0001752724-20-249874.txt : 20201127 0001752724-20-249874.hdr.sgml : 20201127 20201125212504 ACCESSION NUMBER: 0001752724-20-249874 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20200930 FILED AS OF DATE: 20201127 PERIOD START: 20210331 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GOLDMAN SACHS TRUST CENTRAL INDEX KEY: 0000822977 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-05349 FILM NUMBER: 201352610 BUSINESS ADDRESS: STREET 1: 71 SOUTH WACKER DRIVE STREET 2: C/O GOLDMAN SACHS & CO CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3126554400 MAIL ADDRESS: STREET 1: 200 WEST STREET CITY: NEW YORK STATE: NY ZIP: 10282 FORMER COMPANY: FORMER CONFORMED NAME: GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19910711 FORMER COMPANY: FORMER CONFORMED NAME: SHORT INTERMEDIATE GOVERNMENT FUND DATE OF NAME CHANGE: 19900104 0000822977 S000020098 Goldman Sachs Local Emerging Markets Debt Fund C000056392 Class A GAMDX C000056393 Class C GCMDX C000056394 Institutional GIMDX C000090763 Investor Shares GLIRX C000195493 Class R6 Shares GIMSX C000202043 Class P Shares GMWPX NPORT-P 1 primary_doc.xml NPORT-P false 0000822977 XXXXXXXX S000020098 C000090763 C000056394 C000056392 C000195493 C000202043 C000056393 GOLDMAN SACHS TRUST 811-05349 0000822977 S2FHCT8U6D2VORP0J605 71 SOUTH WACKER DRIVE C/O GOLDMAN SACHS & CO CHICAGO 60606 312-655-4400 Goldman Sachs Local Emerging Markets Debt Fund S000020098 58SWL44ZGT3G71LAHX23 2021-03-31 2020-09-30 N 80925355.96 2273354.90 78652001.06 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 4081163.57000000 EUR PEN CHF MYR NZD BRL PHP EGP SGD NGN SEK ZAR MXN DOP CAD AUD CLP JPY UAH THB PLN KRW ILS RON HUF INR CNY COP IDR CZK UYU NOK ARS TRY TWD GBP HKD USD RUB N Morgan Stanley International Limited LSMWH68Y2RHEDP8W5261 000000000 2000000.00000000 OU Notional Amount 24060.88000000 0.030591567507 N/A DIR GB N 2 Morgan Stanley International Limited LSMWH68Y2RHEDP8W5261 N/A N/A Y 2024-12-18 1898.10000000 MYR 0.00000000 MYR 2000000.00000000 MYR 23604.58000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1986.71000000 -0.00252594971 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1519377.40000000 SEK 142893.98000000 EUR 2020-12-16 -1986.71000000 N N N United States Treasury 254900HROIFWPRGM1V77 9128286R6 30000.00000000 PA USD 32203.13000000 0.040943815244 Long DBT UST US N 1 2024-04-30 Fixed 2.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -859.37000000 -0.00109262318 N/A DFE NZ N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 75795.10000000 USD 113280.87000000 NZD 2020-12-16 -859.37000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1181.02000000 -0.00150157654 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 416325978.00000000 CLP 529369.70000000 USD 2020-11-16 -1181.02000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -665.73000000 -0.00084642474 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 336862.90000000 USD 9698148.15000000 TWD 2020-10-26 -665.73000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2970.36000000 0.003776585414 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 188328.77000000 NZD 127550.56000000 USD 2020-12-16 2970.36000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 3130500000.00000000 PA 860220.83000000 1.093704951440 Long DBT NUSS CO N 2 2028-04-28 Fixed 6.00000000 N N N N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 4042300000.00000000 PA 1138614.61000000 1.447661336844 Long DBT NUSS CO N 2 2032-06-30 Fixed 7.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2684.17000000 -0.00341271673 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 232105.28000000 AUD 163596.62000000 USD 2020-12-16 -2684.17000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -8743.58000000 -0.01111679281 N/A DFE CO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 169030.89000000 USD 613582130.70000000 COP 2020-10-05 -8743.58000000 N N N ROMANIA GOVERNMENT BOND 315700IASY927EDWBK92 000000000 1820000.00000000 PA 432900.72000000 0.550400134981 Long DBT NUSS RO N 2 2031-09-24 Fixed 3.65000000 N N N N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 20100000.00000000 PA 260093.30000000 0.330688725645 Long DBT NUSS RU N 2 2027-10-06 Fixed 6.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -2901.96000000 -0.00368962004 N/A DFE PL N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 135008.44000000 EUR 601600.98000000 PLN 2020-12-16 -2901.96000000 N N N REPUBLIC OF PHILIPPINES 529900RAHBALMYIJ3T08 718286BM8 10000000.00000000 PA 265892.95000000 0.338062536765 Long DBT NUSS PH N 2 2036-01-14 Fixed 6.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 182.78000000 0.000232390781 N/A DFE IN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171965.41000000 USD 12698398.78000000 INR 2020-10-28 182.78000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1744.67000000 -0.00221821438 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 570860.50000000 ILS 165096.04000000 USD 2020-12-16 -1744.67000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -11701.23000000 -0.01487721843 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7678503.09000000 CNY 1115830.06000000 USD 2020-11-23 -11701.23000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6173.89000000 -0.00784962863 N/A DFE CO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 172051.44000000 USD 634981647.04000000 COP 2020-10-05 -6173.89000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 000000000 52860758.40000000 PA 1607287.18000000 2.043542641431 Long DBT NUSS TH N 2 2028-03-12 Fixed 1.25000000 N N N N N N DOMINICAN REPUBLIC 254900EHU7Q8FGVPI369 000000000 150000.00000000 PA USD 141562.50000000 0.179985884773 Long DBT NUSS DO N 2 2060-01-30 Fixed 5.88000000 N N N N N N HUARONG FINANCE II 549300BHVD63HE2GHX17 000000000 260000.00000000 PA USD 289611.01000000 0.368218234878 Long DBT CORP VG N 2 2025-01-16 Fixed 5.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1480.49000000 0.001882329731 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 130926.50000000 GBP 170508.85000000 USD 2020-12-16 1480.49000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 26082800.00000000 PA 1381241.83000000 1.756143278473 Long DBT NUSS MX N 2 2038-11-18 Fixed 8.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4120.85000000 -0.00523934540 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1588456.38000000 NOK 166214.77000000 USD 2020-12-16 -4120.85000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3959720000.00000000 OU Notional Amount -3875.70000000 -0.00492765593 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-12-16 0.00000000 COP -1906255.22000000 COP 3959720000.00000000 COP -3361.33000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 558.66000000 0.000710293434 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 339035.26000000 USD 452021.47000000 CAD 2020-12-16 558.66000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1099.41000000 -0.00139781567 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 138166.85000000 GBP 177276.36000000 USD 2020-12-16 -1099.41000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 52.71000000 0.000067016731 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1165459.54000000 CNY 170926.09000000 USD 2020-12-16 52.71000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1828.15000000 0.002324352814 N/A DFE MX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 98949.84000000 USD 2248239.31000000 MXN 2020-12-16 1828.15000000 N N N Czech Republic 3157007EFDLQABN47912 000000000 27080000.00000000 PA 1145846.87000000 1.456856601939 Long DBT NUSS CZ N 2 2027-02-10 Fixed 0.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 8202.82000000 0.010429257856 N/A DFE IN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 348014.22000000 USD 26276117.65000000 INR 2020-10-28 8202.82000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1100.09000000 -0.00139868024 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 190257062.00000000 KRW 162068.49000000 USD 2020-11-02 -1100.09000000 N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 000000000 3870000.00000000 PA 1118839.89000000 1.422519293751 Long DBT NUSS PL N 2 2028-04-25 Fixed 2.75000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 2320000.00000000 OU Notional Amount USD -4687.79000000 -0.00596016622 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 China Government International Bond China Government International Bond Y buy protection 2020-12-20 1143.94000000 USD 0.00000000 USD 2320000.00000000 USD -5831.73000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1678.14000000 -0.00213362657 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 165158.12000000 USD 217602.43000000 CAD 2020-12-16 -1678.14000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3566.14000000 0.004534074088 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 348256.81000000 USD 10128701.18000000 TWD 2020-11-09 3566.14000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -147.93000000 -0.00018808167 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 137339.51000000 GBP 177159.73000000 USD 2020-12-16 -147.93000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 11706100.00000000 PA 704945.56000000 0.896284329069 Long DBT NUSS MX N 2 2036-11-20 Fixed 10.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -27785.91000000 -0.03532765807 N/A DFE MX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 690527.87000000 USD 14785000.00000000 MXN 2020-12-16 -27785.91000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 51.00000000 NC USD 17836.72000000 0.022678024410 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US 10 Year Ultra Bond UXYZ0 Comdty 2020-12-21 8131803.91000000 USD 17836.72000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 2538700000.00000000 PA 691240.18000000 0.878858987290 Long DBT NUSS CO N 2 2027-11-03 Fixed 5.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -363.11000000 -0.00046166657 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 130684594.00000000 CLP 166176.59000000 USD 2020-11-16 -363.11000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2272.42000000 0.002889208118 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1299501.11000000 TRY 169782.87000000 USD 2020-10-19 2272.42000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 6475000.00000000 OU Notional Amount -4663.07000000 -0.00592873663 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2023-01-02 0.00000000 BRL 0.00000000 BRL 6475000.00000000 BRL -4663.07000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4739.75000000 -0.00602622938 N/A DFE BR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 492680.89000000 USD 2742754.54000000 BRL 2020-11-04 -4739.75000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1390.52000000 0.001767939761 N/A DFE NZ N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 166653.07000000 USD 254032.69000000 NZD 2020-12-16 1390.52000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 846.92000000 0.001076793964 N/A DFE IN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 331150.94000000 USD 24489605.47000000 INR 2020-10-28 846.92000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 44639.32000000 0.056755479070 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 11083713109.21000000 COP 2933130.39000000 USD 2020-11-20 44639.32000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1841.13000000 0.002340855890 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1509427.43000000 SEK 145206.10000000 EUR 2020-12-16 1841.13000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4055.09000000 -0.00515573659 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 23627541.61000000 RUB 298754.44000000 USD 2020-11-17 -4055.09000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -3021.63000000 -0.00384177129 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1592624.25000000 NOK 142829.53000000 EUR 2020-12-16 -3021.63000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 5490000.00000000 OU Notional Amount 75343.86000000 0.095793951818 N/A DIR GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A Y 2024-03-01 0.00000000 MYR 0.00000000 MYR 5490000.00000000 MYR 75343.86000000 N N N United States Treasury 254900HROIFWPRGM1V77 9128285F3 28000.00000000 PA USD 28796.25000000 0.036612228057 Long DBT UST US N 1 2021-10-15 Fixed 2.88000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 2624366745.00000000 OU Notional Amount 9012.44000000 0.011458627725 N/A DE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Colombian TES Colombian TES Y equity-performance leg 2020-11-04 0.00000000 COP 0.00000000 COP 2624366745.00000000 COP 9012.44000000 N N N Dominican Republic 254900EHU7Q8FGVPI369 000000000 39400000.00000000 PA 712334.47000000 0.905678762650 Long DBT NUSS DO N 2 2029-07-06 Fixed 11.38000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -16.00000000 NC USD -3219.44000000 -0.00409327157 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 10 Year US Treasury Note TYZ0 Comdty 2020-12-21 -2228780.56000000 USD -3219.44000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 234.26000000 0.000297843661 N/A DFE IL N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170180.35000000 USD 583088.93000000 ILS 2020-12-16 234.26000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -10440.18000000 -0.01327388986 N/A DFE AU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 632034.23000000 USD 867660.43000000 AUD 2020-12-16 -10440.18000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 13.16000000 0.000016731932 N/A DFE IN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171784.10000000 USD 12672513.06000000 INR 2020-10-28 13.16000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -8386.98000000 -0.01066340320 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 25901902.78000000 INR 342756.95000000 USD 2020-10-28 -8386.98000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1189.09000000 0.001511836932 N/A DFE CO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 96877.20000000 USD 375399150.35000000 COP 2020-10-05 1189.09000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6038.58000000 -0.00767759232 N/A DFE RU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170949.42000000 USD 12867619.27000000 RUB 2020-11-17 -6038.58000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1642.30000000 -0.00208805876 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 164551.01000000 USD 216842.03000000 CAD 2020-12-16 -1642.30000000 N N N LETRA TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 6453000.00000000 PA 1148951.25000000 1.460803583526 Long DBT NUSS BR N 2 2020-10-01 None 0.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 71030000.00000000 OU Notional Amount -390.68000000 -0.00049671972 N/A DIR IN N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-16 277758.74000000 INR 0.00000000 INR 71030000.00000000 INR -4201.99000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 133.87000000 0.000170205459 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 167950.73000000 USD 1146438.40000000 CNY 2020-12-16 133.87000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3550.36000000 0.004514011025 N/A DFE ZA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 178523.42000000 USD 3078502.49000000 ZAR 2020-12-17 3550.36000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -8297.20000000 -0.01054925480 N/A DFE RU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170919.73000000 USD 12689067.25000000 RUB 2020-11-17 -8297.20000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 28400000.00000000 OU Notional Amount -52892.80000000 -0.06724914723 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2024-01-02 20996.02000000 BRL 0.00000000 BRL 28400000.00000000 BRL -56804.71000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 33520000.00000000 OU Notional Amount -31330.81000000 -0.03983472712 N/A DIR CN N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-06-17 307837.39000000 CNY 0.00000000 CNY 33520000.00000000 CNY -72368.20000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3634.86000000 0.004621446309 N/A DFE IN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170220.40000000 USD 12824319.83000000 INR 2020-10-28 3634.86000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -304.94000000 -0.00038770787 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 16331556.00000000 JPY 154717.89000000 USD 2020-12-16 -304.94000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828YG9 20000.00000000 PA USD 21482.81000000 0.027313748805 Long DBT UST US N 1 2026-09-30 Fixed 1.63000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -761.06000000 -0.00096762954 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 143124.84000000 EUR 167346.72000000 USD 2020-12-16 -761.06000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6432.94000000 -0.00817899088 N/A DFE CO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 211772.13000000 USD 787927210.80000000 COP 2020-11-20 -6432.94000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 100000.00000000 PA 132486.82000000 0.168446852228 Long DBT NUSS RO N 2 2030-05-26 Fixed 3.62000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2390.16000000 -0.00303890551 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 230545.30000000 AUD 162773.05000000 USD 2020-12-16 -2390.16000000 N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BD3 4442123.61000000 PA 117825.10000000 0.149805597330 Long DBT NUSS UY N 2 2028-12-15 Fixed 4.38000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1992.67000000 0.002533527403 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 139925.37000000 EUR 128846.08000000 GBP 2020-12-16 1992.67000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -993.57000000 -0.00126324821 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1587173.84000000 NOK 169204.51000000 USD 2020-12-16 -993.57000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 6.00000000 NC USD -244.34000000 -0.00031065961 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVZ0 Comdty 2020-12-31 756244.34000000 USD -244.34000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2777.63000000 -0.00353154396 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 138797.09000000 GBP 176411.80000000 USD 2020-12-16 -2777.63000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7518.30000000 -0.00955894306 N/A DFE RU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171094.01000000 USD 12763442.05000000 RUB 2020-11-17 -7518.30000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1120000.00000000 OU Notional Amount USD -29216.54000000 -0.03714659462 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-12-16 0.00000000 USD -30118.93000000 USD 1120000.00000000 USD 902.39000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -866.44000000 -0.00110161215 N/A DFE CH N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 140354.27000000 EUR 150678.73000000 CHF 2020-12-16 -866.44000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1949.38000000 -0.00247848748 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 36135949.00000000 JPY 341061.24000000 USD 2020-12-16 -1949.38000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 10247.77000000 0.013029255278 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1569469.07000000 TRY 212305.59000000 USD 2020-10-23 10247.77000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2167.22000000 0.002755454369 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 294887.60000000 PLN 78473.51000000 USD 2020-12-16 2167.22000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2640.00000000 0.003356557957 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1292518.96000000 PLN 337097.37000000 USD 2020-12-16 2640.00000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1424.85000000 0.001811587729 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 166990.82000000 USD 1148696.45000000 CNY 2020-12-16 1424.85000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 64270000.00000000 OU Notional Amount -5835.65000000 -0.00741958236 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-12-10 610.56000000 MXN 0.00000000 MXN 64270000.00000000 MXN -5863.67000000 N N N HUNGARY GOVERNMENT BOND 5299008DH62LEB10JK83 000000000 194960000.00000000 PA 741822.54000000 0.943170586892 Long DBT NUSS HU N 2 2025-06-24 Fixed 5.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6365.61000000 -0.00809338594 N/A DFE CO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171272.22000000 USD 631264872.14000000 COP 2020-10-05 -6365.61000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4018.85000000 0.005109660206 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 508206.59000000 USD 3493686.53000000 CNY 2020-12-16 4018.85000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1977.35000000 0.002514049195 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3766773.24000000 MXN 170824.07000000 USD 2020-12-16 1977.35000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 573.98000000 0.000729771642 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2878249.61000000 ZAR 170804.08000000 USD 2020-12-17 573.98000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 3113030000.00000000 OU Notional Amount -11519.76000000 -0.01464649321 N/A DIR CO N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2030-12-16 0.00000000 COP -5989328.68000000 COP 3113030000.00000000 COP -9917.91000000 N N N HUNGARY GOVERNMENT BOND 5299008DH62LEB10JK83 000000000 292160000.00000000 PA 1009718.35000000 1.283779606865 Long DBT NUSS HU N 2 2027-10-27 Fixed 3.00000000 N N N N N N Republic of South Africa 378900AAFB4F17004C49 000000000 23010000.00000000 PA 1076012.30000000 1.368067290721 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4871.21000000 0.006193370714 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 322393.60000000 EUR 383539.74000000 USD 2020-12-16 4871.21000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4749.90000000 0.006039134333 N/A DFE BR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3456998.90000000 USD 19458755.39000000 BRL 2020-11-04 4749.90000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2042.75000000 0.002597200290 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2340386.39000000 ZAR 140461.67000000 USD 2020-12-17 2042.75000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3094.88000000 -0.00393490306 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 204220632.00000000 KRW 172049.16000000 USD 2020-11-02 -3094.88000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1256.56000000 -0.00159761987 N/A DFE CH N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 164642.82000000 USD 150126.59000000 CHF 2020-12-16 -1256.56000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4124.68000000 0.005244214952 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 235204.93000000 AUD 172626.07000000 USD 2020-12-16 4124.68000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1758.83000000 0.002236217739 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 214290.80000000 CAD 162750.86000000 USD 2020-12-16 1758.83000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1493.50000000 -0.00189887095 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 35589638.00000000 JPY 336331.41000000 USD 2020-12-16 -1493.50000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7583.31000000 0.009641598303 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 12079279.50000000 RUB 162390.83000000 USD 2020-11-17 7583.31000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -205.07000000 -0.00026073081 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 16321035.00000000 JPY 154717.89000000 USD 2020-12-16 -205.07000000 N N N SASOL Financing USA LLC 549300XRB1PFMESFEL85 80386WAA3 200000.00000000 PA USD 191750.00000000 0.243795450103 Long DBT CORP US N 2 2024-03-27 Fixed 5.88000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1070.65000000 -0.00136124953 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1165706.34000000 CNY 169838.91000000 USD 2020-12-16 -1070.65000000 N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 161060000.00000000 PA 2353770.49000000 2.992639040683 Long DBT NUSS RU N 2 2039-03-16 Fixed 7.70000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -799.55000000 -0.00101656663 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 166530.12000000 USD 141100.91000000 EUR 2020-12-16 -799.55000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2962.51000000 0.003766604739 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2124415.38000000 TRY 247459.54000000 USD 2021-08-04 2962.51000000 N N N Czech Republic 3157007EFDLQABN47912 000000000 11320000.00000000 PA 722731.54000000 0.918897841453 Long DBT NUSS CZ N 2 2036-12-04 Fixed 4.20000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 12227.39000000 0.015546190605 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 561453320.00000000 CLP 727978.37000000 USD 2020-12-17 12227.39000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 25010000.00000000 OU Notional Amount 327061.34000000 0.415833463347 N/A DIR GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A Y 2024-03-06 0.00000000 MYR 0.00000000 MYR 25010000.00000000 MYR 327061.34000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 6637.67000000 0.008439289414 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 429074.33000000 CHF 473609.23000000 USD 2020-12-16 6637.67000000 N N N JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 000000000 10375000.00000000 PA 584909.13000000 0.743667194880 Long SN CORP US N 2 2021-09-02 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2731.70000000 0.003473147489 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13207622.00000000 RUB 172000.00000000 USD 2020-11-17 2731.70000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1518.14000000 -0.00193019882 N/A DFE SE N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 142944.67000000 EUR 1488552.89000000 SEK 2020-12-16 -1518.14000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -902.44000000 -0.00114738339 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 194665.94000000 USD 150085.92000000 GBP 2020-12-16 -902.44000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1513.01000000 -0.00192367642 N/A DFE CH N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 172000.00000000 USD 156651.06000000 CHF 2020-12-16 -1513.01000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2069.92000000 -0.00263174486 N/A DFE CH N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171892.27000000 USD 156040.36000000 CHF 2020-12-16 -2069.92000000 N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 33630000.00000000 PA 477861.50000000 0.607564325840 Long DBT NUSS RU N 2 2030-04-10 Fixed 7.65000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -46.49000000 -0.00005910847 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 180353.60000000 USD 139662.83000000 GBP 2020-12-16 -46.49000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 276.86000000 0.000352006301 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 132417996.00000000 CLP 169025.55000000 USD 2020-11-16 276.86000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1531.79000000 0.001947553754 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171143.39000000 USD 1177748.91000000 CNY 2020-12-16 1531.79000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1366.50000000 0.001737400169 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 138639.28000000 EUR 164205.75000000 USD 2020-12-16 1366.50000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1018.64000000 0.001295122802 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 161908.08000000 USD 138713.75000000 EUR 2020-12-16 1018.64000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 464.45000000 0.000590512629 N/A DFE IN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 176720.97000000 USD 13069966.61000000 INR 2020-10-28 464.45000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1067.76000000 -0.00135757512 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 128129.66000000 GBP 139925.37000000 EUR 2020-12-16 -1067.76000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1271.24000000 -0.00161628437 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 312984.23000000 CAD 233867.02000000 USD 2020-12-16 -1271.24000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 9224.63000000 0.011728411071 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 12620704.56000000 RUB 170971.02000000 USD 2020-11-17 9224.63000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -37791.89000000 -0.04804949586 N/A DFE BR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3502484.91000000 USD 19458755.39000000 BRL 2020-10-02 -37791.89000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -233.86000000 -0.00029733509 N/A DFE CH N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 139785.98000000 EUR 150646.65000000 CHF 2020-12-16 -233.86000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -847.59000000 -0.00107764581 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1137391.42000000 CNY 165910.59000000 USD 2020-12-16 -847.59000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -851.11000000 -0.00108212122 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 17481287.00000000 JPY 165085.23000000 USD 2020-12-16 -851.11000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -15306.39000000 -0.01946090346 N/A DFE TR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171871.33000000 USD 1216106.53000000 TRY 2020-10-23 -15306.39000000 N N N BANCO DO BRASIL (CAYMAN) QE0Q0253K88YAGNPE356 000000000 200000.00000000 PA USD 187250.00000000 0.238074044495 Long DBT CORP BR N 2 2024-04-15 Fixed 6.25000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 000000000 1851000000.00000000 PA 488432.81000000 0.621004937468 Long DBT NUSS CO N 2 2023-03-21 Fixed 4.38000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1305.68000000 -0.00166007219 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 569358.46000000 ILS 165096.04000000 USD 2020-12-16 -1305.68000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1869.91000000 0.002377447458 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 177387.36000000 USD 138849.64000000 GBP 2020-12-16 1869.91000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 000000000 34890000.00000000 PA 1263026.37000000 1.605841368278 Long DBT NUSS TH N 2 2025-12-12 Fixed 3.85000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -592.13000000 -0.00075284797 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 163156.89000000 USD 1108789.75000000 CNY 2020-12-16 -592.13000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 32333900.00000000 PA 1727355.42000000 2.196200219600 Long DBT NUSS MX N 2 2029-05-31 Fixed 8.50000000 N N N N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 315000.00000000 PA 102297.03000000 0.130062844710 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94000000 N N N N N N JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 000000000 15558000000.00000000 PA 1064384.68000000 1.353283661769 Long SN CORP US N 2 2027-05-17 Fixed 7.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2529.77000000 -0.00321640894 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2899682.65000000 ZAR 168967.95000000 USD 2020-12-17 -2529.77000000 N N N JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 000000000 6900000.00000000 PA 395503.71000000 0.502852698812 Long SN CORP US N 2 2021-07-08 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4487.16000000 0.005705080531 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3217740.38000000 TRY 374813.96000000 USD 2021-08-04 4487.16000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -2287.92000000 -0.00290891518 N/A DFE SE N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 144198.74000000 EUR 1494844.17000000 SEK 2020-12-16 -2287.92000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2516.59000000 -0.00319965158 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 141962.56000000 GBP 180759.51000000 USD 2020-12-16 -2516.59000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 733.98000000 0.000933199397 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 132043771.00000000 CLP 169065.80000000 USD 2020-12-17 733.98000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1916.74000000 -0.00243698821 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 256976.25000000 NZD 168074.03000000 USD 2020-12-16 -1916.74000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 950000.00000000 OU Notional Amount USD 24638.54000000 0.031326017988 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Qatar Government International Bond Qatar Government International Bond Y sell protection 2024-12-20 22760.63000000 USD 0.00000000 USD 950000.00000000 USD 1877.91000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1151.95000000 -0.00146461626 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 181464.13000000 USD 139666.76000000 GBP 2020-12-16 -1151.95000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3003.35000000 -0.00381852967 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 236141.32000000 AUD 166168.87000000 USD 2020-12-16 -3003.35000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -15153.22000000 -0.01926615953 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1981701.06000000 USD 1674293.99000000 EUR 2020-12-16 -15153.22000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7968.57000000 0.010131426909 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3149463.88000000 TRY 414326.82000000 USD 2020-10-16 7968.57000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2640000.00000000 OU Notional Amount -26463.91000000 -0.03364683624 N/A DIR ER N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-16 0.00000000 EUR -17566.48000000 EUR 2640000.00000000 EUR -5724.18000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2744.10000000 -0.00348891314 N/A DFE CO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 68204.35000000 USD 250582781.90000000 COP 2020-10-05 -2744.10000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 1907500.00000000 PA 95217.56000000 0.121061840406 Long DBT NUSS MX N 2 2047-11-07 Fixed 8.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1291.76000000 0.001642373979 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 233990.70000000 AUD 168923.27000000 USD 2020-12-16 1291.76000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 671.37000000 0.000853595574 N/A DFE IL N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170032.43000000 USD 584078.40000000 ILS 2020-12-16 671.37000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3720.21000000 0.004729962302 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 131158439.00000000 CLP 170863.76000000 USD 2020-11-16 3720.21000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4071.87000000 0.005177071079 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13115000.00000000 ZAR 779740.42000000 USD 2020-12-17 4071.87000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4359.78000000 0.005543126609 N/A DFE IN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 174852.60000000 USD 13219484.28000000 INR 2020-10-28 4359.78000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7907.49000000 0.010053768363 N/A DFE JP N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1032802.33000000 USD 109638113.00000000 JPY 2020-12-16 7907.49000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5048.17000000 0.006418361811 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1225305.02000000 TRY 161991.67000000 USD 2020-11-10 5048.17000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 480.72000000 0.000611198689 N/A DFE JP N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 165158.13000000 USD 17449947.00000000 JPY 2020-12-16 480.72000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -18634.12000000 -0.02369185748 N/A DFE HU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 997123.89000000 USD 303740150.31000000 HUF 2020-12-16 -18634.12000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2515.58000000 -0.00319836744 N/A DFE TR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 67863.36000000 USD 507584.00000000 TRY 2020-10-23 -2515.58000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 30110000.00000000 OU Notional Amount -7182.81000000 -0.00913239320 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2021-12-16 0.00000000 PLN -5599.94000000 PLN 30110000.00000000 PLN -5679.35000000 N N N Republic of South Africa 378900AAFB4F17004C49 000000000 6930000.00000000 PA 336302.72000000 0.427583170761 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3979.01000000 -0.00505900669 N/A DFE CZ N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170815.21000000 USD 3847040.37000000 CZK 2020-12-16 -3979.01000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3473.16000000 -0.00441585713 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3969446.85000000 CNY 578505.69000000 USD 2020-12-16 -3473.16000000 N N N BONOS TESORERIA GENL REP 549300FLZTJM5YJF8D34 000000000 287078500.00000000 PA 407813.90000000 0.518504163281 Long DBT NUSS CL N 2 2026-03-01 Fixed 1.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -100580.53000000 -0.12788044632 N/A DFE PL N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3969715.63000000 USD 14952370.60000000 PLN 2020-12-16 -100580.53000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2281.43000000 -0.00290066364 N/A DFE TR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 67863.36000000 USD 509402.74000000 TRY 2020-10-23 -2281.43000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 3020000.00000000 OU Notional Amount 40352.23000000 0.051304772232 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A Y 2024-02-27 0.00000000 MYR 0.00000000 MYR 3020000.00000000 MYR 40352.23000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1754.88000000 -0.00223119561 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 162441.65000000 USD 213884.48000000 CAD 2020-12-16 -1754.88000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 71310000.00000000 OU Notional Amount -1901.15000000 -0.00241716672 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2022-12-14 31798.03000000 MXN 0.00000000 MXN 71310000.00000000 MXN -3381.64000000 N N N BANCO DE CREDITO DEL PER 549300EQYQ8SCQZ4BY14 05990GAC9 643000.00000000 PA 178098.12000000 0.226438129481 Long DBT CORP PE N 2 2020-10-30 Fixed 4.85000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5020.68000000 -0.00638341038 N/A DFE RU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170180.35000000 USD 12887034.64000000 RUB 2020-11-17 -5020.68000000 N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 33591000000.00000000 PA 2504651.51000000 3.184472710477 Long SN CORP GB N 2 2031-05-19 Fixed 8.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -15781.06000000 -0.02006441004 N/A DFE TR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 689320.69000000 USD 5852332.69000000 TRY 2021-08-04 -15781.06000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -164059.16000000 -0.20858866626 N/A DFE RU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3366748.73000000 USD 249898607.89000000 RUB 2020-11-17 -164059.16000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4162.22000000 -0.00529194418 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 343000.00000000 USD 9754868.55000000 TWD 2020-11-09 -4162.22000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2943.51000000 -0.00374244769 N/A DFE AU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 169083.10000000 USD 231908.19000000 AUD 2020-12-16 -2943.51000000 N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 000000000 55000000.00000000 PA 82284.63000000 0.104618609687 Long DBT NUSS CL N 2 2030-09-01 Fixed 4.70000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6723.82000000 -0.00854882254 N/A DFE RU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171967.47000000 USD 12893587.80000000 RUB 2020-11-17 -6723.82000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 1050000.00000000 PA 286812.94000000 0.364660703014 Long DBT NUSS PE N 2 2040-08-12 Fixed 5.35000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3733.90000000 0.004747368089 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 235985.93000000 AUD 172794.80000000 USD 2020-12-16 3733.90000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 220000.00000000 OU Notional Amount 914.39000000 0.001162576905 N/A DIR ER N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2030-12-16 1670.06000000 EUR 0.00000000 EUR 220000.00000000 EUR -1058.52000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 200000.00000000 OU Notional Amount USD -1527.40000000 -0.00194197220 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Russian Foreign Bond - Eurobond Russian Foreign Bond - Eurobond Y sell protection 2025-06-20 0.00000000 USD -868.89000000 USD 200000.00000000 USD -658.51000000 N N N REPUBLIC OF SERBIA 254900W94OCY91V32O78 000000000 100000.00000000 PA 125305.57000000 0.159316442444 Long DBT NUSS RS N 2 2027-05-15 Fixed 3.13000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -7.00000000 NC USD -258.78000000 -0.00032901896 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 2 Year US Treasury Note TUZ0 Comdty 2020-12-31 -1546358.40000000 USD -258.78000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -8335.60000000 -0.01059807746 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 25915661.13000000 INR 342994.84000000 USD 2020-10-28 -8335.60000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 000000000 1220000.00000000 PA 51052.80000000 0.064909728057 Long DBT NUSS TH N 2 2067-06-17 Fixed 3.60000000 N N N N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 000000000 79990000.00000000 PA 3142759.96000000 3.995778769318 Long DBT NUSS TH N 2 2032-06-25 Fixed 3.78000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 11526.97000000 0.014655660179 N/A DFE IN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 462447.21000000 USD 34962396.28000000 INR 2020-10-28 11526.97000000 N N N TURKEY GOVERNMENT BOND 5493000PCHOG3B6S3Q85 000000000 13490000.00000000 PA 1725825.65000000 2.194255234121 Long DBT NUSS TR N 2 2023-01-18 Fixed 12.20000000 N N N N N N ROMANIA 315700IASY927EDWBK92 000000000 10000.00000000 PA 11944.33000000 0.015186301478 Long DBT NUSS RO N 2 2050-01-28 Fixed 3.38000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -166.32000000 -0.00021146315 N/A DFE JP N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 310873.21000000 USD 32732772.00000000 JPY 2020-12-16 -166.32000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 577.35000000 0.000734056339 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 154769.56000000 CHF 224972.11000000 CAD 2020-12-16 577.35000000 N N N Republic of Peru 254900STKLK2DBJJZ530 715638BE1 7000.00000000 PA 2373.65000000 0.003017914316 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3352.55000000 0.004262510749 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 235142.09000000 AUD 171808.92000000 USD 2020-12-16 3352.55000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -102.44000000 -0.00013024462 N/A DFE IL N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171823.19000000 USD 587557.99000000 ILS 2020-12-16 -102.44000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6.62000000 -0.00000841682 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 35538282.00000000 CLP 45282.08000000 USD 2020-11-16 -6.62000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1371.77000000 0.001744100571 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7733220.83000000 THB 245396.24000000 USD 2020-12-16 1371.77000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2785.56000000 0.003541626357 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 453910.77000000 CAD 343798.87000000 USD 2020-12-16 2785.56000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 774.51000000 0.000984730190 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 149936.88000000 CHF 139588.62000000 EUR 2020-12-16 774.51000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 1210000.00000000 OU Notional Amount USD 18017.63000000 0.022908037630 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 China Government International Bond China Government International Bond Y sell protection 2022-06-20 15043.91000000 USD 0.00000000 USD 1210000.00000000 USD 2973.72000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 1276779795.00000000 PA 361671.98000000 0.459838243306 Long DBT NUSS CO N 2 2027-03-17 Fixed 3.30000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 492.44000000 0.000626099772 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 587191.66000000 ILS 172106.12000000 USD 2020-12-16 492.44000000 N N N EASTERN & SOUTHERN AFRIC 2138004HC83AB2ENIZ64 000000000 390000.00000000 PA USD 396068.40000000 0.503570658930 Long DBT NUSS XX N 2 2024-05-23 Fixed 4.88000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4240.58000000 0.005391572932 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 461457.37000000 CAD 350923.49000000 USD 2020-12-16 4240.58000000 N N N INDONESIA GOVERNMENT 529900FWX0GRR7WG5W79 000000000 6000000000.00000000 PA 410483.87000000 0.521898825799 Long DBT NUSS ID N 2 2027-05-15 Fixed 7.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 692.25000000 0.000880142896 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 159545.44000000 EUR 145688.92000000 GBP 2020-12-16 692.25000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1620000.00000000 OU Notional Amount USD -10616.18000000 -0.01349766039 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 China Government International Bond China Government International Bond Y buy protection 2021-06-20 2554.52000000 USD 0.00000000 USD 1620000.00000000 USD -13170.70000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1829.14000000 -0.00232561152 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2887835.96000000 ZAR 168967.93000000 USD 2020-12-17 -1829.14000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2889.08000000 -0.00367324411 N/A DFE AU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170566.70000000 USD 234055.07000000 AUD 2020-12-16 -2889.08000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 176.66000000 0.000224609669 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 179807.92000000 USD 139413.00000000 GBP 2020-12-16 176.66000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -31045.53000000 -0.03947201543 N/A DFE RO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2002852.84000000 USD 8242059.90000000 RON 2020-12-16 -31045.53000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3468.59000000 -0.00441004672 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2376728867.70000000 COP 617409.15000000 USD 2020-10-05 -3468.59000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1444.56000000 0.001836647485 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1458524.18000000 SEK 140024.46000000 EUR 2020-12-16 1444.56000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -142.82000000 -0.00018158469 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 172000.00000000 USD 1172169.68000000 CNY 2020-12-16 -142.82000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 161.28000000 0.000205055177 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1101701.79000000 CNY 161686.84000000 USD 2020-12-16 161.28000000 N N N TURKEY GOVERNMENT BOND 5493000PCHOG3B6S3Q85 000000000 2080000.00000000 PA 248191.38000000 0.315556345236 Long DBT NUSS TR N 2 2027-02-24 Fixed 11.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 250000.00000000 OU Notional Amount USD -1638.30000000 -0.00208297306 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 China Government International Bond China Government International Bond Y buy protection 2021-06-20 366.52000000 USD 0.00000000 USD 250000.00000000 USD -2004.82000000 N N N RUSSIA GOVT BOND - OFZ 5493004EHVGF71PDBU58 000000000 23220000.00000000 PA 321987.19000000 0.409382069954 Long DBT NUSS RU N 2 2034-05-10 Fixed 7.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3754.18000000 0.004773152557 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1533717.39000000 TRY 201209.23000000 USD 2020-10-23 3754.18000000 N N N UBS Switzerland AG 549300WOIFUSNYH0FL22 000000000 280000.00000000 OU Notional Amount USD -1834.90000000 -0.00233293492 N/A DCR GB N 2 UBS Switzerland AG 549300WOIFUSNYH0FL22 China Government International Bond China Government International Bond Y buy protection 2021-06-20 177.14000000 USD 0.00000000 USD 280000.00000000 USD -2012.04000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2020.97000000 0.002569508687 N/A DFE MX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 180221.87000000 USD 4065625.17000000 MXN 2020-12-16 2020.97000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 70000.00000000 OU Notional Amount -555.92000000 -0.00070680973 N/A DIR ER N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-12-16 0.00000000 EUR -356.31000000 EUR 70000.00000000 EUR -134.98000000 N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JX62 200000.00000000 PA USD 198250.00000000 0.252059702649 Long DBT NUSS EG N 2 2050-05-29 Fixed 8.88000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2177.70000000 0.002768778887 N/A DFE JP N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 329323.14000000 USD 34923401.00000000 JPY 2020-12-16 2177.70000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -667.67000000 -0.00084889130 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 344126.15000000 USD 2342594.03000000 CNY 2020-12-16 -667.67000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -972.41000000 -0.00123634489 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 92812.28000000 GBP 118849.84000000 USD 2020-12-16 -972.41000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 1925000.00000000 OU Notional Amount 20410.16000000 0.025949956421 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A Y 2030-03-18 891.41000000 ILS 0.00000000 ILS 1925000.00000000 ILS 20157.56000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 10.00000000 NC USD -9283.78000000 -0.01180361576 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNZ0 Comdty 2020-12-21 2223346.28000000 USD -9283.78000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1226.11000000 -0.00155890502 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 375399150.35000000 COP 96605.46000000 USD 2020-11-20 -1226.11000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 685.82000000 0.000871967643 N/A DFE CL N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 167045.30000000 USD 131619502.00000000 CLP 2020-11-16 685.82000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1893.42000000 0.002407338623 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 218766.34000000 CAD 166247.82000000 USD 2020-12-16 1893.42000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1926.54000000 -0.00244944816 N/A DFE CH N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 163836.27000000 USD 148769.89000000 CHF 2020-12-16 -1926.54000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -362.56000000 -0.00046096729 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 17078529.00000000 JPY 161750.71000000 USD 2020-12-16 -362.56000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5859.17000000 0.007449486244 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1004980.29000000 PEN 284000.00000000 USD 2021-07-12 5859.17000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 18528500.00000000 PA 931180.41000000 1.183924626774 Long DBT NUSS MX N 2 2027-06-03 Fixed 7.50000000 N N N N N N REPUBLICA ORIENT URUGUAY 549300RDR012H2V82H43 917288BL5 4271602.93000000 PA 116186.03000000 0.147721645265 Long DBT NUSS UY N 2 2040-07-02 Fixed 3.88000000 N N N N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 4741100.00000000 PA 219510.26000000 0.279090496162 Long DBT NUSS MX N 2 2026-03-05 Fixed 5.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 872.13000000 0.001108846549 N/A DFE KR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 172159.49000000 USD 201757525.00000000 KRW 2020-11-02 872.13000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 736570000.00000000 OU Notional Amount 6055.80000000 0.007699486241 N/A DIR CL N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-12-16 1000844.00000000 CLP 0.00000000 CLP 736570000.00000000 CLP 4747.97000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -14238.52000000 -0.01810318848 N/A DFE ID N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1991777.43000000 USD 29484281244.66000000 IDR 2020-11-05 -14238.52000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2706.02000000 -0.00344049733 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2666752.24000000 CNY 388886.79000000 USD 2020-11-23 -2706.02000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 30974500.00000000 PA 1555361.44000000 1.977523036970 Long DBT NUSS MX N 2 2024-09-05 Fixed 8.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3745.63000000 -0.00476228188 N/A DFE PE N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 283686.72000000 USD 1011485.00000000 PEN 2021-07-12 -3745.63000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1886.05000000 0.002397968232 N/A DFE MX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 133184.98000000 USD 3013277.14000000 MXN 2020-12-16 1886.05000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 000000000 8440000.00000000 PA 322395.80000000 0.409901586297 Long DBT NUSS TH N 2 2038-06-17 Fixed 3.30000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 728.90000000 0.000926740566 N/A DFE ZA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 150894.46000000 USD 2563647.08000000 ZAR 2020-12-17 728.90000000 N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 17308CTB2 4226000000.00000000 PA 1353446.34000000 1.720803440166 Long SN CORP US N 2 2024-07-25 Fixed 11.00000000 N N N N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HT0 148322.00000000 PA USD 55398.27000000 0.070434660597 Long DBT NUSS AR N 2 2035-07-09 Variable 0.13000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 6780000.00000000 OU Notional Amount USD 163728.19000000 0.208167863237 N/A DCR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 China Government International Bond China Government International Bond Y sell protection 2023-12-20 107216.45000000 USD 0.00000000 USD 6780000.00000000 USD 56511.74000000 N N N AGRICUL DEV BANK CHINA 300300C1020311000158 000000000 21890000.00000000 PA 2988818.42000000 3.800053882570 Long DBT NUSS CN N 2 2030-04-17 Fixed 2.96000000 N N N N N N HUNGARY GOVERNMENT BOND 5299008DH62LEB10JK83 000000000 105800000.00000000 PA 358745.64000000 0.456117625953 Long DBT NUSS HU N 2 2026-12-22 Fixed 2.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2790.00000000 -0.00354727147 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2345200.55000000 CNY 341050.63000000 USD 2020-12-16 -2790.00000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1144.81000000 0.001455538301 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 233990.70000000 AUD 168776.32000000 USD 2020-12-16 1144.81000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5765.29000000 0.007330125009 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1229319.41000000 PEN 345994.77000000 USD 2021-07-12 5765.29000000 N N N HUNGARY GOVERNMENT BOND 5299008DH62LEB10JK83 000000000 65720000.00000000 PA 224587.44000000 0.285545741968 Long DBT NUSS HU N 2 2030-08-21 Fixed 3.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5975.74000000 -0.00759769607 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 17810217.42000000 TWD 612666.58000000 USD 2020-11-09 -5975.74000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 2058100000.00000000 PA 585550.15000000 0.744482202751 Long DBT NUSS CO N 2 2034-10-18 Fixed 7.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3755.33000000 0.004774614694 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1129604.32000000 TRY 149183.73000000 USD 2020-10-23 3755.33000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1540.70000000 -0.00195888213 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1954582710.93000000 COP 509058.94000000 USD 2020-10-05 -1540.70000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -31296.32000000 -0.03979087572 N/A DFE NO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1001034.36000000 USD 9043244.29000000 NOK 2020-12-16 -31296.32000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 1665000.00000000 PA 482255.36000000 0.613150782561 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.40000000 N N N N N N Standard Chartered Bank RILFO74KP1CM8P6PCT96 000000000 12570000000.00000000 PA 851938.51000000 1.083174615417 Long SN CORP GB N 2 2032-08-19 Fixed 7.50000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 4305.37000000 0.005473948459 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Eurodollar Time Deposit EDZ0 Comdty 2020-12-14 245082.13000000 USD 4305.37000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -3902.99000000 -0.00496235308 N/A DFE JP N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 434208.34000000 EUR 53317093.00000000 JPY 2020-12-16 -3902.99000000 N N N TURKEY GOVERNMENT BOND 5493000PCHOG3B6S3Q85 000000000 1610000.00000000 PA 191484.25000000 0.243457569317 Long DBT NUSS TR N 2 2026-02-11 Fixed 10.60000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 68851.43000000 0.087539323948 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 10154050.07000000 PEN 2879111.40000000 USD 2021-07-12 68851.43000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3489.30000000 0.004436377908 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 639123530.40000000 COP 170448.85000000 USD 2020-10-05 3489.30000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1572.38000000 0.001999160833 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 167162.07000000 USD 4857729.75000000 TWD 2020-11-09 1572.38000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 9740.98000000 0.012384910579 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 12588086.80000000 RUB 171069.35000000 USD 2020-11-17 9740.98000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6030000.00000000 OU Notional Amount 16846.22000000 0.021418679465 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2025-12-16 0.00000000 PLN -14262.47000000 PLN 6030000.00000000 PLN 20681.93000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 2385.41000000 0.003032866256 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 139125.95000000 EUR 128422.99000000 GBP 2020-12-16 2385.41000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 74469.00000000 0.094681634283 N/A DFE MY N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2744488.27000000 USD 11720886.04000000 MYR 2020-11-03 74469.00000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 2875000.00000000 OU Notional Amount 8260.79000000 0.010502962275 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2025-01-02 27798.59000000 BRL 0.00000000 BRL 2875000.00000000 BRL 20345.47000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4286.76000000 0.005450287268 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 12866711.45000000 RUB 169185.97000000 USD 2020-11-17 4286.76000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -431.18000000 -0.00054821237 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 383343964.00000000 KRW 328332.90000000 USD 2020-11-02 -431.18000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1362.54000000 0.001732365332 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 139588.62000000 EUR 128051.62000000 GBP 2020-12-16 1362.54000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5578.42000000 0.007092534105 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 12977092.87000000 RUB 171892.27000000 USD 2020-11-17 5578.42000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3616.24000000 -0.00459777240 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 17565256.84000000 TWD 606517.31000000 USD 2020-11-09 -3616.24000000 N N N Czech Republic 3157007EFDLQABN47912 000000000 33200000.00000000 PA 1474874.66000000 1.875190255966 Long DBT NUSS CZ N 2 2026-06-26 Fixed 1.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -13556.50000000 -0.01723605225 N/A DFE SE N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 809354.82000000 USD 7119857.96000000 SEK 2020-12-16 -13556.50000000 N N N THAILAND GOVERNMENT BOND 254900PHJ6MSKT6C7026 000000000 15070000.00000000 PA 545537.61000000 0.693609320357 Long DBT NUSS TH N 2 2025-12-12 Fixed 3.85000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2984.11000000 0.003794067486 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13122899.72000000 RUB 171166.62000000 USD 2020-11-17 2984.11000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -8487.17000000 -0.01079078711 N/A DFE MX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170909.15000000 USD 3623444.89000000 MXN 2020-12-16 -8487.17000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2165.14000000 0.002752809808 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1139073.12000000 TRY 148995.83000000 USD 2020-10-19 2165.14000000 N N N Republic of South Africa 378900AAFB4F17004C49 000000000 47200000.00000000 PA 2358028.03000000 2.998052176957 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.88000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -568.53000000 -0.00072284238 N/A DFE KR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 168151.97000000 USD 195404864.00000000 KRW 2020-11-02 -568.53000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5358.73000000 -0.00681321508 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 19458755.39000000 BRL 3459334.29000000 USD 2020-10-02 -5358.73000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2092.11000000 0.002659957752 N/A DFE ZA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 113811.94000000 USD 1959705.03000000 ZAR 2020-12-17 2092.11000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 204.78000000 0.000260362097 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 644624.19000000 PLN 142190.47000000 EUR 2020-12-16 204.78000000 N N N Republic of South Africa 378900AAFB4F17004C49 000000000 25784300.00000000 PA 1187890.86000000 1.510312317538 Long DBT NUSS ZA N 2 2044-01-31 Fixed 8.75000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -46.00000000 NC USD 678.03000000 0.000862063254 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USZ0 Comdty 2020-12-21 -8102428.03000000 USD 678.03000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828L57 72000.00000000 PA USD 74320.31000000 0.094492586327 Long DBT UST US N 1 2022-09-30 Fixed 1.75000000 N N N N N N HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 000000000 10650000.00000000 PA 652504.19000000 0.829609140525 Long SN CORP GB N 2 2021-01-07 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5938.06000000 -0.00754978884 N/A DFE MX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171013.72000000 USD 3682645.36000000 MXN 2020-12-16 -5938.06000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -905.76000000 -0.00115160452 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 84184.44000000 GBP 91760.66000000 EUR 2020-12-16 -905.76000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -172.24000000 -0.00021898997 N/A DFE CH N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 139785.98000000 EUR 150703.27000000 CHF 2020-12-16 -172.24000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1365.50000000 0.001736128746 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13561892.01000000 RUB 175174.11000000 USD 2020-11-17 1365.50000000 N N N Republic of Peru 254900STKLK2DBJJZ530 000000000 963000.00000000 PA 314452.80000000 0.399802669686 Long DBT NUSS PE N 2 2055-02-12 Fixed 6.71000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6872.47000000 -0.00873781964 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 25968601.18000000 INR 345175.67000000 USD 2020-10-28 -6872.47000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -749.17000000 -0.00095251231 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 4977901.96000000 TWD 172159.49000000 USD 2020-11-09 -749.17000000 N N N PETROLEOS DE VENEZUELA S 549300YWR8TN1OFD4P06 000000000 9280000.00000000 PA USD 241280.00000000 0.306769054503 Long DBT CORP VE N 2 2022-10-28 Fixed 6.00000000 Y Y N N N N ROMANIA 315700IASY927EDWBK92 77586RAJ9 130000.00000000 PA USD 133778.13000000 0.170088654067 Long DBT NUSS RO N 2 2051-02-14 Fixed 4.00000000 N N N N N N Credit Suisse Securities (Europe) Limited DL6FFRRLF74S01HE2M14 000000000 11275000.00000000 OU Notional Amount 40502.87000000 0.051496299463 N/A DIR BR N 2 Credit Suisse Securities (Europe) Limited DL6FFRRLF74S01HE2M14 N/A N/A Y 2022-01-03 13123.13000000 BRL 0.00000000 BRL 11275000.00000000 BRL 79808.19000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -56.37000000 -0.00007167014 N/A DFE PE N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3977.41000000 USD 14167.52000000 PEN 2021-07-12 -56.37000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2152.98000000 -0.00273734929 N/A DFE PE N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 172080.14000000 USD 613981.93000000 PEN 2021-07-12 -2152.98000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1453.39000000 0.001847874155 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1469757.03000000 SEK 141100.91000000 EUR 2020-12-16 1453.39000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2906.39000000 0.003695252454 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 222608.80000000 CAD 170147.55000000 USD 2020-12-16 2906.39000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 72037.08000000 0.091589634121 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 8754000.00000000 PLN 2337257.06000000 USD 2020-12-16 72037.08000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 403360000.00000000 OU Notional Amount -16871.37000000 -0.02145065576 N/A DIR IN N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2022-09-16 0.00000000 INR -171655.83000000 INR 403360000.00000000 INR -14602.75000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 734.11000000 0.000933364682 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 162173.54000000 USD 216840.62000000 CAD 2020-12-16 734.11000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 2430900000.00000000 PA 729892.49000000 0.928002441340 Long DBT NUSS CO N 2 2026-08-26 Fixed 7.50000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 32540000.00000000 OU Notional Amount -17892.89000000 -0.02274944026 N/A DIR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A Y 2022-09-16 0.00000000 MYR -6330.73000000 MYR 32540000.00000000 MYR -16404.96000000 N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 000000000 5120000.00000000 PA 1456459.46000000 1.851776738507 Long DBT NUSS PL N 2 2027-07-25 Fixed 2.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -888.46000000 -0.00112960889 N/A DFE CH N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 163773.87000000 USD 149666.39000000 CHF 2020-12-16 -888.46000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3811.84000000 0.004846462834 N/A DFE IN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170436.24000000 USD 12853295.65000000 INR 2020-10-28 3811.84000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7874.18000000 -0.01001141724 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 11087957.30000000 ZAR 647907.73000000 USD 2020-12-17 -7874.18000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 241.35000000 0.000306858054 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2883470.48000000 ZAR 170780.23000000 USD 2020-12-17 241.35000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 650000.00000000 OU Notional Amount USD -2822.10000000 -0.00358808417 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Colombia Government International Bond Colombia Government International Bond Y sell protection 2024-06-20 2977.91000000 USD 0.00000000 USD 650000.00000000 USD -5800.01000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HS2 65075.00000000 PA USD 27006.13000000 0.034336227478 Long DBT NUSS AR N 2 2030-07-09 Variable 0.13000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -704.48000000 -0.00089569240 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 171892.27000000 USD 1167604.03000000 CNY 2020-12-16 -704.48000000 N N N Goldman Sachs Financial Square Government Fund 549300BRJMXN4GUWZ402 38141W273 4006674.74000000 NS USD 4006674.74000000 5.094180295480 Long EC RF US N 1 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1319.45000000 0.001677579695 N/A DFE RU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 67966.50000000 USD 5406225.33000000 RUB 2020-11-17 1319.45000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5058.53000000 -0.00643153375 N/A DFE PL N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 160683.48000000 USD 601416.57000000 PLN 2020-12-16 -5058.53000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1778.52000000 0.002261252067 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170861.46000000 USD 1177508.84000000 CNY 2020-12-16 1778.52000000 N N N REPUBLIC OF ARGENTINA 549300KPBYGYF7HCHO27 040114HX1 12578.00000000 PA USD 5704.12000000 0.007252352035 Long DBT NUSS AR N 2 2029-07-09 Fixed 1.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1040.89000000 -0.00132341197 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 194659389.00000000 KRW 165903.22000000 USD 2020-11-02 -1040.89000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1013.19000000 0.001288193544 N/A DFE RU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 133032.22000000 USD 10459259.20000000 RUB 2020-11-17 1013.19000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 9056.16000000 0.011514214359 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 106483529.55000000 HUF 352089.65000000 USD 2020-12-16 9056.16000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2036.04000000 -0.00258866903 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 718912716.99000000 COP 185767.00000000 USD 2020-10-05 -2036.04000000 N N N Banco de Bogota SA 549300LYHE7LWSKDZT53 000000000 200000.00000000 PA USD 216750.00000000 0.275581036818 Long DBT CORP CO N 2 2026-05-12 Fixed 6.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 348.13000000 0.000442620652 N/A DFE CO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 98820.33000000 USD 379618297.70000000 COP 2020-10-05 348.13000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 675.20000000 0.000858465125 N/A DFE CO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 165837.33000000 USD 637412361.59000000 COP 2020-10-05 675.20000000 N N N JP MORGAN CHASE BANK NA 7H6GLXDRUGQFU57RNE97 000000000 6568000000.00000000 PA 445149.73000000 0.565973813762 Long SN CORP US N 2 2032-08-19 Fixed 7.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -9870.06000000 -0.01254902592 N/A DFE CO N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 575831.01000000 USD 2166506584.60000000 COP 2020-10-05 -9870.06000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2561.09000000 0.003256229931 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3241625204.91000000 IDR 219979.99000000 USD 2020-11-05 2561.09000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 30042.22000000 0.038196383556 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 27176429.19000000 CZK 1208613.74000000 USD 2020-12-16 30042.22000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2272.25000000 0.002888991976 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 330968.13000000 USD 2272900.47000000 CNY 2020-12-16 2272.25000000 N N N LEVIATHAN BOND LTD 254900D9T8VKYVQNZ220 000000000 50000.00000000 PA USD 51499.95000000 0.065478245061 Long DBT CORP IL N 2 2023-06-30 Fixed 5.75000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 1000000.00000000 OU Notional Amount USD 16274.10000000 0.020691272670 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Peruvian Government International Bond Peruvian Government International Bond Y sell protection 2024-12-20 17760.03000000 USD 0.00000000 USD 1000000.00000000 USD -1485.93000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 2610000.00000000 OU Notional Amount 29980.05000000 0.038117339159 N/A DIR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A N/A Y 2024-05-31 0.00000000 MYR 0.00000000 MYR 2610000.00000000 MYR 29980.05000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -560.49000000 -0.00071262013 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 4973878.86000000 TWD 172208.43000000 USD 2020-11-09 -560.49000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 973.57000000 0.001237819746 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 248498.73000000 GBP 321789.70000000 USD 2020-12-16 973.57000000 N N N TITULOS DE TESORERIA 549300MHDRBVRF6B9117 000000000 2319500000.00000000 PA 662054.52000000 0.841751654220 Long DBT NUSS CO N 2 2025-11-26 Fixed 6.25000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1202.14000000 0.001528429008 N/A DFE ID N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 521098.16000000 USD 7788333156.00000000 IDR 2020-11-06 1202.14000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1456.62000000 0.001851980852 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 91760.66000000 EUR 84611.13000000 GBP 2020-12-16 1456.62000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 400.98000000 0.000509815382 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 175547.62000000 USD 136286.80000000 GBP 2020-12-16 400.98000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 43326.35000000 0.055086138198 N/A DFE CN N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 5383055.59000000 USD 37011198.73000000 CNY 2020-12-16 43326.35000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7250.52000000 -0.00921848128 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 413267.62000000 USD 540435.02000000 CAD 2020-12-16 -7250.52000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7310.39000000 -0.00929460141 N/A DFE MX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 493677.25000000 USD 10850277.11000000 MXN 2020-12-16 -7310.39000000 N N N Republic of South Africa 378900AAFB4F17004C49 000000000 4620000.00000000 PA 211841.56000000 0.269340331008 Long DBT NUSS ZA N 2 2048-02-28 Fixed 8.75000000 N N N N N N POLAND GOVERNMENT BOND 259400R9L8QEP0TPXS31 000000000 9170000.00000000 PA 2382743.39000000 3.029475865696 Long DBT NUSS PL N 2 2025-04-25 Fixed 0.75000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 301.66000000 0.000383537603 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 163203.93000000 USD 217636.52000000 CAD 2020-12-16 301.66000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7688.90000000 0.009775847907 N/A DFE ZA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 611481.27000000 USD 10468926.19000000 ZAR 2020-12-17 7688.90000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -38611.66000000 -0.04909177068 N/A DFE CZ N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1363590.11000000 USD 30552395.36000000 CZK 2020-12-16 -38611.66000000 N N N Republic of South Africa 378900AAFB4F17004C49 000000000 23310000.00000000 PA 1617661.53000000 2.056732833492 Long DBT NUSS ZA N 2 2026-12-21 Fixed 10.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1453.57000000 -0.00184810301 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 4963193.90000000 TWD 170944.20000000 USD 2020-11-09 -1453.57000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3988.50000000 -0.00507107250 N/A DFE ZA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 172036.80000000 USD 2841359.79000000 ZAR 2020-12-17 -3988.50000000 N N N BONOS DE TESORERIA 254900STKLK2DBJJZ530 000000000 2960000.00000000 PA 939225.02000000 1.194152732723 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1371.42000000 -0.00174365557 N/A DFE AU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 225796.04000000 CAD 234873.92000000 AUD 2020-12-16 -1371.42000000 N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 000000000 840000000.00000000 PA 1228441.51000000 1.561869365615 Long DBT NUSS CL N 2 2026-03-01 Fixed 4.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 6820000.00000000 OU Notional Amount -2286.89000000 -0.00290760561 N/A DIR ER N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2022-12-16 0.00000000 EUR -7792.50000000 EUR 6820000.00000000 EUR 6915.94000000 N N N BONOS TESORERIA PESOS 549300FLZTJM5YJF8D34 000000000 890000000.00000000 PA 1355689.03000000 1.723654848864 Long DBT NUSS CL N 2 2035-03-01 Fixed 5.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2590.86000000 0.003294080207 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 230965.12000000 AUD 168054.84000000 USD 2020-12-16 2590.86000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1060.66000000 -0.00134854801 N/A DFE JP N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 145218.30000000 EUR 17857349.00000000 JPY 2020-12-16 -1060.66000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1022.30000000 -0.00129977621 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 17109671.00000000 JPY 161386.57000000 USD 2020-12-16 -1022.30000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1452.14000000 0.001846284875 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 1462826.89000000 SEK 140440.37000000 EUR 2020-12-16 1452.14000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1086.53000000 0.001381439741 N/A DFE IL N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 169060.71000000 USD 582174.08000000 ILS 2020-12-16 1086.53000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1374.11000000 -0.00174707570 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 766371.42000000 NOK 68797.65000000 EUR 2020-12-16 -1374.11000000 N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 70000.00000000 OU Notional Amount USD -458.72000000 -0.00058322737 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 China Government International Bond China Government International Bond Y buy protection 2021-06-20 117.82000000 USD 0.00000000 USD 70000.00000000 USD -576.54000000 N N N MEX BONOS DESARR FIX RT 254900EGTWEU67VP6075 000000000 5456000.00000000 PA 278055.76000000 0.353526618843 Long DBT NUSS MX N 2 2031-05-29 Fixed 7.75000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 19360000.00000000 OU Notional Amount -6091.99000000 -0.00774549905 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A Y 2027-12-08 212.96000000 MXN 0.00000000 MXN 19360000.00000000 MXN -6102.11000000 N N N Republic of Peru 254900STKLK2DBJJZ530 000000000 246000.00000000 PA 81363.43000000 0.103447374387 Long DBT NUSS PE N 2 2037-08-12 Fixed 6.90000000 N N N N N N BANCO DE CREDITO DEL PER 549300EQYQ8SCQZ4BY14 05971U2B2 8200000.00000000 PA 2381455.35000000 3.027838221411 Long DBT CORP PE N 2 2024-09-17 Fixed 4.65000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -539.05000000 -0.00068536082 N/A DFE NZ N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 47867.60000000 USD 71546.91000000 NZD 2020-12-16 -539.05000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 69795.37000000 0.088739471417 N/A DFE MY N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2443195.78000000 USD 10447105.15000000 MYR 2020-10-26 69795.37000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1620.35000000 -0.00206015101 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 165085.23000000 USD 217582.33000000 CAD 2020-12-16 -1620.35000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3159.55000000 -0.00401712602 N/A DFE TH N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 570817.18000000 USD 17989269.05000000 THB 2020-12-16 -3159.55000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 570000.00000000 OU Notional Amount USD -3735.32000000 -0.00474917351 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 China Government International Bond China Government International Bond Y buy protection 2021-06-20 788.04000000 USD 0.00000000 USD 570000.00000000 USD -4523.36000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7619.95000000 -0.00968818325 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 25637808.24000000 INR 339943.73000000 USD 2020-10-28 -7619.95000000 N N N ROMANIA 315700IASY927EDWBK92 000000000 150000.00000000 PA 173284.42000000 0.220317878330 Long DBT NUSS RO N 2 2032-01-28 Fixed 2.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1091.45000000 0.001387695144 N/A DFE GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 176216.21000000 USD 137339.51000000 GBP 2020-12-16 1091.45000000 N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 100000.00000000 PA 95554.66000000 0.121490437258 Long DBT NUSS UA N 2 2030-01-27 Fixed 4.38000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -290.85000000 -0.00036979351 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 3891024.77000000 CZK 168452.84000000 USD 2020-12-16 -290.85000000 N N N DOMINICAN REPUBLIC BON 254900EHU7Q8FGVPI369 000000000 2800000.00000000 PA 49610.78000000 0.063076309987 Long DBT NUSS DO N 2 2023-04-07 Fixed 10.50000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7513.32000000 0.009552611375 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 462808.88000000 CHF 511198.98000000 USD 2020-12-16 7513.32000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2589.76000000 0.003292681642 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 12989748.08000000 RUB 169065.80000000 USD 2020-11-17 2589.76000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1281.55000000 -0.00162939274 N/A DFE SE N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 139673.78000000 EUR 1456297.49000000 SEK 2020-12-16 -1281.55000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -71.89000000 -0.00009140263 N/A DFE IL N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170815.21000000 USD 584213.64000000 ILS 2020-12-16 -71.89000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1803.33000000 0.002292796083 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 131755994.00000000 CLP 169708.39000000 USD 2020-11-16 1803.33000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 3400000.00000000 OU Notional Amount USD -6870.04000000 -0.00873473008 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 China Government International Bond China Government International Bond Y buy protection 2020-12-20 1952.67000000 USD 0.00000000 USD 3400000.00000000 USD -8822.71000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7973.35000000 0.010137504313 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 20927919.00000000 RUB 276184.64000000 USD 2020-11-17 7973.35000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 3847.80000000 0.004892183222 N/A DFE JP N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 234930.08000000 AUD 18136132.00000000 JPY 2020-12-16 3847.80000000 N N N NOTA DO TESOURO NACIONAL 254900ZFY40OYEADAP90 000000000 8473000.00000000 PA 1707287.49000000 2.170685382432 Long DBT NUSS BR N 2 2025-01-01 Fixed 10.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2990.88000000 0.003802675023 N/A DFE ZA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 167081.72000000 USD 2875586.68000000 ZAR 2020-12-17 2990.88000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1552.89000000 0.001974380790 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 241004.32000000 PEN 68253.84000000 USD 2021-07-12 1552.89000000 N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 730336175.00000000 OU Notional Amount 2826.36000000 0.003593500434 N/A DE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Colombian TES Colombian TES Y equity-performance leg 2020-11-04 0.00000000 COP 0.00000000 COP 730336175.00000000 COP 2826.36000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1880.51000000 -0.00239092454 N/A DFE CA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170804.08000000 USD 224848.20000000 CAD 2020-12-16 -1880.51000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3103.49000000 -0.00394585002 N/A DFE AU N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 170934.42000000 USD 234269.06000000 AUD 2020-12-16 -3103.49000000 N N N Yapi ve Kredi Bankasi AS B85ZYWEZ5IZCZ2WNIO12 000000000 200000.00000000 PA USD 203000.00000000 0.258098964125 Long DBT CORP TR N 2 2024-10-15 Fixed 8.25000000 N N N N N N Republic of Peru 254900STKLK2DBJJZ530 715638AY8 2018000.00000000 PA 742693.55000000 0.944278009447 Long DBT NUSS PE N 2 2026-08-12 Fixed 8.20000000 N N N N N N 2020-10-28 GOLDMAN SACHS TRUST Peter Fortner Peter Fortner Vice President