
Fixed
5.60000000
N
N
N
N
N
N
McKesson Corp
549300WZWOM80UCFSF54
McKesson Corp
581557BE4
65000.00000000
PA
USD
71275.75000000
0.013850231075
Long
DBT
CORP
US
N
2
2024-03-15
Fixed
3.80000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61761JZN2
425000.00000000
PA
USD
491393.50000000
0.095487083953
Long
DBT
CORP
US
N
2
2027-04-23
Fixed
3.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140E0EH4
430868.60000000
PA
USD
469568.25000000
0.091246023624
Long
ABS-MBS
USGSE
US
N
2
2045-11-01
Fixed
4.00000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
80000.00000000
PA
112147.48000000
0.021792383981
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
-20710000.00000000
NC
USD
-56726.76000000
-0.01102308617
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
20710000.00000000
OU
Notional Amount
N/A
-56726.76000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-06-21
0.00000000
N/A
0.00000000
N/A
20710000.00000000
USD
1.00000000
0.65900000
USD
2021-06-17
XXXX
-519.76000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
24703DBC4
35000.00000000
PA
USD
43471.05000000
0.008447250118
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
6.10000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
71654QDG4
180000.00000000
PA
USD
196857.00000000
0.038253051548
Long
DBT
CORP
MX
N
2
2025-10-16
Fixed
6.88000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CB9
25000.00000000
PA
USD
25850.25000000
0.005023194226
Long
DBT
CORP
US
N
2
2048-11-01
Fixed
3.85000000
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
1440000.00000000
OU
Notional Amount
4929.64000000
0.000957922619
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-09-17
826.36000000
CHF
0.00000000
CHF
1440000.00000000
CHF
5547.44000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
3256.85000000
0.000632867771
N/A
DFE
IL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
255275.51000000
USD
829645.41000000
ILS
2021-03-17
3256.85000000
N
N
N
Benefit Street Partners CLO Ltd
N/A
Benefit Street Partners CLO V-B Ltd
08181JAA0
2009000.00000000
PA
USD
1998860.58000000
0.388416550106
Long
ABS-CBDO
CORP
KY
N
2
2031-04-20
Floating
1.31000000
N
N
N
N
N
N
Cox Communications Inc
5493001NEDZNIFRP2R92
Cox Communications Inc
224044CG0
50000.00000000
PA
USD
56085.00000000
0.010898380022
Long
DBT
CORP
US
N
2
2026-09-15
Fixed
3.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
231.92000000
0.000045066457
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
488117.70000000
USD
431347.17000000
CHF
2021-03-17
231.92000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FTLA3
5430822.38000000
PA
USD
743556.16000000
0.144487074970
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Fixed
4.50000000
N
N
N
N
N
N
MITSUBISHI UFJ FIN GRP
353800V2V8PUY9TK3E06
Mitsubishi UFJ Financial Group Inc
606822BH6
60000.00000000
PA
USD
70587.60000000
0.013716510469
Long
DBT
CORP
JP
N
2
2029-03-07
Fixed
3.74000000
N
N
N
N
N
N
Union Pacific Corp
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EM6
5000.00000000
PA
USD
6122.90000000
0.001189795685
Long
DBT
CORP
US
N
2
2051-10-01
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MVJ0
256361.87000000
PA
USD
46683.01000000
0.009071394910
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Floating
6.10000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
113046.80000000
0.021967138926
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4724965.35000000
USD
39781000.00000000
SEK
2021-02-26
113046.80000000
N
N
N
AGREE LP
549300DXY3G299V1BO77
Agree LP
008513AA1
175000.00000000
PA
USD
185249.75000000
0.035997542561
Long
DBT
US
N
2
2030-10-01
Fixed
2.90000000
N
N
N
N
N
N
HOWMET AEROSPACE INC
549300HO5WFZUT5N2T22
Howmet Aerospace Inc
443201AA6
1358000.00000000
PA
USD
1595650.00000000
0.310065081265
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.88000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust
N/A
Banc of America Commercial Mortgage Trust 2016-UBS10
06054MAW3
500000.00000000
PA
USD
395994.53000000
0.076949253360
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Fixed
3.00000000
N
N
N
N
N
N
WESTPAC BANKING CORP
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EF6
300000.00000000
PA
USD
340671.00000000
0.066198841412
Long
DBT
CORP
AU
N
2
2034-07-24
Fixed
4.11000000
N
N
N
N
N
N
Bayer US Finance II LLC
529900XWNEXYNJ3X6T40
Bayer US Finance II LLC
07274NAE3
950000.00000000
PA
USD
1035452.50000000
0.201208074176
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.88000000
N
N
N
N
N
N
LUKOIL SECURITIES BV
724500IVNQ6LF8OFIO42
Lukoil Securities BV
54988LAB2
210000.00000000
PA
USD
227077.20000000
0.044125410003
Long
DBT
CORP
NL
N
2
2030-05-06
Fixed
3.88000000
N
N
N
N
N
N
VALE OVERSEAS LIMITED
254900BA3U6G5DNV5V04
Vale Overseas Ltd
91911TAP8
134000.00000000
PA
USD
166076.25000000
0.032271767588
Long
DBT
CORP
KY
N
2
2026-08-10
Fixed
6.25000000
N
N
N
N
N
N
HUNTINGTON BANCSHARES
549300XTVCVV9I7B5T19
Huntington Bancshares Inc/OH
446150AM6
825000.00000000
PA
USD
934197.00000000
0.181532208644
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
125753.10000000
0.024436214189
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2035987.88000000
USD
1580603.40000000
GBP
2021-01-13
125753.10000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KVX8
2099955.24000000
PA
USD
204297.72000000
0.039698924672
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAM6
1340000.00000000
PA
USD
1383751.00000000
0.268889083612
Long
DBT
US
N
2
2031-03-15
Fixed
3.50000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PBB0
125000.00000000
PA
USD
139405.00000000
0.027089037479
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
4.63000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379VUJ1
362299.62000000
PA
USD
32834.35000000
0.006380337418
Long
ABS-MBS
USGA
US
N
2
2045-06-20
Fixed
4.00000000
N
N
N
N
N
N
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Long: IBX00037 TRS USD R E IBOXHY INDEX / Short: IBX00037 TRS USD P V 03MLIBOR US0003M+0.00 BPS
000000000
1000000.00000000
OU
Notional Amount
USD
65587.60000000
0.012744915566
N/A
DCR
US
N
2
Barclays Bank PLC
G5GSEF7VJP5I7OUK5573
Markit iBoxx USD Liquid High Yield Index
IBOXHY Index
Y
equity-performance leg
2021-03-22
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
65587.60000000
N
N
N
DISCOVERY COMMUNICATIONS
L2Z2MO2EQURH3BREWI15
Discovery Communications LLC
25470DAL3
15000.00000000
PA
USD
17676.45000000
0.003434869743
Long
DBT
CORP
US
N
2
2026-03-11
Fixed
4.90000000
N
N
N
N
N
N
HalseyPoint CLO 3, Ltd.
N/A
HalseyPoint CLO 3 Ltd
40638UAA7
1675000.00000000
PA
USD
1681356.63000000
0.326719506231
Long
ABS-CBDO
CORP
KY
N
2
2032-11-30
Floating
1.63000000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CS3
200000.00000000
PA
USD
232187.50000000
0.045118438289
Long
DBT
NUSS
ID
N
2
2030-10-15
Fixed
3.85000000
N
N
N
N
N
N
AGL CLO 3 Ltd.
549300LS0REDUXQSHW18
AGL CLO 3 LTD
00119MAA7
1300000.00000000
PA
USD
1300819.00000000
0.252773821920
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.54000000
N
N
N
N
N
N
HSBC Holdings PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BZ1
600000.00000000
PA
USD
655068.00000000
0.127292145930
Long
DBT
CORP
GB
N
2
2025-03-11
Fixed
3.80000000
N
N
N
N
N
N
TRUIST BANK
JJKC32MCHWDI71265Z06
Truist Bank
86787EBC0
50000.00000000
PA
USD
54166.50000000
0.010525579058
Long
DBT
CORP
US
N
2
2024-04-01
Fixed
3.20000000
N
N
N
N
N
N
MGM RESORTS INTL
54930066VBP7DZEGGJ87
MGM Resorts International
552953CF6
150000.00000000
PA
USD
167062.50000000
0.032463414683
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
5.50000000
N
N
N
N
N
N
HEALTHCARE REALTY TRUST
549300CB86LH2IOKHH22
Healthcare Realty Trust Inc
421946AM6
175000.00000000
PA
USD
175157.50000000
0.034036426830
Long
DBT
US
N
2
2031-03-15
Fixed
2.05000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967KU4
1200000.00000000
PA
USD
1402500.00000000
0.272532370178
Long
DBT
CORP
US
N
2
2028-07-25
Fixed
4.13000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CW3
1025000.00000000
PA
USD
1409805.50000000
0.273951967490
Long
DBT
CORP
US
N
2
2050-05-01
Fixed
5.81000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J7R98
398509.10000000
PA
USD
438308.32000000
0.085171625895
Long
ABS-MBS
USGSE
US
N
2
2047-12-01
Fixed
4.00000000
N
N
N
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAG0
365000.00000000
PA
USD
401751.85000000
0.078068009913
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
4.03000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03076A SWAPTION EUR006M MAR21 NEG 0.02 CALL
000000000
-890000.00000000
NC
-27237.92000000
-0.00529284484
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
890000.00000000
OU
Notional Amount
N/A
-27237.92000000
-0.01000000
DIR
DE
Euribor 6 Month
EUR006M Index
2051-03-12
0.00000000
N/A
0.00000000
N/A
890000.00000000
EUR
1.00000000
-0.02000000
EUR
2021-03-10
XXXX
1290.91000000
N
N
N
Magnetite CLO Ltd
549300P6T1S83Z2MDF55
Magnetite XXIV Ltd
55954WAA7
2000000.00000000
PA
USD
2002948.00000000
0.389210813393
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
1.57000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY36
848.14000000
PA
USD
878.30000000
0.000170670360
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAE0
225000.00000000
PA
USD
268497.00000000
0.052174063312
Long
DBT
CORP
US
N
2
2028-11-06
Fixed
4.23000000
N
N
N
N
N
N
BAT Capital Corp
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBQ7
100000.00000000
PA
USD
123230.00000000
0.023945927969
Long
DBT
CORP
US
N
2
2050-04-02
Fixed
5.28000000
N
N
N
N
N
N
JPMorgan Chase & Co
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HRX0
425000.00000000
PA
USD
482863.75000000
0.093829591629
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.63000000
N
N
N
N
N
N
Port Authority of New York & New Jersey
54930006MR4KZ4W74Z83
PORT AUTH OF NEW YORK & NEW JERSEY NY
73358WXQ2
375000.00000000
PA
USD
519945.00000000
0.101035182326
Long
DBT
MUN
US
N
2
2065-10-15
Fixed
4.81000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-3714.12000000
-0.00072172401
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1203037.59000000
USD
24076150.74000000
MXN
2021-03-17
-3714.12000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-4537.55000000
-0.00088173209
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
34649803.99000000
INR
468588.87000000
USD
2021-01-27
-4537.55000000
N
N
N
GRUBHUB HOLDINGS INC
N/A
GrubHub Holdings Inc
40010PAA6
495000.00000000
PA
USD
518512.50000000
0.100756820386
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
1175000.00000000
PA
USD
1269000.00000000
0.246590786279
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YR23
606413.99000000
PA
USD
94218.00000000
0.018308345706
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.05000000
N
N
N
N
N
N
SUNOCO LOGISTICS PARTNER
5493006LL0CKP8WQW329
Sunoco Logistics Partners Operations LP
86765BAV1
75000.00000000
PA
USD
83805.00000000
0.016284902162
Long
DBT
CORP
US
N
2
2047-10-01
Fixed
5.40000000
N
N
N
N
N
N
SANTANDER UK PLC
PTCQB104N23FMNK2RZ28
Santander UK PLC
80283LAX1
1000000.00000000
PA
USD
1070790.00000000
0.208074821150
Long
DBT
CORP
GB
N
2
2024-06-18
Fixed
2.88000000
N
N
N
N
N
N
LEVEL 3 FINANCING INC
N/A
Level 3 Financing Inc
527298BR3
645000.00000000
PA
USD
661125.00000000
0.128469135995
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Non Gold Pool
3128QJ4T0
23374.73000000
PA
USD
24621.64000000
0.004784451983
Long
ABS-MBS
USGSE
US
N
2
2035-09-01
Floating
2.30000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
1487.24000000
0.000288998960
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
511715404.00000000
KRW
471844.54000000
USD
2021-01-08
1487.24000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828ZQ6
40000.00000000
PA
USD
39093.75000000
0.007596657644
Long
DBT
UST
US
N
1
2030-05-15
Fixed
0.63000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
132647.38000000
0.025775903650
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1975003.24000000
USD
7198294296.39000000
COP
2021-01-29
132647.38000000
N
N
N
CONSTELLATION BRANDS INC
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PBE7
625000.00000000
PA
USD
695575.00000000
0.135163424874
Long
DBT
CORP
US
N
2
2029-08-01
Fixed
3.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EW73
377262.83000000
PA
USD
54757.44000000
0.010640409916
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 TWD / SOLD USD
000000000
1.00000000
NC
195.43000000
0.000037975758
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
468548.47000000
USD
13165275.02000000
TWD
2021-01-04
195.43000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
13019.14000000
0.002529866012
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
186611.75000000
USD
1496781.12000000
TRY
2021-01-25
13019.14000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
945.81000000
0.000183788834
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2781325.71000000
ZAR
188355.03000000
USD
2021-03-17
945.81000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136ABDT7
69131.21000000
PA
USD
86890.43000000
0.016884459774
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Fixed
7.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED THB / SOLD USD
000000000
1.00000000
NC
2517.70000000
0.000489236897
N/A
DFE
TH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
475092.38000000
USD
14307407.02000000
THB
2021-03-17
2517.70000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXBH2
3605.55000000
PA
USD
4126.13000000
0.000801785375
Long
ABS-MBS
USGSE
US
N
2
2035-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BY28
1372.97000000
PA
USD
1421.77000000
0.000276276896
Long
ABS-MBS
USGSE
US
N
2
2023-09-01
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-4915.08000000
-0.00095509333
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6269679747.00000000
IDR
444879.00000000
USD
2021-01-06
-4915.08000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
10273.36000000
0.001996308841
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
188397.13000000
USD
1522280.84000000
TRY
2021-03-17
10273.36000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NV61
2446.21000000
PA
USD
2793.06000000
0.000542744571
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
EXPEDIA GROUP INC
N/A
Expedia Group Inc
30212PAZ8
300000.00000000
PA
USD
320115.00000000
0.062204420448
Long
DBT
CORP
US
N
2
2023-12-15
Fixed
3.60000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q9TW3
600259.74000000
PA
USD
670907.13000000
0.130369989524
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
BALL CORP
0BGI85ALH27ZJP15DY16
Ball Corp
058498AW6
239000.00000000
PA
USD
238402.50000000
0.046326130753
Long
DBT
CORP
US
N
2
2030-08-15
Fixed
2.88000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHR3
65000.00000000
PA
USD
70788.25000000
0.013755500572
Long
DBT
CORP
US
N
2
2025-03-15
Fixed
3.46000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PBL9
275000.00000000
PA
USD
294959.50000000
0.057316229334
Long
DBT
CORP
US
N
2
2031-04-22
Fixed
2.52000000
N
N
N
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
12660000.00000000
OU
Notional Amount
USD
-107283.37000000
-0.02084719508
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-11-24
0.00000000
USD
-14229.85000000
USD
12660000.00000000
USD
-93053.52000000
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AH0
95000.00000000
PA
USD
97612.50000000
0.018967961485
Long
DBT
CORP
CA
N
2
2028-01-30
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132Y1WP9
2331992.96000000
PA
USD
2607106.10000000
0.506610199458
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
4.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300WCW8E0MUEMAH47
SLM Student Loan Trust 2005-5
78442GPQ3
886712.40000000
PA
USD
881382.28000000
0.171269306097
Long
ABS-O
CORP
US
N
2
2028-10-25
Floating
0.35000000
N
N
N
N
N
N
HEALTHPEAK PROPERTIES
PZ9HF5U52KPF0MH0QN75
Healthpeak Properties Inc
40414LAR0
65000.00000000
PA
USD
73903.05000000
0.014360765333
Long
DBT
US
N
2
2029-07-15
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GJL4
1050000.00000000
PA
USD
1063545.00000000
0.206666980136
Long
DBT
CORP
US
N
2
2031-10-24
Fixed
1.92000000
N
N
N
N
N
N
NRG ENERGY INC
5E2UPK5SW04M13XY7I38
NRG Energy Inc
629377CR1
852000.00000000
PA
USD
876495.00000000
0.170319614830
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q8KG9
267233.88000000
PA
USD
295509.31000000
0.057423067853
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
4.00000000
N
N
N
N
N
N
Telefonica Emisiones SAU
549300Y5MFC4SW5Z3K71
Telefonica Emisiones SA
87938WAR4
325000.00000000
PA
USD
355179.50000000
0.069018118341
Long
DBT
CORP
ES
N
2
2023-04-27
Fixed
4.57000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02950A SWAPTION US0003M NOV22 0.7 CALL
000000000
10200000.00000000
NC
USD
107645.70000000
0.020917602681
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
10200000.00000000
OU
Notional Amount
N/A
107645.70000000
0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2027-11-16
0.00000000
N/A
0.00000000
N/A
10200000.00000000
USD
1.00000000
0.70000000
USD
2022-11-14
XXXX
4406.83000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-418.69000000
-0.00008135941
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7057890.58000000
ZAR
475150.84000000
USD
2021-03-17
-418.69000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-7487.29000000
-0.00145492255
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4118764.54000000
NOK
472743.07000000
USD
2021-03-17
-7487.29000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138W0FU8
16348.70000000
PA
USD
17911.24000000
0.003480493896
Long
ABS-MBS
USGSE
US
N
2
2043-01-01
Fixed
3.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OC8
232434AE0
1804951.80000000
PA
USD
1590321.37000000
0.309029627316
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.65000000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
000000000
400000.00000000
PA
519347.88000000
0.100919150576
Long
DBT
CORP
NL
N
2
2025-09-22
Fixed
4.38000000
N
N
N
N
N
N
Westpac Banking Corp
EN5TNI6CI43VEPAMHL14
Westpac Banking Corp
961214EC3
65000.00000000
PA
USD
70833.10000000
0.013764215779
Long
DBT
CORP
AU
N
2
2024-02-26
Fixed
3.30000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03128A SWAPTION EUR006M JAN21 NEG0.251 CALL
000000000
-3350000.00000000
NC
-15535.24000000
-0.00301879199
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
3350000.00000000
OU
Notional Amount
N/A
-15535.24000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-02-02
0.00000000
N/A
0.00000000
N/A
3350000.00000000
EUR
1.00000000
-0.25100000
EUR
2021-01-29
XXXX
-1889.71000000
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
32530000.00000000
OU
Notional Amount
11257.30000000
0.002187507059
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-03-11
15553.33000000
MXN
0.00000000
MXN
32530000.00000000
MXN
10487.35000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138ANZG1
34441.20000000
PA
USD
38494.75000000
0.007480260575
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03111A SWAPTION US0003M JUN21 0.763 PUT
000000000
-20710000.00000000
NC
USD
-36836.88000000
-0.00715810496
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
20710000.00000000
OU
Notional Amount
N/A
-36836.88000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-06-21
0.00000000
N/A
0.00000000
N/A
20710000.00000000
USD
1.00000000
0.76300000
USD
2021-06-17
XXXX
-547.08000000
N
N
N
UDR INC
P3CH2EG5X6Z1XWU1OO74
UDR Inc
90265EAU4
775000.00000000
PA
USD
774349.00000000
0.150470708246
Long
DBT
US
N
2
2033-03-15
Fixed
1.90000000
N
N
N
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
66310000.00000000
OU
Notional Amount
93101.76000000
0.018091439087
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-09
67930.48000000
CAD
0.00000000
CAD
66310000.00000000
CAD
41030.86000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179S2P1
800572.11000000
PA
USD
860462.11000000
0.167204119990
Long
ABS-MBS
USGA
US
N
2
2047-04-20
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BA4U5
767459.68000000
PA
USD
97809.67000000
0.019006275359
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
4.00000000
N
N
N
N
N
N
STEEL DYNAMICS INC
549300HGGKEL4FYTTQ83
Steel Dynamics Inc
858119BL3
150000.00000000
PA
USD
159637.50000000
0.031020596252
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
2.40000000
N
N
N
N
N
N
State Street Corp
549300ZFEEJ2IP5VME73
State Street Corp
857477BD4
60000.00000000
PA
USD
72606.00000000
0.014108723899
Long
DBT
CORP
US
N
2
2029-12-03
Fixed
4.14000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XZSV4
551899.09000000
PA
USD
593092.01000000
0.115249034737
Long
ABS-MBS
USGSE
US
N
2
2045-04-01
Fixed
3.00000000
N
N
N
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
2870000.00000000
OU
Notional Amount
-15522.22000000
-0.00301626196
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-19
0.00000000
CAD
-12301.25000000
CAD
2870000.00000000
CAD
-6041.96000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
72384.46000000
0.014065674472
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
9005802.54000000
USD
7418013.78000000
EUR
2021-03-17
72384.46000000
N
N
N
Visa Inc
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAE2
15000.00000000
PA
USD
19457.40000000
0.003780942131
Long
DBT
CORP
US
N
2
2035-12-14
Fixed
4.15000000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BX0
200000.00000000
PA
USD
218500.00000000
0.042458697243
Long
DBT
CORP
MX
N
2
2030-09-17
Fixed
5.20000000
N
N
N
N
N
N
RAYTHEON TECH CORP
I07WOS4YJ0N7YRFE7309
Raytheon Technologies Corp
913017CX5
100000.00000000
PA
USD
135870.00000000
0.026402119883
Long
DBT
CORP
US
N
2
2048-11-16
Fixed
4.63000000
N
N
N
N
N
N
ICE Clear Europe Limited
5R6J7JCQRIPQR1EEP713
Long: SS005888 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005888 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
210000.00000000
OU
Notional Amount
USD
5591.12000000
0.001086460738
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
3183.64000000
USD
0.00000000
USD
210000.00000000
USD
2407.48000000
N
N
N
Dupont De Nemours Inc
5493004JF0SDFLM8GD76
DuPont de Nemours Inc
26078JAF7
50000.00000000
PA
USD
72333.00000000
0.014055674817
Long
DBT
CORP
US
N
2
2048-11-15
Fixed
5.42000000
N
N
N
N
N
N
NATIONSTAR MTG HLD INC
N/A
Nationstar Mortgage Holdings Inc
63861CAD1
279000.00000000
PA
USD
291555.00000000
0.056654670365
Long
DBT
CORP
US
N
2
2030-12-15
Fixed
5.13000000
N
N
N
N
N
N
Constellation Brands Inc
5493005GKEG8QCVY7037
Constellation Brands Inc
21036PAQ1
225000.00000000
PA
USD
257656.50000000
0.050067548404
Long
DBT
CORP
US
N
2
2026-12-06
Fixed
3.70000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137B9HA6
541407.88000000
PA
USD
87436.78000000
0.016990625949
Long
ABS-MBS
USGSE
US
N
2
2044-03-15
Floating
5.89000000
N
N
N
N
N
N
MGM GROWTH/MGM FINANCE
N/A
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc
55303XAL9
813000.00000000
PA
USD
827227.50000000
0.160746004457
Long
DBT
US
N
2
2029-02-15
Fixed
3.88000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381Y7J7
551198.12000000
PA
USD
61418.57000000
0.011934793907
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
717625.00000000
PA
USD
635098.13000000
0.123411621151
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
VEDANTA RESOURCES
8945002DGA3BBXO3N634
Vedanta Resources Finance II PLC
92243XAD3
200000.00000000
PA
USD
210125.00000000
0.040831275781
Long
DBT
CORP
GB
N
2
2024-01-21
Fixed
13.88000000
N
N
N
N
N
N
WILLIAMS COMPANIES INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
96949LAA3
915000.00000000
PA
USD
944517.90000000
0.183537755410
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
3.60000000
N
N
N
N
N
N
ALLIANT ENERGY FINANCE
54930033ER6EOI5DL570
Alliant Energy Finance LLC
01882YAA4
375000.00000000
PA
USD
401943.75000000
0.078105299726
Long
DBT
CORP
US
N
2
2023-06-15
Fixed
3.75000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A7NR9
258440.04000000
PA
USD
43925.06000000
0.008535472878
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
6.52000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
617482V92
25000.00000000
PA
USD
40818.00000000
0.007931712146
Long
DBT
CORP
US
N
2
2042-07-24
Fixed
6.38000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312941Z42
2808.69000000
PA
USD
3238.68000000
0.000629336995
Long
ABS-MBS
USGSE
US
N
2
2040-08-01
Fixed
5.00000000
N
N
N
N
N
N
VIRGINIA ELEC & POWER CO
CQKUMNNZVDJLRYV2PT43
Virginia Electric and Power Co
927804GD0
500000.00000000
PA
USD
503410.00000000
0.097822117983
Long
DBT
CORP
US
N
2
2050-12-15
Fixed
2.45000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-8045.54000000
-0.00156340113
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3345552251.76000000
COP
971527.54000000
USD
2021-01-29
-8045.54000000
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VCK8
925000.00000000
PA
USD
1241405.50000000
0.241228651171
Long
DBT
CORP
US
N
2
2046-08-21
Fixed
4.86000000
N
N
N
N
N
N
BERKSHIRE HATHAWAY ENERG
549300JD0S5IZJE9LY15
Berkshire Hathaway Energy Co
084659AU5
400000.00000000
PA
USD
473504.00000000
0.092010814551
Long
DBT
CORP
US
N
2
2030-07-15
Fixed
3.70000000
N
N
N
N
N
N
Credit Suisse Group AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AC2
875000.00000000
PA
USD
1013433.75000000
0.196929413124
Long
DBT
CORP
CH
N
2
2028-01-09
Fixed
4.28000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NDL8
1814.03000000
PA
USD
2071.25000000
0.000402483188
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
21H020618
41000000.00000000
PA
USD
42889271.80000000
8.334199571399
Long
ABS-MBS
USGA
US
N
2
2051-01-21
Fixed
2.00000000
N
N
N
N
N
N
Becton Dickinson and Co
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BW8
580000.00000000
PA
USD
664082.60000000
0.129043853812
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
3.70000000
N
N
N
N
N
N
PAYPAL HOLDINGS INC
5493005X2GO78EFZ3E94
PayPal Holdings Inc
70450YAD5
1175000.00000000
PA
USD
1290925.50000000
0.250851327086
Long
DBT
CORP
US
N
2
2026-10-01
Fixed
2.65000000
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
1000000.00000000
OU
Notional Amount
USD
-79006.00000000
-0.01535236537
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
-282656.50000000
USD
1000000.00000000
USD
203650.50000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7EV4
28289.86000000
PA
USD
32216.31000000
0.006260240515
Long
ABS-MBS
USGSE
US
N
2
2039-03-01
Fixed
5.00000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDS8
225000.00000000
PA
USD
303214.50000000
0.058920332518
Long
DBT
CORP
US
N
2
2047-03-01
Fixed
5.45000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS02807A SWAPTION US0003M JAN21 0.28 CALL
000000000
-19900000.00000000
NC
USD
-3.98000000
-0.00000077338
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
19900000.00000000
OU
Notional Amount
N/A
-3.98000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-01-08
0.00000000
N/A
0.00000000
N/A
19900000.00000000
USD
1.00000000
0.28000000
USD
2021-01-06
XXXX
21886.02000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31410BHN7
607.74000000
PA
USD
612.45000000
0.000119010659
Long
ABS-MBS
USGSE
US
N
2
2021-06-01
Fixed
6.00000000
N
N
N
N
N
N
NUTRITION & BIOSCIENCES
N/A
Nutrition & Biosciences Inc
67079BAC4
650000.00000000
PA
USD
669487.00000000
0.130094031311
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
1.83000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179T7M1
443688.57000000
PA
USD
486401.32000000
0.094517008625
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
610855.16000000
PA
USD
608890.04000000
0.118318891821
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
2.45000000
N
N
N
N
N
N
NATIONAL RETAIL PROP INC
5493008JKH5SOTI0JS97
National Retail Properties Inc
637417AG1
235000.00000000
PA
USD
254540.25000000
0.049462001881
Long
DBT
US
N
2
2024-06-15
Fixed
3.90000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BP6
25000.00000000
PA
USD
31198.75000000
0.006062509293
Long
DBT
CORP
US
N
2
2047-10-15
Fixed
4.03000000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BE0
1160000.00000000
PA
USD
1206481.20000000
0.234442196799
Long
DBT
CORP
GB
N
2
2023-05-15
Fixed
3.50000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc
49456BAS0
40000.00000000
PA
USD
40058.40000000
0.007784107449
Long
DBT
CORP
US
N
2
2050-08-01
Fixed
3.25000000
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
3120000.00000000
OU
Notional Amount
USD
-2914.08000000
-0.00056626105
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2040-06-19
19372.33000000
USD
0.00000000
USD
3120000.00000000
USD
-22286.41000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UCD2
364893.51000000
PA
USD
400020.86000000
0.077731645701
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Fixed
5.00000000
N
N
N
N
N
N
TRACTOR SUPPLY CO
549300OJ9VZHZRO6I137
Tractor Supply Co
892356AA4
400000.00000000
PA
USD
401892.00000000
0.078095243718
Long
DBT
CORP
US
N
2
2030-11-01
Fixed
1.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FUKH6
505168.49000000
PA
USD
68689.22000000
0.013347619203
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
4.00000000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05583JAF9
1025000.00000000
PA
USD
1115517.75000000
0.216766271931
Long
DBT
CORP
FR
N
2
2023-09-12
Fixed
4.00000000
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
87330000.00000000
OU
Notional Amount
12298.60000000
0.002389851413
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2050-06-20
932643.00000000
JPY
0.00000000
JPY
87330000.00000000
JPY
12051.43000000
N
N
N
Lear Corp
549300UPNBTXA1SYTQ33
Lear Corp
521865AZ8
30000.00000000
PA
USD
36696.90000000
0.007130904196
Long
DBT
CORP
US
N
2
2049-05-15
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
-496.50000000
-0.00009647937
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3023631.41000000
CNY
462081.67000000
USD
2021-03-17
-496.50000000
N
N
N
American Municipal Power Inc
EARKGGZJJEMVD66XQ486
AMERICAN MUNI PWR-OHIO INC OH REVENUE
02765UEQ3
250000.00000000
PA
USD
354972.50000000
0.068977894312
Long
DBT
MUN
US
N
2
2050-02-15
Fixed
6.27000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BA5V2
590135.95000000
PA
USD
90971.82000000
0.017677551318
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
5.00000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VBN9
50000.00000000
PA
USD
58536.50000000
0.011374753003
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.25000000
N
N
N
N
N
N
TECK RESOURCES LIMITED
T8KI5SQ2JRWHL7XY0E11
Teck Resources Ltd
878742BG9
250000.00000000
PA
USD
278160.00000000
0.054051767621
Long
DBT
CORP
CA
N
2
2030-07-15
Fixed
3.90000000
N
N
N
N
N
N
ADOBE INC
FU4LY2G4933NH2E1CP29
Adobe Inc
00724PAC3
450000.00000000
PA
USD
483889.50000000
0.094028914324
Long
DBT
CORP
US
N
2
2027-02-01
Fixed
2.15000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BG65
196437.66000000
PA
USD
30639.87000000
0.005953908301
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.90000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GBF8
45000.00000000
PA
USD
55944.45000000
0.010871068489
Long
DBT
CORP
US
N
2
2040-03-19
Fixed
4.23000000
N
N
N
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MF5
65000.00000000
PA
USD
70757.05000000
0.013749437820
Long
DBT
CORP
US
N
2
2025-04-24
Fixed
3.35000000
N
N
N
N
N
N
CITIZENS FINANCIAL GROUP
2138004JDDA4ZQUPFW65
Citizens Financial Group Inc
174610AR6
65000.00000000
PA
USD
72050.55000000
0.014000789421
Long
DBT
CORP
US
N
2
2026-07-27
Fixed
2.85000000
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
1210000.00000000
OU
Notional Amount
17401.63000000
0.003381467000
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-19
34418.84000000
NZD
0.00000000
NZD
1210000.00000000
NZD
-6416.21000000
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAA7
155000.00000000
PA
USD
172688.60000000
0.033556672699
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
350000.00000000
PA
USD
373411.50000000
0.072560941994
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
1525.81000000
0.000296493843
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
486908.39000000
USD
621595.53000000
CAD
2021-03-17
1525.81000000
N
N
N
FIRST HORIZON CORP
TF3RXI1ZB1TQ30H9JV10
First Horizon Corp
320517AC9
700000.00000000
PA
USD
742497.00000000
0.144281260078
Long
DBT
CORP
US
N
2
2023-05-26
Fixed
3.55000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
682691AA8
509000.00000000
PA
USD
526178.75000000
0.102246518271
Long
DBT
CORP
US
N
2
2030-09-15
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD THB
000000000
1.00000000
NC
-3327.03000000
-0.00064650507
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
15235796.14000000
THB
505274.55000000
USD
2021-03-17
-3327.03000000
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DL1
175000.00000000
PA
USD
218585.50000000
0.042475311516
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
-3350000.00000000
NC
-2000.02000000
-0.00038864184
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
3350000.00000000
OU
Notional Amount
N/A
-2000.02000000
0.00000000
DIR
DE
Euribor 6 Month
EUR006M Index
2031-01-13
0.00000000
N/A
0.00000000
N/A
3350000.00000000
EUR
1.00000000
-0.24200000
EUR
2021-01-11
XXXX
12502.62000000
N
N
N
DH EUROPE FINANCE II
222100KDGL314CKTZ511
DH Europe Finance II Sarl
23291KAG0
700000.00000000
PA
USD
742007.00000000
0.144186043778
Long
DBT
CORP
LU
N
2
2024-11-15
Fixed
2.20000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDS0
18000.00000000
PA
USD
24923.16000000
0.004843043042
Long
DBT
CORP
US
N
2
2049-04-15
Fixed
5.01000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FY45
137988.61000000
PA
USD
27836.80000000
0.005409218596
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Floating
6.05000000
N
N
N
N
N
N
OHIO POWER COMPANY
06ZODLC132CY1O2Y7D77
Ohio Power Co
677415CS8
200000.00000000
PA
USD
218284.00000000
0.042416724343
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
2.60000000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAP4
500000.00000000
PA
USD
540425.00000000
0.105014835047
Long
DBT
CORP
XX
N
2
2025-01-15
Fixed
3.13000000
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
13910000.00000000
OU
Notional Amount
USD
139773.24000000
0.027160593500
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2035-11-25
3959.38000000
USD
0.00000000
USD
13910000.00000000
USD
135813.86000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179NLE6
719329.65000000
PA
USD
791662.71000000
0.153835090722
Long
ABS-MBS
USGA
US
N
2
2043-08-20
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AWKF3
786827.87000000
PA
USD
150061.84000000
0.029159863763
Long
ABS-MBS
USGSE
US
N
2
2047-05-25
Floating
5.95000000
N
N
N
N
N
N
AIR PRODUCTS & CHEMICALS
7QEON6Y1RL5XR3R1W237
Air Products and Chemicals Inc
009158BC9
200000.00000000
PA
USD
213420.00000000
0.041471556822
Long
DBT
CORP
US
N
2
2030-05-15
Fixed
2.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
4293117.01000000
PA
USD
4633539.29000000
0.900384631029
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
CNAC HK FINBRIDGE CO LTD
549300US1UQ7R7WABI28
CNAC HK Finbridge Co Ltd
000000000
200000.00000000
PA
USD
202187.50000000
0.039288868873
Long
DBT
CORP
HK
N
2
2029-06-19
Fixed
3.88000000
N
N
N
N
N
N
ROSS STORES INC
549300ENZFLPGRDFZQ60
Ross Stores Inc
778296AC7
6000.00000000
PA
USD
7091.28000000
0.001377970300
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
4.70000000
N
N
N
N
N
N
General Electric Co
3C7474T6CDKPR9K6YT90
General Electric Co
36962G3P7
30000.00000000
PA
USD
40661.10000000
0.007901223498
Long
DBT
CORP
US
N
2
2038-01-14
Fixed
5.88000000
N
N
N
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
14310000.00000000
OU
Notional Amount
-13874.31000000
-0.00269604177
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
SEK
-78895.61000000
SEK
14310000.00000000
SEK
6649.48000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-3546.71000000
-0.00068919307
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4108658.67000000
NOK
388547.32000000
EUR
2021-03-17
-3546.71000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
6417.14000000
0.001246972102
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
907986.97000000
USD
25548755.76000000
TWD
2021-02-05
6417.14000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UPB2
88407.00000000
PA
USD
95389.60000000
0.018536009824
Long
ABS-MBS
USGA
US
N
2
2049-03-20
Fixed
4.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SS8
7860000.00000000
PA
USD
7819471.88000000
1.519471803922
Long
DBT
UST
US
N
1
2050-11-15
Fixed
1.63000000
N
N
N
N
N
N
KREF 2018--FL1 Ltd.
549300N45646UZ8P3S07
KREF 2018-FL1 Ltd
48275PAA9
1950000.00000000
PA
USD
1946643.27000000
0.378269735661
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
1.25000000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DH7
1075000.00000000
PA
USD
1225854.75000000
0.238206845284
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
3.90000000
N
N
N
N
N
N
ABU DHABI GOVT INT'L
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAJ9
480000.00000000
PA
USD
583050.00000000
0.113297681591
Long
DBT
NUSS
AE
N
2
2050-04-16
Fixed
3.88000000
N
N
N
N
N
N
Northrop Grumman Corp
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BH4
225000.00000000
PA
USD
300834.00000000
0.058457756185
Long
DBT
CORP
US
N
2
2043-06-01
Fixed
4.75000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
200000.00000000
PA
USD
229062.00000000
0.044511094315
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002992 CDS EUR R F 5.00000 2 CCPCDX / Short: SX002992 CDS EUR P V 03MEVENT 1 CCPCDX
000000000
2350000.00000000
OU
Notional Amount
339265.98000000
0.065925819358
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S34.V1
2I667KIK6
Y
sell protection
2025-12-20
185732.43000000
EUR
0.00000000
EUR
2350000.00000000
EUR
121929.15000000
N
N
N
Citigroup Inc
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LZ2
535000.00000000
PA
USD
580983.25000000
0.112896072838
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
4.04000000
N
N
N
N
N
N
SCHLUMBERGER HLDGS CORP
529900IKZG65COT1D505
Schlumberger Holdings Corp
806851AH4
30000.00000000
PA
USD
34917.00000000
0.006785035842
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.30000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: CS005629 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005629 CDS USD P F 1.00000 2 CORPORATE
000000000
140000.00000000
OU
Notional Amount
USD
-1929.27000000
-0.00037489377
N/A
DCR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
China Government International Bond
China Government International Bond
Y
buy protection
2022-06-20
0.00000000
USD
-449.33000000
USD
140000.00000000
USD
-1479.94000000
N
N
N
US FOODS INC
5493000JOOFAOUY1JZ87
US Foods Inc
90290MAC5
374000.00000000
PA
USD
399712.50000000
0.077671725500
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
6.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED HUF / SOLD EUR
000000000
1.00000000
NC
N/A
-6092.33000000
-0.00118385535
N/A
DFE
HU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
255157.26000000
EUR
90897222.30000000
HUF
2021-03-17
-6092.33000000
N
N
N
2021-01-28
GOLDMAN SACHS TRUST
Peter Fortner
Peter Fortner
Vice President
XXXX