CASH COLLATERAL LCH FOB WFS -0.02000000

0001752724-21-229710.txt : 20211028 0001752724-21-229710.hdr.sgml : 20211028 20211028112421 ACCESSION NUMBER: 0001752724-21-229710 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20210831 FILED AS OF DATE: 20211028 PERIOD START: 20210831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY PATHWAY FUNDS CENTRAL INDEX KEY: 0000875186 IRS NUMBER: 000000000 FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-06318 FILM NUMBER: 211356107 BUSINESS ADDRESS: STREET 1: 2000 WESTCHESTER AVENUE CITY: PURCHASE STATE: NY ZIP: 10577 BUSINESS PHONE: 8883749999 MAIL ADDRESS: STREET 1: 2000 WESTCHESTER AVENUE CITY: PURCHASE STATE: NY ZIP: 10577 FORMER COMPANY: FORMER CONFORMED NAME: CONSULTING GROUP CAPITAL MARKETS FUNDS DATE OF NAME CHANGE: 19950125 FORMER COMPANY: FORMER CONFORMED NAME: TRUST FOR TRAK INVESTMENTS DATE OF NAME CHANGE: 19920929 FORMER COMPANY: FORMER CONFORMED NAME: INSTITUTIONAL ADVISORS PORTFOLIOS DATE OF NAME CHANGE: 19600201

0000875186 S000052236 Inflation-Linked Fixed Income Fund

C000164312 Inflation-Linked Fixed Income Fund TILUX

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0.334638038650 Long DBT UST CA N 2 2026-12-01 Fixed 4.25000000 N N N N N N P/O OTC EPUT FN 2.5 9-51 102 052 JPM N/A PUT OPTION ON 100SHS OTC EPUT FN 2.5 9-51 102 052 JPM 0.00000000 N/A -300000.00000000 NC USD -1.95000000 -0.00000131757 N/A DO CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased P/O OTC EPUT FN 2.5 9-51 102 052 JPM 0 -300000.00000000 USD 102.16406000 USD 2021-09-07 XXXX 291.02000000 N N N SYMP 2014-14A AR V/R 07/14/26 N/A SYMPHONY CLO XIV LTD SER 2014-14A CL AR V/R REGD 144A P/P 1.08288000 87159QBV9 116206.03000000 NS USD 116279.47000000 0.078567427935 Long ABS-CBDO CORP KY Y 2 2026-07-14 Variable 1.08288000 N N N N N N N/A N/A CAD/USD FWD 20210902 000004334 USD N/A 1.00000000 NC N/A 1749.43000000 0.001182050584 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -183000.00000000 CAD 146820.58000000 USD 2021-09-02 1749.43000000 N N N C/O OTC ECAL FN 2.0 11-51 101 162 JP / / M N/A CALL OPTION ON 100SHS OTC ECAL FN 2.0 11-51 101 162 JP / / M 0.00000000 N/A -100000.00000000 NC USD -439.44000000 -0.00029691974 N/A DO CORP US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Purchased C/O OTC ECAL FN 2.0 11-51 101 162 JP / / M 0 -100000.00000000 USD 101.50781200 USD 2021-11-03 XXXX -33.19000000 N N N MVW 2015-10A AR V/R 10/13/27 N/A MOUNTAIN VIEW CLO X LTD SER 2015-10A CL AR V/R REGD 144A P/P 0.94863000 62432CAQ4 369386.88000000 NS USD 369463.68000000 0.249638315801 Long ABS-CBDO CORP KY Y 2 2027-10-13 Variable 0.94863000 N N N N N N TSY INFL IX N/B 1.000% 2/15/46 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000 912810RR1 4116545.30000000 NS USD 5516971.86000000 3.727694054949 Long DBT UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N CDX.O P 0.90 IG36 5Y V1 I 09/15/21 DUB N/A CDX.O P 0.90 IG36 5Y V1 I 09/15/21 DUB 0.00000000 N/A -800000.00000000 NC USD -0.40000000 -0.00000027027 N/A DCR CORP US N 2 DEUTSCHE BANK AG N/A Put Purchased CDX.O P 0.90 IG36 5Y V1 I 09/15/21 DUB 0 -800000.00000000 USD 0.90000000 USD 2021-09-15 XXXX -0.40000000 N N N STATE OF QATAR 3.875% 04/23/23 N/A STATE OF QATAR REGD 3.87500000 M8489SAF4 200000.00000000 NS USD 211458.00000000 0.142877424332 Long DBT USGA QA N 2 2023-04-23 Fixed 3.87500000 N N N N N N US TIPS 1% 02/15/48 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 1.00000000 912810SB5 1123815.60000000 NS USD 1540618.85000000 1.040961577079 Long DBT UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N CMLTI 2004-HYB2 V/R 03/25/34 N/A CITIGROUP MORTGAGE LOAN TRUST 2004-HYB2 SER 2004-HYB2 CL 2A V/R REGD 2.38857600 17307GEC8 5691.46000000 NS USD 5910.15000000 0.003993355699 Long ABS-CBDO CORP US N 2 2034-03-25 Variable 2.38857600 N N N N N N CWHL 2005-HYB6 2 V/R 10/20/35 N/A CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB6 SER 2005-HYB6 CL 2A1 V/R REGD 2.76793900 126694BH0 733991.21000000 NS USD 753933.75000000 0.509416112501 Long ABS-CBDO CORP US N 2 2035-10-20 Variable 2.76793900 N N N N N N F/C EURO-BUXL 30Y BND SEP21 N/A FUTURE CONTRACT ON EURO-BUXL 30Y BND SEP21 /EUR/ 0.00000000 N/A -17.00000000 NC -4265860.76000000 -2.88234636641 N/A DIR CORP DE N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C EURO-BUXL 30Y BND SEP21 EURO-BUXL 30Y BND SEP21 /EUR/ 2021-09-08 4007725.20000000 EUR -258135.56000000 N N N US TIPS 0.125% 07/15/31 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000 91282CCM1 5889655.10000000 NS USD 6614444.24000000 4.469231508866 Long DBT UST US N 2 2031-07-15 Fixed 0.12500000 N N N N N N JAPAN GOVT 0.1% 03/10/29/JPY/ N/A JAPAN GOVT CPI LINKED /JPY/ REGD SER 24 0.10000000 J2S39K4F0 181535760.00000000 NS 1698778.03000000 1.147826185053 Long DBT UST JP N 2 2029-03-10 Fixed 0.10000000 N N N N N N CWL 2007-1 1A V/R 07/25/37 N/A COUNTRYWIDE ASSET-BACKED CERTIFICATES SER 2007-1 CL 1A V/R REGD 0.22438000 23245CAA8 356808.61000000 NS USD 338610.37000000 0.228791426750 Long ABS-CBDO CORP US N 2 2037-07-25 Variable 0.22438000 N N N N N N ITRAXX.O P 0.70 EU35 5Y I 12/15/21 BRC N/A ITRAXX.O P 0.70 EU35 5Y I 12/15/21 BRC 0.00000000 N/A -1000000.00000000 NC -786.38000000 -0.00053133931 N/A DCR CORP US N 2 BARCLAYS CAPITAL (TRADING AS B N/A Put Purchased ITRAXX.O P 0.70 EU35 5Y I 12/15/21 BRC 0 -1000000.00000000 EUR 0.70000000 EUR 2021-12-15 XXXX -786.38000000 N N N F/C US LONG BOND(CBT) DEC21 N/A FUTURE CONTRACT ON US LONG BOND(CBT) DEC21 0.00000000 N/A -8.00000000 NC USD -1303750.00000000 -0.88091461175 N/A DIR CORP US N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C US LONG BOND(CBT) DEC21 US LONG BOND(CBT) DEC21 2021-12-21 1313658.45000000 USD 9908.45000000 N N N BOMFT 2019-SBR1 V/R 06/28/34 N/A BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST SER 2019-SBR1 CL A1 V/R REGD 144A P/P 3.47480000 07333YAA6 30062.08000000 NS USD 30289.53000000 0.020465955559 Long ABS-CBDO CORP US Y 2 2034-06-28 Variable 3.47480000 N N N N N N C/O US 2YR FUTR OPTN NOV21 112 N/A CALL OPTION ON US 2YR FUTR OPTN NOV21 112 0.00000000 N/A 37.00000000 NC USD 37.00000000 0.000025000069 N/A DO CORP US N 1 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 Call Written C/O US 2YR FUTR OPTN NOV21 112 0 74000.00000000 USD 112.00000000 USD 2021-10-22 XXXX -269.73000000 N N N CASH COLLATERAL ISDA JPM USD N/A CASH COLLATERAL ISDA JPM USD 0.00000000 N/A -120000.00000000 NS USD -120000.00000000 -0.08108130654 Short STIV CORP US N 2 2049-12-31 Variable 0.00000000 N N N N N N GNR 2018-H15 FG V/R 08/20/68 N/A GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2018-H15 CL FG V/R 0.59863000 38380LJY0 323650.65000000 NS USD 320650.54000000 0.216656372736 Long ABS-CBDO CORP US N 2 2068-08-20 Variable 0.59863000 N N N N N N N/A N/A NOK/USD FWD 20211117 000004334 USD N/A 1.00000000 NC N/A 6214.07000000 0.004198707621 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -381343.74000000 USD 3370000.00000000 NOK 2021-11-17 6214.07000000 N N N JPMCC 2019-FL12 V/R 04/15/21 N/A JP MORGAN CHASE COMMERCIAL MORTGAGE SE SER 2019-FL12 CL A V/R REGD 144A P/P 1.54550000 46651QAA5 141980.58000000 NS USD 141228.17000000 0.095424704540 Long ABS-CBDO CORP US Y 2 2031-12-15 Variable 1.54550000 N N N N N N CWHL 2007-1 A1 6% 03/25/37 N/A CHL MORTGAGE PASS-THROUGH TRUST 2007-1 SER 2007-1 CL A1 REGD 6.00000000 170255AA1 144177.76000000 NS USD 106827.82000000 0.072181160176 Long ABS-CBDO CORP US N 2 2037-03-25 Fixed 6.00000000 N N N N N N C/O EURO-BOBL OPT OCT21 136.25 N/A CALL OPTION ON EURO-BOBL OPTION OCT21 136.25 /EUR/ 0.00000000 N/A -20.00000000 NC -944.60000000 -0.00063824501 N/A DO CORP DE N 1 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 Call Purchased C/O EURO-BOBL OPT OCT21 136.25 0 -20000.00000000 EUR 136.25000000 EUR 2021-09-24 XXXX 4180.95000000 N N N N/A N/A INF SWAP US IT 1.8825 11/20/19-10Y LCH /FLOAT/ N/A 1.00000000 NC USD -133335.33000000 -0.09009168971 N/A DIR US N 2 WELLS FARGO N/A US 10Y US 10Y Y 2029-11-20 -1490766.97000000 USD 1500000.00000000 USD 1500000.00000000 USD -142568.36000000 N N N US TIPS 0.125% 07/15/26 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000 912828S50 3666807.80000000 NS USD 4040960.47000000 2.730386288449 Long DBT UST US N 2 2026-07-15 Fixed 0.12500000 N N N N N N HVMLT 2005-9 2A1 V/R 06/20/35 N/A HARBORVIEW MORTGAGE LOAN TRUST 2005-9 SER 2005-9 CL 2A1A V/R REGD 0.76838000 41161PSK0 4358.19000000 NS USD 4293.37000000 0.002900933742 Long ABS-CBDO CORP US N 2 2035-06-20 Variable 0.76838000 N N N N N N US TIPS 2.125% 02/15/40 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 2.12500000 912810QF8 1734715.20000000 NS USD 2640589.95000000 1.784187360015 Long DBT UST US N 2 2040-02-15 Fixed 2.12500000 N N N N N N CASH COLLATERAL CME WFS N/A CASH COLLATERAL CME WFS /CCWFSXUS7 -0.02000000 N/A 399000.00000000 NS USD 399000.00000000 0.269595344270 Long STIV CORP US N 2 2049-12-31 Floating -0.02000000 N N N N N N HARVT 11A A V/R 06/26/30 /EUR/ N/A HARVEST CLO XI DAC SER 11A CL ARR V/R REGD 144A P/P /EUR/ 0.65000000 N/A 300000.00000000 NS 354186.74000000 0.239316030341 Long ABS-CBDO CORP IE Y 2 2030-06-26 Variable 0.65000000 N N N N N N F/C EURO-SCHATZ FUT SEP21 N/A FUTURE CONTRACT ON EURO-SCHATZ FUT SEP21 /EUR/ 0.00000000 N/A -194.00000000 NC -25719473.92000000 -17.3780712428 N/A DIR CORP DE N 1 Wells Fargo Securities LLC VYVVCKR63DVZZN70PB21 Short F/C EURO-SCHATZ FUT SEP21 EURO-SCHATZ FUT SEP21 /EUR/ 2021-09-08 25687404.76000000 EUR -32069.17000000 N N N RASC 2006-KS3 M1 V/R 04/25/36 N/A RASC SERIES 2006-KS3 TRUST SER 2006-KS3 CL M1 V/R REGD 0.57938000 76113ABL4 473166.30000000 NS USD 473639.47000000 0.320027558833 Long ABS-CBDO CORP US N 2 2036-04-25 Variable 0.57938000 N N N N N N JPALT 2006-A1 1A V/R 03/25/36 N/A JP MORGAN ALTERNATIVE LOAN TRUST SER 2006-A1 CL 1A1 V/R REGD 0.54438000 46627MCS4 336798.17000000 NS USD 329884.31000000 0.222895423868 Long ABS-CBDO CORP US N 2 2036-03-25 Variable 0.54438000 N N N N N N TSY 1 7/8% 1.875% 11/22/22 /GBP/ N/A TSY I/L GILT STOCK 1.87500000 G92450M39 2660724.00000000 NS 3940145.86000000 2.662268119300 Long DBT NUSS GB N 2 2022-11-22 Fixed 1.87500000 N N N N N N CWHL 2005-HYB9 2 V/R 02/20/36 N/A CHL MORTGAGE PASS-THROUGH TRUST 2005-HYB9 SER 2005-HYB9 CL 2A1 V/R REGD 1.98700000 126670JV1 75367.72000000 NS USD 72949.70000000 0.049290474901 Long ABS-CBDO CORP US N 2 2036-02-20 Variable 1.98700000 N N N N N N JAPAN GOV 0.005% 03/10/31/JPY/ N/A JAPAN GOVT CPI LINKED /JPY/ REGD SER 26 0.00500000 J2S39LMS0 20118600.00000000 NS 186035.10000000 0.125699741430 Long DBT UST JP N 2 2031-03-10 Fixed 0.00500000 N N N N N N CDX.O P 0.80 IG36 5Y V1 I 09/15/21 BRC N/A CDX.O P 0.80 IG36 5Y V1 I 09/15/21 BRC 0.00000000 N/A -300000.00000000 NC USD -0.45000000 -0.00000030405 N/A DCR CORP US N 2 BARCLAYS CAPITAL (TRADING AS B N/A Put Purchased CDX.O P 0.80 IG36 5Y V1 I 09/15/21 BRC 0 -300000.00000000 USD 0.80000000 USD 2021-09-15 XXXX -0.45000000 N N N US TIPS 0.75% 02/15/42 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 0.75000000 912810QV3 2164320.00000000 NS USD 2700815.02000000 1.824880088036 Long DBT UST US N 2 2042-02-15 Fixed 0.75000000 N N N N N N JUBIL 2015- V/R 12/15/29 /EUR/ N/A JUBILEE CLO 2015-XVI BV SER 2015-16A CL A1R V/R REGD 144A P/P /EUR/ 0.25200000 N/A 256437.93000000 NS 301611.85000000 0.203792357234 Long ABS-CBDO CORP NL Y 2 2029-12-15 Variable 0.25200000 N N N N N N WAMU 2002-AR17 1 V/R 11/25/42 N/A WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2002-AR17 SER 2002-AR17 CL 1A V/R REGD 1.29792000 929227XB7 3952.34000000 NS USD 3902.78000000 0.002637020846 Long ABS-CBDO CORP US N 2 2042-11-25 Variable 1.29792000 N N N N N N US TIPS 0.375% 07/15/27 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 0.37500000 9128282L3 4342797.90000000 NS USD 4895134.35000000 3.307532406857 Long DBT UST US N 2 2027-07-15 Fixed 0.37500000 N N N N N N VM CASH FUT FOR WFS AUD /AUD/ N/A VM CASH FUT FOR WFS AUD /XXWFS2AU3/ /AUD/ 0.00000000 N/A 16664.22000000 NS 12190.71000000 0.008236989121 Long CORP AU N 2 N N N CANADIAN GO 0.5% 12/01/50/CAD/ N/A CANADIAN GOVERNMENT RRB /CAD/ REGD SER CPI 0.50000000 135087G99 54398.50000000 NS 47785.33000000 0.032287474918 Long DBT UST CA N 2 2050-12-01 Fixed 0.50000000 N N N N N N N/A N/A INF SWAP US IT 2.7675 05/13/21-5Y LCH /FIXED/ N/A 1.00000000 NC USD 7812.62000000 0.005278811976 N/A DIR US N 2 CITIBANK N/A US 5Y US 5Y Y 2026-05-13 -500000.00000000 USD 500000.00000000 USD 507812.62000000 USD 7812.62000000 N N N CWALT 2007-4CB 1A 6% 04/25/37 N/A ALTERNATIVE LOAN TRUST 2007-4CB SER 2007-4CB CL 1A35 REGD 6.00000000 02148FBX2 40218.50000000 NS USD 40649.51000000 0.027465961510 Long ABS-CBDO CORP US N 2 2037-04-25 Fixed 6.00000000 N N N N N N OOMLT 2007-1 1A1 V/R 01/25/37 N/A OPTION ONE MORTGAGE LOAN TRUST 2007-1 SER 2007-1 CL 1A1 V/R REGD 0.22438000 68400DAA2 108688.89000000 NS USD 82685.70000000 0.055868871573 Long ABS-CBDO CORP US N 2 2037-01-25 Variable 0.22438000 N N N N N N N/A N/A INF SWAP US IT 2.703 05/25/21-5Y LCH /FIXED/ N/A 1.00000000 NC USD 9291.33000000 0.006277943133 N/A DIR US N 2 JP MORGAN N/A US 5Y US 5Y Y 2026-05-25 -510000.00000000 USD 510080.53000000 USD 519291.33000000 USD 9210.80000000 N N N N/A N/A 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N US TIPS 2% 01/15/26 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 2.00000000 912810FS2 2084834.70000000 NS USD 2455993.92000000 1.659459965883 Long DBT UST US N 2 2026-01-15 Fixed 2.00000000 N N N N N N DRSLF 2017-47A A V/R 04/15/28 N/A DRYDEN SENIOR LOAN FUND SER 2017-47A CL A1R V/R REGD 144A P/P 1.10613000 26245EAJ8 400000.00000000 NS USD 400259.20000000 0.270446157446 Long ABS-CBDO CORP KY Y 2 2028-04-15 Variable 1.10613000 N N N N N N ARES 2018-50A AR V/R 01/15/32 N/A ARES L CLO LTD SER 2018-50A CL AR V/R REGD 144A P/P 1.17613000 04018LAJ4 300000.00000000 NS USD 300280.80000000 0.202892996625 Long ABS-CBDO CORP KY Y 2 2032-01-15 Variable 1.17613000 N N N N N N CBASS 2005-CB3 M V/R 06/25/35 N/A CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC SER 2005-CB3 CL M4 V/R REGD 1.13438000 12489WLH5 153000.00000000 NS USD 153214.51000000 0.103523605440 Long ABS-CBDO CORP US N 2 2035-06-25 Variable 1.13438000 N N N N N N N/A N/A INF SWAP US IT 2.31125 02/24/21-10Y LCH /FIXED/ N/A 1.00000000 NC USD 115975.48000000 0.078362028715 N/A DIR US N 2 BBH N/A US 10Y US 10Y Y 2031-02-24 -2300000.00000000 USD 2301034.67000000 USD 2415975.48000000 USD 114940.81000000 N N N N/A N/A INF SWAP US IT 2.335 02/05/18-10Y LCH /FLOAT/ N/A 1.00000000 NC USD -29718.74000000 -0.02008028556 N/A DIR US N 2 WELLS FARGO N/A US 10Y US 10Y Y 2028-02-05 -900707.55000000 USD 960000.00000000 USD 960000.00000000 USD -89011.19000000 N N N N/A N/A NZD/USD FWD 20210902 000004334 USD N/A 1.00000000 NC N/A -2436.91000000 -0.00164656538 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -338000.00000000 NZD 235751.62000000 USD 2021-09-02 -2436.91000000 N N N US TIPS 2.375% 01/15/25 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 2.37500000 912810FR4 1744069.80000000 NS USD 2018291.94000000 1.363714562410 Long DBT UST US N 2 2025-01-15 Fixed 2.37500000 N N N N N N US TIPS 1.375% 02/15/44 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 1.37500000 912810RF7 4045256.60000000 NS USD 5700315.33000000 3.851575122403 Long DBT UST US N 2 2044-02-15 Fixed 1.37500000 N N N N N N US TIPS 0.125% 01/15/31 N/A UNITED STATES TREASURY INFLATION INDEXED BONDS 0.12500000 91282CBF7 5646525.20000000 NS USD 6316794.22000000 4.268116071237 Long DBT UST US N 2 2031-01-15 Fixed 0.12500000 N N N N N N AHM 2005-2 4A1 V/R 09/25/45 N/A AMERICAN HOME MORTGAGE INVESTMENT TRUST 2005-2 SER 2005-2 CL 4A1 V/R REGD 1.65388000 02660TEQ2 782.61000000 NS USD 785.83000000 0.000530967692 Long ABS-CBDO CORP US N 2 2045-09-25 Variable 1.65388000 N N N N N N CMLTI 2004-NCM2 5.5% 08/25/34 N/A CITIGROUP MORTGAGE LOAN TRUST INC SER 2004-NCM2 CL 1CB1 REGD 5.50000000 17307GGX0 22887.74000000 NS USD 23561.56000000 0.015920017242 Long ABS-CBDO CORP US N 2 2034-08-25 Fixed 5.50000000 N N N N N N N/A N/A INF SWAP US IT 2.155 02/04/21-1Y LCH /FLOAT/ N/A 1.00000000 NC USD -62084.14000000 -0.04194885989 N/A DIR US N 2 JP MORGAN MORGAN SECURITIES LL N/A US 1Y US 1Y Y 2022-02-04 -1800000.00000000 USD 1800000.00000000 USD 1800000.00000000 USD -62084.14000000 N N N CMLTI 2019-B A1 V/R 04/25/66 N/A CITIGROUP MORTGAGE LOAN TRUST 2019-B SER 2019-B CL A1 V/R REGD 144A P/P 3.25800000 17327VAA9 77775.61000000 NS USD 78474.91000000 0.053023735283 Long ABS-CBDO CORP US Y 2 2066-04-25 Variable 3.25800000 N N N N N N CWALT 2008-2R 1A V/R 08/25/37 N/A ALTERNATIVE LOAN TRUST RESECURITIZATION 2008-2R SER 2008-2R CL 1A1 V/R REGD 6.00000000 021482AA2 506645.27000000 NS USD 511071.98000000 0.345319865651 Long ABS-CBDO CORP US N 2 2037-08-25 Variable 6.00000000 N N N N N N BONOS DE T 6.15% 08/12/32/PEN/ N/A BONOS DE TESORERIA /PEN/ REGD 6.15000000 P6S32DDY6 1400000.00000000 NS 338112.35000000 0.228454925815 Long DBT USGA PE N 2 2032-08-12 Fixed 6.15000000 N N N N N N MRFC 2000-TBC2 A V/R 06/15/30 N/A MRFC MORTGAGE PASS-THROUGH TRUST SERIES 1999-TBC2 SER 2000-TBC2 CL A1 V/R REGD 0.57550000 585525ED6 9245.94000000 NS USD 9304.80000000 0.006287044509 Long ABS-CBDO CORP US N 2 2030-06-15 Variable 0.57550000 N N N N N N N/A N/A INF SWAP US IT 2.813 05/14/21-5Y LCH /FIXED/ N/A 1.00000000 NC USD 3924.95000000 0.002652000617 N/A DIR US N 2 JP MORGAN N/A US 5Y US 5Y Y 2026-05-14 -300000.00000000 USD 300000.00000000 USD 303924.95000000 USD 3924.95000000 N N N N/A N/A CNH/USD FWD 20210915 000006219 USD N/A 1.00000000 NC N/A -2133.27000000 -0.00144140265 N/A DFE N/A N 2 HSBC BANK USA, N.A. 1IE8VN30JCEQV1H4R804 -395231.27000000 USD 2540000.00000000 CNY 2021-09-15 -2133.27000000 N N N N/A N/A PEN/USD FWD 20210922 000015298 USD N/A 1.00000000 NC N/A 13142.59000000 0.008880153071 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 -1887374.00000000 PEN 474560.36000000 USD 2021-09-22 13142.59000000 N N N 2021-09-30 Morgan Stanley Pathway Funds Francis Smith Francis Smith Chief Financial Officer