0001752724-24-089883.txt : 20240425 0001752724-24-089883.hdr.sgml : 20240425 20240425104509 ACCESSION NUMBER: 0001752724-24-089883 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20240229 FILED AS OF DATE: 20240425 DATE AS OF CHANGE: 20240425 PERIOD START: 20240831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY PATHWAY FUNDS CENTRAL INDEX KEY: 0000875186 ORGANIZATION NAME: IRS NUMBER: 000000000 FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-06318 FILM NUMBER: 24873672 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 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LLC FOR8UP27PHTHYVLBNG30 Put Purchased ORO USD 10Y P 4.15000 L 03/21/24 GLM 0 -2200000.00000000 USD 4.15000000 USD 2024-03-21 XXXX -3733.62000000 N N N CWHL 2007-19 2A 6.5% 11/25/47 N/A CHL MORTGAGE PASS-THROUGH TRUST 2007-19 SER 2007-19 CL 2A1 REGD 6.50000000 12544PAF9 92009.01000000 NS USD 46032.60000000 0.023932265864 Long ABS-CBDO CORP US N 2 2047-11-25 Fixed 6.50000000 N N N N N N N/A N/A CNH/USD FWD 20240326 000004066 USD N/A 1.00000000 NC N/A -843.51000000 -0.00043853933 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -2712254.85000000 CNY 376108.02000000 USD 2024-03-26 -843.51000000 N N N SOCIETE GENERALE V/R 06/09/32 O2RNE8IBXP4R0TD8PU41 SOCIETE GENERALE REGD V/R 144A P/P 2.88900000 83368RBD3 300000.00000000 NS USD 243244.58000000 0.126462419215 Long DBT CORP FR Y 2 2032-06-09 Variable 2.88900000 N N N N N N APID 2017-26A A1 V/R 07/18/29 N/A APIDOS CLO XXVI SER 2017-26A CL A1AR V/R REGD 144A P/P 6.45952000 03766GAL6 241750.55000000 NS USD 241930.41000000 0.125779184598 Long ABS-CBDO CORP KY Y 2 2029-07-18 Variable 6.45952000 N N N N N N ORO USD 10Y P 4.10000 L 03/28/24 JPM N/A ORO USD 10Y P 4.10000 L 03/28/24 JPM 0.00000000 N/A -1100000.00000000 NC USD -3243.46000000 -0.00168626901 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Put Purchased ORO USD 10Y P 4.10000 L 03/28/24 JPM 0 -1100000.00000000 USD 4.10000000 USD 2024-03-28 XXXX -3243.46000000 N N N N/A N/A IRS R04.25PSO/N 03/20/54 BARCUS3BXXX FIXED N/A 1.00000000 NC 48465.69000000 0.025197224975 N/A DIR GB N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2054-03-20 -625164.98000000 GBP 653405.86000000 GBP 631199.98552785 GBP 20224.81000000 N N N N/A N/A NOK/USD FWD 20240304 000006038 USD N/A 1.00000000 NC N/A -17901.88000000 -0.00930715518 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -932864.00000000 USD 9716119.99000000 NOK 2024-03-04 -17901.88000000 N N N NEUB 2023-53A A V/R 10/24/32 N/A NEUBERGER BERMAN LOAN ADVISERS NBLA SER 2023-53A CL A V/R REGD 144A P/P 6.92944000 64135WAA1 900000.00000000 NS USD 906496.20000000 0.471285742364 Long ABS-CBDO CORP JE Y 2 2032-10-24 Variable 6.92944000 N N N N N N IRO FWD GBP 1Y C 0.82000 L 12/16/24 JPM N/A IRO FWD GBP 1Y C 0.82000 L 12/16/24 JPM 0.00000000 N/A -1500000.00000000 NC -348.23000000 -0.00018104415 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Call Purchased IRO FWD GBP 1Y C 0.82000 L 12/16/24 JPM 0 -1500000.00000000 GBP 0.82000000 GBP 2024-12-16 XXXX -348.23000000 N N N N/A N/A JPY/USD FWD 20240304 000009049 USD N/A 1.00000000 NC N/A 22106.02000000 0.011492879999 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 -5218937.00000000 USD 785710965.00000000 JPY 2024-03-04 22106.02000000 N N N FNGT 2004-T3 1A1 6% 2/25/44 N/A FNGT 2004-T3 1A1 6% 2/25/44 6.00000000 31393YU52 3717.01000000 NS USD 3676.78000000 0.001911551302 Long ABS-CBDO CORP US N 2 2044-02-25 Fixed 6.00000000 N N N N N N US TREAS BDS 4.75% 11/15/43 N/A UNITED STATES TREASURY BOND 4.75000000 912810TW8 1400000.00000000 NS USD 1440140.63000000 0.748726520771 Long DBT UST US N 2 2043-11-15 Fixed 4.75000000 N N N N N N N/A N/A AUD/USD FWD 20240304 000006038 USD N/A 1.00000000 NC N/A 2410.17000000 0.001253043043 N/A DFE N/A N 2 BANK OF AMERICA, N.A. 549300H041M8GSCMYP92 -599000.00000000 AUD 391730.19000000 USD 2024-03-04 2410.17000000 N N N CWL 2007-13 1A V/R 06/25/36 N/A CWABS ASSET-BACKED CERTIFICATES TRUST 2007-13 SER 2007-13 CL 1A V/R REGD 6.27541000 126698AA7 293769.02000000 NS USD 280575.65000000 0.145870775299 Long ABS-CBDO CORP US N 2 2047-10-25 Variable 6.27541000 N N N N N N RMS 32A A V/R 06/20/70 /GBP/ N/A RESIDENTIAL MORTGAGE SECURITIES 32 PLC SER 32A CL A V/R REGD 144A P/P /GBP/ 6.46294000 N/A 107032.19000000 NS 135421.04000000 0.070405154889 Long ABS-CBDO CORP GB Y 2 2070-06-20 Variable 6.46294000 N N N N N N ORO FWD USD 1Y P 2.72100 L 04/08/24 GLM N/A ORO FWD USD 1Y P 2.72100 L 04/08/24 GLM 0.00000000 N/A -200000.00000000 NC USD -4274.18000000 -0.00222213848 N/A DIR CORP US N 2 GOLDMAN SACHS AND CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased ORO FWD USD 1Y P 2.72100 L 04/08/24 GLM 0 -200000.00000000 USD 2.72100000 USD 2024-04-08 XXXX -4274.18000000 N N N JPMMT 2021-10 A3 V/R 10/25/44 N/A JP MORGAN MORTGAGE TRUST 2021-10 SER 2021-10 CL A3 V/R REGD 144A P/P 2.50000000 46654AAC3 331809.32000000 NS USD 266199.10000000 0.138396432836 Long ABS-CBDO CORP US Y 2 2051-12-25 Variable 2.50000000 N N N N N N N/A N/A IRS PSO/NR05.50 03/20/26 BARCUS3BXXX FLOAT N/A 1.00000000 NC -9026.71000000 -0.00469297027 N/A DIR GB N 2 BARCLAYS N/A N/A N/A Y 2026-03-20 -511856.22000000 GBP 502279.99000000 GBP 504959.98842228 GBP 549.52000000 N N N FNMA 30YR TBA 3.0% APR12 N/A FNMA 30YR TBA 3.0% APR12 3.00000000 01F030645 -2000000.00000000 NS USD -1713109.16000000 -0.89064236807 Short ABS-MBS USGA US N 2 2054-04-01 Fixed 3.00000000 N N N N N N UNITED KIN 1.75% 01/22/49/GBP/ N/A UNITED KINGDOM GILT /GBP/ REGD REG S 1.75000000 G4527HEG2 500000.00000000 NS 371131.70000000 0.192950702660 Long DBT NUSS GB N 2 2049-01-22 Fixed 1.75000000 N N N N N N N/A N/A KRW/USD FWD 20240320 000011553 USD N/A 1.00000000 NC N/A 273.35000000 0.000142114172 N/A DFE N/A N 2 BARCLAYS BANK PLC WHOLESALE N/A -132877019.00000000 KRW 99872.24000000 USD 2024-03-20 273.35000000 N N N JYSKE REALKRE 3% 10/01/47/DKK/ N/A JYSKE REALKREDIT A/S /DKK/ REGD SER 111E 3.00000000 K1R19DCF2 0.75000000 NS 0.10000000 0.000000051989 Long DBT CORP DK N 2 2047-10-01 Fixed 3.00000000 N N N N N N SROCK 2022- V/R 01/24/61 /EUR/ N/A SHAMROCK RESIDENTIAL 2022-1 DAC SER 2022-1 CL A V/R REGD REG S /EUR/ 4.71400000 G8103JAJ9 295016.66000000 NS 318833.90000000 0.165761170595 Long ABS-CBDO CORP IE N 2 2061-01-24 Variable 4.71400000 N N N N N N ESA 2021-ESH A V/R 07/15/26 N/A EXTENDED STAY AMERICA TRUST 2021-ESH SER 2021-ESH CL A V/R REGD 144A P/P 6.51248000 30227FAA8 366133.12000000 NS USD 365926.47000000 0.190244512955 Long ABS-CBDO CORP US Y 2 2038-07-15 Variable 6.51248000 N N N N N N NRZT 2019-RPL3 A V/R 07/25/59 N/A NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 SER 2019-RPL3 CL A1 V/R REGD 144A P/P 2.75000000 64830NAA9 163624.14000000 NS USD 154336.02000000 0.080239018938 Long ABS-CBDO CORP US Y 2 2059-07-25 Variable 2.75000000 N N N N N N LGATE 2007- V/R 01/01/61 /GBP/ 213800LADM2GPWI3P269 LUDGATE FUNDING PLC SER 2007-1 CL A2A V/R REGD /GBP/ 5.48330000 G571A3AW5 303143.22000000 NS 370766.11000000 0.192760633078 Long ABS-CBDO CORP GB N 2 2061-01-01 Variable 5.48330000 N N N N N N F/C EURO-BUXL 30Y BND MAR24 N/A FUTURE CONTRACT ON EURO-BUXL 30Y BND MAR24 /EUR/ 0.00000000 N/A 11.00000000 NC 1583112.55000000 0.823057364579 N/A DIR CORP DE N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Long F/C EURO-BUXL 30Y BND MAR24 EURO-BUXL 30Y BND MAR24 /EUR/ 2024-03-07 1548764.73000000 EUR 34347.82000000 N N N JPMMT 2022-INV1 V/R 12/25/43 N/A JP MORGAN MORTGAGE TRUST 2022-INV1 SER 2022-INV1 CL A3 V/R REGD 144A P/P 3.00000000 465973AC9 608125.95000000 NS USD 509245.40000000 0.264755766637 Long ABS-CBDO CORP US Y 2 2052-03-25 Variable 3.00000000 N N N N N N N/A N/A CCS USD R USSOFR/JPYMUTKCALM -59 BRC /LONG/ N/A 1.00000000 NC N/A 1255511.99000000 0.652738423232 N/A DFE N/A N 2 BARCLAYS N/A 0.00000000 N/A 1255714.29000000 USD 2025-02-03 -202.30000000 N N N N/A N/A JPY/USD FWD 20241001 000011091 USD N/A 1.00000000 NC N/A -9098.88000000 -0.00473049133 N/A DFE N/A N 2 GOLDMAN SACHS BANK USA (FORMER KD3XUN7C6T14HNAYLU02 -353506.79000000 USD 50000000.00000000 JPY 2024-10-01 -9098.88000000 N N N JAPAN (2 0.005% 05/01/24/JPY/ N/A JAPAN (2 YEAR ISSUE) /JPY/ REGD SER 436 0.00500000 J2S39LUD4 80000000.00000000 NS 533746.92000000 0.277494062773 Long DBT USGA JP N 2 2024-05-01 Fixed 0.00500000 N N N N N N GSMBS 2021-GR3 A V/R 04/25/52 N/A GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3 SER 2021-GR3 CL A2 V/R REGD 144A P/P 2.50000000 36263TAB8 82487.07000000 NS USD 66153.99000000 0.034393340300 Long ABS-CBDO CORP US Y 2 2052-04-25 Variable 2.50000000 N N N N N N FNR 2009-104 FA V/R 12/25/39 N/A FANNIE MAE REMICS SER 2009-104 CL FA V/R 6.23613000 31398GBB4 45986.39000000 NS USD 45991.59000000 0.023910944839 Long ABS-CBDO CORP US N 2 2039-12-25 Variable 6.23613000 N N N N N N N/A N/A IRS R04.87PMXIE 07/07/25 BARCUS3BXXX FIXED N/A 1.00000000 NC -310667.59000000 -0.16151552072 N/A DIR MX N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2025-07-07 -1570319.46000000 MXN 1480122.95000000 MXN 1836008.64625158 MXN -41688.16000000 N N N N/A N/A IRS R03.50PKWDC 03/20/34 BARC FIXED N/A 1.00000000 NC 11169.03000000 0.005806758588 N/A DIR KR N 2 BNP PARIBAS S.A. PARIS N/A N/A N/A Y 2034-03-20 -843193.11000000 KRW 874661.98000000 KRW 819101.96928677 KRW -20299.84000000 N N N OZLM 2014-9A A1A V/R 10/20/31 N/A OZLM IX LTD SER 2014-9A CL A1A3 V/R REGD 144A P/P 6.67942000 67109KBC7 467164.12000000 NS USD 467936.81000000 0.243279505066 Long ABS-CBDO CORP KY Y 2 2031-10-20 Variable 6.67942000 N N N N N N PACIFICORP 5.3% 02/15/31 N/A PACIFICORP REGD 5.30000000 695114DC9 200000.00000000 NS USD 197860.26000000 0.102867192955 Long DBT CORP US N 2 2031-02-15 Fixed 5.30000000 N N N N N N VIBR 2017-7A A1R V/R 09/15/30 N/A VIBRANT CLO VII LTD SER 2017-7A CL A1R V/R REGD 144A P/P 6.61942000 92558BAJ7 153489.19000000 NS USD 153565.01000000 0.079838172227 Long ABS-CBDO CORP KY Y 2 2030-09-15 Variable 6.61942000 N N N N N N N/A N/A IRS RSOFRP03.06 11/15/32 BARC FLOAT N/A 1.00000000 NC USD 87083.76000000 0.045274690042 N/A DIR US N 2 BANK OF AMERICA N/A N/A N/A Y 2032-11-15 -1100000.00000000 USD 1100000.00000000 USD 1100000.00000000 USD 72460.22000000 N N N MEFA 2008-1 A1 V/R 04/25/38 5493007K5OP7V6CL0Y88 MASSACHUSETTS EDUCATIONAL FINANCING AUTHORITY SER 2008-1 CL A1 V/R 6.57250000 57563NAA6 27239.24000000 NS USD 27169.79000000 0.014125524905 Long ABS-CBDO CORP US N 2 2038-04-25 Variable 6.57250000 N N N N N N ORO USD 10Y C 3.70000 L 03/28/24 JPM N/A ORO USD 10Y C 3.70000 L 03/28/24 JPM 0.00000000 N/A -1100000.00000000 NC USD -5127.76000000 -0.00266591319 N/A DIR CORP US N 2 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Call Purchased ORO USD 10Y C 3.70000 L 03/28/24 JPM 0 -1100000.00000000 USD 3.70000000 USD 2024-03-28 XXXX -5127.76000000 N N N CWHL 2005-11 3A1 V/R 04/25/35 N/A CHL MORTGAGE PASS-THROUGH TRUST 2005-11 SER 2005-11 CL 3A1 V/R REGD 3.73846900 12669GUM1 12050.15000000 NS USD 8214.08000000 0.004270485403 Long ABS-CBDO CORP US N 2 2035-04-25 Variable 3.73846900 N N N N N N JYSKE REALK 1.5% 10/01/53/DKK/ N/A JYSKE REALKREDIT A/S /DKK/ REGD SER CCE 1.50000000 K5S69JBQ5 470913.35000000 NS 54490.98000000 0.028329762398 Long DBT CORP DK N 2 2053-10-01 Fixed 1.50000000 N N N N N N TPMT 2019-4 A1 V/R 07/25/29 N/A TOWD POINT MORTGAGE TRUST 2019-4 SER 2019-4 CL A1 V/R REGD 144A P/P 2.90000000 89178BAA2 529406.63000000 NS USD 496053.96000000 0.257897560730 Long ABS-CBDO CORP US Y 2 2059-10-25 Variable 2.90000000 N N N N N N N/A N/A CAD/USD FWD 20240402 000004334 USD N/A 1.00000000 NC N/A 32558.08000000 0.016926887175 N/A DFE N/A N 2 JPMORGAN CHASE BANK NA N/A -8230054.14000000 CAD 6099449.83000000 USD 2024-04-02 32558.08000000 N N N DRYD 2017-2 V/R 04/15/33 /EUR/ N/A DRYDEN 27 R EURO CLO 2017 DAC SER 2017-27A CL AR V/R REGD 144A P/P /EUR/ 4.60200000 N/A 297694.98000000 NS 318192.66000000 0.165427791074 Long ABS-CBDO CORP IE Y 2 2033-04-15 Variable 4.60200000 N N N N N N N/A N/A MYR/USD FWD 20240320 000004066 USD N/A 1.00000000 NC N/A -7762.76000000 -0.00403584494 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 -12755098.00000000 MYR 2683024.40000000 USD 2024-03-20 -7762.76000000 N N N N/A N/A IRS R00.05PMUTK 12/15/31 BARC FIXED N/A 1.00000000 NC -166480.46000000 -0.08655289142 N/A DIR JP N 2 BARCLAY N/A N/A N/A Y 2031-12-15 -3740692.90000000 JPY 3575839.58000000 JPY 3268518.82733549 JPY -5468.63000000 N N N LETRA TESOUR ZCP 07/01/24/BRL/ N/A LETRA TESOURO NACIONAL /BRL/ REGD ZCP SER LTN 0.00000000 P8T60NJK8 3300000.00000000 NS 642308.07000000 0.333934809210 Long DBT USGA BR N 2 2024-07-01 Fixed 0.00000000 N N N N N N CASH COLLATERAL 0.5% 12/31/60 N/A CASH COLLATERAL LCH BCY USD REGD 0.50000000 N/A 2497000.00000000 NS USD 2497000.00000000 1.298185804512 Long STIV CORP US N 2 2060-12-31 Variable 0.50000000 N N N N N N N/A N/A IRS R04.00PNF3F 06/14/24 BARCUS3BXXX FIXED N/A 1.00000000 NC -101206.09000000 -0.05261686398 N/A DIR NZ N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2024-06-14 -6464329.39000000 NZD 6441670.52000000 NZD 6148879.35790942 NZD -27368.42000000 N N N UMBS P#BJ8703 3.5% 05/01/49 N/A FANNIE MAE POOL UMBS P#BJ8703 3.50000000 3140HAU57 31908.78000000 NS USD 28916.56000000 0.015033667483 Long ABS-MBS USGSE US N 2 2049-05-01 Fixed 3.50000000 N N N N N N WAMMS 2002-AR3 1 V/R 12/25/32 N/A WASHINGTON MUTUAL MSC MORTGAGE PASS-THROUG SER 2002-AR3 CL 1A7 V/R REGD 5.36887800 939336KZ5 40250.05000000 NS USD 38947.26000000 0.020248610355 Long ABS-CBDO CORP US N 2 2032-12-25 Variable 5.36887800 N N N N N N IRO EUR 5Y P 2.90000 L 03/20/24 BRC N/A IRO EUR 5Y P 2.90000 L 03/20/24 BRC 0.00000000 N/A -1300000.00000000 NC -2844.64000000 -0.00147892321 N/A DIR CORP US N 2 BARCLAYS CAPITAL (TRADING AS B K9WDOH4D2PYBSLSOB484 Put Purchased IRO EUR 5Y P 2.90000 L 03/20/24 BRC 0 -1300000.00000000 EUR 2.90000000 EUR 2024-03-20 XXXX -2844.64000000 N N N FRANCE (GO 0.75% 05/25/52/EUR/ N/A FRANCE (GOVT OF) /EUR/ REGD REG S 0.75000000 F26348CC8 1650000.00000000 NS 964394.46000000 0.501386943501 Long DBT USGA FR N 2 2052-05-25 Fixed 0.75000000 N N N N N N FNW 2004-W12 1A1 6% 7/25/44 N/A FNW 2004-W12 1A1 6% 7/25/44 6.00000000 31394A6Y7 22354.50000000 NS USD 22825.83000000 0.011867107922 Long ABS-CBDO CORP US N 2 2044-07-25 Fixed 6.00000000 N N N N N N JAPAN (2 0.005% 04/01/24/JPY/ N/A JAPAN (2 YEAR ISSUE) /JPY/ REGD SER 435 0.00500000 J2S39LTK0 180000000.00000000 NS 1200817.56000000 0.624302887545 Long DBT USGA JP N 2 2024-04-01 Fixed 0.00500000 N N N N N N DEUTSCHE BANK NY V/R 01/07/28 N/A DEUTSCHE BANK NY REGD V/R 144A 2.55200000 25160PAH0 400000.00000000 NS USD 364701.96000000 0.189607892410 Long DBT CORP US Y 2 2028-01-07 Variable 2.55200000 N N N N N N N/A N/A IRS R03.72PSOFR 02/07/34 BARCUS3BXXX FIXED N/A 1.00000000 NC USD -2531.52000000 -0.00131613269 N/A DIR US N 2 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 N/A N/A Y 2034-02-07 -200000.00000000 USD 200000.00000000 USD 200000.00000000 USD -2531.52000000 N N N F/C US 10YR NOTE (CBT)JUN24 N/A FUTURE CONTRACT ON US 10YR NOTE (CBT)JUN24 0.00000000 N/A -106.00000000 NC USD -11706375.00000000 -6.08612328686 N/A DIR CORP US N 1 BARCLAYS CAPITAL AC28XWWI3WIBK2824319 Short F/C US 10YR NOTE (CBT)JUN24 US 10YR 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