0001752724-21-110302.txt : 20210525
0001752724-21-110302.hdr.sgml : 20210525
20210525162746
ACCESSION NUMBER: 0001752724-21-110302
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210331
FILED AS OF DATE: 20210525
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: 21960946
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
S000029317
Goldman Sachs Strategic Income Fund
C000090150
Class A Shares
GSZAX
C000090151
Class C Shares
GSZCX
C000090152
Institutional Shares
GSZIX
C000090153
Investor Shares
GZIRX
C000090154
Class R Shares
GSZRX
C000161295
Class R6 Shares
GSZUX
C000202044
Class P Shares
GSOPX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000822977
XXXXXXXX
S000029317
C000090153
C000090154
C000161295
C000202044
C000090152
C000090151
C000090150
GOLDMAN SACHS TRUST
811-05349
0000822977
S2FHCT8U6D2VORP0J605
71 SOUTH WACKER DRIVE
C/O GOLDMAN SACHS & CO
CHICAGO
60606
312-655-4400
Goldman Sachs Strategic Income Fund
S000029317
MM4EWHH604XFXV8H1O93
2021-03-31
2021-03-31
N
1399755601.54
482990482.23
916765119.31
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
158173548.93000000
0.00000000
0.00000000
53958742.43000000
ARS
AUD
BRL
CAD
CHF
CLP
CNY
COP
CZK
DOP
EUR
GBP
IDR
ILS
INR
JPY
KRW
MXN
MYR
NOK
NZD
PLN
RUB
SEK
SGD
TRY
TWD
USD
ZAR
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
135447.43000000
0.014774496449
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3301235.53000000
EUR
4007528.27000000
USD
2021-04-09
135447.43000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HZY4
475.02000000
PA
USD
538.80000000
0.000058771869
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.00000000
N
N
N
N
N
N
HUARONG FINANCE 2017 CO
5493006V07LYI3HE6G83
Huarong Finance 2017 Co Ltd
000000000
250000.00000000
PA
USD
266093.75000000
0.029025291690
Long
DBT
CORP
VG
N
2
2027-11-07
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-467.76000000
-0.00005102288
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1288211.74000000
NZD
899049.41000000
USD
2021-06-16
-467.76000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
38172.15000000
0.004163787342
N/A
DFE
BR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1406166.27000000
USD
8146694.59000000
BRL
2021-05-04
38172.15000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
230000.00000000
PA
270311.02000000
0.029485308101
Long
DBT
NUSS
RO
N
2
2032-01-28
Fixed
2.00000000
N
N
N
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AA9
500000.00000000
PA
USD
549375.00000000
0.059925382022
Long
DBT
CORP
US
N
2
2026-03-15
Fixed
7.50000000
N
N
N
N
N
N
STATION CASINOS LLC
5493004E7Q60TX54WL62
Station Casinos LLC
857691AG4
2153000.00000000
PA
USD
2139543.75000000
0.233379707073
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
28866.05000000
0.003148685458
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7715770.75000000
SEK
912974.99000000
USD
2021-06-16
28866.05000000
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB Group PLC
000000000
725000.00000000
PA
953244.16000000
0.103979104344
Long
DBT
CORP
IE
N
2
2025-06-23
Fixed
6.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-18907.78000000
-0.00206244539
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1747156.57000000
USD
2171670.19000000
CAD
2021-06-16
-18907.78000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215822 IRS ZAR R F 6.25000 2 CCPVANILLA / Short: SR215822 IRS ZAR P V 03MJIBAR 1 CCPVANILLA
000000000
56455000.00000000
OU
Notional Amount
9172.02000000
0.001000476545
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-17
63947.07000000
ZAR
0.00000000
ZAR
56455000.00000000
ZAR
12319.88000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-105936.61000000
-0.01155547999
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3690251.01000000
USD
101924733.02000000
TWD
2021-04-08
-105936.61000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396KBZ4
551451.36000000
PA
USD
555331.98000000
0.060575164598
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Floating
0.50900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-18653.45000000
-0.00203470328
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
895444.45000000
USD
746443.19000000
EUR
2021-06-16
-18653.45000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215691 IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR215691 IRS JPY P F .00000 2 CCPVANILLA
000000000
7064680000.00000000
OU
Notional Amount
1061491.70000000
0.115786658724
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-06-16
113238897.00000000
JPY
0.00000000
JPY
7064680000.00000000
JPY
17857.45000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A7YL8
372523.24000000
PA
USD
375033.26000000
0.040908325600
Long
ABS-MBS
USGSE
US
N
2
2041-03-15
Floating
0.47600000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215780 IRS GBP R F .00000 2 CCPOIS / Short: SR215780 IRS GBP P V 00MSONIA 1 CCPOIS
000000000
37120000.00000000
OU
Notional Amount
-1266787.15000000
-0.13818012087
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
0.00000000
GBP
-917545.27000000
GBP
37120000.00000000
GBP
118498.31000000
N
N
N
ASBURY AUTOMOTIVE GROUP
549300JH4DTA7U42GL91
Asbury Automotive Group Inc
043436AU8
123000.00000000
PA
USD
125152.50000000
0.013651533785
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.50000000
N
N
N
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
450000.00000000
PA
USD
487406.25000000
0.053165880740
Long
DBT
CORP
VG
N
2
2026-06-03
Fixed
4.62500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
1061.91000000
0.000115832286
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
705915.09000000
EUR
783046.90000000
CHF
2021-06-16
1061.91000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215095 IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR215095 IRS NOK P F 1.24000 2 CCPVANILLA
000000000
448490000.00000000
OU
Notional Amount
2338457.06000000
0.255077010538
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-10-29
3658338.80000000
NOK
0.00000000
NOK
448490000.00000000
NOK
5323313.04000000
N
N
N
Allied Universal
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AA5
1500000.00000000
PA
USD
1584375.00000000
0.172822347472
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CP9
1915000.00000000
PA
USD
1867125.00000000
0.203664489482
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
4.62500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215791 IRS SEK R F .50000 2 CCPVANILLA / Short: SR215791 IRS SEK P V 03MSTIBO 1 CCPVANILLA
000000000
968420000.00000000
OU
Notional Amount
739578.39000000
0.080672614437
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
6244049.83000000
SEK
0.00000000
SEK
968420000.00000000
SEK
9697.08000000
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2020-C19 Commercial Mortgage Trust
12597NAE3
878000.00000000
PA
USD
747569.03000000
0.081544227005
Long
ABS-MBS
CORP
US
N
2
2053-03-15
Fixed
2.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138XEJD1
23855.10000000
PA
USD
26783.84000000
0.002921559670
Long
ABS-MBS
USGSE
US
N
2
2043-12-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
19200.77000000
0.002094404509
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
829782.66000000
CHF
899001.26000000
USD
2021-06-16
19200.77000000
N
N
N
ACRISURE LLC / FIN INC
N/A
Acrisure LLC / Acrisure Finance Inc
00489LAA1
2555000.00000000
PA
USD
2638037.50000000
0.287755003373
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
7.00000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YCB3
300000.00000000
PA
USD
339588.00000000
0.037041985220
Long
DBT
CORP
US
N
2
2049-11-21
Fixed
4.25000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006023 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006023 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2380000.00000000
OU
Notional Amount
USD
52389.75000000
0.005714631686
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Chile Government International Bond
Chile Government International Bond
Y
sell protection
2025-12-20
60797.59000000
USD
0.00000000
USD
2380000.00000000
USD
-8407.84000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396VGA0
674881.44000000
PA
USD
677375.94000000
0.073887621347
Long
ABS-MBS
USGSE
US
N
2
2037-04-25
Floating
0.45900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215534 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215534 IRS EUR P F .00000 CCPVANILLA
000000000
1080000.00000000
OU
Notional Amount
10729.29000000
0.001170342301
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-16
7128.33000000
EUR
0.00000000
EUR
1080000.00000000
EUR
2227.32000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBE8
412000.00000000
PA
USD
370856.98000000
0.040452780345
Long
ABS-MBS
USGSE
US
N
2
2051-01-25
Floating
4.76700000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WAH5
350128.00000000
PA
USD
351304.64000000
0.038320026864
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Floating
3.10900000
N
N
N
N
N
N
COMM Mortgage Trust
N/A
COMM 2017-COR2 Mortgage Trust
12595EAN5
800000.00000000
PA
USD
725713.14000000
0.079160204147
Long
ABS-MBS
CORP
US
N
2
2050-09-10
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-29471.74000000
-0.00321475363
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2271886.71000000
USD
32658371511.65000000
IDR
2021-04-05
-29471.74000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-704.11000000
-0.00007680375
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
18687284.44000000
AUD
14197197.17000000
USD
2021-06-01
-704.11000000
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAA4
875000.00000000
PA
USD
918750.00000000
0.100216509185
Long
DBT
CORP
NL
N
2
2026-08-15
Fixed
5.50000000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DS1
630000.00000000
PA
USD
616612.50000000
0.067259594307
Long
DBT
NUSS
CO
N
2
2031-04-15
Fixed
3.12500000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust 2007-3
57645NAC4
922184.43000000
PA
USD
1000776.21000000
0.109163862031
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.30900000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 16-C1 Mortgage Trust
23312LAG3
1000000.00000000
PA
USD
735661.46000000
0.080245358871
Long
ABS-MBS
CORP
US
N
2
2049-05-10
Variable
3.34600000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
15239.30000000
0.001662290556
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
762078.46000000
CHF
823254.50000000
USD
2021-06-16
15239.30000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-1511.79000000
-0.00016490483
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
935192.50000000
USD
795685.04000000
EUR
2021-04-30
-1511.79000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
20089.96000000
0.002191396637
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6442555.00000000
AUD
4914902.80000000
USD
2021-06-01
20089.96000000
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KAH1
1635000.00000000
PA
USD
1627399.70000000
0.177515447056
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
1.95900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215773 IRS EUR R V 12MESTRO CCPVANILLA / Short: BR215773 IRS EUR P F .00000 CCPVANILLA/FIXED -0.5
000000000
232280000.00000000
OU
Notional Amount
1009794.61000000
0.110147581832
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
582309.31000000
EUR
0.00000000
EUR
232280000.00000000
EUR
311634.73000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
16272.43000000
0.001774983543
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
744060.22000000
EUR
890264.33000000
USD
2021-06-16
16272.43000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296M6W4
1111.02000000
PA
USD
1254.79000000
0.000136871481
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
JPMDB Commercial Mortgage Securities Trust
N/A
JPMDB Commercial Mortgage Securities Trust 2017-C7
46648KAC0
660000.00000000
PA
USD
586047.51000000
0.063925589843
Long
ABS-MBS
CORP
US
N
2
2050-10-15
Fixed
3.00000000
N
N
N
N
N
N
Momentive Performance Materials Inc.
54930021ZH8MCUXACZ50
Momentive Performance Materials Inc. Term Loan B
60877JAB8
2299050.00000000
PA
USD
2258816.63000000
0.246389896650
Long
LON
CORP
US
N
2
2024-05-15
Floating
3.36000000
N
N
N
N
N
N
Travelport Finance (Luxembourg) S.a.r.l.
2221005SGFWYZHL40F77
Travelport Finance (Luxembourg) S.a.r.l. 2020 Super Priority Term Loan
000000000
1758769.31000000
PA
USD
1788809.09000000
0.195121853168
Long
LON
CORP
LU
N
2
2025-02-28
Floating
6.50000000
N
N
Y
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
6613.68000000
0.000721414881
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5327432.69000000
SGD
3966815.11000000
USD
2021-04-06
6613.68000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378UYN1
152036.78000000
PA
USD
29018.24000000
0.003165286220
Long
ABS-MBS
USGA
US
N
2
2043-06-20
Floating
5.98900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215618 IRS AUD R F 1.50000 2 CCPVANILLA / Short: SR215618 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
17980000.00000000
OU
Notional Amount
-835748.27000000
-0.09116274740
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-02
0.00000000
AUD
-504734.76000000
AUD
17980000.00000000
AUD
-285524.94000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-2431.45000000
-0.00026522060
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
410439.44000000
USD
1494553654.84000000
COP
2021-04-27
-2431.45000000
N
N
N
EQM MIDSTREAM PARTNERS L
549300NELT611CL6XM83
EQM Midstream Partners LP
26885BAA8
1085000.00000000
PA
USD
1098562.50000000
0.119830311697
Long
DBT
CORP
US
N
2
2024-08-01
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38374YSU8
7192602.90000000
PA
USD
1463331.46000000
0.159619015730
Long
ABS-MBS
USGA
US
N
2
2040-07-20
Floating
5.82900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417YF44
4482.56000000
PA
USD
4940.48000000
0.000538903574
Long
ABS-MBS
USGSE
US
N
2
2039-09-01
Fixed
4.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03351A SWAPTION US0003M JUN21 0.912 PUT
000000000
-19310000.00000000
NC
USD
-226728.37000000
-0.02473134778
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
19310000.00000000
OU
Notional Amount
N/A
-226728.37000000
-0.02000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2026-06-03
0.00000000
N/A
0.00000000
N/A
19310000.00000000
USD
1.00000000
0.91200000
USD
2021-06-01
XXXX
-97351.37000000
N
N
N
DIGICEL INTL FINANCE LTD
N/A
Digicel Holdings Bermuda Ltd / Digicel International Finance Ltd
25381XAA1
1089262.00000000
PA
USD
1119216.71000000
0.122083256269
Long
DBT
CORP
XX
N
2
2024-05-25
Fixed
8.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M4EM1
942.04000000
PA
USD
1075.40000000
0.000117303764
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA4
35565RAH6
335000.00000000
PA
USD
337448.55000000
0.036808615739
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Floating
3.25900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379NPC0
20638012.58000000
PA
USD
3980872.44000000
0.434230355862
Long
ABS-MBS
USGA
US
N
2
2045-07-16
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214471 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214471 IRS EUR P F .26000 2 CCPVANILLA
000000000
96100000.00000000
OU
Notional Amount
6745176.82000000
0.735758448693
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2040-05-21
1199993.01000000
EUR
0.00000000
EUR
96100000.00000000
EUR
6041482.99000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-5101.49000000
-0.00055646641
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
893725.21000000
USD
1116620.28000000
CAD
2021-06-16
-5101.49000000
N
N
N
CONSTELLIUM SE
724500KRJEMC79KAAU28
Constellium SE
21039CAA2
485000.00000000
PA
USD
511068.75000000
0.055746967160
Long
DBT
CORP
FR
N
2
2028-06-15
Fixed
5.62500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03447A SWAPTION EUR006M APR21 0.031 CALL
000000000
-25550000.00000000
NC
-88650.01000000
-0.00966987160
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Call
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-88650.01000000
-0.01000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2031-05-03
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
0.03100000
EUR
2021-04-29
XXXX
60326.86000000
N
N
N
B&G Foods Inc
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508RAE6
2005000.00000000
PA
USD
2055125.00000000
0.224171377893
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
5.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XPM1
11488.16000000
PA
USD
13114.45000000
0.001430513631
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
Deutsche Bank Commercial Mortgage Trust
N/A
DBJPM 17-C6 Mortgage Trust
23312JAQ6
1100000.00000000
PA
USD
1002412.29000000
0.109342324319
Long
ABS-MBS
CORP
US
N
2
2050-06-10
Variable
3.23000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities LLC
N/A
BBCMS MORTGAGE TRUST 2017-C1
07332VAA3
550000.00000000
PA
USD
505125.54000000
0.055098686605
Long
ABS-MBS
CORP
US
N
2
2050-02-15
Variable
3.49400000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M6UY2
19404.21000000
PA
USD
22009.34000000
0.002400761060
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
SIRIUS XM RADIO INC
WP5O65E6BMU84LNO4227
Sirius XM Radio Inc
82967NBE7
1310000.00000000
PA
USD
1346025.00000000
0.146823321660
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
4.62500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288JY67
6262.47000000
PA
USD
7103.49000000
0.000774842961
Long
ABS-MBS
USGSE
US
N
2
2033-04-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WQE1
2267460.88000000
PA
USD
166358.39000000
0.018146239041
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
3.15900000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust 2007-3
525245AD8
131973.24000000
PA
USD
128844.68000000
0.014054273803
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
0.70100000
N
N
N
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DR0
240000.00000000
PA
USD
193575.00000000
0.021115004914
Long
DBT
NUSS
PE
N
2
2121-07-28
Fixed
3.23000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A8
761119AA4
781577.22000000
PA
USD
647134.92000000
0.070588955269
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Fixed
6.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
20097.89000000
0.002192261635
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
840024.95000000
CHF
910758.06000000
USD
2021-06-16
20097.89000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214058 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR214058 IRS EUR P F .25000 2 CCPVANILLA
000000000
48860000.00000000
OU
Notional Amount
244049.89000000
0.026620765216
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
EUR
-417741.89000000
EUR
48860000.00000000
EUR
5088522.86000000
N
N
N
TRIVIUM PACKAGING FIN
724500GMZWW3PVYET548
Trivium Packaging Finance BV
89686QAB2
645000.00000000
PA
USD
699825.00000000
0.076336346710
Long
DBT
CORP
NL
N
2
2027-08-15
Fixed
8.50000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAA2
320000.00000000
PA
USD
337700.00000000
0.036836043702
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
4.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599ED3
1100000.00000000
PA
USD
1232000.00000000
0.134385566602
Long
DBT
CORP
US
N
2
2030-09-01
Fixed
6.62500000
N
N
N
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust 2006-OA2
55275NAA9
1237184.83000000
PA
USD
960062.48000000
0.104722841192
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
1.05900000
N
N
N
N
N
N
EG GLOBAL FINANCE PLC
549300TL8Q5207VYET27
eG Global Finance PLC
28228PAB7
1000000.00000000
PA
USD
1061250.00000000
0.115760294283
Long
DBT
CORP
GB
N
2
2025-10-30
Fixed
8.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-9644.36000000
-0.00105199901
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
15286430.31000000
MXN
731933.46000000
USD
2021-06-16
-9644.36000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD AUD
000000000
1.00000000
NC
N/A
760.26000000
0.000082928547
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1211394.05000000
AUD
784233.71000000
EUR
2021-06-16
760.26000000
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911363AM1
1070000.00000000
PA
USD
1075350.00000000
0.117298310914
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.87500000
N
N
N
N
N
N
HalseyPoint CLO II, Ltd.
549300RT6H1EOIYTDV62
Halseypoint Clo 2 Ltd
40638TAE2
5400000.00000000
PA
USD
5450311.80000000
0.594515616399
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
3.17400000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-6498.49000000
-0.00070885004
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
911628.99000000
USD
25728904.98000000
TWD
2021-04-12
-6498.49000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-11530.03000000
-0.00125768637
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
9526984.86000000
NOK
1102305.35000000
USD
2021-05-21
-11530.03000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215699 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215699 IRS USD P F 2.43100 2 CCPVANILLA
000000000
58480000.00000000
OU
Notional Amount
USD
579799.96000000
0.063244112127
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-02-25
70593.17000000
USD
0.00000000
USD
58480000.00000000
USD
509206.79000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131X1AP6
832.97000000
PA
USD
919.36000000
0.000100283047
Long
ABS-MBS
USGSE
US
N
2
2023-04-01
Fixed
5.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300MHMWVKFEDI8G73
SLM Student Loan Trust 2008-2
784442AC9
9851083.40000000
PA
USD
9829281.97000000
1.072170151652
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
0.96800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215794 IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR215794 IRS NOK P F 2.00000 2 CCPVANILLA
000000000
141860000.00000000
OU
Notional Amount
-174395.35000000
-0.01902290415
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-06-16
0.00000000
NOK
-2155028.84000000
NOK
141860000.00000000
NOK
76484.90000000
N
N
N
ARD FINANCE SA
6354006P6QPGGPVJW880
ARD Finance SA
00191AAD8
2400000.00000000
PA
USD
2514000.00000000
0.274225092888
Long
DBT
CORP
LU
N
2
2027-06-30
Variable
6.50000000
N
N
Y
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0GW3
1283037.11000000
PA
USD
1328754.54000000
0.144939473809
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Floating
4.80900000
N
N
N
N
N
N
DIGICEL INTL FINANCE LTD
N/A
Digicel Holdings Bermuda Ltd / Digicel International Finance Ltd
25381XAC7
434839.00000000
PA
USD
419929.46000000
0.045805566895
Long
DBT
CORP
XX
N
2
2026-12-31
Fixed
8.00000000
N
N
N
N
N
N
BROADCOM INC
549300WV6GIDOZJTV909
Broadcom Inc
11135FAZ4
9100000.00000000
PA
USD
10104822.00000000
1.102225835948
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-8205.41000000
-0.00089503950
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
924744.25000000
USD
6052092.32000000
CNY
2021-06-16
-8205.41000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
9369.14000000
0.001021978236
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
24628313.28000000
TWD
875455.47000000
USD
2021-04-08
9369.14000000
N
N
N
Erste Group Bank AG
PQOH26KWDF7CG10L6792
Erste Group Bank AG
000000000
800000.00000000
PA
1052728.11000000
0.114830733393
Long
DBT
CORP
AT
N
2
2024-04-15
Fixed
6.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03352A SWAPTION EUR006M JUN21 0.325 PUT
000000000
2980000.00000000
NC
196085.29000000
0.021388825323
N/A
DIR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
2980000.00000000
OU
Notional Amount
N/A
196085.29000000
0.02000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2051-06-03
0.00000000
N/A
0.00000000
N/A
2980000.00000000
EUR
1.00000000
0.32500000
EUR
2021-06-01
XXXX
64359.34000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380UM67
2324479.25000000
PA
USD
377529.14000000
0.041180574178
Long
ABS-MBS
USGA
US
N
2
2048-01-20
Floating
5.58900000
N
N
N
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
Chemours Co/The
163851AD0
490000.00000000
PA
USD
504087.50000000
0.054985458039
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
7.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215793 IRS NOK R F 1.50000 2 CCPVANILLA / Short: SR215793 IRS NOK P V 06MNIBOR 1 CCPVANILLA
000000000
769770000.00000000
OU
Notional Amount
-88864.44000000
-0.00969326146
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
0.00000000
NOK
-517411.01000000
NOK
769770000.00000000
NOK
38278.57000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED INR / SOLD USD
000000000
1.00000000
NC
11090.86000000
0.001209782065
N/A
DFE
IN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2169104.55000000
USD
160305502.80000000
INR
2021-04-27
11090.86000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
7781.61000000
0.000848811744
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
203269560.00000000
JPY
1844926.38000000
USD
2021-06-16
7781.61000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03382A SWAPTION US0003M JUN21 1.025 PUT
000000000
-20020000.00000000
NC
USD
-169098.93000000
-0.01844517493
N/A
DIR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
20020000.00000000
OU
Notional Amount
N/A
-169098.93000000
-0.02000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2026-06-09
0.00000000
N/A
0.00000000
N/A
20020000.00000000
USD
1.00000000
1.02500000
USD
2021-06-07
XXXX
-48478.43000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382BDB6
6682490.67000000
PA
USD
682698.62000000
0.074468214989
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
Sotera Health Holdings, LLC
549300OVT7MBXFLOFU20
Sotera Health Holdings, LLC 2021 Term Loan
83600VAE1
850000.00000000
PA
USD
846812.50000000
0.092369624690
Long
LON
CORP
US
N
2
2026-12-11
Floating
3.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215096 IRS AUD R F 1.24000 2 CCPVANILLA / Short: SR215096 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
53660000.00000000
OU
Notional Amount
-2889866.49000000
-0.31522430654
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-10-28
0.00000000
AUD
-946346.46000000
AUD
53660000.00000000
AUD
-88683.71000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-15512.23000000
-0.00169206154
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
19012557.53000000
MXN
906828.08000000
USD
2021-06-16
-15512.23000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0JU4
1746112.51000000
PA
USD
1823302.73000000
0.198884391606
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
4.75900000
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2007-2 Trust
05951GCH3
27054.22000000
PA
USD
27586.45000000
0.003009107722
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
3.54000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215707 IRS AUD R F .50000 2 CCPVANILLA / Short: SR215707 IRS AUD P V 03MBBSW 1 CCPVANILLA
000000000
89140000.00000000
OU
Notional Amount
74456.60000000
0.008121665891
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-02-24
277069.69000000
AUD
0.00000000
AUD
89140000.00000000
AUD
-146243.27000000
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
71376LAD2
358000.00000000
PA
USD
382165.00000000
0.041686250049
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX003022 CDS USD R F 3.00000 2 CMBX / Short: CX003022 CDS USD P V 01MEVENT 1 CMBX
000000000
600000.00000000
OU
Notional Amount
USD
-94500.00000000
-0.01030798380
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-17
0.00000000
USD
-95243.70000000
USD
600000.00000000
USD
743.70000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-3720.69000000
-0.00040584986
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
365620.13000000
USD
5280285917.46000000
IDR
2021-04-12
-3720.69000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
PTDEUUSSG2021040101334 PUT USD SGD 1.334 APR21
000000000
18233000.00000000
OU
Notional Amount
USD
18.23000000
0.000001988513
N/A
DFE
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Purchased
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
FX Contract
N/A
1.00000000
NC
USD
18.23000000
0.00000000
DFE
US
24322822.00000000
SGD
18233000.00000000
USD
2021-04-01
1.00000000
1.33400000
USD
2021-04-01
XXXX
-21332.61000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380XEJ2
1011943.50000000
PA
USD
167270.82000000
0.018245766170
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Floating
6.08900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
128476.64000000
0.014014128296
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
122169938.03000000
NOK
14411505.86000000
USD
2021-06-16
128476.64000000
N
N
N
Orix Credit Alliance Owner Trust
N/A
Orec 2018-CRE1 Ltd
685785AA5
3947000.00000000
PA
USD
3951406.43000000
0.431016227250
Long
ABS-CBDO
CORP
KY
N
2
2036-06-15
Floating
1.28600000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX003021 CDS USD R F 3.00000 2 CMBX / Short: CX003021 CDS USD P V 01MEVENT 1 CMBX
000000000
1200000.00000000
OU
Notional Amount
USD
-150937.44000000
-0.01646413424
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.10
137BERAJ6
Y
sell protection
2059-11-17
0.00000000
USD
-157484.08000000
USD
1200000.00000000
USD
6546.64000000
N
N
N
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
CTHSBEUUS202104280119 CALL EUR USD 1.19 APR21
000000000
31388000.00000000
OU
Notional Amount
60513.51000000
0.006600764876
N/A
DFE
DE
N
2
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
Call
Purchased
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
HSBC Bank PLC
MP6I5ZYZBEU3UXPYFY54
FX Contract
N/A
1.00000000
NC
60513.51000000
0.01000000
DFE
XX
37351720.00000000
USD
31388000.00000000
EUR
2021-04-28
1.00000000
1.19000000
EUR
2021-04-28
XXXX
-64983.83000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
13220.45000000
0.001442076025
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
77544563.35000000
TWD
2742998.35000000
USD
2021-04-19
13220.45000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215654 IRS EUR R F .50000 2 CCPVANILLA / Short: SR215654 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
71040000.00000000
OU
Notional Amount
295578.94000000
0.032241512441
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-12
860075.47000000
EUR
0.00000000
EUR
71040000.00000000
EUR
-747605.46000000
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAM9
520000.00000000
PA
USD
548600.00000000
0.059840845647
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
14268.04000000
0.001556346298
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1503180.71000000
NZD
1063891.18000000
USD
2021-06-16
14268.04000000
N
N
N
OUTFRONT MEDIA CAP LLC/C
N/A
Outfront Media Capital LLC / Outfront Media Capital Corp
69007TAB0
665000.00000000
PA
USD
672481.25000000
0.073353712508
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KBD9
495000.00000000
PA
USD
480080.25000000
0.052366766567
Long
ABS-MBS
USGSE
US
N
2
2050-02-25
Floating
2.60900000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2016-GC36
17324TAM1
400000.00000000
PA
USD
410777.99000000
0.044807331926
Long
ABS-MBS
CORP
US
N
2
2049-02-10
Variable
4.75500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215679 IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215679 IRS GBP P F 1.10000 2 CCPOIS
000000000
33620000.00000000
OU
Notional Amount
376655.76000000
0.041085306592
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-02-17
44704.61000000
GBP
0.00000000
GBP
33620000.00000000
GBP
313351.51000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-25806.21000000
-0.00281492057
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1514895.30000000
USD
5454607779.42000000
COP
2021-04-27
-25806.21000000
N
N
N
MANITOWOC COMPANY INC
2RTSLGQ89VMY18RHX631
Manitowoc Co Inc/The
563571AL2
565000.00000000
PA
USD
610200.00000000
0.066560123978
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
9.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215818 IRS AUD R F .50000 2 CCPVANILLA / Short: SR215818 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
86840000.00000000
OU
Notional Amount
-1649392.03000000
-0.17991435267
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
0.00000000
AUD
-1920140.51000000
AUD
86840000.00000000
AUD
-158787.18000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-262280.19000000
-0.02860931164
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
18413570.53000000
USD
23890737.00000000
AUD
2021-06-01
-262280.19000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX002968 CDS USD R F 3.00000 2 CMBX / Short: CX002968 CDS USD P V 01MEVENT 1 CMBX
000000000
1950000.00000000
OU
Notional Amount
USD
-245273.34000000
-0.02675421815
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.10
137BERAJ6
Y
sell protection
2059-11-17
0.00000000
USD
-366492.80000000
USD
1950000.00000000
USD
121219.46000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215752 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215752 IRS USD P F 2.50286 2 CCPVANILLA
000000000
70300000.00000000
OU
Notional Amount
USD
496634.35000000
0.054172474447
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2036-03-10
356683.04000000
USD
0.00000000
USD
70300000.00000000
USD
139951.31000000
N
N
N
Getty Images, Inc.
N/A
Getty Images, Inc. 2019 USD Term Loan B
37427UAJ9
920951.92000000
PA
USD
910545.16000000
0.099321531853
Long
LON
CORP
US
N
2
2026-02-19
Floating
4.62500000
N
N
N
N
N
N
GAZPROM PJSC (GAZ FN)
213800UNP9N6BPNYMQ45
Gazprom PJSC via Gaz Finance PLC
000000000
240000.00000000
PA
USD
229650.00000000
0.025050036826
Long
DBT
CORP
GB
N
2
2030-02-25
Fixed
3.25000000
N
N
N
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAA9
565000.00000000
PA
USD
581599.70000000
0.063440426315
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
5.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-27877.07000000
-0.00304080831
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1823290.80000000
USD
2363000.00000000
AUD
2021-06-16
-27877.07000000
N
N
N
Core & Main LP
549300ZSLF8Q660SCD17
Core & Main LP
14987KAA1
912000.00000000
PA
USD
935940.00000000
0.102091580524
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
6.12500000
N
N
N
N
N
N
DIGICEL INTL FINANCE LTD
N/A
Digicel Holdings Bermuda Ltd / Digicel International Finance Ltd
25381XAB9
577462.00000000
PA
USD
579807.94000000
0.063244982579
Long
DBT
CORP
XX
N
2
2025-12-31
Fixed
13.00000000
N
N
Y
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XB38
1030.40000000
PA
USD
1176.27000000
0.000128306583
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-3745.69000000
-0.00040857684
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
916614.49000000
USD
7808226.36000000
NOK
2021-06-16
-3745.69000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0KQ1
276692.95000000
PA
USD
290715.89000000
0.031711054868
Long
ABS-MBS
USGSE
US
N
2
2028-12-25
Floating
5.10900000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2007-EQ1
86363HAA0
3058788.08000000
PA
USD
2460714.26000000
0.268412727335
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
0.32400000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAH3
655000.00000000
PA
USD
659794.60000000
0.071969862956
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Floating
3.85900000
N
N
N
N
N
N
GREENKO DUTCH BV
724500PT585P4JPVRP08
Greenko Dutch BV
39530LAD2
200000.00000000
PA
USD
200687.50000000
0.021890830679
Long
DBT
CORP
NL
N
2
2026-03-29
Fixed
3.85000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-64CB
12668AZX6
473921.87000000
PA
USD
393456.95000000
0.042917966850
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.90900000
N
N
N
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
63938CAH1
400000.00000000
PA
USD
434000.00000000
0.047340370053
Long
DBT
CORP
US
N
2
2025-06-25
Fixed
6.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-2923.27000000
-0.00031886793
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
264765823.00000000
CLP
364696.24000000
USD
2021-05-17
-2923.27000000
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAJ4
1540000.00000000
PA
USD
1607375.00000000
0.175331168926
Long
DBT
CORP
US
N
2
2022-07-15
Fixed
5.87500000
N
N
N
N
N
N
BANCO DO BRASIL (CAYMAN)
QE0Q0253K88YAGNPE356
Banco do Brasil SA/Cayman
000000000
1550000.00000000
PA
USD
1519077.50000000
0.165699748823
Long
DBT
CORP
BR
N
2
2024-04-15
Fixed
6.25000000
N
N
N
N
N
N
ARAB REPUBLIC OF EGYPT
529900GFIVH4086NMH82
Egypt Government International Bond
03846JW97
2790000.00000000
PA
USD
2852775.00000000
0.311178396724
Long
DBT
NUSS
EG
N
2
2023-11-20
Fixed
4.55000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
22733.32000000
0.002479732215
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6749672.68000000
USD
8510257.30000000
CAD
2021-06-01
22733.32000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215758 IRS CAD R F .75000 2 CCPVANILLA / Short: SR215758 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
46930000.00000000
OU
Notional Amount
-304094.59000000
-0.03317039267
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-06-16
0.00000000
CAD
-312618.42000000
CAD
46930000.00000000
CAD
-56358.30000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31419AM46
3298.43000000
PA
USD
3337.85000000
0.000364089986
Long
ABS-MBS
USGSE
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
SCRIPPS ESCROW INC
N/A
Scripps Escrow Inc
81104PAA7
1555000.00000000
PA
USD
1601650.00000000
0.174706690543
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215760 IRS CAD R F 1.25000 2 CCPVANILLA / Short: SR215760 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
18630000.00000000
OU
Notional Amount
-1209852.98000000
-0.13196978751
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-06-16
0.00000000
CAD
-1431803.27000000
CAD
18630000.00000000
CAD
-73160.57000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
152533.54000000
0.016638235550
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3915000.00000000
EUR
4744510.20000000
USD
2021-04-09
152533.54000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
Societe Generale SA
000000000
450000.00000000
PA
USD
498389.85000000
0.054363962971
Long
DBT
CORP
FR
N
2
2028-04-06
Fixed
6.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) JUN21 XCBT 20210630
000000000
-937.00000000
NC
USD
126342.27000000
0.013781312938
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUM1 Comdty
2021-06-30
-206954452.58000000
USD
126342.27000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
7327.84000000
0.000799314878
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
889887.58000000
USD
1127416.37000000
CAD
2021-06-16
7327.84000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
2985000.00000000
PA
USD
2941120.50000000
0.320815052629
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
Residential Funding Mtg Sec I
N/A
RFMSI Series 2007-S9 Trust
74958VAA6
2555146.94000000
PA
USD
1899936.74000000
0.207243567625
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Fixed
6.00000000
N
N
N
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CTBNPUSIL202104200337 CALL USD ILS 3.37 APR21
000000000
-3647000.00000000
OU
Notional Amount
USD
-11918.40000000
-0.00130004946
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP Paribas
R0MUWSFPU8MPRO8K5P83
BNP Paribas
R0MUWSFPU8MPRO8K5P83
FX Contract
N/A
1.00000000
NC
USD
-11918.40000000
0.00000000
DFE
IL
3647000.00000000
USD
12290390.00000000
ILS
2021-04-20
1.00000000
3.37000000
USD
2021-04-20
XXXX
-5134.98000000
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust 2017-P8
17326DAM4
1000000.00000000
PA
USD
842491.21000000
0.091898261861
Long
ABS-MBS
CORP
US
N
2
2050-09-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215795 IRS NZD R F 1.25000 2 CCPVANILLA / Short: SR215795 IRS NZD P V 03MNZDBB 1 CCPVANILLA
000000000
39960000.00000000
OU
Notional Amount
58506.47000000
0.006381838572
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
0.00000000
NZD
-53426.50000000
NZD
39960000.00000000
NZD
96861.33000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-14902.67000000
-0.00162557122
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3142960.62000000
USD
45783507380.40000000
IDR
2021-05-03
-14902.67000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD RUB
000000000
1.00000000
NC
7677.48000000
0.000837453327
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
31052881.95000000
RUB
416128.30000000
USD
2021-05-19
7677.48000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DCF7
4297198.95000000
PA
USD
4751593.36000000
0.518299972361
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AQC3
2472550.90000000
PA
USD
397055.58000000
0.043310502508
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
6.03900000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: CX003018 CDS USD R F 3.00000 2 CMBX / Short: CX003018 CDS USD P V 01MEVENT 1 CMBX
000000000
1200000.00000000
OU
Notional Amount
USD
-189000.00000000
-0.02061596760
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-17
0.00000000
USD
-221640.64000000
USD
1200000.00000000
USD
32640.64000000
N
N
N
IRON MOUNTAIN INC
SQL3F6CKNNBM3SQGHX24
Iron Mountain Inc
46284VAJ0
2085000.00000000
PA
USD
2150156.25000000
0.234537310016
Long
DBT
US
N
2
2030-07-15
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
18169.86000000
0.001981953677
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3384284795.81000000
COP
942067.92000000
USD
2021-04-27
18169.86000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XLG8
1190.73000000
PA
USD
1359.30000000
0.000148271347
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215701 IRS USD R F 2.20900 2 CCPVANILLA / Short: SR215701 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
47550000.00000000
OU
Notional Amount
USD
-744243.09000000
-0.08118143615
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-25
0.00000000
USD
-142012.66000000
USD
47550000.00000000
USD
-602230.43000000
N
N
N
TWITTER INC
549300I8RX485XMK6836
Twitter Inc
90184LAG7
920000.00000000
PA
USD
961400.00000000
0.104868736795
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
3.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
-2855.90000000
-0.00031151926
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
752130.06000000
EUR
830550.90000000
CHF
2021-06-16
-2855.90000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WBD3
1570000.00000000
PA
USD
1616018.90000000
0.176274038569
Long
ABS-MBS
USGSE
US
N
2
2050-06-25
Floating
5.20900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-109720.70000000
-0.01196824548
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7312000.00000000
USD
796891008.00000000
JPY
2021-06-16
-109720.70000000
N
N
N
Bank
549300664283JRAXM588
BANK 2018-BNK13
06539LAJ9
750000.00000000
PA
USD
610738.54000000
0.066618867486
Long
ABS-MBS
CORP
US
N
2
2061-08-15
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-3609.69000000
-0.00039374207
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
728825.88000000
USD
10815722.13000000
ZAR
2021-06-17
-3609.69000000
N
N
N
Sprint Capital Corp
549300L17W0GQBR1PO80
Sprint Capital Corp
852060AT9
1610000.00000000
PA
USD
2380787.50000000
0.259694380801
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382DBZ1
372255.32000000
PA
USD
46393.06000000
0.005060517576
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-20146.06000000
-0.00219751598
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7541711.93000000
CAD
5981497.99000000
USD
2021-06-01
-20146.06000000
N
N
N
SABINE PASS LIQUEFACTION
549300KJYBG7C6WJYZ11
Sabine Pass Liquefaction LLC
785592AD8
800000.00000000
PA
USD
867824.00000000
0.094661542168
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
5.62500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128KRY73
23942.45000000
PA
USD
27331.79000000
0.002981329614
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PEE4
2110000.00000000
PA
USD
2011753.13000000
0.219440409285
Long
DBT
NUSS
DO
N
2
2060-01-30
Fixed
5.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
1871.09000000
0.000204096988
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
478075.49000000
USD
4105224.67000000
NOK
2021-06-16
1871.09000000
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
000000000
200000.00000000
PA
USD
205687.50000000
0.022436226648
Long
DBT
CORP
TR
N
2
2024-03-28
Fixed
8.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215739 IRS CAD R F .80400 2 CCPVANILLA / Short: SR215739 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
417940000.00000000
OU
Notional Amount
273338.81000000
0.029815576993
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-02-28
79618.90000000
CAD
0.00000000
CAD
417940000.00000000
CAD
210885.02000000
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAQ2
3550000.00000000
PA
USD
2872305.71000000
0.313308790823
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.37300000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
90015WAJ2
270000.00000000
PA
USD
252871.88000000
0.027583060772
Long
DBT
CORP
TR
N
2
2025-02-05
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-13657.35000000
-0.00148973272
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
892112.70000000
USD
828513.99000000
CHF
2021-06-16
-13657.35000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
-702.91000000
-0.00007667285
N/A
DFE
CL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
497784.61000000
USD
358006692.00000000
CLP
2021-05-17
-702.91000000
N
N
N
NIELSEN CO LUX SARL/THE
549300MFMRJBOPHHM352
Nielsen Co Luxembourg SARL/The
65410CAC4
1485000.00000000
PA
USD
1518412.50000000
0.165627211159
Long
DBT
CORP
LU
N
2
2025-02-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382DJV2
5796112.79000000
PA
USD
1038048.44000000
0.113229486826
Long
ABS-MBS
USGA
US
N
2
2050-02-20
Floating
5.93900000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700AS5
1680000.00000000
PA
USD
1730400.00000000
0.188750636728
Long
DBT
CORP
US
N
2
2022-03-15
Fixed
5.80000000
N
N
N
N
N
N
iHeartCommunications Inc
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBD8
430000.00000000
PA
USD
459562.50000000
0.050128706941
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
8.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215629 IRS CNY R V 03MLIBOR CCPVANILLA / Short: BR215629 IRS CNY P F 2.75000 CCPVANILLA
000000000
22760000.00000000
OU
Notional Amount
-8700.19000000
-0.00094900970
N/A
DIR
CN
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-06-16
0.00000000
CNY
-7460.38000000
CNY
22760000.00000000
CNY
-7548.63000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
18892.46000000
0.002060774303
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1468671600.00000000
KRW
1320000.00000000
USD
2021-04-05
18892.46000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379M4U5
1917174.10000000
PA
USD
344373.16000000
0.037563946614
Long
ABS-MBS
USGA
US
N
2
2045-09-16
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020659
17000000.00000000
PA
USD
17128491.10000000
1.868361997988
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-19335.24000000
-0.00210907238
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
850690.28000000
USD
23640682.88000000
TWD
2021-04-08
-19335.24000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03348A SWAPTION US0003M JUN21 1.095 PUT
000000000
-69000000.00000000
NC
USD
-426206.10000000
-0.04649021772
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
69000000.00000000
OU
Notional Amount
N/A
-426206.10000000
-0.05000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2026-06-03
0.00000000
N/A
0.00000000
N/A
69000000.00000000
USD
1.00000000
1.09500000
USD
2021-06-01
XXXX
-134179.69000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-19978.59000000
-0.00217924848
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
784192.02000000
USD
21708944.40000000
TWD
2021-04-19
-19978.59000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD JPY
000000000
1.00000000
NC
N/A
1860.01000000
0.000202888391
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
368400082.00000000
JPY
2836181.18000000
EUR
2021-06-16
1860.01000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-3544.51000000
-0.00038663229
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
373818.98000000
USD
3167143.93000000
NOK
2021-06-16
-3544.51000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
6956.83000000
0.000758845406
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
917064.00000000
USD
1161099.32000000
CAD
2021-06-16
6956.83000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379MNM2
6632737.14000000
PA
USD
1216099.75000000
0.132651180153
Long
ABS-MBS
USGA
US
N
2
2045-08-20
Floating
6.08900000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03346A SWAPTION US0003M JUN21 0.925 PUT
000000000
69000000.00000000
NC
USD
777443.70000000
0.084802931920
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Purchased
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
69000000.00000000
OU
Notional Amount
N/A
777443.70000000
0.08000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2026-06-03
0.00000000
N/A
0.00000000
N/A
69000000.00000000
USD
1.00000000
0.92500000
USD
2021-06-01
XXXX
310201.45000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAJ0
1500000.00000000
PA
USD
1491780.00000000
0.162722159534
Long
DBT
CORP
KY
N
2
2027-02-15
Fixed
3.25000000
N
N
N
N
N
N
Kraft Heinz Foods Co
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAB2
734000.00000000
PA
USD
767667.11000000
0.083736509366
Long
DBT
CORP
US
N
2
2046-06-01
Fixed
4.37500000
N
N
N
N
N
N
Altice Financing SA
549300DIYGW8HVDF7Q17
Altice Financing SA
02154CAE3
1535000.00000000
PA
USD
1600237.50000000
0.174552616182
Long
DBT
CORP
LU
N
2
2026-05-15
Fixed
7.50000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05369AAK7
700000.00000000
PA
USD
682073.00000000
0.074399972864
Long
DBT
CORP
US
N
2
2026-01-30
Fixed
1.95000000
N
N
N
N
N
N
NABORS INDUSTRIES LTD
N/A
Nabors Industries Ltd
629571AA8
520000.00000000
PA
USD
436800.00000000
0.047645791795
Long
DBT
CORP
BM
N
2
2026-01-15
Fixed
7.25000000
N
N
N
N
N
N
AERCAP HOLDINGS NV
549300SZYINBBLJQU475
AerCap Holdings NV
00774YAA7
985000.00000000
PA
USD
1004700.00000000
0.109591865881
Long
DBT
CORP
NL
N
2
2079-10-10
Fixed
5.87500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312933JV7
1848.84000000
PA
USD
2097.06000000
0.000228745613
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.00000000
N
N
N
N
N
N
Octagon Investment Partners XIV LTD
549300QEN35HTPJ3BX33
Octagon Investment Partners XIV Ltd
67590ABX9
1600000.00000000
PA
USD
1600044.80000000
0.174531596621
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
4.01000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215655 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR215655 IRS GBP P F 1.00000 2 CCPVANILLA
000000000
53310000.00000000
OU
Notional Amount
1523152.31000000
0.166144225812
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-10
387930.12000000
GBP
0.00000000
GBP
53310000.00000000
GBP
976985.25000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-6320.38000000
-0.00068942195
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
18988104.69000000
MXN
914833.67000000
USD
2021-06-16
-6320.38000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
-60867.88000000
-0.00663941927
N/A
DFE
RU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2723685.33000000
USD
202443359.73000000
RUB
2021-05-19
-60867.88000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR213187 IRS USD R V 03MLIBOR US0003M CCP LCH / Short: BR213187 IRS USD P V 01MLIBOR US0001M+9BPS CCP LCH
000000000
522840000.00000000
OU
Notional Amount
USD
48101.28000000
0.005246848836
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-07-25
175495.73000000
USD
0.00000000
USD
522840000.00000000
USD
-127394.45000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR215799 IRS MXN R F 4.70000 2 CCPVANILLA / Short: SR215799 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
139595000.00000000
OU
Notional Amount
-75381.09000000
-0.00822250851
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-06-14
0.00000000
MXN
-44333.40000000
MXN
139595000.00000000
MXN
-12278.55000000
N
N
N
Adient US LLC
213800SOTRCDGZUHL712
Adient US LLC
00688JAA5
13000.00000000
PA
USD
13893.75000000
0.001515519047
Long
DBT
CORP
US
N
2
2026-05-15
Fixed
7.00000000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03437A SWAPTION US0003M JUN21 0.465 PUT
000000000
3220000.00000000
NC
130831.84000000
0.014271031613
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Purchased
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3220000.00000000
OU
Notional Amount
N/A
130831.84000000
0.01000000
DIR
DE
Sterling Overnight Index Average
US0003M Index
2051-06-29
0.00000000
N/A
0.00000000
N/A
3220000.00000000
EUR
1.00000000
0.46500000
EUR
2021-06-25
XXXX
34686.31000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005809 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005809 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
12040000.00000000
OU
Notional Amount
USD
82439.08000000
0.008992388373
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Colombia Government International Bond
Colombia Government International Bond
Y
sell protection
2023-12-20
0.00000000
USD
-129260.17000000
USD
12040000.00000000
USD
211699.25000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BA4
1000000.00000000
PA
USD
1050000.00000000
0.114533153354
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
5.75000000
N
N
N
N
N
N
SLM Student Loan Trust
549300OORAXMFXOHG132
SLM Student Loan Trust 2008-3
78444GAC8
10610117.65000000
PA
USD
10642174.00000000
1.160839758826
Long
ABS-O
CORP
US
N
2
2021-10-25
Floating
1.21800000
N
N
N
N
N
N
IHEARTCOMMUNICATIONS INC
54930076J6KDZL504O62
iHeartCommunications Inc
45174HBE6
1300000.00000000
PA
USD
1327625.00000000
0.144816264497
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
5.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215839 IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215839 IRS GBP P F 1.10000 2 CCPOIS
000000000
21310000.00000000
OU
Notional Amount
291141.34000000
0.031757462611
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2041-03-24
127209.67000000
GBP
0.00000000
GBP
21310000.00000000
GBP
116368.53000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022655
39000000.00000000
PA
USD
40148850.30000000
4.379404217540
Long
ABS-MBS
USGA
US
N
2
2051-05-20
Fixed
2.50000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AQ4
1962000.00000000
PA
USD
1937475.00000000
0.211338210757
Long
DBT
CORP
US
N
2
2026-12-01
Fixed
3.95000000
N
N
N
N
N
N
COUNTRY GARDEN HLDGS
549300MGHLPT1EFHGF84
Country Garden Holdings Co Ltd
000000000
230000.00000000
PA
USD
217350.00000000
0.023708362744
Long
DBT
CORP
KY
N
2
2031-01-12
Fixed
3.30000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
55981.97000000
0.006106468147
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1395506.78000000
USD
21647198.90000000
ZAR
2021-06-17
55981.97000000
N
N
N
Entercom Media Corp
549300S5JUSXRHNCHD80
Entercom Media Corp
124847AC8
2705000.00000000
PA
USD
2805085.00000000
0.305976409978
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
7.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
862.24000000
0.000094052443
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12058354.59000000
CNY
1826999.34000000
USD
2021-06-16
862.24000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-11790.08000000
-0.00128605241
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
896131.48000000
USD
834065.41000000
CHF
2021-06-16
-11790.08000000
N
N
N
PENSKE AUTOMOTIVE GROUP
549300W7UTQ0M4C7LB15
Penske Automotive Group Inc
70959WAJ2
1750000.00000000
PA
USD
1776250.00000000
0.193751917758
Long
DBT
CORP
US
N
2
2025-09-01
Fixed
3.50000000
N
N
N
N
N
N
Netflix Inc
549300Y7VHGU0I7CE873
Netflix Inc
64110LAJ5
2820000.00000000
PA
USD
2918700.00000000
0.318369442567
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
5.50000000
N
N
N
N
N
N
DAVITA INC
M2XHYMU3TZNEZURC6H66
DaVita Inc
23918KAT5
2425000.00000000
PA
USD
2309812.50000000
0.251952485031
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.75000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379GQY6
5508202.70000000
PA
USD
937558.34000000
0.102268107746
Long
ABS-MBS
USGA
US
N
2
2044-09-20
Floating
5.48900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-15876.47000000
-0.00173179254
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8449093.61000000
MXN
394007.35000000
USD
2021-06-16
-15876.47000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XES0
3865.73000000
PA
USD
4412.84000000
0.000481349028
Long
ABS-MBS
USGSE
US
N
2
2034-04-01
Fixed
5.00000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAH3
480000.00000000
PA
USD
480450.00000000
0.052407098599
Long
DBT
NUSS
RO
N
2
2031-02-14
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
25961.38000000
0.002831846396
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1303000.00000000
EUR
1554274.43000000
USD
2021-04-09
25961.38000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31417KUM7
9456.26000000
PA
USD
10422.28000000
0.001136853898
Long
ABS-MBS
USGSE
US
N
2
2039-08-01
Fixed
4.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215527 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215527 IRS USD P F .75000 2 CCPVANILLA
000000000
55400000.00000000
OU
Notional Amount
USD
5576951.80000000
0.608329405485
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-06-16
5082074.35000000
USD
0.00000000
USD
55400000.00000000
USD
494877.45000000
N
N
N
Brookfield Property REIT Inc.
N/A
Brookfield Property REIT Inc. Term Loan A2
11283HAF4
2050000.00000000
PA
USD
1995675.00000000
0.217686619829
Long
LON
CORP
US
N
2
2023-08-28
Floating
3.10900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR213540 IRS AUD R F 1.75000 2 CCPVANILLA / Short: SR213540 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
36750000.00000000
OU
Notional Amount
-1157169.36000000
-0.12622310072
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-19
73945.24000000
AUD
0.00000000
AUD
36750000.00000000
AUD
-808696.94000000
N
N
N
CIT BANK NA
FVPV0TNOIM6NUIE59530
CIT Bank NA
12556LBJ4
1850000.00000000
PA
USD
1943665.50000000
0.212013465506
Long
DBT
CORP
US
N
2
2025-09-27
Fixed
2.96900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
4839.17000000
0.000527852761
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
394568.00000000
USD
5956674.73000000
ZAR
2021-06-17
4839.17000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297CWV8
275555.92000000
PA
USD
312550.88000000
0.034092797971
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
14252.94000000
0.001554699202
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
763008.74000000
CHF
823254.50000000
USD
2021-06-16
14252.94000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XBM5
1452888.27000000
PA
USD
1540978.05000000
0.168088643158
Long
ABS-MBS
USGSE
US
N
2
2028-08-25
Floating
6.85900000
N
N
N
N
N
N
ALTICE FRANCE SA
5493001ZMCICV4N02J21
Altice France SA/France
02156LAC5
460000.00000000
PA
USD
469200.00000000
0.051179957670
Long
DBT
CORP
FR
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
SASOL FINANCING INT
N/A
Sasol Financing International Ltd
803865AA2
4008000.00000000
PA
USD
4088160.00000000
0.445933196397
Long
DBT
CORP
IM
N
2
2022-11-14
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379QFW0
4276307.14000000
PA
USD
784052.79000000
0.085523846128
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Floating
6.08900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EQP5
562817.26000000
PA
USD
77632.42000000
0.008468081776
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YRQ0
1792601.10000000
PA
USD
289452.73000000
0.031573270394
Long
ABS-MBS
USGA
US
N
2
2048-08-20
Floating
6.08900000
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123CY4
700000.00000000
PA
USD
621687.50000000
0.067813171215
Long
DBT
NUSS
TR
N
2
2030-03-13
Fixed
5.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-4423.47000000
-0.00048250854
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1556276.52000000
CAD
1234051.00000000
USD
2021-06-01
-4423.47000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
4246.25000000
0.000463177526
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
364560.46000000
USD
5500305.94000000
ZAR
2021-06-17
4246.25000000
N
N
N
GROUP 1 AUTOMOTIVE INC
549300US8QAZJLWYAF63
Group 1 Automotive Inc
398905AN9
631000.00000000
PA
USD
626267.50000000
0.068312753922
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
27950.90000000
0.003048861634
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
497501.14000000
USD
10831346.07000000
MXN
2021-06-16
27950.90000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03276A SWAPTION US0003M AUG21 1.006 PUT
000000000
-72790000.00000000
NC
USD
-981449.41000000
-0.10705571027
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
72790000.00000000
OU
Notional Amount
N/A
-981449.41000000
-0.11000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-08-12
0.00000000
N/A
0.00000000
N/A
72790000.00000000
USD
1.00000000
1.00600000
USD
2021-08-10
XXXX
-835869.41000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-7418.39000000
-0.00080919199
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
914697.65000000
USD
5990949.46000000
CNY
2021-06-16
-7418.39000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H042646
13000000.00000000
PA
USD
14062235.20000000
1.533897276827
Long
ABS-MBS
USGA
US
N
2
2051-04-21
Fixed
4.50000000
N
N
N
N
N
N
London Wall Mortgage Capital
213800QSO8J75OTK5919
London Wall Mortgage Capital PLC
000000000
4088416.72000000
PA
5642747.12000000
0.615506305938
Long
ABS-MBS
CORP
GB
N
2
2049-11-15
Floating
0.90200000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
266.20000000
0.000029036881
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
871288.77000000
USD
632052.02000000
GBP
2021-06-16
266.20000000
N
N
N
BERRY GLOBAL INC
549300AP2Q7ERHX6RI89
Berry Global Inc
08576PAA9
1495000.00000000
PA
USD
1532375.00000000
0.167150229401
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
5223.59000000
0.000569784985
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
914497.01000000
USD
18958556.40000000
MXN
2021-06-16
5223.59000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31398E3D4
120524.36000000
PA
USD
122834.57000000
0.013398695850
Long
ABS-MBS
USGSE
US
N
2
2039-06-15
Floating
0.95600000
N
N
N
N
N
N
MATTEL INC
549300VELLG24KHTJ564
Mattel Inc
577081BD3
1310000.00000000
PA
USD
1432812.50000000
0.156290032181
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
5.87500000
N
N
N
N
N
N
CALPINE CORP
43R4VPJBXTU2O15HEF41
Calpine Corp
131347CM6
235000.00000000
PA
USD
237056.25000000
0.025857904604
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
4.50000000
N
N
N
N
N
N
CORE & MAIN HOLDING LP
N/A
Core & Main Holdings LP
21871MAA1
1900000.00000000
PA
USD
1938000.00000000
0.211395477334
Long
DBT
CORP
US
N
2
2024-09-15
Variable
8.62500000
N
N
Y
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-1283.72000000
-0.00014002714
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
914771.95000000
USD
7813524.61000000
NOK
2021-06-16
-1283.72000000
N
N
N
CHANGE HEALTH / FIN INC
N/A
Change Healthcare Holdings LLC / Change Healthcare Finance Inc
15911NAA3
2902000.00000000
PA
USD
2952785.00000000
0.322087406883
Long
DBT
CORP
US
N
2
2025-03-01
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
-14153.37000000
-0.00154383818
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5198429750.00000000
COP
1405000.00000000
USD
2021-04-27
-14153.37000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BBVK5
3114184.43000000
PA
USD
546951.37000000
0.059661014416
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-8676.06000000
-0.00094637762
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
913664.48000000
USD
5975822.53000000
CNY
2021-06-16
-8676.06000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HXB5
1199.22000000
PA
USD
1360.22000000
0.000148371700
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
SCRIPPS ESCROW II INC
N/A
Scripps Escrow II Inc
81105DAB1
600000.00000000
PA
USD
595500.00000000
0.064956659831
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38376WS30
5064825.26000000
PA
USD
874012.58000000
0.095336587484
Long
ABS-MBS
USGA
US
N
2
2040-03-20
Floating
5.56900000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03383A SWAPTION EUR006M JUN21 0.428 PUT
000000000
3150000.00000000
NC
134990.40000000
0.014724643985
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Purchased
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
3150000.00000000
OU
Notional Amount
N/A
134990.40000000
0.01000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2051-06-09
0.00000000
N/A
0.00000000
N/A
3150000.00000000
EUR
1.00000000
0.42800000
EUR
2021-06-07
XXXX
11858.77000000
N
N
N
HUARONG FINANCE II
549300BHVD63HE2GHX17
Huarong Finance II Co Ltd
000000000
1370000.00000000
PA
USD
1502712.17000000
0.163914631823
Long
DBT
CORP
VG
N
2
2025-01-16
Fixed
5.50000000
N
N
N
N
N
N
MPT OPER PARTNERSP/FINL
N/A
MPT Operating Partnership LP / MPT Finance Corp
55342UAJ3
2270000.00000000
PA
USD
2389560.90000000
0.260651376199
Long
DBT
US
N
2
2029-08-01
Fixed
4.62500000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
250000.00000000
PA
USD
242578.13000000
0.026460226822
Long
DBT
CORP
VG
N
2
2030-02-24
Fixed
3.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-21516.80000000
-0.00234703519
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
939028.59000000
USD
26063677.54000000
TWD
2021-04-19
-21516.80000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAA6
850000.00000000
PA
USD
878687.50000000
0.095846523988
Long
DBT
CORP
NL
N
2
2030-01-21
Fixed
3.68000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378VAL9
6226047.46000000
PA
USD
1225512.15000000
0.133677877155
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Floating
6.03900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-38780.23000000
-0.00423011621
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8146694.59000000
BRL
1408122.82000000
USD
2021-04-05
-38780.23000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31398FHA2
67545.45000000
PA
USD
69122.87000000
0.007539866923
Long
ABS-MBS
USGSE
US
N
2
2039-10-25
Floating
1.20900000
N
N
N
N
N
N
OCI NV
549300NCMRGIBJYUOE57
OCI NV
67091GAC7
975000.00000000
PA
USD
1009125.00000000
0.110074541313
Long
DBT
CORP
NL
N
2
2024-11-01
Fixed
5.25000000
N
N
N
N
N
N
TENET HEALTHCARE CORP
0W9AIBT6U6ADJ2I8HK17
Tenet Healthcare Corp
88033GDJ6
1568000.00000000
PA
USD
1634640.00000000
0.178305213142
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
6.12500000
N
N
N
N
N
N
IRB HOLDING CORP
549300HVW4WNWYBXN830
IRB Holding Corp
44988MAC9
1237000.00000000
PA
USD
1335960.00000000
0.145725439576
Long
DBT
CORP
US
N
2
2025-06-15
Fixed
7.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215782 IRS GBP R V 00MSONIA 1 CCPOIS / Short: BR215782 IRS GBP P F .25000 2 CCPOIS
000000000
51380000.00000000
OU
Notional Amount
4001961.23000000
0.436530704070
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-06-16
2492668.84000000
GBP
0.00000000
GBP
51380000.00000000
GBP
521266.47000000
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBD2
470000.00000000
PA
USD
526106.25000000
0.057387245535
Long
DBT
NUSS
QA
N
2
2030-04-16
Fixed
3.75000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2017-RC1
95001FAC9
756000.00000000
PA
USD
677860.62000000
0.073940489850
Long
ABS-MBS
CORP
US
N
2
2060-01-15
Fixed
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
5568.98000000
0.000607459847
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1720779.75000000
CHF
1558006.97000000
EUR
2021-06-16
5568.98000000
N
N
N
Dominican Republic
254900EHU7Q8FGVPI369
Dominican Republic International Bond
000000000
30000000.00000000
PA
801313.02000000
0.087406578099
Long
DBT
NUSS
DO
N
2
2028-02-04
Fixed
18.50000000
N
N
N
N
N
N
Ultimate Software Group Inc(The)
529900FKHWSTQ1GXK240
Ultimate Software Group Inc(The) Term Loan B
90385KAB7
911125.00000000
PA
USD
909576.09000000
0.099215826479
Long
LON
CORP
US
N
2
2026-05-04
Floating
3.85900000
N
N
N
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAV0
315000.00000000
PA
USD
416981.25000000
0.045483978525
Long
DBT
CORP
LU
N
2
2038-06-04
Fixed
7.72100000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288GH39
345.71000000
PA
USD
392.11000000
0.000042771042
Long
ABS-MBS
USGSE
US
N
2
2033-03-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
12342.44000000
0.001346303403
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3547116.00000000
USD
4472718.18000000
CAD
2021-06-16
12342.44000000
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA
05578QAE3
675000.00000000
PA
USD
760839.75000000
0.082991786442
Long
DBT
CORP
FR
N
2
2026-04-01
Fixed
4.87500000
N
N
N
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: CX003012 CDS USD R F 3.00000 2 CMBX / Short: CX003012 CDS USD P V 01MEVENT 1 CMBX
000000000
2400000.00000000
OU
Notional Amount
USD
-145500.00000000
-0.01587102267
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-279096.46000000
USD
2400000.00000000
USD
133596.46000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215605 IRS AUD R F .50000 2 CCPVANILLA / Short: SR215605 IRS AUD P V 03MBBSW 1 CCPVANILLA
000000000
270430000.00000000
OU
Notional Amount
-195648.37000000
-0.02134116644
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-01-25
518563.89000000
AUD
0.00000000
AUD
270430000.00000000
AUD
-593274.16000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0FW4
399436.16000000
PA
USD
405722.81000000
0.044255916968
Long
ABS-MBS
USGSE
US
N
2
2027-12-25
Floating
4.00900000
N
N
N
N
N
N
Ford Motor Credit Co LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397ZH9
542000.00000000
PA
USD
548782.05000000
0.059860703515
Long
DBT
CORP
US
N
2
2021-10-12
Fixed
3.81300000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-43881.11000000
-0.00478651609
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
15970307.23000000
MXN
730873.06000000
USD
2021-06-16
-43881.11000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EG4G6
5309.37000000
PA
USD
5967.85000000
0.000650968265
Long
ABS-MBS
USGSE
US
N
2
2041-10-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
67922.84000000
0.007408968619
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1670043.00000000
EUR
2026747.48000000
USD
2021-04-09
67922.84000000
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
7325000.00000000
PA
USD
8312922.75000000
0.906766910619
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215537 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215537 IRS EUR P F .25000 2 CCPVANILLA
000000000
790000.00000000
OU
Notional Amount
41412.76000000
0.004517270468
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2041-06-16
20394.95000000
EUR
0.00000000
EUR
790000.00000000
EUR
17087.71000000
N
N
N
Apidos CLO
635400C39IXGGYE6DH05
Apidos CLO XXIII
03765YAU8
4800000.00000000
PA
USD
4816593.60000000
0.525390146128
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.46100000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAA4
875000.00000000
PA
USD
630000.00000000
0.068719892012
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
5.37500000
N
N
N
N
N
N
HUB International Ltd
549300JQT6ATTUNS5E06
HUB International Ltd
44332PAD3
208000.00000000
PA
USD
215540.00000000
0.023510929403
Long
DBT
CORP
US
N
2
2026-05-01
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FWBW9
6179857.97000000
PA
USD
734816.63000000
0.080153205496
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
13274.86000000
0.001448011024
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
692766.41000000
CHF
747800.00000000
USD
2021-06-16
13274.86000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-14424.46000000
-0.00157340846
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
375000.00000000
USD
1320806250.00000000
COP
2021-04-27
-14424.46000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAC8
310000.00000000
PA
USD
314165.63000000
0.034268933599
Long
DBT
CORP
MX
N
2
2028-04-30
Fixed
3.87500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03350A SWAPTION US0003M JUN21 0.98 PUT
000000000
-20820000.00000000
NC
USD
-195431.09000000
-0.02131746571
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
20820000.00000000
OU
Notional Amount
N/A
-195431.09000000
-0.02000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2026-06-03
0.00000000
N/A
0.00000000
N/A
20820000.00000000
USD
1.00000000
0.98000000
USD
2021-06-01
XXXX
-80921.09000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215524 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215524 IRS USD P F .25000 2 CCPVANILLA
000000000
40800000.00000000
OU
Notional Amount
USD
409387.20000000
0.044655625675
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-06-16
311085.17000000
USD
0.00000000
USD
40800000.00000000
USD
98302.03000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
22266.70000000
0.002428833681
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
500365.57000000
USD
10773220.98000000
MXN
2021-06-16
22266.70000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-7676.12000000
-0.00083730498
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3386167.06000000
TRY
381539.95000000
USD
2021-06-16
-7676.12000000
N
N
N
MERCER INTL INC
549300Z5IAG39VRTY874
Mercer International Inc
588056AW1
1040000.00000000
PA
USD
1066000.00000000
0.116278420453
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
5.50000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS03436A SWAPTION US0003M JUN21 1.1 PUT
000000000
-20300000.00000000
NC
USD
-159598.60000000
-0.01740888659
N/A
DIR
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
20300000.00000000
OU
Notional Amount
N/A
-159598.60000000
-0.02000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2026-06-29
0.00000000
N/A
0.00000000
N/A
20300000.00000000
USD
1.00000000
1.10000000
USD
2021-06-25
XXXX
-66726.10000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412QST7
34044.16000000
PA
USD
37840.42000000
0.004127602501
Long
ABS-MBS
USGSE
US
N
2
2039-10-01
Fixed
4.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M7LA2
2215.61000000
PA
USD
2513.07000000
0.000274123649
Long
ABS-MBS
USGSE
US
N
2
2035-11-01
Fixed
5.00000000
N
N
N
N
N
N
QNB Finance Ltd
549300MY0DXTHQEX5O57
QNB Finance Ltd
000000000
230000.00000000
PA
USD
245093.75000000
0.026734628623
Long
DBT
CORP
KY
N
2
2024-03-28
Fixed
3.50000000
N
N
N
N
N
N
Starfruit Finco B.V
549300K7VB5G6LULFT41
Starfruit Finco B.V 2018 USD Term Loan B
000000000
1670645.16000000
PA
USD
1643848.01000000
0.179309615448
Long
LON
CORP
NL
N
2
2025-10-01
Floating
2.86000000
N
N
N
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
903724BY7
380000.00000000
PA
USD
377862.50000000
0.041216936818
Long
DBT
NUSS
UA
N
2
2033-03-15
Fixed
7.25300000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAB0
186282.86000000
PA
USD
191818.18000000
0.020923372405
Long
ABS-MBS
USGSE
US
N
2
2023-10-25
Floating
5.35900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-2186.96000000
-0.00023855183
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1318949.56000000
NZD
918793.45000000
USD
2021-06-16
-2186.96000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296RH27
377.09000000
PA
USD
427.72000000
0.000046655352
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.00000000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
200000.00000000
PA
USD
172700.00000000
0.018837976746
Long
DBT
CORP
KY
N
2
2025-02-20
Fixed
7.70000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
25881.56000000
0.002823139695
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1602839.10000000
AUD
1243723.00000000
USD
2021-06-16
25881.56000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215682 IRS AUD R F .75000 2 CCPVANILLA / Short: SR215682 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
41230000.00000000
OU
Notional Amount
-1527258.92000000
-0.16659217152
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-16
0.00000000
AUD
-1802491.78000000
AUD
41230000.00000000
AUD
-127984.76000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS6 Trust
74922EAN9
506265.40000000
PA
USD
479833.13000000
0.052339810917
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Fixed
6.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-26CB
12667GTM5
377210.07000000
PA
USD
271662.54000000
0.029632730813
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
0.60900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418C3K8
821360.37000000
PA
USD
909239.36000000
0.099179096242
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296UCR0
506.67000000
PA
USD
578.38000000
0.000063089224
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
WOLVERINE ESCROW LLC
N/A
Wolverine Escrow LLC
97789LAC0
455000.00000000
PA
USD
453862.50000000
0.049506955537
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
8.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-13798.34000000
-0.00150511180
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
10479074.61000000
MXN
494564.25000000
USD
2021-06-16
-13798.34000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296PKS0
1926.04000000
PA
USD
2184.62000000
0.000238296588
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BS005828 CDS USD R V 03MEVENT 1 CCPCORPORATE / Short: BS005828 CDS USD P F 1.00000 2 CCPCORPORATE
000000000
5890000.00000000
OU
Notional Amount
USD
-137143.94000000
-0.01495955039
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
China Government International Bond
China Government International Bond
Y
buy protection
2023-12-20
0.00000000
USD
-37404.01000000
USD
5890000.00000000
USD
-99739.93000000
N
N
N
Cathedral Lake LTD
N/A
Cathedral Lake VII Ltd
14919HAG8
750000.00000000
PA
USD
734322.00000000
0.080099251654
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
2.76200000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-3875.30000000
-0.00042271459
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
377690.40000000
USD
3197428.73000000
NOK
2021-06-16
-3875.30000000
N
N
N
Navient Corp
54930067J0ZNOEBRW338
Navient Corp
78442FAZ1
2680000.00000000
PA
USD
2505800.00000000
0.273330643500
Long
DBT
CORP
US
N
2
2033-08-01
Fixed
5.62500000
N
N
N
N
N
N
TITAN ACQ/CO-BORROWER
N/A
Titan Acquisition Ltd / Titan Co-Borrower LLC
88827AAA1
1120000.00000000
PA
USD
1157800.00000000
0.126291890432
Long
DBT
CORP
XX
N
2
2026-04-15
Fixed
7.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-9071.56000000
-0.00098951845
N/A
DFE
BR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
365786.23000000
USD
2008459.03000000
BRL
2021-04-05
-9071.56000000
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAY1
450000.00000000
PA
USD
495000.00000000
0.053994200867
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
7.75000000
N
N
N
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABC8
7575000.00000000
PA
USD
8274627.00000000
0.902589641087
Long
DBT
CORP
US
N
2
2027-04-15
Fixed
3.75000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2006-OC8
232434AD2
60410.81000000
PA
USD
75105.70000000
0.008192469196
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.44900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
4842.17000000
0.000528179999
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5010716.92000000
SEK
578842.48000000
USD
2021-05-19
4842.17000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-17507.56000000
-0.00190971052
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
10555534.24000000
MXN
494564.25000000
USD
2021-06-16
-17507.56000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Long: CS005489 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005489 CDS USD P F 1.00000 2 CORPORATE
000000000
2060000.00000000
OU
Notional Amount
USD
-4340.42000000
-0.00047344951
N/A
DCR
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
878.73000000
USD
0.00000000
USD
2060000.00000000
USD
-5219.15000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-3049.12000000
-0.00033259555
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3065973.82000000
NOK
302562.41000000
EUR
2021-06-16
-3049.12000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-11693.63000000
-0.00127553173
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
497784.61000000
USD
1780575549.97000000
COP
2021-04-27
-11693.63000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
15457.14000000
0.001686052367
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
765402.84000000
EUR
914518.62000000
USD
2021-06-16
15457.14000000
N
N
N
B&G Foods, Inc.
549300TRW1LZMDJZAQ78
B&G Foods, Inc. 2019 Term Loan B4
05508TAU6
454208.33000000
PA
USD
453299.91000000
0.049445588673
Long
LON
CORP
US
N
2
2026-10-10
Floating
2.60900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-3009.54000000
-0.00032827819
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
264403057.00000000
CLP
364106.28000000
USD
2021-05-17
-3009.54000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
16394.68000000
0.001788318474
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
913123.06000000
USD
19160508.60000000
MXN
2021-06-16
16394.68000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-6304.68000000
-0.00068770941
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
11004308.93000000
ZAR
731556.63000000
USD
2021-06-17
-6304.68000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
-1452.18000000
-0.00015840262
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
492448.45000000
USD
10121096.01000000
MXN
2021-06-16
-1452.18000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BX003037 CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX003037 CDS EUR P F 1.00000 2 CCPCDX
000000000
14325000.00000000
OU
Notional Amount
-421041.61000000
-0.04592687932
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe S35.V1
2I666VCY9
Y
buy protection
2026-06-20
0.00000000
EUR
-340568.42000000
EUR
14325000.00000000
EUR
-18705.12000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03349A SWAPTION EUR006M JUN21 0.39 PUT
000000000
3200000.00000000
NC
158845.88000000
0.017326780508
N/A
DIR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
3200000.00000000
OU
Notional Amount
N/A
158845.88000000
0.02000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2051-06-03
0.00000000
N/A
0.00000000
N/A
3200000.00000000
EUR
1.00000000
0.39000000
EUR
2021-06-01
XXXX
40906.07000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296UXF3
2945.12000000
PA
USD
3362.06000000
0.000366730793
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS03366A SWAPTION US0003M JUN21 0.963 PUT
000000000
-20210000.00000000
NC
USD
-208013.45000000
-0.02268993939
N/A
DIR
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
20210000.00000000
OU
Notional Amount
N/A
-208013.45000000
-0.02000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2026-06-08
0.00000000
N/A
0.00000000
N/A
20210000.00000000
USD
1.00000000
0.96300000
USD
2021-06-04
XXXX
-90795.45000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAB0
690000.00000000
PA
USD
678994.50000000
0.074064172567
Long
DBT
CORP
MX
N
2
2046-10-31
Fixed
5.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380Y2Z7
2812625.34000000
PA
USD
491007.60000000
0.053558713094
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.08900000
N
N
N
N
N
N
KRAFT HEINZ FOODS CO
5493003STKEZ2S0RNU91
Kraft Heinz Foods Co
50077LAZ9
1300000.00000000
PA
USD
1455552.80000000
0.158770525769
Long
DBT
CORP
US
N
2
2049-10-01
Fixed
4.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
1138235.25000000
0.124157783277
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
357526924.65000000
SEK
42105334.86000000
USD
2021-06-16
1138235.25000000
N
N
N
Nomura Asset Acceptance Corporation
N/A
Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AR4
65538DAE5
1000472.38000000
PA
USD
935115.82000000
0.102001679634
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.58900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
25568.97000000
0.002789042630
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4590490.64000000
EUR
5412188.46000000
USD
2021-04-30
25568.97000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-11844.45000000
-0.00129198305
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
913052.93000000
USD
13125135868.75000000
IDR
2021-04-05
-11844.45000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
7986.93000000
0.000871207884
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
390658.17000000
USD
5945309.49000000
ZAR
2021-06-17
7986.93000000
N
N
N
CAMELOT FINANCE SA
N/A
Camelot Finance SA
13323AAB6
2750000.00000000
PA
USD
2835937.50000000
0.309341775801
Long
DBT
CORP
LU
N
2
2026-11-01
Fixed
4.50000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT JUN21 XCBT 20210621
000000000
84.00000000
NC
USD
-229869.11000000
-0.02507393716
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNM1 Comdty
2021-06-21
15507369.11000000
USD
-229869.11000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005871 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005871 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
8760000.00000000
OU
Notional Amount
USD
136653.37000000
0.014906039412
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Indonesia Government International Bond
Indonesia Government International Bond
Y
sell protection
2024-06-20
36832.44000000
USD
0.00000000
USD
8760000.00000000
USD
99820.93000000
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29273RAS8
6075000.00000000
PA
USD
6328145.25000000
0.690268981302
Long
DBT
CORP
US
N
2
2023-02-01
Fixed
3.60000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-789.11000000
-0.00008607548
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8209713.06000000
ZAR
549688.86000000
USD
2021-06-17
-789.11000000
N
N
N
MILEAGE PLUS HLDINGS LLC
N/A
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd
599191AA1
870000.00000000
PA
USD
951562.50000000
0.103795670227
Long
DBT
CORP
US
N
2
2027-06-20
Fixed
6.50000000
N
N
N
N
N
N
SABRE GLBL INC
F2TJC7HPPHLHU1AQMP98
Sabre GLBL Inc
78573NAC6
1062000.00000000
PA
USD
1266435.00000000
0.138141708636
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
9.25000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F050643
16000000.00000000
PA
USD
17723272.00000000
1.933240218971
Long
ABS-MBS
USGSE
US
N
2
2051-04-15
Fixed
5.00000000
N
N
N
N
N
N
GFL Environmental Inc
549300FYK4MBXWIVZU26
GFL Environmental Inc
36168QAE4
930000.00000000
PA
USD
1021837.50000000
0.111461210562
Long
DBT
CORP
CA
N
2
2027-05-01
Fixed
8.50000000
N
N
N
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BW2
200000.00000000
PA
USD
225750.00000000
0.024624627971
Long
DBT
CORP
MX
N
2
2027-06-05
Fixed
7.37500000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust 2007-5H
525248AY6
3172685.17000000
PA
USD
2997009.15000000
0.326911341506
Long
ABS-MBS
CORP
US
N
2
2037-05-25
Variable
2.58200000
N
N
N
N
N
N
BAUSCH HEALTH COS INC
B3BS7ACMDUWISF18KY76
Bausch Health Cos Inc
071734AJ6
1050000.00000000
PA
USD
1053937.50000000
0.114962652679
Long
DBT
CORP
CA
N
2
2030-01-30
Fixed
5.25000000
N
N
N
N
N
N
PETROLEOS DE VENEZUELA S
549300YWR8TN1OFD4P06
Petroleos de Venezuela SA
000000000
137050000.00000000
PA
USD
4796750.00000000
0.523225622241
Long
DBT
CORP
VE
N
2
2022-10-28
Fixed
6.00000000
Y
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
16577.37000000
0.001808246152
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
831612.43000000
CHF
898317.93000000
USD
2021-06-16
16577.37000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD NOK
000000000
1.00000000
NC
N/A
-23364.94000000
-0.00254862881
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7699486.86000000
NOK
746443.19000000
EUR
2021-06-16
-23364.94000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-41672.86000000
-0.00454564196
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1716765.82000000
USD
2204642.09000000
AUD
2021-06-16
-41672.86000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215132 IRS USD R V 03MLIBOR CCP / Short: BR215132 IRS USD P V 03MSOFR CCP +24.125BPS
000000000
310230000.00000000
OU
Notional Amount
USD
9648.15000000
0.001052412422
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-11-10
294.26000000
USD
0.00000000
USD
310230000.00000000
USD
9353.89000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
52368.63000000
0.005712327934
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1821000.00000000
USD
38616471.99000000
MXN
2021-06-16
52368.63000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD JPY
000000000
1.00000000
NC
N/A
10698.79000000
0.001167015386
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
300738040.00000000
JPY
2323090.78000000
EUR
2021-06-16
10698.79000000
N
N
N
FANTASIA HOLDINGS GROUP
5493005JQNLB3I01JW62
Fantasia Holdings Group Co Ltd
000000000
200000.00000000
PA
USD
186000.00000000
0.020288730022
Long
DBT
CORP
KY
N
2
2024-03-02
Fixed
10.87500000
N
N
N
N
N
N
TURKIYE VAKIFLAR BANKASI
789000KAIHOLSQKQ9858
Turkiye Vakiflar Bankasi TAO
90015WAK9
530000.00000000
PA
USD
506150.00000000
0.055210433876
Long
DBT
CORP
TR
N
2
2026-01-08
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MGU7
961.26000000
PA
USD
1090.31000000
0.000118930135
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BR215745 IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215745 IRS BRL P F 5.80000 CCPNDFPREDISWAP
000000000
67660000.00000000
OU
Notional Amount
72450.10000000
0.007902798489
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-01-02
385728.31000000
BRL
0.00000000
BRL
67660000.00000000
BRL
2291.78000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
14435.21000000
0.001574581067
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
767227.14000000
EUR
915639.56000000
USD
2021-06-16
14435.21000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-6412.95000000
-0.00069951941
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
422675.71000000
USD
301873.92000000
GBP
2021-06-16
-6412.95000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-54855.20000000
-0.00598356098
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7760961.08000000
USD
6570025.67000000
EUR
2021-04-09
-54855.20000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XYW8
2335000.00000000
PA
USD
2338372.21000000
0.255067755169
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
3.65900000
N
N
N
N
N
N
ENCOMPASS HEALTH CORP
549300FVRPM9DRQZRG64
Encompass Health Corp
29261AAA8
1100000.00000000
PA
USD
1119250.00000000
0.122086887516
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
4.50000000
N
N
N
N
N
N
Republic of Indonesia
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CG9
5310000.00000000
PA
USD
5794537.50000000
0.632063478196
Long
DBT
NUSS
ID
N
2
2024-02-11
Fixed
4.45000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QO7 Trust
751150AA1
2833365.15000000
PA
USD
2564032.54000000
0.279682602009
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
1.05900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-4006.58000000
-0.00043703451
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7645870.04000000
MXN
366911.12000000
USD
2021-06-16
-4006.58000000
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452151LF8
4280000.00000000
PA
USD
4818694.07000000
0.525619263702
Long
DBT
MUN
US
N
2
2033-06-01
Fixed
5.10000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
11532.62000000
0.001257968890
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1279711.16000000
NZD
905114.11000000
USD
2021-06-16
11532.62000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
CTBNPUSTW2021042802880 CALL USD TWD 28.80 APR21
000000000
-3691000.00000000
OU
Notional Amount
USD
-5772.72000000
-0.00062968364
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Call
Written
BNP Paribas
R0MUWSFPU8MPRO8K5P83
BNP Paribas
R0MUWSFPU8MPRO8K5P83
FX Contract
N/A
1.00000000
NC
USD
-5772.72000000
0.00000000
DFE
TW
3691000.00000000
USD
106300800.00000000
TWD
2021-04-28
1.00000000
28.80000000
USD
2021-04-28
XXXX
2982.17000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS2 Trust
761118UQ9
311719.28000000
PA
USD
294184.91000000
0.032089452772
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Fixed
5.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FW6P0
3353256.96000000
PA
USD
588940.23000000
0.064241125408
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
3236.70000000
0.000353056626
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12929213.07000000
NOK
1514806.00000000
USD
2021-06-16
3236.70000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
77586RAJ9
1660000.00000000
PA
USD
1601381.25000000
0.174677375509
Long
DBT
NUSS
RO
N
2
2051-02-14
Fixed
4.00000000
N
N
N
N
N
N
BRF SA
254900MTXR9LUVQFU480
BRF SA
000000000
800000.00000000
PA
USD
815220.00000000
0.088923540264
Long
DBT
CORP
BR
N
2
2030-01-24
Fixed
4.87500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NDW4
1146.48000000
PA
USD
1300.40000000
0.000141846583
Long
ABS-MBS
USGSE
US
N
2
2033-09-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
9650989.67000000
PA
USD
10534768.43000000
1.149124045854
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT JUN21 XCBT 20210621
000000000
-243.00000000
NC
USD
1168899.91000000
0.127502659664
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYM1 Comdty
2021-06-21
-36130524.91000000
USD
1168899.91000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: CX002999 CDS USD R F 3.00000 2 CMBX / Short: CX002999 CDS USD P V 01MEVENT 1 CMBX
000000000
2250000.00000000
OU
Notional Amount
USD
-354375.00000000
-0.03865493925
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.8
137BERAH0
Y
sell protection
2057-10-17
0.00000000
USD
-613762.60000000
USD
2250000.00000000
USD
259387.60000000
N
N
N
Bank
N/A
BANK 2018-BNK15
06036FAJ0
780000.00000000
PA
USD
667465.24000000
0.072806570182
Long
ABS-MBS
CORP
US
N
2
2061-11-15
Fixed
3.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288H6W5
396.81000000
PA
USD
450.09000000
0.000049095454
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.00000000
N
N
N
N
N
N
Voya CLO Ltd
549300KSCKXTOBY0IP86
Voya CLO 2019-1 Ltd
92917NAJ7
3900000.00000000
PA
USD
3900854.10000000
0.425502019856
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.30100000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD PLN
000000000
1.00000000
NC
126935.15000000
0.013845983810
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
21738000.00000000
PLN
5629151.85000000
USD
2021-06-02
126935.15000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
526.61000000
0.000057442194
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
6724899.59000000
NOK
786742.42000000
USD
2021-06-16
526.61000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NRM1
235.96000000
PA
USD
267.63000000
0.000029192864
Long
ABS-MBS
USGSE
US
N
2
2033-05-01
Fixed
5.00000000
N
N
N
N
N
N
UPC Holding BV
213800G1DU7LKI6ZCD69
UPC Holding BV
90320LAG2
465000.00000000
PA
USD
480693.75000000
0.052433686652
Long
DBT
CORP
NL
N
2
2028-01-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-1954.09000000
-0.00021315056
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
862607.65000000
USD
624146.31000000
GBP
2021-06-16
-1954.09000000
N
N
N
CPG International Inc.
N/A
CPG International Inc. 2017 Term Loan
12626JAE7
1580669.23000000
PA
USD
1578693.39000000
0.172202602034
Long
LON
CORP
US
N
2
2024-05-05
Floating
3.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-45752.39000000
-0.00499063380
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
58012083.05000000
MXN
2776960.41000000
USD
2021-05-19
-45752.39000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215709 IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR215709 IRS AUD P F 2.75000 2 CCPVANILLA
000000000
25940000.00000000
OU
Notional Amount
378487.43000000
0.041285103678
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2041-02-24
118774.72000000
AUD
0.00000000
AUD
25940000.00000000
AUD
283930.86000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AE1
577000.00000000
PA
USD
591425.00000000
0.064512162116
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-35462.54000000
-0.00386822526
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
956270.14000000
USD
13491059066.24000000
IDR
2021-05-10
-35462.54000000
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR10
45660LKW8
2437100.43000000
PA
USD
2211963.53000000
0.241279198281
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
0.62900000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31288EK97
13734.49000000
PA
USD
15582.78000000
0.001699757077
Long
ABS-MBS
USGSE
US
N
2
2033-01-01
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215692 IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR215692 IRS JPY P F .50000 2 CCPVANILLA
000000000
1422300000.00000000
OU
Notional Amount
267249.82000000
0.029151394874
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-16
25882471.00000000
JPY
0.00000000
JPY
1422300000.00000000
JPY
28580.70000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215749 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215749 IRS USD P F 1.59750 2 CCPVANILLA
000000000
62240000.00000000
OU
Notional Amount
USD
287343.41000000
0.031343187469
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-03-11
124913.60000000
USD
0.00000000
USD
62240000.00000000
USD
162429.81000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03428A V1 SWAPTIONEUR006M APR21 0.091 CALL
000000000
-25550000.00000000
NC
-144961.51000000
-0.01581228462
N/A
DIR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-144961.51000000
-0.02000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2031-04-21
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
0.09100000
EUR
2021-04-19
XXXX
17887.08000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BR215575 IRS BRL R V 00MBRCDI CCPNDFPREDISWAP / Short: BR215575 IRS BRL P F 6.32000 CCPNDFPREDISWAP
000000000
83869774.00000000
OU
Notional Amount
563688.21000000
0.061486655428
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2025-01-02
892861.29000000
BRL
0.00000000
BRL
83869774.00000000
BRL
843309.63000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD CHF
000000000
1.00000000
NC
N/A
-3852.79000000
-0.00042025922
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1567724.47000000
CHF
1411830.18000000
EUR
2021-06-16
-3852.79000000
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03395A SWAPTION US0003M APR21 1.6375 CALL
000000000
-30590000.00000000
NC
USD
-14664.85000000
-0.00159963001
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-14664.85000000
0.00000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2031-04-08
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
1.63750000
USD
2021-04-06
XXXX
288176.15000000
N
N
N
COMM Mortgage Trust
N/A
COMM 2019-GC44 Mortgage Trust
12655TAG4
300000.00000000
PA
USD
268489.72000000
0.029286642166
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.50000000
N
N
N
N
N
N
SEALED AIR CORP
Q0M0CZB4YN6JZ65WXI09
Sealed Air Corp
81211KAY6
500000.00000000
PA
USD
511250.00000000
0.055766737764
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR 2019-HQA3
35564XBD2
1350000.00000000
PA
USD
1324781.33000000
0.144506079266
Long
ABS-MBS
USGSE
US
N
2
2049-09-25
Floating
3.10900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380W4A4
3852746.23000000
PA
USD
641873.69000000
0.070015064543
Long
ABS-MBS
USGA
US
N
2
2048-05-20
Floating
6.08900000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02949A SWAPTION US0003M NOV22 1.06 CALL
000000000
-8800000.00000000
NC
USD
-109041.68000000
-0.01189417853
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
8800000.00000000
OU
Notional Amount
N/A
-109041.68000000
-0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2052-11-16
0.00000000
N/A
0.00000000
N/A
8800000.00000000
USD
1.00000000
1.06000000
USD
2022-11-14
XXXX
348049.56000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382ET64
8394559.84000000
PA
USD
1673152.46000000
0.182506121225
Long
ABS-MBS
USGA
US
N
2
2043-07-20
Floating
6.32900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-389112.91000000
-0.04244412246
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
21906861.77000000
USD
2380815830.00000000
JPY
2021-06-16
-389112.91000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX003015 CDS USD R F 3.00000 2 CMBX / Short: CX003015 CDS USD P V 01MEVENT 1 CMBX
000000000
2750000.00000000
OU
Notional Amount
USD
-345898.30000000
-0.03773030765
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.10
137BERAJ6
Y
sell protection
2059-11-17
0.00000000
USD
-437304.83000000
USD
2750000.00000000
USD
91406.53000000
N
N
N
WF-RBS Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust 2012-C6
92936QAJ7
2500000.00000000
PA
USD
2564301.63000000
0.279711954129
Long
ABS-MBS
CORP
US
N
2
2045-04-15
Fixed
4.69700000
N
N
N
N
N
N
GENESIS ENERGY LP/FIN
N/A
Genesis Energy LP / Genesis Energy Finance Corp
37185LAL6
2620000.00000000
PA
USD
2620000.00000000
0.285787487417
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
7.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DDN9
1456311.39000000
PA
USD
1610759.77000000
0.175700376909
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
5.00000000
N
N
N
N
N
N
LABL ESCROW ISSUER LLC
N/A
LABL Escrow Issuer LLC
50168AAA8
465000.00000000
PA
USD
514987.50000000
0.056174421250
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
10.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-2422.53000000
-0.00026424761
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
374820.78000000
USD
5553869.43000000
ZAR
2021-06-17
-2422.53000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-2389.27000000
-0.00026061964
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
877178.58000000
USD
1099236.34000000
CAD
2021-06-16
-2389.27000000
N
N
N
BEACON ROOFING SUPPLY IN
549300HDXQWWCBOYXP31
Beacon Roofing Supply Inc
073685AD1
1635000.00000000
PA
USD
1667700.00000000
0.181911371285
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
4.87500000
N
N
N
N
N
N
FORD MOTOR COMPANY
20S05OYHG0MQM4VUIC57
Ford Motor Co
345370CW8
1666000.00000000
PA
USD
2014139.02000000
0.219700660242
Long
DBT
CORP
US
N
2
2025-04-22
Fixed
9.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
15392.62000000
0.001679014578
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
825665.48000000
CHF
890827.75000000
USD
2021-06-16
15392.62000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
25568.97000000
0.002789042630
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4590490.64000000
EUR
5412188.46000000
USD
2021-04-30
25568.97000000
N
N
N
USI Inc/NY
N/A
USI Inc/NY
91739VAA6
2250000.00000000
PA
USD
2289375.00000000
0.249723179010
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
6.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
29809.49000000
0.003251595132
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1608836.04000000
CHF
1735623.32000000
USD
2021-06-16
29809.49000000
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAW5
470000.00000000
PA
USD
489975.00000000
0.053446077918
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138APZN1
11786.10000000
PA
USD
13306.77000000
0.001451491741
Long
ABS-MBS
USGSE
US
N
2
2041-08-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
20276.23000000
0.002211714819
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
764900.96000000
EUR
917442.86000000
USD
2021-04-09
20276.23000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAL5
725000.00000000
PA
USD
758451.50000000
0.082731278058
Long
DBT
CORP
KY
N
2
2026-04-15
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-4397.94000000
-0.00047972374
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
399855.12000000
USD
5769909381.60000000
IDR
2021-04-12
-4397.94000000
N
N
N
NOURYON HOLDING BV
N/A
Nouryon Holding BV
85529VAA2
1330000.00000000
PA
USD
1408137.50000000
0.153598503077
Long
DBT
CORP
NL
N
2
2026-10-01
Fixed
8.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD NOK
000000000
1.00000000
NC
N/A
-4227.95000000
-0.00046118137
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7928567.86000000
NOK
8052649.95000000
SEK
2021-06-16
-4227.95000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-20297.14000000
-0.00221399566
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5881622.26000000
ZAR
374077.61000000
USD
2021-06-17
-20297.14000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-24384.76000000
-0.00265986995
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
910526.03000000
USD
7733507.31000000
SEK
2021-06-16
-24384.76000000
N
N
N
LAMB WESTON HLD
5493005SMYID1D2OY946
Lamb Weston Holdings Inc
513272AC8
1195000.00000000
PA
USD
1284625.00000000
0.140125859169
Long
DBT
CORP
US
N
2
2028-05-15
Fixed
4.87500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378VX75
8227877.61000000
PA
USD
1305546.14000000
0.142407920251
Long
ABS-MBS
USGA
US
N
2
2043-04-20
Floating
6.03900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-26876.90000000
-0.00293171058
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
10809207.27000000
MXN
497501.14000000
USD
2021-06-16
-26876.90000000
N
N
N
Sunac China Holdings Ltd
549300OLARYHDXP3WK18
Sunac China Holdings Ltd
000000000
240000.00000000
PA
USD
249900.00000000
0.027258890498
Long
DBT
CORP
KY
N
2
2023-04-19
Fixed
8.35000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005905 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005905 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
520000.00000000
OU
Notional Amount
USD
12681.19000000
0.001383253979
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Qatar Government International Bond
Qatar Government International Bond
Y
sell protection
2024-12-20
8181.83000000
USD
0.00000000
USD
520000.00000000
USD
4499.36000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-22093.05000000
-0.00240989207
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1015617.00000000
USD
8670654.44000000
SEK
2021-06-16
-22093.05000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03278A SWAPTION US0003M AUG21 0.878 PUT
000000000
-72790000.00000000
NC
USD
-1304513.26000000
-0.14229525453
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
72790000.00000000
OU
Notional Amount
N/A
-1304513.26000000
-0.14000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-08-12
0.00000000
N/A
0.00000000
N/A
72790000.00000000
USD
1.00000000
0.87800000
USD
2021-08-10
XXXX
-1078864.26000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03151A SWAPTION EUR006M APR21 NEG0.04 CALL
000000000
-1910000.00000000
NC
-0.22000000
-0.00000002399
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
1910000.00000000
OU
Notional Amount
N/A
-0.22000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2051-04-08
0.00000000
N/A
0.00000000
N/A
1910000.00000000
EUR
1.00000000
-0.04000000
EUR
2021-04-06
XXXX
63633.15000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137BJMU4
7229771.43000000
PA
USD
1547206.51000000
0.168768038553
Long
ABS-MBS
USGSE
US
N
2
2045-05-15
Floating
5.99400000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312930J43
5229.06000000
PA
USD
5969.30000000
0.000651126430
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Fixed
5.00000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005907 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005907 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
3250000.00000000
OU
Notional Amount
USD
63929.13000000
0.006973337952
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Saudi Government International Bond
Saudi Government International Bond
Y
sell protection
2024-12-20
32341.91000000
USD
0.00000000
USD
3250000.00000000
USD
31587.22000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-15016.85000000
-0.00163802588
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5765705.32000000
ZAR
371585.43000000
USD
2021-06-17
-15016.85000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
2760.37000000
0.000301098933
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
870998.12000000
USD
1097941.04000000
CAD
2021-06-16
2760.37000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
1470.66000000
0.000160418406
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
925156.45000000
USD
6118707.21000000
CNY
2021-06-16
1470.66000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR215672 IRS BRL R F 3.39000 CCPNDFPREDISWAP / Short: SR215672 IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
000000000
91130000.00000000
OU
Notional Amount
-115146.82000000
-0.01256012227
N/A
DIR
BR
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2022-01-03
0.00000000
BRL
0.00000000
BRL
91130000.00000000
BRL
-115146.82000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MF20
407.00000000
PA
USD
460.62000000
0.000050244058
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
Long: CS005516 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005516 CDS USD P F 1.00000 2 CORPORATE
000000000
2500000.00000000
OU
Notional Amount
USD
-5267.50000000
-0.00057457465
N/A
DCR
GB
N
2
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
181.61000000
USD
0.00000000
USD
2500000.00000000
USD
-5449.11000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QS9 Trust
75115CAL1
941759.28000000
PA
USD
866435.96000000
0.094510135884
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215788 IRS CHF R V 06MLIBOR CCPVANILLA / Short: BR215788 IRS CHF P F .00000 CCPVANILLA
000000000
14620000.00000000
OU
Notional Amount
89381.31000000
0.009749641224
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
80429.32000000
CHF
0.00000000
CHF
14620000.00000000
CHF
2516.49000000
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
200000.00000000
PA
USD
211062.50000000
0.023022527314
Long
DBT
CORP
MX
N
2
2026-10-31
Fixed
4.25000000
N
N
N
N
N
N
Mauser Packaging Solut
549300DNGHXL0OMHW304
Mauser Packaging Solutions Holding Co
12429TAE4
2010000.00000000
PA
USD
2007487.50000000
0.218975117804
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
7.25000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05971KAG4
600000.00000000
PA
USD
570426.00000000
0.062221608128
Long
DBT
CORP
ES
N
2
2030-12-03
Fixed
2.74900000
N
N
N
N
N
N
B&G FOODS INC
549300TRW1LZMDJZAQ78
B&G Foods Inc
05508WAB1
475000.00000000
PA
USD
490437.50000000
0.053496527046
Long
DBT
CORP
US
N
2
2027-09-15
Fixed
5.25000000
N
N
N
N
N
N
NAVISTAR INTL CORP
WNDD3CRVXJGC8I7GX671
Navistar International Corp
63934EAT5
460000.00000000
PA
USD
475525.00000000
0.051869883570
Long
DBT
CORP
US
N
2
2025-11-01
Fixed
6.62500000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03405A SWAPTION EUR006M APR21 0.039 PUT
000000000
-25550000.00000000
NC
-147903.82000000
-0.01613322942
N/A
DIR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-147903.82000000
-0.02000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2031-04-14
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
0.03900000
EUR
2021-04-12
XXXX
1084.06000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX003024 CDS USD R F 3.00000 2 CMBX / Short: CX003024 CDS USD P V 01MEVENT 1 CMBX
000000000
1100000.00000000
OU
Notional Amount
USD
-66687.50000000
-0.00727421872
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-96135.51000000
USD
1100000.00000000
USD
29448.01000000
N
N
N
DP World PLC
549300M3U2DNF4QVSS04
DP World PLC
000000000
200000.00000000
PA
USD
234312.50000000
0.025558618567
Long
DBT
CORP
AE
N
2
2048-09-25
Fixed
5.62500000
N
N
N
N
N
N
LUMEN TECHNOLOGIES INC
8M3THTGWLTYZVE6BBY25
Lumen Technologies Inc
156700BB1
465000.00000000
PA
USD
487087.50000000
0.053131111747
Long
DBT
CORP
US
N
2
2026-12-15
Fixed
5.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
16462.87000000
0.001795756585
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
182177132.00000000
JPY
1662974.85000000
USD
2021-06-16
16462.87000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX003038 CDS EUR R F 5.00000 2 CCPCDX / Short: SX003038 CDS EUR P V 03MEVENT 1 CCPCDX
000000000
4350000.00000000
OU
Notional Amount
606074.34000000
0.066110100311
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
iTraxx Europe Crossover S35.V1
2I667KJN9
Y
sell protection
2026-06-20
471985.37000000
EUR
0.00000000
EUR
4350000.00000000
EUR
48486.16000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03432A SWAPTION US0003M APR21 1.719 PUT
000000000
-30590000.00000000
NC
USD
-347367.80000000
-0.03789059953
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-347367.80000000
-0.04000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2031-04-26
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
1.71900000
USD
2021-04-22
XXXX
-65175.05000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
3147.24000000
0.000343298401
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
375406.95000000
USD
7803283.94000000
MXN
2021-06-16
3147.24000000
N
N
N
GTCR AP Finance Inc
N/A
GTCR AP Finance Inc
40060QAA3
1375000.00000000
PA
USD
1474687.50000000
0.160857723416
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
8.00000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03394A SWAPTION US0003M APR21 1.6375 PUT
000000000
-30590000.00000000
NC
USD
-402123.90000000
-0.04386335076
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-402123.90000000
-0.04000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2031-04-08
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
1.63750000
USD
2021-04-06
XXXX
-99282.90000000
N
N
N
CEDAR FAIR/CAN/MAGNUM/MI
N/A
Cedar Fair LP / Canada's Wonderland Co / Magnum Management Corp / Millennium Op
150190AF3
703000.00000000
PA
USD
737271.25000000
0.080420953466
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.50000000
N
N
N
N
N
N
Goldman Sachs Financial Square Government Fund
549300BRJMXN4GUWZ402
Goldman Sachs Financial Square Government Fund
38141W273
118989635.21000000
NS
USD
118989635.21000000
12.97929346390
Long
EC
RF
US
N
1
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215683 IRS AUD R F 1.00000 2 CCPVANILLA / Short: SR215683 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
28220000.00000000
OU
Notional Amount
-1847542.56000000
-0.20152845271
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-06-16
0.00000000
AUD
-2210050.20000000
AUD
28220000.00000000
AUD
-131880.88000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381YJG0
2069645.42000000
PA
USD
335445.23000000
0.036590095209
Long
ABS-MBS
USGA
US
N
2
2049-08-20
Floating
5.98900000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03440A SWAPTION US0003M APR21 1.715 PUT
000000000
-30590000.00000000
NC
USD
-399881.66000000
-0.04361876903
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-399881.66000000
-0.04000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
N/A
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
1.71500000
USD
2021-04-29
XXXX
-122277.41000000
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CX2
200000.00000000
PA
USD
189293.00000000
0.020647927807
Long
DBT
NUSS
ID
N
2
2071-03-12
Fixed
3.35000000
N
N
N
N
N
N
HERC HOLDINGS INC
549300TP80QLITMSBP82
Herc Holdings Inc
42704LAA2
2330000.00000000
PA
USD
2461062.50000000
0.268450713073
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
6506.67000000
0.000709742317
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1416682.08000000
EUR
1575602.64000000
CHF
2021-06-16
6506.67000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
129153.65000000
0.014087976001
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
516639585.00000000
JPY
4798528.20000000
USD
2021-06-16
129153.65000000
N
N
N
SOLERA LLC / SOLERA FINA
N/A
Solera LLC / Solera Finance Inc
83422AAA1
1000000.00000000
PA
USD
1032500.00000000
0.112624267465
Long
DBT
CORP
US
N
2
2024-03-01
Fixed
10.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138AFFB1
3857.05000000
PA
USD
4336.61000000
0.000473033922
Long
ABS-MBS
USGSE
US
N
2
2041-05-01
Fixed
4.50000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BH7
555000.00000000
PA
USD
570262.50000000
0.062203773680
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.62500000
N
N
N
N
N
N
TALEN ENERGY SUPPLY LLC
K5K33XN0PQAU1XF7NN66
Talen Energy Supply LLC
87422VAG3
1125000.00000000
PA
USD
1125000.00000000
0.122714092879
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.62500000
N
N
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
Terrier Media Buyer Inc
88146LAA1
800000.00000000
PA
USD
860000.00000000
0.093808106557
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
8.87500000
N
N
N
N
N
N
UBS Switzerland AG
549300WOIFUSNYH0FL22
Long: CS005510 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005510 CDS USD P F 1.00000 2 CORPORATE
000000000
5910000.00000000
OU
Notional Amount
USD
-12452.37000000
-0.00135829447
N/A
DCR
GB
N
2
UBS Switzerland AG
549300WOIFUSNYH0FL22
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
1306.30000000
USD
0.00000000
USD
5910000.00000000
USD
-13758.67000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382B5X7
2136740.13000000
PA
USD
377313.48000000
0.041157050159
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Floating
5.93900000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR214655 IRS BRL R F 4.93000 2 CCPNDFPREDISWAP / Short: SR214655 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
20510000.00000000
OU
Notional Amount
-128766.60000000
-0.01404575689
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2024-01-02
13129.46000000
BRL
0.00000000
BRL
20510000.00000000
BRL
-123316.01000000
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
OPS03446A SWAPTION EUR006M APR21 0.031 PUT
000000000
-25550000.00000000
NC
-235484.17000000
-0.02568642338
N/A
DIR
DE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Put
Written
Citibank, National Association
E57ODZWZ7FF32TWEFA76
Citibank, National Association
E57ODZWZ7FF32TWEFA76
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-235484.17000000
-0.03000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2031-05-03
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
0.03100000
EUR
2021-04-29
XXXX
-86507.30000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-3631.92000000
-0.00039616690
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
373818.98000000
USD
3166396.29000000
NOK
2021-06-16
-3631.92000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-6061.95000000
-0.00066123261
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
828685.78000000
USD
5431952.42000000
CNY
2021-06-16
-6061.95000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HXN9
18718.15000000
PA
USD
21231.17000000
0.002315878904
Long
ABS-MBS
USGSE
US
N
2
2033-07-01
Fixed
5.00000000
N
N
N
N
N
N
TransDigm Inc
88Q84GB3X55CF5OC7582
TransDigm Inc
893647AZ0
1685000.00000000
PA
USD
1720806.25000000
0.187704158213
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
6.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RHJ4
3850000.00000000
PA
USD
4351424.00000000
0.474649821240
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
4.35000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
6208.95000000
0.000677267259
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
865470.17000000
CHF
923848.13000000
USD
2021-06-16
6208.95000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215741 IRS CAD R F .75000 2 CCPVANILLA / Short: SR215741 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
820710000.00000000
OU
Notional Amount
178091.53000000
0.019426080492
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-01
0.00000000
CAD
-286549.28000000
CAD
820710000.00000000
CAD
405008.32000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-96824.88000000
-0.01056157983
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
914046.05000000
USD
7109797.51000000
TRY
2021-06-16
-96824.88000000
N
N
N
STATE OF QATAR
52990074F6OJOAXK4P65
Qatar Government International Bond
74727PBE0
480000.00000000
PA
USD
556800.00000000
0.060735295035
Long
DBT
NUSS
QA
N
2
2050-04-16
Fixed
4.40000000
N
N
N
N
N
N
Mill City Mortgage Trust
N/A
Mill City Mortgage Loan Trust 2017-2
59980AAQ0
957291.77000000
PA
USD
991826.84000000
0.108187671968
Long
ABS-O
CORP
US
N
2
2059-07-25
Variable
2.94700000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2020-C55
95002EAA5
800000.00000000
PA
USD
681171.18000000
0.074301603066
Long
ABS-MBS
CORP
US
N
2
2053-02-15
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ACYK0
729687.68000000
PA
USD
807005.90000000
0.088027552859
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
8476.69000000
0.000924630510
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7399180.72000000
NOK
873523.49000000
USD
2021-06-16
8476.69000000
N
N
N
WOLVERINE ESCROW LLC
N/A
Wolverine Escrow LLC
97789LAB2
455000.00000000
PA
USD
453862.50000000
0.049506955537
Long
DBT
CORP
US
N
2
2026-11-15
Fixed
9.00000000
N
N
N
N
N
N
ADS Tactical, Inc.
N/A
ADS Tactical Inc 2021 Term Loan B
000000000
2400000.00000000
PA
USD
2376000.00000000
0.259172164162
Long
LON
CORP
US
N
2
2028-02-09
Floating
6.75000000
N
N
N
N
N
N
INTELSAT JACKSON HLDG
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
45824TAR6
2900000.00000000
PA
USD
2997875.00000000
0.327005787726
Long
DBT
CORP
LU
N
2
2024-02-15
None
0.00000000
Y
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381WVB1
1674014.96000000
PA
USD
261185.00000000
0.028489849198
Long
ABS-MBS
USGA
US
N
2
2049-06-20
Floating
5.98900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-73518.78000000
-0.00801936924
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
38810709.00000000
MXN
1809272.71000000
USD
2021-06-16
-73518.78000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382J3Q7
5702529.03000000
PA
USD
769921.82000000
0.083982451315
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FYD0
2181819.28000000
PA
USD
285707.05000000
0.031164694640
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
4.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379HWD3
5379827.93000000
PA
USD
734499.84000000
0.080118650298
Long
ABS-MBS
USGA
US
N
2
2044-08-20
Fixed
4.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-22081.92000000
-0.00240867802
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
945211.42000000
USD
26250411.56000000
TWD
2021-04-08
-22081.92000000
N
N
N
Elmwood CLO IV Ltd
N/A
Elmwood CLO IV Ltd
29002GAB7
9000000.00000000
PA
USD
9035838.00000000
0.985621923181
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.48100000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
37916.61000000
0.004135913245
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3543666.33000000
GBP
4924381.50000000
USD
2021-06-16
37916.61000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FUUT9
14572878.44000000
PA
USD
2403988.66000000
0.262225144626
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
10449.83000000
0.001139859030
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
771328.40000000
GBP
1074057.06000000
USD
2021-06-16
10449.83000000
N
N
N
Credit Suisse Securities (Europe) Limited
DL6FFRRLF74S01HE2M14
Long: SR214327 IRS BRL R F 4.12000 CCPNDFPREDISWAP / Short: SR214327 IRS BRL P V 00MBRCDI CCPNDFPREDISWAP
000000000
37900000.00000000
OU
Notional Amount
94084.17000000
0.010262625400
N/A
DIR
BR
N
2
Credit Suisse Securities (Europe) Limited
DL6FFRRLF74S01HE2M14
N/A
N/A
Y
2022-01-03
704546.46000000
BRL
0.00000000
BRL
37900000.00000000
BRL
-37449.47000000
N
N
N
TELECOM ITALIA CAPITAL
549300777DJZOR5C4L39
Telecom Italia Capital SA
87927VAR9
950000.00000000
PA
USD
1197000.00000000
0.130567794824
Long
DBT
CORP
LU
N
2
2036-07-18
Fixed
7.20000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-4792.58000000
-0.00052277076
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
844080.00000000
USD
1054625.63000000
CAD
2021-06-16
-4792.58000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) JUN21 XCBT 20210621
000000000
-113.00000000
NC
USD
440302.20000000
0.048027808947
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USM1 Comdty
2021-06-21
-17937645.95000000
USD
440302.20000000
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AF8
2897000.00000000
PA
USD
3074441.25000000
0.335357572538
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.87500000
N
N
N
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AP3
2450000.00000000
PA
USD
2664473.00000000
0.290638566398
Long
DBT
CORP
CH
N
2
2031-04-01
Fixed
4.19400000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-5434.52000000
-0.00059279305
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
48084310.96000000
TWD
1689540.09000000
USD
2021-05-03
-5434.52000000
N
N
N
REPUBLIC OF PERU
254900STKLK2DBJJZ530
Peruvian Government International Bond
715638DQ2
10000.00000000
PA
USD
8240.63000000
0.000898881275
Long
DBT
NUSS
PE
N
2
2060-12-01
Fixed
2.78000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAP0
2575000.00000000
PA
USD
2732718.75000000
0.298082757779
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
829.32000000
0.000090461556
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
16097790.55000000
SEK
1845389.11000000
USD
2021-06-16
829.32000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-14149.62000000
-0.00154342914
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1827754.48000000
USD
51518915.53000000
TWD
2021-04-19
-14149.62000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-11208.87000000
-0.00122265450
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
19091055.66000000
MXN
914939.56000000
USD
2021-06-16
-11208.87000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
5170.60000000
0.000564004878
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
370450.55000000
USD
7742823.99000000
MXN
2021-06-16
5170.60000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382LNX5
6500562.82000000
PA
USD
675431.88000000
0.073675564850
Long
ABS-MBS
USGA
US
N
2
2050-11-20
Fixed
2.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128LXB90
3834.13000000
PA
USD
4348.91000000
0.000474375596
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XBD1
1516000.00000000
PA
USD
1592185.22000000
0.173674279972
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Floating
6.10900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
33522.67000000
0.003656625813
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1785346.26000000
CHF
1926486.44000000
USD
2021-06-16
33522.67000000
N
N
N
VICI PROPERTIES / NOTE
N/A
VICI Properties LP / VICI Note Co Inc
92564RAC9
718000.00000000
PA
USD
728770.00000000
0.079493643971
Long
DBT
US
N
2
2025-02-15
Fixed
3.50000000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAN0
1640000.00000000
PA
USD
1444737.50000000
0.157590801566
Long
DBT
NUSS
MX
N
2
2061-05-24
Fixed
3.77100000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
19007.28000000
0.002073298776
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
871303.22000000
EUR
1042462.02000000
USD
2021-06-16
19007.28000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-3994.74000000
-0.00043574301
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
397250.36000000
USD
5761719221.44000000
IDR
2021-05-10
-3994.74000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A1UT0
4800384.85000000
PA
USD
823254.96000000
0.089799987222
Long
ABS-MBS
USGSE
US
N
2
2041-10-25
Floating
6.34100000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-3865.51000000
-0.00042164671
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1035988245.00000000
KRW
913924.49000000
USD
2021-04-05
-3865.51000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214650 IRS PLN R F .75000 2 CCPVANILLA / Short: SR214650 IRS PLN P V 06MWIBOR 1 CCPVANILLA
000000000
32430000.00000000
OU
Notional Amount
-185676.30000000
-0.02025342108
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2025-12-16
0.00000000
PLN
-24023.98000000
PLN
32430000.00000000
PLN
-179214.57000000
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAC4
430000.00000000
PA
USD
410650.00000000
0.044793370880
Long
DBT
CORP
JE
N
2
2040-09-30
Fixed
3.25000000
N
N
N
N
N
N
GLOBAL PART/GLP FINANCE
N/A
Global Partners LP / GLP Finance Corp
37954FAG9
445000.00000000
PA
USD
468918.75000000
0.051149279147
Long
DBT
CORP
US
N
2
2027-08-01
Fixed
7.00000000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
59284MAD6
520000.00000000
PA
USD
512356.00000000
0.055887379352
Long
DBT
CORP
MX
N
2
2047-07-31
Fixed
5.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR214976 IRS BRL R F 4.23000 2 CCPNDFPREDISWAP / Short: SR214976 IRS BRL P V 00MBRCDI 1 CCPNDFPREDISWAP
000000000
29505000.00000000
OU
Notional Amount
-117429.60000000
-0.01280912608
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2023-01-02
0.00000000
BRL
-201615.03000000
BRL
29505000.00000000
BRL
155919.23000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
28424.25000000
0.003100494270
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7317464.27000000
SEK
866893.37000000
USD
2021-06-16
28424.25000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-19461.62000000
-0.00212285781
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
14080571.64000000
ZAR
927308.16000000
USD
2021-05-25
-19461.62000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
12771.41000000
0.001393095104
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
45783507380.40000000
IDR
3156394.86000000
USD
2021-04-05
12771.41000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215189 IRS PLN R F .34500 2 CCPVANILLA / Short: SR215189 IRS PLN P V 06MWIBOR 1 CCPVANILLA
000000000
12015000.00000000
OU
Notional Amount
-16136.74000000
-0.00176018258
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-06-16
63.07000000
PLN
0.00000000
PLN
12015000.00000000
PLN
-2962.88000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-14440.25000000
-0.00157513082
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
873107.15000000
USD
809850.54000000
CHF
2021-06-16
-14440.25000000
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123DA5
300000.00000000
PA
USD
271500.00000000
0.029615001081
Long
DBT
NUSS
TR
N
2
2031-01-15
Fixed
5.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
161173.79000000
0.017580707054
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3928259.54000000
EUR
4768702.81000000
USD
2021-04-09
161173.79000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215612 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR215612 IRS GBP P F .50000 2 CCPVANILLA
000000000
72190000.00000000
OU
Notional Amount
4416178.03000000
0.481713138619
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-26
1577949.01000000
GBP
0.00000000
GBP
72190000.00000000
GBP
2239779.47000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BZG2
2528212.75000000
PA
USD
405072.02000000
0.044184929320
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.93900000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
000000000
650000.00000000
PA
932809.57000000
0.101750115744
Long
DBT
CORP
IT
N
2
2027-01-11
Fixed
7.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CNH
000000000
1.00000000
NC
13071.00000000
0.001425774140
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
12013163.13000000
CNY
1832364.23000000
USD
2021-06-16
13071.00000000
N
N
N
ZAIS CLO 15 Ltd
549300BTYXZYFTGVBO58
Zais Clo 15 Ltd
98888DAA0
2225000.00000000
PA
USD
2235633.28000000
0.243861075526
Long
ABS-CBDO
CORP
KY
N
2
2030-07-28
Floating
2.77400000
N
N
N
N
N
N
Grab Holdings Inc
N/A
Grab Holdings Inc Term Loan B
000000000
800000.00000000
PA
USD
812000.00000000
0.088572305260
Long
LON
CORP
KY
N
2
2026-01-29
Floating
5.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215820 IRS CAD R F 1.00000 2 CCPVANILLA / Short: SR215820 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
19160000.00000000
OU
Notional Amount
-394081.27000000
-0.04298606717
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
0.00000000
CAD
-405834.38000000
CAD
19160000.00000000
CAD
-69963.15000000
N
N
N
STARWOOD PROPERTY TRUST
BUGSFQZERKRBFWIG5267
Starwood Property Trust Inc
85571BAG0
1550000.00000000
PA
USD
1569375.00000000
0.171186159567
Long
DBT
US
N
2
2021-12-15
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
26174.85000000
0.002855131532
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
40164727500.00000000
IDR
2783997.19000000
USD
2021-04-05
26174.85000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-9709.53000000
-0.00105910770
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
52620680.75000000
TWD
1840764.42000000
USD
2021-04-08
-9709.53000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SR215830 IRS MXN R F 5.55000 2 CCPVANILLA / Short: SR215830 IRS MXN P V 01MTIIE 1 CCPVANILLA
000000000
33690000.00000000
OU
Notional Amount
-46501.75000000
-0.00507237339
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2026-06-10
320.05000000
MXN
0.00000000
MXN
33690000.00000000
MXN
-46517.29000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
4402.65000000
0.000480237512
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
40164727500.00000000
IDR
2726711.12000000
USD
2021-07-01
4402.65000000
N
N
N
Vedanta Resources Ltd
2138007MYEKPEAZQTW83
Vedanta Resources Ltd
000000000
310000.00000000
PA
USD
277353.13000000
0.030253455782
Long
DBT
CORP
GB
N
2
2023-05-31
Fixed
7.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
-25811.96000000
-0.00281554778
N/A
DFE
CN
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4850450.24000000
USD
31858067.59000000
CNY
2021-06-16
-25811.96000000
N
N
N
HalseyPoint CLO II, Ltd.
549300RT6H1EOIYTDV62
Halseypoint Clo 2 Ltd
40638TAA0
5800000.00000000
PA
USD
5832062.40000000
0.636156664030
Long
ABS-CBDO
CORP
KY
N
2
2031-07-20
Floating
2.08400000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-7389.12000000
-0.00080599925
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
52772980.27000000
TWD
1848440.64000000
USD
2021-04-08
-7389.12000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378YE47
3633402.28000000
PA
USD
287408.30000000
0.031350265618
Long
ABS-MBS
USGA
US
N
2
2042-12-16
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
79530.30000000
0.008675100996
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4594000.00000000
EUR
5475758.58000000
USD
2021-06-16
79530.30000000
N
N
N
Dun & Bradstreet Corp
RI37BMPWE56BCJ747E14
Dun & Bradstreet Corp/The
26483EAK6
249000.00000000
PA
USD
277012.50000000
0.030216300136
Long
DBT
CORP
US
N
2
2027-02-15
Fixed
10.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
50612.51000000
0.005520771780
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3932141.15000000
GBP
5472297.92000000
USD
2021-05-20
50612.51000000
N
N
N
DANA INC
KVWHW7YLZPFJM8QYNJ51
Dana Inc
235825AF3
515000.00000000
PA
USD
539462.50000000
0.058844134515
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.37500000
N
N
N
N
N
N
CHINA SCE GRP HLDGS LTD
549300Q8UEI2ERAP6P49
China SCE Group Holdings Ltd
000000000
260000.00000000
PA
USD
257400.00000000
0.028076984450
Long
DBT
CORP
KY
N
2
2024-09-29
Fixed
5.95000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
220345.10000000
0.024035065837
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5705047870.00000000
KRW
5274491.16000000
USD
2021-04-05
220345.10000000
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAK9
5625000.00000000
PA
USD
6655893.75000000
0.726019523409
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
6.02000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AECB0
4435072.86000000
PA
USD
4904046.33000000
0.534929419401
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
5.00000000
N
N
N
N
N
N
GALAXY PIPELINE ASSETS
549300L82YB0C6JQIC26
Galaxy Pipeline Assets Bidco Ltd
36321PAB6
240000.00000000
PA
USD
229200.00000000
0.025000951189
Long
DBT
CORP
JE
N
2
2036-03-31
Fixed
2.62500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XCL6
2117698.20000000
PA
USD
2226213.29000000
0.242833550612
Long
ABS-MBS
USGSE
US
N
2
2028-10-25
Floating
5.40900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
5322.52000000
0.000580576189
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2790530.67000000
SGD
2079691.96000000
USD
2021-04-06
5322.52000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31283HZN8
14048.31000000
PA
USD
15934.46000000
0.001738118048
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-258406.60000000
-0.02818678356
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3000035.97000000
USD
23852085.99000000
TRY
2021-06-16
-258406.60000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380TZK5
2116016.83000000
PA
USD
327756.83000000
0.035751450736
Long
ABS-MBS
USGA
US
N
2
2047-07-20
Floating
5.54900000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2018-L1
61691QAN8
900000.00000000
PA
USD
781025.64000000
0.085193647047
Long
ABS-MBS
CORP
US
N
2
2051-10-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215531 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215531 IRS EUR P F .00000 CCPVANILLA
000000000
7250000.00000000
OU
Notional Amount
16104.63000000
0.001756680054
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2024-06-16
16846.19000000
EUR
0.00000000
EUR
7250000.00000000
EUR
-3987.80000000
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Long: CX003009 CDS USD R F 3.00000 2 CMBX / Short: CX003009 CDS USD P V 01MEVENT 1 CMBX
000000000
2600000.00000000
OU
Notional Amount
USD
-157625.00000000
-0.01719360790
N/A
DCR
US
N
2
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Markit CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-402904.15000000
USD
2600000.00000000
USD
245279.15000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215774 IRS EUR R V 12MESTRO CCPVANILLA / Short: BR215774 IRS EUR P F .00000 CCPVANILLA/FIXED -0.5
000000000
49300000.00000000
OU
Notional Amount
912167.91000000
0.099498540115
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-16
688846.19000000
EUR
0.00000000
EUR
49300000.00000000
EUR
86275.62000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215213 IRS CAD R F .70000 2 CCPVANILLA / Short: SR215213 IRS CAD P V 03MCDOR 1 CCPVANILLA
000000000
110910000.00000000
OU
Notional Amount
-386812.64000000
-0.04219321087
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-11-18
3782.06000000
CAD
0.00000000
CAD
110910000.00000000
CAD
1483041.18000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
7604.07000000
0.000829445824
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3051735.16000000
TRY
369039.49000000
USD
2021-04-29
7604.07000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03412A SWAPTION US0003M APR21 1.65 PUT
000000000
-30590000.00000000
NC
USD
-446531.41000000
-0.04870728615
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-446531.41000000
-0.05000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2031-04-20
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
1.65000000
USD
2021-04-16
XXXX
-158220.66000000
N
N
N
MATCH GROUP HLD II LLC
N/A
Match Group Holdings II LLC
57665RAN6
2597000.00000000
PA
USD
2635955.00000000
0.287527845952
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
4.62500000
N
N
N
N
N
N
GAZPROM (GAZ CAPITAL SA)
213800568PRHV2JR9650
Gazprom PJSC Via Gaz Capital SA
000000000
4280000.00000000
PA
USD
4687937.50000000
0.511356442479
Long
DBT
CORP
LU
N
2
2026-02-11
Fixed
5.15000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBE4
600000.00000000
PA
USD
576126.24000000
0.062843385711
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Floating
5.66700000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKH4
1250000.00000000
PA
USD
1185087.50000000
0.129268388929
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
2.25000000
N
N
N
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
1620000.00000000
PA
2183790.24000000
0.238206078525
Long
DBT
NUSS
RO
N
2
2030-05-26
Fixed
3.62400000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03150A SWAPTION EUR006M APR21 NEG0.04 CALL
000000000
-3270000.00000000
NC
-0.39000000
-0.00000004254
N/A
DIR
DE
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
3270000.00000000
OU
Notional Amount
N/A
-0.39000000
0.00000000
DIR
US
Euribor 6 Month
EUR006M Index
2051-04-08
0.00000000
N/A
0.00000000
N/A
3270000.00000000
EUR
1.00000000
-0.04000000
EUR
2021-04-06
XXXX
112146.81000000
N
N
N
MPH Acquisition Holdings LLC
5493002WXOPRPTXWTU06
MPH Acquisition Holdings LLC 2016 Term Loan B
55328HAE1
1707846.97000000
PA
USD
1697565.73000000
0.185169101031
Long
LON
CORP
US
N
2
2023-06-07
Floating
3.75000000
N
N
N
N
N
N
Verscend Escrow Corp
N/A
Verscend Escrow Corp
92535WAA8
970000.00000000
PA
USD
1036687.50000000
0.113081036588
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
9.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR212021 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR212021 IRS EUR P F 1.25000 2 CCPVANILLA
000000000
2630000.00000000
OU
Notional Amount
-327769.15000000
-0.03575279459
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-12-19
0.00000000
EUR
-54259.21000000
EUR
2630000.00000000
EUR
-266926.83000000
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAV3
850000.00000000
PA
USD
858262.00000000
0.093618526918
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
3.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-44140.48000000
-0.00481480796
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1887221.58000000
USD
52356244.68000000
TWD
2021-04-19
-44140.48000000
N
N
N
T-MOBILE USA INC
549300V2JRLO5DIFGE82
T-Mobile USA Inc
87264ABA2
2575000.00000000
PA
USD
2777498.00000000
0.302967242262
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
3.50000000
N
N
N
N
N
N
HUARONG FINANCE 2019
549300M6T6OW4AGYHK10
Huarong Finance 2019 Co Ltd
000000000
220000.00000000
PA
USD
222475.00000000
0.024267393611
Long
DBT
CORP
VG
N
2
2029-11-13
Fixed
3.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
4407.24000000
0.000480738185
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
920420.01000000
USD
7910512.96000000
NOK
2021-06-16
4407.24000000
N
N
N
Flex Acquisition Co Inc
549300HHED2KGPBEDW39
Flex Acquisition Co Inc
33936YAC9
480000.00000000
PA
USD
502800.00000000
0.054845018577
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
7.87500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31297BBH4
7520.32000000
PA
USD
8584.91000000
0.000936435060
Long
ABS-MBS
USGSE
US
N
2
2034-06-01
Fixed
5.00000000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AE8
490000.00000000
PA
USD
510825.00000000
0.055720379106
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
7.12500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
16380.19000000
0.001786737917
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
826850.46000000
CHF
893071.73000000
USD
2021-06-16
16380.19000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
673.96000000
0.000073515013
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
933006.75000000
USD
795685.04000000
EUR
2021-04-30
673.96000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA5
35566ABD0
1521000.00000000
PA
USD
1579538.88000000
0.172294827402
Long
ABS-MBS
USGSE
US
N
2
2050-10-25
Floating
4.81700000
N
N
N
N
N
N
CORNERSTONE BUILDING
549300IW41QEWQ6T0H29
Cornerstone Building Brands Inc
72431PAA0
1760000.00000000
PA
USD
1823800.00000000
0.198938633417
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
8.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
8414.46000000
0.000917842511
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
653728.15000000
GBP
909783.01000000
USD
2021-05-20
8414.46000000
N
N
N
HP ENTERPRISE CO
549300BX44RGX6ANDV88
Hewlett Packard Enterprise Co
42824CAW9
3725000.00000000
PA
USD
4246053.00000000
0.463156037524
Long
DBT
CORP
US
N
2
2025-10-15
Fixed
4.90000000
N
N
N
N
N
N
CSC Holdings, LLC
3HG2WD2W22M120IUNG49
CSC Holdings, LLC 2017 Term Loan B1
64072UAE2
1959287.52000000
PA
USD
1930309.66000000
0.210556621248
Long
LON
CORP
US
N
2
2025-07-17
Floating
2.35600000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31412PG70
5912.04000000
PA
USD
6573.77000000
0.000717061530
Long
ABS-MBS
USGSE
US
N
2
2039-04-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD GBP
000000000
1.00000000
NC
N/A
-8233.41000000
-0.00089809372
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
711772.55000000
GBP
828562.59000000
EUR
2021-06-16
-8233.41000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
10053.62000000
0.001096640763
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
502503.41000000
USD
10565536.20000000
MXN
2021-06-16
10053.62000000
N
N
N
ALLIED UNIVERSAL
N/A
Allied Universal Holdco LLC / Allied Universal Finance Corp
019576AB3
1345000.00000000
PA
USD
1476137.50000000
0.161015888247
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
9.75000000
N
N
N
N
N
N
FREDDIEMAC STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
31325UP26
11616676.65000000
PA
USD
644245.79000000
0.070273811299
Long
ABS-MBS
USGSE
US
N
2
2027-12-15
Fixed
3.00000000
N
N
N
N
N
N
REPUBLIC OF TURKEY
5493000PCHOG3B6S3Q85
Turkey Government International Bond
900123DC1
300000.00000000
PA
USD
271125.00000000
0.029574096384
Long
DBT
NUSS
TR
N
2
2031-06-26
Fixed
5.87500000
N
N
N
N
N
N
Goldman Sachs Access High Yield Corporate Bond ETF
549300MBOA0YMWNF0550
Goldman Sachs Access High Yield Corporate Bond ETF
381430453
439970.00000000
NS
USD
22020498.50000000
2.401978220612
Long
EC
RF
US
N
1
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
18671.36000000
0.002036656893
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3382447763.36000000
COP
942067.92000000
USD
2021-04-27
18671.36000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296TXJ8
1411.05000000
PA
USD
1600.49000000
0.000174580158
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LST9
612.78000000
PA
USD
695.05000000
0.000075815493
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
57604.45000000
0.006283446957
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3069000.00000000
EUR
3662529.26000000
USD
2021-06-16
57604.45000000
N
N
N
QUICKEN LOANS LLC/QUICKN
N/A
Quicken Loans LLC / Quicken Loans Co-Issuer Inc
74841CAB7
1324000.00000000
PA
USD
1276190.36000000
0.139205815439
Long
DBT
CORP
US
N
2
2031-03-01
Fixed
3.87500000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006012 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006012 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2880000.00000000
OU
Notional Amount
USD
31953.31000000
0.003485441289
N/A
DCR
GB
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Peruvian Government International Bond
Peruvian Government International Bond
Y
sell protection
2025-12-20
54987.61000000
USD
0.00000000
USD
2880000.00000000
USD
-23034.30000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-70758.60000000
-0.00771829103
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
27986337.24000000
TRY
3146073.85000000
USD
2021-06-16
-70758.60000000
N
N
N
KBR INC
254900OFQDXZRKRCV808
KBR Inc
48242WAC0
1257000.00000000
PA
USD
1271141.25000000
0.138655062591
Long
DBT
CORP
US
N
2
2028-09-30
Fixed
4.75000000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HAH8
3696909.88000000
PA
USD
3680319.26000000
0.401446257332
Long
ABS-MBS
USGSE
US
N
2
2050-01-25
Floating
1.80900000
N
N
N
N
N
N
BROADCOM CRP / CAYMN FI
N/A
Broadcom Corp / Broadcom Cayman Finance Ltd
11134LAH2
3072000.00000000
PA
USD
3333058.56000000
0.363567340182
Long
DBT
CORP
XX
N
2
2027-01-15
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296YGA5
585.61000000
PA
USD
668.51000000
0.000072920531
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Bank
549300GL0Y86051URC66
BANK 2018-BNK10
065404AA3
500000.00000000
PA
USD
428761.78000000
0.046768989239
Long
ABS-MBS
CORP
US
N
2
2061-02-15
Fixed
2.60000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD JPY
000000000
1.00000000
NC
N/A
14794.60000000
0.001613783038
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
365950252.00000000
JPY
2828343.02000000
EUR
2021-06-16
14794.60000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
154283.58000000
0.016829128503
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
14827370.92000000
AUD
11420159.70000000
USD
2021-06-16
154283.58000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAD6
979005.11000000
PA
USD
1002155.45000000
0.109314308418
Long
ABS-MBS
USGSE
US
N
2
2024-01-25
Floating
4.50900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR213583 IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR213583 IRS JPY P F .25000 2 CCPVANILLA
000000000
1848820000.00000000
OU
Notional Amount
-22464.68000000
-0.00245042918
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-03-19
0.00000000
JPY
-9652047.00000000
JPY
1848820000.00000000
JPY
137157.16000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
456.15000000
0.000049756474
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
10913950.54000000
ZAR
732258.75000000
USD
2021-06-17
456.15000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
13991.97000000
0.001526232805
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
502940.78000000
EUR
603900.61000000
USD
2021-04-09
13991.97000000
N
N
N
CREDIT SUISSE GROUP AG
549300506SI9CRFV9Z86
Credit Suisse Group AG
225401AR9
1625000.00000000
PA
USD
1641250.00000000
0.179026226612
Long
DBT
CORP
CH
N
2
2027-02-11
Fixed
5.25000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AXB95
2504901.33000000
PA
USD
492417.76000000
0.053712532210
Long
ABS-MBS
USGSE
US
N
2
2047-09-25
Floating
6.04100000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
9399.96000000
0.001025340057
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
425188.11000000
EUR
508836.64000000
USD
2021-06-16
9399.96000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006017 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006017 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2880000.00000000
OU
Notional Amount
USD
49175.42000000
0.005364015162
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Saudi Government International Bond
Saudi Government International Bond
Y
sell protection
2025-12-20
45623.96000000
USD
0.00000000
USD
2880000.00000000
USD
3551.46000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002952 CDS USD R F 5.00000 2 CCPCDX / Short: SX002952 CDS USD P V 03MEVENT 1 CCPCDX
000000000
25346000.00000000
OU
Notional Amount
USD
2325335.82000000
0.253645756259
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S34.V1
2I65BRTL4
Y
sell protection
2025-06-20
57811.73000000
USD
0.00000000
USD
25346000.00000000
USD
2267524.09000000
N
N
N
ICAHN ENTERPRISES/FIN
N/A
Icahn Enterprises LP / Icahn Enterprises Finance Corp
451102BW6
1475000.00000000
PA
USD
1522937.50000000
0.166120794511
Long
DBT
CORP
US
N
2
2024-09-15
Fixed
4.75000000
N
N
N
N
N
N
YUM! BRANDS INC
549300JE8XHZZ7OHN517
Yum! Brands Inc
988498AM3
72000.00000000
PA
USD
78480.00000000
0.008560535119
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
7.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD CAD
000000000
1.00000000
NC
N/A
-4879.45000000
-0.00053224647
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1163700.21000000
CAD
784259.69000000
EUR
2021-06-16
-4879.45000000
N
N
N
MidOcean Credit CLO
549300YUUBR2C1GYW366
MidOcean Credit CLO VI
59802XBA0
1400000.00000000
PA
USD
1378855.80000000
0.150404478852
Long
ABS-CBDO
CORP
KY
N
2
2033-04-20
Floating
0.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
5340.15000000
0.000582499256
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
366179.64000000
USD
7658280.99000000
MXN
2021-06-16
5340.15000000
N
N
N
HLF FIN SARL LLC/HERBALI
N/A
HLF Financing Sarl LLC / Herbalife International Inc
40390DAA3
535000.00000000
PA
USD
560412.50000000
0.061129343623
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
7.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215592 IRS AUD R F 1.71000 2 CCPVANILLA / Short: SR215592 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
114820000.00000000
OU
Notional Amount
-4485419.93000000
-0.48926598924
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-01-21
0.00000000
AUD
-1768260.60000000
AUD
114820000.00000000
AUD
-1875808.48000000
N
N
N
SELECT MEDICAL CORP
549300X05KS0JKR8CB50
Select Medical Corp
816196AT6
1200000.00000000
PA
USD
1273500.00000000
0.138912353139
Long
DBT
CORP
US
N
2
2026-08-15
Fixed
6.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-1570.06000000
-0.00017126087
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
367647.06000000
USD
5459595.61000000
ZAR
2021-06-17
-1570.06000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FW34
12360853.51000000
PA
USD
2009138.07000000
0.219155160649
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Floating
6.03900000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296USS1
3259.53000000
PA
USD
3720.98000000
0.000405881498
Long
ABS-MBS
USGSE
US
N
2
2034-03-01
Fixed
5.00000000
N
N
N
N
N
N
SUMMIT MATERIALS LLC/FIN
N/A
Summit Materials LLC / Summit Materials Finance Corp
86614RAN7
738000.00000000
PA
USD
768442.50000000
0.083821088282
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
5.25000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379TTV1
9232024.47000000
PA
USD
1613522.46000000
0.176001728906
Long
ABS-MBS
USGA
US
N
2
2046-01-20
Floating
5.53900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215530 IRS EUR R F .00000 CCPVANILLA / Short: SR215530 IRS EUR P V 06MLIBOR CCPVANILLA
000000000
28920000.00000000
OU
Notional Amount
-7376.40000000
-0.00080461176
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-06-16
0.00000000
EUR
-20103.16000000
EUR
28920000.00000000
EUR
16600.64000000
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-16CB
02152AAU3
2543008.67000000
PA
USD
1931954.97000000
0.210736090336
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
0.60900000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
9128283Z1
1270000.00000000
PA
USD
1374477.35000000
0.149926881057
Long
DBT
UST
US
N
1
2025-02-28
Fixed
2.75000000
N
N
N
N
N
N
LIVE NATION ENTERTAINMEN
5493007B9BM9ZXJINO78
Live Nation Entertainment Inc
538034AV1
1400000.00000000
PA
USD
1541750.00000000
0.168172846842
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
6.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
168.78000000
0.000018410386
N/A
DFE
CL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
365033.18000000
USD
263024658.00000000
CLP
2021-05-17
168.78000000
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust 2017-RB1
95000TAC0
500000.00000000
PA
USD
468423.04000000
0.051095207500
Long
ABS-MBS
CORP
US
N
2
2050-03-15
Fixed
3.40100000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296TGJ7
3227.83000000
PA
USD
3684.77000000
0.000401931740
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
PLAINS ALL AMER PIPELINE
N/A
Plains All American Pipeline LP / PAA Finance Corp
72650RBF8
4925000.00000000
PA
USD
5244632.50000000
0.572080284200
Long
DBT
CORP
US
N
2
2024-11-01
Fixed
3.60000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131X06S7
1823.90000000
PA
USD
1827.67000000
0.000199360769
Long
ABS-MBS
USGSE
US
N
2
2022-09-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-164.22000000
-0.00001791298
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2581903700.66000000
IDR
176058.90000000
USD
2021-05-10
-164.22000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
16403.00000000
0.001789226013
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
763826.15000000
EUR
913612.46000000
USD
2021-06-16
16403.00000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
35565TBD0
341000.00000000
PA
USD
350193.94000000
0.038198872603
Long
ABS-MBS
USGSE
US
N
2
2050-11-25
Floating
4.01700000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX002944 CDS USD R F 1.00000 2 CCPCDX / Short: SX002944 CDS USD P V 03MEVENT 1 CCPCDX
000000000
54150000.00000000
OU
Notional Amount
USD
1001791.25000000
0.109274581776
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.IG.S34.V1
2I65BYDW2
Y
sell protection
2025-06-20
750566.04000000
USD
0.00000000
USD
54150000.00000000
USD
251225.21000000
N
N
N
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
Long: BR215535 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215535 IRS EUR P F .00000 2 CCPVANILLA
000000000
36660000.00000000
OU
Notional Amount
407736.97000000
0.044475619917
N/A
DIR
US
N
2
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
N/A
N/A
Y
2031-06-16
418546.62000000
EUR
0.00000000
EUR
36660000.00000000
EUR
-82799.87000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215538 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR215538 IRS EUR P F .00000 2 CCPVANILLA
000000000
3220000.00000000
OU
Notional Amount
534477.79000000
0.058300406368
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-16
369596.30000000
EUR
0.00000000
EUR
3220000.00000000
EUR
93660.37000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292HX33
18538.57000000
PA
USD
21027.48000000
0.002293660563
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
ITAU UNIBANCO HLDG SA/KY
5493002W2IVG62O3ZJ94
Itau Unibanco Holding SA/Cayman Island
46556M2A9
330000.00000000
PA
USD
320265.00000000
0.034934247961
Long
DBT
CORP
BR
N
2
2031-04-15
Fixed
3.87500000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
65343HAA9
1350000.00000000
PA
USD
1419187.50000000
0.154803828167
Long
DBT
CORP
US
N
2
2027-07-15
Fixed
5.62500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
3124.27000000
0.000340792852
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1319987.39000000
NZD
924829.36000000
USD
2021-06-16
3124.27000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
-18530.39000000
-0.00202127999
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5522846.19000000
TRY
625641.03000000
USD
2021-05-24
-18530.39000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31416BS58
26921.30000000
PA
USD
30428.28000000
0.003319092247
Long
ABS-MBS
USGSE
US
N
2
2037-08-01
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214839 IRS PLN R V 03MWIBOR 1 CCPZERO / Short: BR214839 IRS PLN P F .25000 2 CCPZERO
000000000
161390000.00000000
OU
Notional Amount
-32649.22000000
-0.00356135059
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2021-12-16
0.00000000
PLN
-21297.63000000
PLN
161390000.00000000
PLN
-26913.50000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F042640
36000000.00000000
PA
USD
39200619.60000000
4.275971977370
Long
ABS-MBS
USGSE
US
N
2
2051-04-15
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381AHF6
1998071.13000000
PA
USD
338422.90000000
0.036914897051
Long
ABS-MBS
USGA
US
N
2
2048-10-20
Floating
6.08900000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
369604BW2
1350000.00000000
PA
USD
1453302.00000000
0.158525010320
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
3.62500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
11860.15000000
0.001293695598
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7715591.63000000
NOK
913898.92000000
USD
2021-06-16
11860.15000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397GX39
150577.20000000
PA
USD
151643.48000000
0.016541148523
Long
ABS-MBS
USGSE
US
N
2
2036-12-15
Floating
0.50600000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
7227.39000000
0.000788357873
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
387294.20000000
USD
5883812.22000000
ZAR
2021-06-17
7227.39000000
N
N
N
Banc of America Funding Corporation
N/A
Banc of America Funding 2006-H Trust
05950PAU7
7397217.20000000
PA
USD
6408833.59000000
0.699070400368
Long
ABS-MBS
CORP
US
N
2
2036-10-20
Floating
0.49100000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XDE3
2050000.00000000
PA
USD
1958303.50000000
0.213610166743
Long
DBT
CORP
US
N
2
2031-01-08
Fixed
2.35000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
000000000
800000.00000000
PA
961614.01000000
0.104892080833
Long
DBT
CORP
ES
N
2
2026-01-14
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137A3MV8
704685.65000000
PA
USD
4355.94000000
0.000475142422
Long
ABS-MBS
USGSE
US
N
2
2038-11-15
Floating
5.94400000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS03379A SWAPTION EUR006M APR21 0.0228 PUT
000000000
-25550000.00000000
NC
-154237.89000000
-0.01682414467
N/A
DIR
DE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-154237.89000000
-0.02000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2031-04-08
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
0.02280000
EUR
2021-04-06
XXXX
17036.02000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-1721.03000000
-0.00018772856
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1126320.04000000
CAD
894621.91000000
USD
2021-06-16
-1721.03000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
120000.00000000
PA
146968.63000000
0.016031219655
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382FV84
12764784.74000000
PA
USD
1821396.92000000
0.198676507388
Long
ABS-MBS
USGA
US
N
2
2050-06-20
Fixed
4.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296XSF3
623.97000000
PA
USD
712.30000000
0.000077697109
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
MOTION BONDCO DAC
635400KFD3IETNQLA755
Motion Bondco DAC
61978XAA5
1010000.00000000
PA
USD
1030200.00000000
0.112373385319
Long
DBT
CORP
IE
N
2
2027-11-15
Fixed
6.62500000
N
N
N
N
N
N
Nabors Industries Inc
549300VFQWRKICUFNU92
Nabors Industries Inc
629568AX4
62000.00000000
PA
USD
60760.00000000
0.006627651807
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
4.62500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03427A SWAPTION EUR006M APR21 0.091 PUT
000000000
-25550000.00000000
NC
-95169.85000000
-0.01038105049
N/A
DIR
DE
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-95169.85000000
-0.01000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2031-04-21
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
0.09100000
EUR
2021-04-19
XXXX
67678.74000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD EUR
000000000
1.00000000
NC
N/A
-102.49000000
-0.00001117952
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
831788.13000000
EUR
921396.67000000
CHF
2021-06-16
-102.49000000
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307BF3
1320000.00000000
PA
USD
1240800.00000000
0.135345463506
Long
DBT
CORP
US
N
2
2031-02-15
Fixed
3.37500000
N
N
N
N
N
N
AIR LEASE CORP
5493004NW4M4P8TMMK63
Air Lease Corp
00914AAJ1
1625000.00000000
PA
USD
1681858.75000000
0.183455796318
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
2.87500000
N
N
N
N
N
N
Intelsat Jackson Holdings S.A.
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings S.A. 2020 DIP Term Loan
000000000
551165.79000000
PA
USD
556953.03000000
0.060751987425
Long
LON
CORP
LU
N
2
2022-07-13
Floating
6.50000000
N
N
N
N
N
N
DP WORLD CRESCENT LTD
21380096JRTWB8TL9236
DP World Crescent Ltd
000000000
200000.00000000
PA
USD
209500.00000000
0.022852091074
Long
DBT
CORP
KY
N
2
2029-07-18
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LQG9
937.78000000
PA
USD
1063.82000000
0.000116040627
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396KXS6
551727.53000000
PA
USD
555695.78000000
0.060614847608
Long
ABS-MBS
USGSE
US
N
2
2036-08-25
Floating
0.50900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
9417.74000000
0.001027279485
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3189783.17000000
SEK
374917.95000000
USD
2021-06-16
9417.74000000
N
N
N
ALBERTSONS COS/SAFEWAY
N/A
Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
013092AC5
875000.00000000
PA
USD
903437.50000000
0.098546234032
Long
DBT
CORP
US
N
2
2027-01-15
Fixed
4.62500000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPCK7
2395000.00000000
PA
USD
2392006.25000000
0.260918113005
Long
DBT
CORP
US
N
2
2031-02-01
Fixed
4.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
3807.64000000
0.000415334300
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
701115.41000000
GBP
970596.13000000
USD
2021-06-16
3807.64000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBD6
460000.00000000
PA
USD
452685.26000000
0.049378543147
Long
ABS-MBS
USGSE
US
N
2
2050-12-25
Floating
3.01700000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
92564.14000000
0.010096821754
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
27925864.23000000
SEK
3292439.68000000
USD
2021-06-16
92564.14000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B0LQ7
1807117.11000000
PA
USD
343748.55000000
0.037495814659
Long
ABS-MBS
USGSE
US
N
2
2048-01-25
Floating
6.04100000
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust 2006-16AX
617487AA1
752925.98000000
PA
USD
213364.69000000
0.023273648343
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.27900000
N
N
N
N
N
N
State of Illinois
54930048FV8RWPR02D67
ILLINOIS ST
452152GS4
4470000.00000000
PA
USD
5550525.95000000
0.605446895075
Long
DBT
MUN
US
N
2
2035-07-01
Fixed
7.35000000
N
N
N
N
N
N
DOMINICAN REPUBLIC
254900EHU7Q8FGVPI369
Dominican Republic International Bond
25714PED6
700000.00000000
PA
USD
703281.25000000
0.076713351673
Long
DBT
NUSS
DO
N
2
2030-01-30
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
304.99000000
0.000033268063
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
375538.70000000
USD
3214780.26000000
NOK
2021-06-16
304.99000000
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B13 Mortgage Trust
08162DAR9
750000.00000000
PA
USD
653749.82000000
0.071310503228
Long
ABS-MBS
CORP
US
N
2
2057-08-15
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD CHF
000000000
1.00000000
NC
N/A
17097.11000000
0.001864938972
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1081950.63000000
CHF
844326.04000000
GBP
2021-06-16
17097.11000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
-7023.67000000
-0.00076613626
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
890351.73000000
USD
1109965.89000000
CAD
2021-06-16
-7023.67000000
N
N
N
UNIVAR SOLUTIONS USA INC
5493008FTB9VZW6CVA82
Univar Solutions USA Inc/Washington
91337CAA4
550000.00000000
PA
USD
570625.00000000
0.062243314888
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
5.12500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215616 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215616 IRS USD P F 1.50000 2 CCPVANILLA
000000000
12710000.00000000
OU
Notional Amount
USD
604687.15000000
0.065958786745
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-02
125699.91000000
USD
0.00000000
USD
12710000.00000000
USD
478987.24000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD INR
000000000
1.00000000
NC
-13140.23000000
-0.00143332569
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
139729885.78000000
INR
1887221.58000000
USD
2021-04-27
-13140.23000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-19814.87000000
-0.00216139004
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3312005.00000000
USD
2802757.90000000
EUR
2021-06-16
-19814.87000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-24321.01000000
-0.00265291616
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
682090679.00000000
CLP
922741.72000000
USD
2021-05-17
-24321.01000000
N
N
N
Tralee CDO Ltd
N/A
Tralee CLO VII Ltd
89288CAL3
2150000.00000000
PA
USD
2111919.20000000
0.230366443434
Long
ABS-CBDO
CORP
KY
N
2
2034-04-25
Floating
3.41800000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-44276.46000000
-0.00482964055
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2089461.30000000
USD
1928913.36000000
CHF
2021-06-16
-44276.46000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138MHNP4
1675.23000000
PA
USD
1888.23000000
0.000205966605
Long
ABS-MBS
USGSE
US
N
2
2042-11-01
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215754 IRS KRW R V 03MLIBOR CCPNDF / Short: BR215754 IRS KRW P F 1.00000 CCPNDF
000000000
68896890000.00000000
OU
Notional Amount
192028.58000000
0.020946322668
N/A
DIR
KR
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-06-16
261897581.00000000
KRW
0.00000000
KRW
68896890000.00000000
KRW
-38077.04000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
1244.53000000
0.000135752328
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1260512.97000000
AUD
958985.66000000
USD
2021-06-16
1244.53000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-7767.29000000
-0.00084724973
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1463275.15000000
USD
12449691.30000000
NOK
2021-06-16
-7767.29000000
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
Long: CS005490 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005490 CDS USD P F 1.00000 2 CORPORATE
000000000
470000.00000000
OU
Notional Amount
USD
-990.29000000
-0.00010802003
N/A
DCR
GB
N
2
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
193.30000000
USD
0.00000000
USD
470000.00000000
USD
-1183.59000000
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XYX6
2050181.14000000
PA
USD
2050179.50000000
0.223631926740
Long
ABS-MBS
USGSE
US
N
2
2030-07-25
Floating
2.35900000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT JUN21 XSFE 20210615
000000000
152.00000000
NC
-84049.54000000
-0.00916805605
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
10 Year Commonwealth Treasury Bond
XMM1 Comdty
2021-06-15
21070523.74000000
AUD
-84049.54000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
303637.77000000
0.033120563119
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
16604117.82000000
NZD
11897763.64000000
USD
2021-06-16
303637.77000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QO7 Trust
751150AH6
114005.60000000
PA
USD
111613.84000000
0.012174747669
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.51900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215695 IRS AUD R F .19000 2 CCPVANILLA / Short: SR215695 IRS AUD P V 03MBBSW 1 CCPVANILLA
000000000
536160000.00000000
OU
Notional Amount
-227362.28000000
-0.02480049417
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-02-22
0.00000000
AUD
-246048.25000000
AUD
536160000.00000000
AUD
-35728.30000000
N
N
N
CLEVELAND-CLIFFS INC
549300TM2WLI2BJMDD86
Cleveland-Cliffs Inc
185899AH4
585000.00000000
PA
USD
598162.50000000
0.065247083184
Long
DBT
CORP
US
N
2
2027-06-01
Fixed
5.87500000
N
N
N
N
N
N
Freddie Mac - STACR
549300KB1O80CETXGJ21
Freddie Mac STACR Trust 2019-DNA3
35564TBD1
1335000.00000000
PA
USD
1330714.25000000
0.145153237396
Long
ABS-MBS
USGSE
US
N
2
2049-07-25
Floating
3.35900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-66242.11000000
-0.00722563594
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3676098.88000000
USD
3073198.75000000
EUR
2021-06-16
-66242.11000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810RZ3
10000.00000000
PA
USD
10706.25000000
0.001167829117
Long
DBT
UST
US
N
1
2047-11-15
Fixed
2.75000000
N
N
N
N
N
N
Cantor Commercial Real Estate Lending
N/A
Cantor Commercial Real Estate Lending 2019-CF2
12528YAV5
1200000.00000000
PA
USD
929576.99000000
0.101397508524
Long
ABS-MBS
CORP
US
N
2
2052-11-15
Fixed
2.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-160110.92000000
-0.01746477005
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5923698.40000000
USD
4906745.88000000
EUR
2021-06-16
-160110.92000000
N
N
N
CUMULUS MEDIA NEW HLDGS
5493001D9VBAVY1OKJ46
Cumulus Media New Holdings Inc
23110AAA4
1278000.00000000
PA
USD
1300365.00000000
0.141842765677
Long
DBT
CORP
US
N
2
2026-07-01
Fixed
6.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-14430.57000000
-0.00157407493
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
18379084.20000000
MXN
877178.58000000
USD
2021-06-16
-14430.57000000
N
N
N
Asurion LLC
549300KNQVXGIOXWK278
ASURION LLC 2020 TERM LOAN B8
04649VAX8
2674524.45000000
PA
USD
2655909.76000000
0.289704495083
Long
LON
CORP
US
N
2
2026-12-23
Floating
3.35900000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BBVP4
7894714.17000000
PA
USD
938721.78000000
0.102395014843
Long
ABS-MBS
USGSE
US
N
2
2050-09-25
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-113675.54000000
-0.01239963624
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3585046.33000000
USD
4971401.06000000
NZD
2021-06-16
-113675.54000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296KES8
469.16000000
PA
USD
532.15000000
0.000058046492
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-3950.17000000
-0.00043088135
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
924740.70000000
USD
784700.00000000
EUR
2021-04-30
-3950.17000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED AUD / SOLD USD
000000000
1.00000000
NC
-0.47000000
-0.00000005126
N/A
DFE
AU
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1102474.15000000
USD
1451000.00000000
AUD
2021-06-16
-0.47000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS03365A SWAPTION EUR006M JUN21 0.415 PUT
000000000
3140000.00000000
NC
141932.30000000
0.015481860839
N/A
DIR
DE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
3140000.00000000
OU
Notional Amount
N/A
141932.30000000
0.02000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2051-06-08
0.00000000
N/A
0.00000000
N/A
3140000.00000000
EUR
1.00000000
0.41500000
EUR
2021-06-04
XXXX
25787.33000000
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CY9
2200000.00000000
PA
USD
2533608.00000000
0.276363917718
Long
DBT
CORP
US
N
2
2030-05-01
Fixed
5.15000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
17767.46000000
0.001938060210
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7255276.14000000
USD
8209707715.00000000
KRW
2021-04-05
17767.46000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
24703.62000000
0.002694650950
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
24010266.46000000
TWD
869055.54000000
USD
2021-04-08
24703.62000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
18865.36000000
0.002057818257
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
825968.62000000
CHF
894621.91000000
USD
2021-06-16
18865.36000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SX003033 CDS USD R F 1.00000 2 CCPCDX / Short: SX003033 CDS USD P V 03MEVENT 1 CCPCDX
000000000
44840000.00000000
OU
Notional Amount
USD
-1869796.61000000
-0.20395590654
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.EM.S35.V1
2I65BZEA6
Y
sell protection
2026-06-20
0.00000000
USD
-1757607.14000000
USD
44840000.00000000
USD
-112189.47000000
N
N
N
CHEMOURS CO
549300M1BOLNXL8DOV14
Chemours Co/The
163851AE8
550000.00000000
PA
USD
579562.50000000
0.063218210181
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
5.37500000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03347A SWAPTION US0003M JUN21 1.265 PUT
000000000
-69000000.00000000
NC
USD
-218557.50000000
-0.02384007587
N/A
DIR
US
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Put
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
69000000.00000000
OU
Notional Amount
N/A
-218557.50000000
-0.02000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2023-06-03
0.00000000
N/A
0.00000000
N/A
69000000.00000000
USD
1.00000000
1.26500000
USD
2021-06-01
XXXX
-43341.65000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH54
23382055.78000000
PA
USD
25310953.80000000
2.760898431547
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
4.50000000
N
N
N
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XBB0
1140000.00000000
PA
USD
1189875.00000000
0.129790605569
Long
DBT
CORP
US
N
2
2028-07-01
Fixed
7.37500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215680 IRS GBP R F .90000 2 CCPOIS / Short: SR215680 IRS GBP P V 00MSONIA 1 CCPOIS
000000000
29160000.00000000
OU
Notional Amount
-497944.74000000
-0.05431541073
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-17
0.00000000
GBP
-64938.56000000
GBP
29160000.00000000
GBP
-406358.48000000
N
N
N
COMMERZBANK AG
851WYGNLUQLFZBSYGB56
Commerzbank AG
000000000
1000000.00000000
PA
1253323.14000000
0.136711477520
Long
DBT
CORP
DE
N
2
2025-10-09
Fixed
6.12500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397BVG3
261305.50000000
PA
USD
263350.48000000
0.028726058011
Long
ABS-MBS
USGSE
US
N
2
2036-10-15
Floating
0.45600000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136AYTL7
2162581.04000000
PA
USD
428248.79000000
0.046713032703
Long
ABS-MBS
USGSE
US
N
2
2047-11-25
Floating
6.04100000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382EKB2
2887922.13000000
PA
USD
357421.95000000
0.038987298106
Long
ABS-MBS
USGA
US
N
2
2050-04-20
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS03277A SWAPTION US0003M AUG21 0.75 PUT
000000000
72790000.00000000
NC
USD
1678974.14000000
0.183141145385
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
72790000.00000000
OU
Notional Amount
N/A
1678974.14000000
0.18000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2026-08-12
0.00000000
N/A
0.00000000
N/A
72790000.00000000
USD
1.00000000
0.75000000
USD
2021-08-10
XXXX
1307745.14000000
N
N
N
Terrier Media Buyer, Inc.
N/A
Terrier Media Buyer Inc 2021 Term Loan
88145LAE4
493762.50000000
PA
USD
488894.00000000
0.053328163310
Long
LON
CORP
US
N
2
2026-12-17
Floating
3.60900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215703 IRS AUD R F 2.50000 2 CCPVANILLA / Short: SR215703 IRS AUD P V 06MBBSW 1 CCPVANILLA
000000000
82240000.00000000
OU
Notional Amount
-1030910.11000000
-0.11245084354
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-02-24
0.00000000
AUD
-771282.52000000
AUD
82240000.00000000
AUD
-427630.02000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FWXZ8
929161.31000000
PA
USD
137327.35000000
0.014979556606
Long
ABS-MBS
USGSE
US
N
2
2050-08-25
Fixed
3.00000000
N
N
N
N
N
N
USA COM PART/USA COM FIN
N/A
USA Compression Partners LP / USA Compression Finance Corp
91740PAC2
545000.00000000
PA
USD
558625.00000000
0.060934364564
Long
DBT
CORP
US
N
2
2026-04-01
Fixed
6.87500000
N
N
N
N
N
N
REPUBLIC OF COLOMBIA
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DX0
250000.00000000
PA
USD
223437.50000000
0.024372382335
Long
DBT
NUSS
CO
N
2
2061-02-15
Fixed
3.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-3720.35000000
-0.00040581277
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
396279.68000000
USD
5727628354.88000000
IDR
2021-04-12
-3720.35000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS006022 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS006022 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
2370000.00000000
OU
Notional Amount
USD
65405.84000000
0.007134416288
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Philippine Government International Bond
Philippine Government International Bond
Y
sell protection
2025-12-20
72231.38000000
USD
0.00000000
USD
2370000.00000000
USD
-6825.54000000
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CaixaBank SA
000000000
600000.00000000
PA
792452.03000000
0.086440028455
Long
DBT
CORP
ES
N
2
2027-10-09
Fixed
5.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215529 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215529 IRS USD P F 1.25000 2 CCPVANILLA
000000000
4280000.00000000
OU
Notional Amount
USD
941128.77000000
0.102657567372
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-06-16
755633.47000000
USD
0.00000000
USD
4280000.00000000
USD
185495.30000000
N
N
N
Air Lease Corp
5493004NW4M4P8TMMK63
Air Lease Corp
00912XBE3
575000.00000000
PA
USD
588006.50000000
0.064139274893
Long
DBT
CORP
US
N
2
2022-01-15
Fixed
3.50000000
N
N
N
N
N
N
FIRST QUANTUM MINERALS L
549300I7UVBGWRYMYZ18
First Quantum Minerals Ltd
335934AK1
2121000.00000000
PA
USD
2158117.50000000
0.235405716747
Long
DBT
CORP
CA
N
2
2023-04-01
Fixed
7.25000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RKG6
1025000.00000000
PA
USD
992261.50000000
0.108235084330
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
1.65000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
1753.90000000
0.000191313997
N/A
DFE
BR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
368970.98000000
USD
2087342.63000000
BRL
2021-04-05
1753.90000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
15002.59000000
0.001636470420
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
77465394.63000000
TWD
2740197.90000000
USD
2021-04-12
15002.59000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)JUN21 XCBT 20210621
000000000
3223.00000000
NC
USD
-6901537.11000000
-0.75281410304
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
10 Year US Treasury Note
TYM1 Comdty
2021-06-21
429265615.24000000
USD
-6901537.11000000
N
N
N
PROSUS NV
635400Z5LQ5F9OLVT688
Prosus NV
74365PAD0
600000.00000000
PA
USD
546000.00000000
0.059557239744
Long
DBT
CORP
NL
N
2
2050-08-03
Fixed
4.02700000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215840 IRS GBP R F 1.05000 2 CCPOIS / Short: SR215840 IRS GBP P V 00MSONIA 1 CCPOIS
000000000
33300000.00000000
OU
Notional Amount
-257925.87000000
-0.02813434592
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-24
0.00000000
GBP
-107614.64000000
GBP
33300000.00000000
GBP
-110099.75000000
N
N
N
CSAIL Commercial Mortgage Trust
N/A
CSAIL 2018-C14 Commercial Mortgage Trust
12596GAG4
650000.00000000
PA
USD
664223.07000000
0.072452916893
Long
ABS-MBS
CORP
US
N
2
2051-11-15
Variable
4.89000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) JUN21 XCBT 20210630
000000000
-965.00000000
NC
USD
868555.19000000
0.094741299783
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
5 Year US Treasury Note
FVM1 Comdty
2021-06-30
-120000820.82000000
USD
868555.19000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR214470 IRS EUR R F .05000 2 CCPVANILLA / Short: SR214470 IRS EUR P V 06MEURIB 1 CCPVANILLA
000000000
183680000.00000000
OU
Notional Amount
-2986068.44000000
-0.32571793768
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-05-21
475602.81000000
EUR
0.00000000
EUR
183680000.00000000
EUR
-1979794.96000000
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAY5
60000.00000000
PA
USD
65775.00000000
0.007174683963
Long
DBT
CORP
NL
N
2
2028-01-27
Fixed
5.99900000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
OPS03378A SWAPTION EUR006M APR21 0.0228 CALL
000000000
-25550000.00000000
NC
-9935.56000000
-0.00108376287
N/A
DIR
DE
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Call
Written
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-9935.56000000
0.00000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2031-04-08
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
0.02280000
EUR
2021-04-06
XXXX
161338.35000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
9317.18000000
0.001016310481
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
875191.09000000
USD
1111448.92000000
CAD
2021-06-16
9317.18000000
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAM2
1520000.00000000
PA
USD
1441625.00000000
0.157251292575
Long
DBT
NUSS
MX
N
2
2031-05-24
Fixed
2.65900000
N
N
N
N
N
N
LABL ESCROW ISSUER LLC
N/A
LABL Escrow Issuer LLC
50168AAB6
450000.00000000
PA
USD
481500.00000000
0.052521631752
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.75000000
N
N
N
N
N
N
Crown City CLO I
549300K60T4GC7BSX929
Crown City CLO I
22823RAE9
1800000.00000000
PA
USD
1798110.00000000
0.196136388931
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
3.25400000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-13042.25000000
-0.00142263811
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
432543.30000000
USD
1536653327.58000000
COP
2021-04-27
-13042.25000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
31397KNW7
242175.77000000
PA
USD
245731.61000000
0.026804205878
Long
ABS-MBS
USGSE
US
N
2
2037-09-15
Floating
0.70600000
N
N
N
N
N
N
NATWEST GROUP PLC
2138005O9XJIJN4JPN90
Natwest Group PLC
780097BM2
675000.00000000
PA
USD
717187.50000000
0.078230234210
Long
DBT
CORP
GB
N
2
2029-11-01
Fixed
3.75400000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R03
20753MAF5
175654.07000000
PA
USD
176046.92000000
0.019203056081
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
2.25900000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138EGNK6
15737.35000000
PA
USD
17694.05000000
0.001930052706
Long
ABS-MBS
USGSE
US
N
2
2041-06-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
2893.13000000
0.000315580287
N/A
DFE
CL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
365365.37000000
USD
265226029.00000000
CLP
2021-05-17
2893.13000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380YR64
1513512.95000000
PA
USD
270801.37000000
0.029538795084
Long
ABS-MBS
USGA
US
N
2
2048-09-20
Floating
6.08900000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378W2X0
54865.66000000
PA
USD
10607.07000000
0.001157010642
Long
ABS-MBS
USGA
US
N
2
2043-09-20
Floating
5.98900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
8191.77000000
0.000893551666
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
387435.47000000
USD
1449202375.54000000
COP
2021-04-27
8191.77000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215821 IRS GBP R V 06MLIBOR 1 CCPVANILLA / Short: BR215821 IRS GBP P F 1.25000 2 CCPVANILLA
000000000
10790000.00000000
OU
Notional Amount
255006.56000000
0.027815909945
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-03-11
61365.17000000
GBP
0.00000000
GBP
10790000.00000000
GBP
169563.99000000
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAE6
1210000.00000000
PA
USD
1252350.00000000
0.136605328193
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
6.25000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
9971.27000000
0.001087658091
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
625714.29000000
GBP
872786.96000000
USD
2021-06-16
9971.27000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BTA2
4381622.90000000
PA
USD
716884.33000000
0.078197164671
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.93900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
16630.24000000
0.001814013169
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
767050.09000000
EUR
917626.62000000
USD
2021-06-16
16630.24000000
N
N
N
CLARIOS GLOBAL LP/US FIN
N/A
Clarios Global LP / Clarios US Finance Co
69867DAC2
1570000.00000000
PA
USD
1689712.50000000
0.184312477035
Long
DBT
CORP
XX
N
2
2027-05-15
Fixed
8.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
43700.88000000
0.004766856753
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2820901.84000000
USD
58873000.00000000
MXN
2021-05-19
43700.88000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296PBX9
11015.68000000
PA
USD
12494.17000000
0.001362853989
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-2941.88000000
-0.00032089789
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1243616.62000000
CAD
986747.50000000
USD
2021-06-16
-2941.88000000
N
N
N
ROMANIA
315700IASY927EDWBK92
Romanian Government International Bond
000000000
200000.00000000
PA
244947.72000000
0.026718699789
Long
DBT
NUSS
RO
N
2
2050-01-28
Fixed
3.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
-7202.61000000
-0.00078565489
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
776054.00000000
USD
557571.34000000
GBP
2021-06-16
-7202.61000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
7309.37000000
0.000797300185
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1529959.06000000
ILS
465033.15000000
USD
2021-04-22
7309.37000000
N
N
N
UBER TECHNOLOGIES INC
549300B2FTG34FILDR98
Uber Technologies Inc
90353TAC4
430000.00000000
PA
USD
465475.00000000
0.050773637673
Long
DBT
CORP
US
N
2
2026-11-01
Fixed
8.00000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DY8
1410000.00000000
PA
USD
1617975.00000000
0.176487408379
Long
DBT
CORP
US
N
2
2025-07-15
Fixed
8.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296LK75
5376.63000000
PA
USD
6098.47000000
0.000665216190
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
KAISA GROUP HOLDINGS LTD
254900N8L3L7NRJT0120
Kaisa Group Holdings Ltd
000000000
230000.00000000
PA
USD
225543.75000000
0.024602130387
Long
DBT
CORP
KY
N
2
2025-04-16
Fixed
11.25000000
N
N
N
N
N
N
Banc of America Commercial Mortgage Trust
N/A
Banc of America Commercial Mortgage Trust 2016-UBS10
06054MAW3
1100000.00000000
PA
USD
965478.81000000
0.105313650101
Long
ABS-MBS
CORP
US
N
2
2049-07-15
Fixed
3.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CLP
000000000
1.00000000
NC
-4638.28000000
-0.00050593984
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
266485468.00000000
CLP
365368.91000000
USD
2021-05-17
-4638.28000000
N
N
N
TRANSDIGM INC
88Q84GB3X55CF5OC7582
TransDigm Inc
893647BL0
1250000.00000000
PA
USD
1292187.50000000
0.140950770571
Long
DBT
CORP
US
N
2
2027-11-15
Fixed
5.50000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SS005898 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005898 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1340000.00000000
OU
Notional Amount
USD
7853.87000000
0.000856693806
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Russian Foreign Bond - Eurobond
Russian Foreign Bond - Eurobond
Y
sell protection
2024-12-20
3578.90000000
USD
0.00000000
USD
1340000.00000000
USD
4274.97000000
N
N
N
LUKOIL SECURITIES BV
724500IVNQ6LF8OFIO42
Lukoil Securities BV
54988LAB2
1290000.00000000
PA
USD
1330789.80000000
0.145161478329
Long
DBT
CORP
NL
N
2
2030-05-06
Fixed
3.87500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-166602.64000000
-0.01817288163
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
31629669.55000000
CAD
25004778.51000000
USD
2021-06-16
-166602.64000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KVX8
13711203.68000000
PA
USD
1702636.71000000
0.185722239441
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
OPS03404A SWAPTION EUR006M APR21 0.039 CALL
000000000
-25550000.00000000
NC
-46025.38000000
-0.00502041133
N/A
DIR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Call
Written
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
IRS Swap
N/A
25550000.00000000
OU
Notional Amount
N/A
-46025.38000000
-0.01000000
DIR
DE
Sterling Overnight Index Average
EUR006M Index
2031-04-14
0.00000000
N/A
0.00000000
N/A
25550000.00000000
EUR
1.00000000
0.03900000
EUR
2021-04-12
XXXX
102962.50000000
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust 2006-OA2
55275NAM3
219543.49000000
PA
USD
190879.28000000
0.020820957950
Long
ABS-MBS
CORP
US
N
2
2046-12-25
Floating
1.10900000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
312930J76
2367.72000000
PA
USD
2685.60000000
0.000292943082
Long
ABS-MBS
USGSE
US
N
2
2033-11-01
Fixed
5.00000000
N
N
N
N
N
N
PERFORMANCE FOOD GROUP I
549300OMUOGBYK0FFO76
Performance Food Group Inc
69346VAA7
1900000.00000000
PA
USD
1985500.00000000
0.216576739033
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.50000000
N
N
N
N
N
N
eG Global Finance PLC
549300TL8Q5207VYET27
eG Global Finance PLC
28228PAA9
1413000.00000000
PA
USD
1453623.75000000
0.158560106550
Long
DBT
CORP
GB
N
2
2025-02-07
Fixed
6.75000000
N
N
N
N
N
N
CHENIERE ENERGY PARTNERS
5493005UEC8AZ34LDV29
Cheniere Energy Partners LP
16411QAG6
2000000.00000000
PA
USD
2077500.00000000
0.226612024851
Long
DBT
CORP
US
N
2
2029-10-01
Fixed
4.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-3285.24000000
-0.00035835133
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2761107.58000000
USD
40164727500.00000000
IDR
2021-04-05
-3285.24000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
16391.05000000
0.001787922517
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
905394.68000000
USD
13747319.07000000
ZAR
2021-06-17
16391.05000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296TQ72
932.79000000
PA
USD
1058.02000000
0.000115407968
Long
ABS-MBS
USGSE
US
N
2
2034-02-01
Fixed
5.00000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03411A SWAPTION US0003M APR21 1.65 CALL
000000000
-30590000.00000000
NC
USD
-71461.30000000
-0.00779494098
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-71461.30000000
-0.01000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2031-04-20
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
1.65000000
USD
2021-04-16
XXXX
216849.45000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215689 IRS JPY R V 06MLIBOR 1 CCPVANILLA / Short: BR215689 IRS JPY P F .00000 2 CCPVANILLA
000000000
5374340000.00000000
OU
Notional Amount
46207.92000000
0.005040322654
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
4797088.00000000
JPY
0.00000000
JPY
5374340000.00000000
JPY
1972.69000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215750 IRS USD R F 2.37750 2 CCPVANILLA / Short: SR215750 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
89160000.00000000
OU
Notional Amount
USD
-728125.14000000
-0.07942330316
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2031-03-09
0.00000000
USD
-420088.10000000
USD
89160000.00000000
USD
-308037.04000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FUAM6
11313730.20000000
PA
USD
2246361.50000000
0.245031301113
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Floating
5.99100000
N
N
N
N
N
N
Cathedral Lake LTD
N/A
Cathedral Lake VII Ltd
14919HAJ2
1625000.00000000
PA
USD
1581149.38000000
0.172470499443
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
4.47200000
N
N
N
N
N
N
GRUBHUB HOLDINGS INC
N/A
GrubHub Holdings Inc
40010PAA6
2530000.00000000
PA
USD
2628037.50000000
0.286664211437
Long
DBT
CORP
US
N
2
2027-07-01
Fixed
5.50000000
N
N
N
N
N
N
VISTRA OPERATIONS CO LLC
549300ZH5GKBTJZ7NM23
Vistra Operations Co LLC
92840VAD4
3336000.00000000
PA
USD
3494460.00000000
0.381172879115
Long
DBT
CORP
US
N
2
2024-07-15
Fixed
3.55000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0HW2
1935095.63000000
PA
USD
2031179.32000000
0.221559402426
Long
ABS-MBS
USGSE
US
N
2
2028-07-25
Floating
5.65900000
N
N
N
N
N
N
HalseyPoint CLO I, Ltd.
549300POBLM5RW6LD816
Halsey Point CLO I Ltd
406375AA3
25900000.00000000
PA
USD
25942061.60000000
2.829739161490
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
1.57400000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED GBP / SOLD USD
000000000
1.00000000
NC
19103.12000000
0.002083752926
N/A
DFE
GB
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3519974.47000000
USD
2566757.67000000
GBP
2021-05-20
19103.12000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
23131.38000000
0.002523152278
N/A
DFE
KR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8400787.86000000
USD
9499358888.00000000
KRW
2021-06-15
23131.38000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-11126.48000000
-0.00121366746
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
741925.00000000
USD
622154.63000000
EUR
2021-06-16
-11126.48000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD TRY
000000000
1.00000000
NC
14397.14000000
0.001570428422
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3725760.08000000
TRY
442647.03000000
USD
2021-06-16
14397.14000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215740 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BR215740 IRS USD P F .27500 2 CCPVANILLA
000000000
640210000.00000000
OU
Notional Amount
USD
398658.77000000
0.043485377181
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2023-03-03
135423.92000000
USD
0.00000000
USD
640210000.00000000
USD
263234.85000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
717.20000000
0.000078231597
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
375281.97000000
USD
3216110.19000000
NOK
2021-06-16
717.20000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
3347.01000000
0.000365089152
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
366179.64000000
USD
7617195.64000000
MXN
2021-06-16
3347.01000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PTUBSUSSG2021040101335 PUT USD SGD 1.335 APR21
000000000
7315000.00000000
OU
Notional Amount
USD
7.32000000
0.000000798459
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
Put
Purchased
UBS AG
BFM8T61CT2L1QCEMIK50
UBS AG
BFM8T61CT2L1QCEMIK50
FX Contract
N/A
1.00000000
NC
USD
7.32000000
0.00000000
DFE
US
9765525.00000000
SGD
7315000.00000000
USD
2021-04-01
1.00000000
1.33500000
USD
2021-04-01
XXXX
-11747.89000000
N
N
N
Waste Pro USA Inc
549300BY1QXU5BI3UF28
Waste Pro USA Inc
94107JAA1
2825000.00000000
PA
USD
2892093.75000000
0.315467254270
Long
DBT
CORP
US
N
2
2026-02-15
Fixed
5.50000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD ILS
000000000
1.00000000
NC
2165.21000000
0.000236179360
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3040321.55000000
ILS
911750.00000000
USD
2021-04-22
2165.21000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296JQB5
1262.08000000
PA
USD
1431.52000000
0.000156149047
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379EW73
9557490.94000000
PA
USD
1286062.67000000
0.140282679053
Long
ABS-MBS
USGA
US
N
2
2043-10-20
Floating
5.98900000
N
N
N
N
N
N
MEXICO CITY ARPT TRUST
N/A
Mexico City Airport Trust
000000000
468000.00000000
PA
USD
460535.40000000
0.050234830088
Long
DBT
CORP
MX
N
2
2046-10-31
Fixed
5.50000000
N
N
N
N
N
N
ONEMAIN FINANCE CORP
5493008I795YYBFWFU90
OneMain Finance Corp
85172FAR0
228000.00000000
PA
USD
241965.00000000
0.026393347096
Long
DBT
CORP
US
N
2
2029-11-15
Fixed
5.37500000
N
N
N
N
N
N
Triumph Group Inc
5493007L6S47Q14SL582
Triumph Group Inc
896818AP6
450000.00000000
PA
USD
453937.50000000
0.049515136477
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
7.75000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31292H4H4
5601.35000000
PA
USD
6353.36000000
0.000693019385
Long
ABS-MBS
USGSE
US
N
2
2033-12-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296NV61
4034.63000000
PA
USD
4576.30000000
0.000499179113
Long
ABS-MBS
USGSE
US
N
2
2033-10-01
Fixed
5.00000000
N
N
N
N
N
N
ARD FINANCE SA
6354006P6QPGGPVJW880
ARD Finance SA
000000000
575000.00000000
PA
688982.07000000
0.075153608649
Long
DBT
CORP
LU
N
2
2027-06-30
Variable
5.00000000
N
N
Y
N
N
N
CASTLE US HOLDING CORP
N/A
Castle US Holding Corp
14852LAA1
1085000.00000000
PA
USD
1103987.50000000
0.120422066322
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
9.50000000
N
N
N
N
N
N
BOOZ ALLEN HAMILTON INC
549300D7XCH2480XU542
Booz Allen Hamilton Inc
09951LAA1
1355000.00000000
PA
USD
1358387.50000000
0.148171813192
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
3.87500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128M5CH1
75715.62000000
PA
USD
85880.88000000
0.009367817142
Long
ABS-MBS
USGSE
US
N
2
2035-04-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2021-HQA1
35564KCP2
540000.00000000
PA
USD
501897.22000000
0.054746544063
Long
ABS-MBS
USGSE
US
N
2
2033-08-25
Floating
5.01700000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03433A SWAPTION US0003M APR21 1.719 CALL
000000000
-30590000.00000000
NC
USD
-159331.07000000
-0.01737970464
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-159331.07000000
-0.02000000
DIR
US
Sterling Overnight Index Average
US0003M Index
2031-04-26
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
1.71900000
USD
2021-04-22
XXXX
122861.68000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD IDR
000000000
1.00000000
NC
-1235.63000000
-0.00013478152
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5329696392.00000000
IDR
364050.30000000
USD
2021-04-12
-1235.63000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Long: CS005512 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005512 CDS USD P F 1.00000 2 CORPORATE
000000000
3640000.00000000
OU
Notional Amount
USD
-7669.48000000
-0.00083658069
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
829.33000000
USD
0.00000000
USD
3640000.00000000
USD
-8498.81000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
OPS02950A SWAPTION US0003M NOV22 0.7 CALL
000000000
45500000.00000000
NC
USD
103089.35000000
0.011244903174
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Purchased
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IRS Swap
N/A
45500000.00000000
OU
Notional Amount
N/A
103089.35000000
0.01000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2027-11-16
0.00000000
N/A
0.00000000
N/A
45500000.00000000
USD
1.00000000
0.70000000
USD
2022-11-14
XXXX
-357436.97000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TRY / SOLD USD
000000000
1.00000000
NC
-95634.97000000
-0.01043178541
N/A
DFE
TR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
732548.17000000
USD
5541124.02000000
TRY
2021-06-16
-95634.97000000
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO Bank NV
000000000
800000.00000000
PA
999562.58000000
0.109031480250
Long
DBT
CORP
NL
N
2
2025-09-22
Fixed
4.37500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296YUA9
441.96000000
PA
USD
504.52000000
0.000055032634
Long
ABS-MBS
USGSE
US
N
2
2034-05-01
Fixed
5.00000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379M2Q6
3245381.31000000
PA
USD
532650.48000000
0.058101084866
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Floating
5.58900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SEK / SOLD USD
000000000
1.00000000
NC
-11635.59000000
-0.00126920077
N/A
DFE
SE
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
922288.11000000
USD
7947421.20000000
SEK
2021-06-16
-11635.59000000
N
N
N
ALCOA NEDERLAND HOLDING
5493000UL1QLQLT1VQ42
Alcoa Nederland Holding BV
013822AE1
1120000.00000000
PA
USD
1199800.00000000
0.130873216566
Long
DBT
CORP
NL
N
2
2027-12-15
Fixed
5.50000000
N
N
N
N
N
N
CENOVUS ENERGY INC
549300EIRQ0Z2B9C1W06
Cenovus Energy Inc
15135UAS8
1890000.00000000
PA
USD
2126854.80000000
0.231995606639
Long
DBT
CORP
CA
N
2
2025-07-15
Fixed
5.37500000
N
N
N
N
N
N
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
Long: CS005511 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005511 CDS USD P F 1.00000 2 CORPORATE
000000000
7360000.00000000
OU
Notional Amount
USD
-15507.52000000
-0.00169154777
N/A
DCR
GB
N
2
Barclays Capital Securities Limited
K9WDOH4D2PYBSLSOB484
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
1676.90000000
USD
0.00000000
USD
7360000.00000000
USD
-17184.42000000
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31296MF38
930.56000000
PA
USD
1051.34000000
0.000114679319
Long
ABS-MBS
USGSE
US
N
2
2033-08-01
Fixed
5.00000000
N
N
N
N
N
N
ALTICE FRANCE HOLDING SA
5299000JVHXKJPOE6H40
Altice France Holding SA
02156TAB0
1865000.00000000
PA
USD
2098125.00000000
0.228861783220
Long
DBT
CORP
LU
N
2
2027-05-15
Fixed
10.50000000
N
N
N
N
N
N
GRIFFON CORPORATION
5493000C2SGNC7ZN3242
Griffon Corp
398433AP7
527000.00000000
PA
USD
559937.50000000
0.061077531006
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
5.75000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
1988.27000000
0.000216878888
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3176316.62000000
NOK
373335.13000000
USD
2021-06-16
1988.27000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BR215829 IRS MXN R V 01MTIIE 1 CCPVANILLA / Short: BR215829 IRS MXN P F 6.40000 2 CCPVANILLA
000000000
268685000.00000000
OU
Notional Amount
541400.38000000
0.059055516903
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
N/A
N/A
Y
2031-06-04
858570.21000000
MXN
0.00000000
MXN
268685000.00000000
MXN
503052.23000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CLP / SOLD USD
000000000
1.00000000
NC
36339.58000000
0.003963892084
N/A
DFE
CL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
2067819.22000000
USD
1515450942.00000000
CLP
2021-05-17
36339.58000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
-6230.58000000
-0.00067962664
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
374820.78000000
USD
3152737.52000000
NOK
2021-06-16
-6230.58000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
-13411.58000000
-0.00146292433
N/A
DFE
BR
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
732875.07000000
USD
4050892.93000000
BRL
2021-04-05
-13411.58000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-24546.82000000
-0.00267754733
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
8209707715.00000000
KRW
7255724.99000000
USD
2021-06-15
-24546.82000000
N
N
N
CEMEX SAB DE CV
549300RIG2CXWN6IV731
Cemex SAB de CV
151290BX0
350000.00000000
PA
USD
377125.00000000
0.041136490913
Long
DBT
CORP
MX
N
2
2030-09-17
Fixed
5.20000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
Long: SS005888 CDS USD R F 1.00000 2 CCPCORPORATE / Short: SS005888 CDS USD P V 03MEVENT 1 CCPCORPORATE
000000000
1330000.00000000
OU
Notional Amount
USD
30350.73000000
0.003310633155
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5R6J7JCQRIPQR1EEP713
Qatar Government International Bond
Qatar Government International Bond
Y
sell protection
2024-06-20
18635.01000000
USD
0.00000000
USD
1330000.00000000
USD
11715.72000000
N
N
N
BNP Paribas
R0MUWSFPU8MPRO8K5P83
PTBNPUSTW2021042802820 PUT USD TWD 28.20 APR21
000000000
3691000.00000000
OU
Notional Amount
USD
10249.91000000
0.001118051917
N/A
DFE
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
Put
Purchased
BNP Paribas
R0MUWSFPU8MPRO8K5P83
BNP Paribas
R0MUWSFPU8MPRO8K5P83
FX Contract
N/A
1.00000000
NC
USD
10249.91000000
0.00000000
DFE
US
104086200.00000000
TWD
3691000.00000000
USD
2021-04-28
1.00000000
28.20000000
USD
2021-04-28
XXXX
1107.47000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AEE36
5702010.32000000
PA
USD
6299161.33000000
0.687107438679
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
5.00000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2005-QO5 Trust
761118QM3
2423626.64000000
PA
USD
2271785.95000000
0.247804579619
Long
ABS-MBS
CORP
US
N
2
2046-01-25
Floating
1.25900000
N
N
N
N
N
N
GLOBAL AIR LEASE CO LTD
N/A
Global Aircraft Leasing Co Ltd
37960JAA6
3409358.00000000
PA
USD
3260198.59000000
0.355619833404
Long
DBT
CORP
KY
N
2
2024-09-15
Fixed
6.50000000
N
N
Y
N
N
N
NOVELIS CORP
549300G5F3W3B52WYL23
Novelis Corp
670001AE6
950000.00000000
PA
USD
973750.00000000
0.106215864837
Long
DBT
CORP
US
N
2
2030-01-30
Fixed
4.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HNAB8
51472.29000000
PA
USD
57027.67000000
0.006220532260
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136A7NR9
4820009.60000000
PA
USD
830970.14000000
0.090641552835
Long
ABS-MBS
USGSE
US
N
2
2042-07-25
Floating
6.56100000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
2002.08000000
0.000218385272
N/A
DFE
NO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
371498.17000000
USD
3194735.66000000
NOK
2021-06-16
2002.08000000
N
N
N
Flex Acquisition Co Inc
549300HHED2KGPBEDW39
Flex Acquisition Co Inc
33936YAA3
1095000.00000000
PA
USD
1115531.25000000
0.121681249264
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
6.87500000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215525 IRS USD R F .50000 2 CCPVANILLA / Short: SR215525 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
98950000.00000000
OU
Notional Amount
USD
-3042870.82000000
-0.33191389549
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
0.00000000
USD
-2293059.97000000
USD
98950000.00000000
USD
-749810.85000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-7596.02000000
-0.00082856773
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1107152.57000000
CAD
873493.15000000
USD
2021-06-16
-7596.02000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31395NEU7
477901.53000000
PA
USD
481965.13000000
0.052572367757
Long
ABS-MBS
USGSE
US
N
2
2036-06-25
Floating
0.50900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
24138.86000000
0.002633047384
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
7393925.77000000
SEK
871369.30000000
USD
2021-06-16
24138.86000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
-52456.96000000
-0.00572196289
N/A
DFE
TW
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1995065.36000000
USD
55183507.96000000
TWD
2021-04-19
-52456.96000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
-4223.81000000
-0.00046072978
N/A
DFE
NZ
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
878909.76000000
USD
1252650.59000000
NZD
2021-06-16
-4223.81000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Stacr Remic Trust 2020-HQA2
35565LBD7
3640000.00000000
PA
USD
3682895.58000000
0.401727280240
Long
ABS-MBS
USGSE
US
N
2
2050-03-25
Floating
4.20900000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215533 IRS EUR R V 06MLIBOR CCPVANILLA / Short: BR215533 IRS EUR P F .00000 CCPVANILLA
000000000
40420000.00000000
OU
Notional Amount
-99744.95000000
-0.01088009871
N/A
DIR
ER
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-06-16
0.00000000
EUR
-75511.55000000
EUR
40420000.00000000
EUR
-9682.36000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Long: CX002964 CDS USD R F 3.00000 2 CMBX / Short: CX002964 CDS USD P V 01MEVENT 1 CMBX
000000000
3000000.00000000
OU
Notional Amount
USD
-181875.00000000
-0.01983877834
N/A
DCR
GB
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
Markit CMBX.NA.BBB-.11
137BERAK3
Y
sell protection
2054-11-18
0.00000000
USD
-841801.93000000
USD
3000000.00000000
USD
659926.93000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-5015.49000000
-0.00054708560
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
395521.72000000
USD
1430443852.55000000
COP
2021-04-27
-5015.49000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
49695.69000000
0.005420765794
N/A
DFE
ZA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1906300.36000000
USD
29090010.02000000
ZAR
2021-05-25
49695.69000000
N
N
N
Wind River CLO Ltd
254900W8N6WOFX1LSH24
THL Credit Wind River 2017-1 CLO Ltd
97315TAJ1
1400000.00000000
PA
USD
1385853.00000000
0.151167727786
Long
ABS-CBDO
CORP
KY
N
2
2036-04-18
Floating
0.00000000
N
N
N
N
N
N
Marble Point CLO XIX Ltd
N/A
Marble Point CLO XIX Ltd
56607KAJ3
1000000.00000000
PA
USD
1001678.00000000
0.109262228557
Long
ABS-CBDO
CORP
KY
N
2
2034-01-19
Floating
3.92100000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R02
20753KAB8
2068411.54000000
PA
USD
2069771.52000000
0.225769008484
Long
ABS-MBS
USGSE
US
N
2
2031-08-25
Floating
2.40900000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OPS03441A SWAPTION US0003M APR21 1.715 CALL
000000000
-30590000.00000000
NC
USD
-183949.91000000
-0.02006510785
N/A
DIR
US
N
2
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
IRS Swap
N/A
30590000.00000000
OU
Notional Amount
N/A
-183949.91000000
-0.02000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
N/A
0.00000000
N/A
0.00000000
N/A
30590000.00000000
USD
1.00000000
1.71500000
USD
2021-04-29
XXXX
93654.34000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
-132301.49000000
-0.01443133985
N/A
DFE
PL
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
5867130.99000000
USD
22657000.00000000
PLN
2021-06-02
-132301.49000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215759 IRS CAD R V 03MCDOR 1 CCPVANILLA / Short: BR215759 IRS CAD P F 1.00000 2 CCPVANILLA
000000000
38160000.00000000
OU
Notional Amount
1681572.46000000
0.183424568036
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-16
1668034.95000000
CAD
0.00000000
CAD
38160000.00000000
CAD
349808.03000000
N
N
N
UKRAINE GOVERNMENT
6354001WLTJXOMEXPY07
Ukraine Government International Bond
000000000
1550000.00000000
PA
1663749.83000000
0.181480489926
Long
DBT
NUSS
UA
N
2
2030-01-27
Fixed
4.37500000
N
N
N
N
N
N
YUZHOU GROUP
213800MP59KHGJSPHE82
Yuzhou Group Holdings Co Ltd
000000000
200000.00000000
PA
USD
177400.00000000
0.019350648957
Long
DBT
CORP
KY
N
2
2023-10-25
Fixed
6.00000000
N
N
N
N
N
N
LIONS GATE CAPITAL HOLD
549300MWJHNLR35C0837
Lions Gate Capital Holdings LLC
53627NAC5
470000.00000000
PA
USD
484983.60000000
0.052901620031
Long
DBT
CORP
US
N
2
2024-02-01
Fixed
6.37500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
557.80000000
0.000060844374
N/A
DFE
SG
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
4021135.33000000
USD
5411885.20000000
SGD
2021-06-16
557.80000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379Q8A6
7576049.16000000
PA
USD
1235225.57000000
0.134737409177
Long
ABS-MBS
USGA
US
N
2
2045-10-20
Floating
5.58900000
N
N
N
N
N
N
INGEVITY CORP
5493009UTFC4B5IMGF87
Ingevity Corp
45688CAB3
1025000.00000000
PA
USD
991687.50000000
0.108172472873
Long
DBT
CORP
US
N
2
2028-11-01
Fixed
3.87500000
N
N
N
N
N
N
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
Long: CS005515 CDS USD R V 03MEVENT 1 CORPORATE / Short: CS005515 CDS USD P F 1.00000 2 CORPORATE
000000000
11160000.00000000
OU
Notional Amount
USD
-23514.12000000
-0.00256490124
N/A
DCR
DE
N
2
Deutsche Bank Aktiengesellschaft
7LTWFZYICNSX8D621K86
China Government International Bond
China Government International Bond
Y
buy protection
2021-06-20
1855.44000000
USD
0.00000000
USD
11160000.00000000
USD
-25369.56000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137FUKH6
1681421.95000000
PA
USD
292018.77000000
0.031853171968
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
4.00000000
N
N
N
N
N
N
Buckeye Partners LP
549300C1PQJLVEIUBK50
Buckeye Partners LP
118230AN1
1145000.00000000
PA
USD
1177918.75000000
0.128486427459
Long
DBT
CORP
US
N
2
2024-10-15
Fixed
4.35000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136BA5V2
2583950.87000000
PA
USD
485413.78000000
0.052948543719
Long
ABS-MBS
USGSE
US
N
2
2050-07-25
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396W3K0
193429.59000000
PA
USD
195592.44000000
0.021335065643
Long
ABS-MBS
USGSE
US
N
2
2037-08-25
Floating
0.55900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD COP
000000000
1.00000000
NC
11054.67000000
0.001205834489
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1782871834.88000000
COP
497772.52000000
USD
2021-04-27
11054.67000000
N
N
N
DP World Crescent Ltd
21380096JRTWB8TL9236
DP World Crescent Ltd
000000000
200000.00000000
PA
USD
223000.00000000
0.024324660188
Long
DBT
CORP
KY
N
2
2028-09-26
Fixed
4.84800000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381BG65
823400.36000000
PA
USD
138233.52000000
0.015078400899
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Floating
5.93900000
N
N
N
N
N
N
Envision Healthcare Corp
549300OL60X0LPKY8N60
Envision Healthcare Corp
29373TAA2
1175000.00000000
PA
USD
873906.25000000
0.095324989094
Long
DBT
CORP
US
N
2
2026-10-15
Fixed
8.75000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
2340000.00000000
PA
USD
1240200.00000000
0.135280015990
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.62500000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
15277.13000000
0.001666417022
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
737099.27000000
USD
15509025.64000000
MXN
2021-06-16
15277.13000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
-15975.49000000
-0.00174259356
N/A
DFE
CH
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
896131.48000000
USD
830117.95000000
CHF
2021-06-16
-15975.49000000
N
N
N
Par Pharmaceutical Inc
549300KK5WR4MGN4YT97
Par Pharmaceutical Inc
69888XAA7
480000.00000000
PA
USD
506400.00000000
0.055237703674
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
7.50000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38382KWP4
1771316.53000000
PA
USD
238067.95000000
0.025968260024
Long
ABS-MBS
USGA
US
N
2
2050-10-20
Fixed
2.50000000
N
N
N
N
N
N
WP Carey Inc
54930042CRNE713E3Q67
WP Carey Inc
92936UAA7
370000.00000000
PA
USD
407092.50000000
0.044405321649
Long
DBT
US
N
2
2024-04-01
Fixed
4.60000000
N
N
N
N
N
N
VALERO ENERGY CORP
549300XTO5VR8SKV1V74
Valero Energy Corp
91913YAY6
1025000.00000000
PA
USD
1071084.00000000
0.116832979073
Long
DBT
CORP
US
N
2
2025-04-15
Fixed
2.85000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
2923.03000000
0.000318841755
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
370532.96000000
USD
7698192.78000000
MXN
2021-06-16
2923.03000000
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Series 2006-QO1 Trust
761118RM2
1506100.46000000
PA
USD
993947.23000000
0.108418962399
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
0.64900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
-2835.17000000
-0.00030925805
N/A
DFE
ID
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
366145.76000000
USD
5300875240.40000000
IDR
2021-04-12
-2835.17000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K9D71
655655.31000000
PA
USD
725805.18000000
0.079170243796
Long
ABS-MBS
USGSE
US
N
2
2050-04-01
Fixed
5.00000000
N
N
N
N
N
N
Bank
N/A
BANK 2018-BNK14
06035RAX4
500000.00000000
PA
USD
450046.27000000
0.049090684246
Long
ABS-MBS
CORP
US
N
2
2060-09-15
Fixed
3.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215639 IRS USD R F 2.00000 2 CCPVANILLA / Short: SR215639 IRS USD P V 03MLIBOR 1 CCPVANILLA
000000000
16100000.00000000
OU
Notional Amount
USD
-1059664.97000000
-0.11558740048
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2051-02-10
0.00000000
USD
-856870.17000000
USD
16100000.00000000
USD
-202794.80000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379FY45
12612744.01000000
PA
USD
2484510.03000000
0.271008350739
Long
ABS-MBS
USGA
US
N
2
2045-11-20
Floating
6.08900000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CW4
560000.00000000
PA
USD
553700.00000000
0.060397149535
Long
DBT
NUSS
ID
N
2
2051-03-12
Fixed
3.05000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
19063447.24000000
PA
USD
20621190.14000000
2.249342793006
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SR215789 IRS CHF R F .00000 CCPVANILLA / Short: SR215789 IRS CHF P V 06MLIBOR CCPVANILLA
000000000
56190000.00000000
OU
Notional Amount
-225009.69000000
-0.02454387555
N/A
DIR
CH
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2028-06-16
0.00000000
CHF
-5532.00000000
CHF
56190000.00000000
CHF
-219199.30000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR214050 IRS SEK R V 03MSTIBO 1 CCPVANILLA / Short: BR214050 IRS SEK P F .75000 2 CCPVANILLA
000000000
56820000.00000000
OU
Notional Amount
129120.43000000
0.014084352390
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2030-06-18
0.00000000
SEK
-216668.30000000
SEK
56820000.00000000
SEK
241053.92000000
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-207870.10000000
-0.02267430289
N/A
DFE
XX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
14592970.26000000
USD
12246544.57000000
EUR
2021-06-16
-207870.10000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137ABF48
1907502.33000000
PA
USD
311983.64000000
0.034030923889
Long
ABS-MBS
USGSE
US
N
2
2041-05-15
Floating
5.89400000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
26103.10000000
0.002847305100
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1403853.18000000
NZD
1006369.00000000
USD
2021-06-16
26103.10000000
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Ginnie Mae
21H020642
16000000.00000000
PA
USD
16147182.40000000
1.761321636249
Long
ABS-MBS
USGA
US
N
2
2051-04-21
Fixed
2.00000000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED COP / SOLD USD
000000000
1.00000000
NC
-3022.58000000
-0.00032970058
N/A
DFE
CO
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
735671.70000000
USD
2683730361.60000000
COP
2021-04-27
-3022.58000000
N
N
N
Babson CLO Ltd
549300Q89L7I93JSRH83
Barings CLO Ltd 2020-IV
06762BAJ9
1000000.00000000
PA
USD
1006048.00000000
0.109738904634
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
3.92400000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-3827.49000000
-0.00041749952
N/A
DFE
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
1254459.30000000
NZD
872136.48000000
USD
2021-06-10
-3827.49000000
N
N
N
Venture CDO Ltd
549300VI1BOFEK7C6D74
Venture 39 CLO Ltd
92332TAB8
6200000.00000000
PA
USD
6218166.00000000
0.678272533392
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
1.52100000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED CAD / SOLD USD
000000000
1.00000000
NC
5540.36000000
0.000604338001
N/A
DFE
CA
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
895723.42000000
USD
1132503.43000000
CAD
2021-06-16
5540.36000000
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132AC3P3
411038.08000000
PA
USD
455401.21000000
0.049674796783
Long
ABS-MBS
USGSE
US
N
2
2048-08-01
Fixed
5.00000000
N
N
N
N
N
N
HILTON DOMESTIC OPERATIN
5493003EG7H0N1E4XV50
Hilton Domestic Operating Co Inc
432833AG6
110000.00000000
PA
USD
115775.00000000
0.012628643647
Long
DBT
CORP
US
N
2
2025-05-01
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379M2L7
2352068.08000000
PA
USD
393531.33000000
0.042926080160
Long
ABS-MBS
USGA
US
N
2
2045-09-20
Floating
5.58900000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
113349.98000000
0.012364124421
N/A
DFE
MX
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
3211220.80000000
USD
68530663.07000000
MXN
2021-06-16
113349.98000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BR215746 IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR215746 IRS AUD P F 1.55000 2 CCPVANILLA
000000000
84150000.00000000
OU
Notional Amount
131756.72000000
0.014371916778
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
N/A
N/A
Y
2026-02-23
82101.62000000
AUD
0.00000000
AUD
84150000.00000000
AUD
68224.18000000
N
N
N
2021-04-28
GOLDMAN SACHS TRUST
Peter Fortner
Peter Fortner
Vice President