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N/A 674135DG0 1312943.79000000 PA USD 1302553.28000000 0.131734261703 Long ABS-O CORP US N 2 2028-05-15 Variable 7.50000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 5116800.00000000 OU Notional Amount USD 560922.67000000 0.056729144933 N/A DCR US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 CMBX.NA.BBB-.9 137BERAI8 Y buy protection 2058-09-18 584727.09000000 USD 0.00000000 USD 5116800.00000000 USD -23804.42000000 N N N AID-MOROCCO 529900F3MBW9XY5K1X07 617726AE4 3750000.00000000 PA USD 3679120.31000000 0.372089345747 Long DBT NUSS MA N 3 2026-10-29 Floating 0.93000000 N N N N N N 2022-03-30 GMO TRUST Betty Maganzini Betty Maganzini Treasurer