NPORT-P false 0000822977 XXXXXXXX S000046190 C000144475 C000196984 C000201713 GOLDMAN SACHS TRUST 811-05349 0000822977 S2FHCT8U6D2VORP0J605 71 SOUTH WACKER DRIVE C/O GOLDMAN SACHS & CO CHICAGO 60606 312-655-4400 Goldman Sachs Tactical Tilt Overlay Fund S000046190 549300Y7D0XH3BSLUI66 2020-08-31 2020-05-31 N 3085486407.57 112103294.27 2973383113.30 0.00000000 496117626.77000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 158961736.63000000 GBP TWD AUD SGD EUR CAD MXN JPY NZD HKD SEK KRW USD ZAR N SVENSKA HANDLSBNKN A N/A 86959RCW8 7000000.00000000 PA USD 7043534.54000000 0.236886209129 Long STIV CORP SE N 2 2020-10-19 Fixed 1.92000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 189703819.51000000 OU Notional Amount USD -19081958.49000000 -0.64175915994 N/A DE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 JPGSVENK Index JPGSVENK Advanced Micro Devices Inc -2736.95000000 USD -147247.84000000 USD IPG Photonics Corp -2287.32000000 USD -355450.14000000 USD CMS Energy Corp -2877.97000000 USD -168591.39000000 USD Atmos Energy Corp -1608.62000000 USD -165333.53000000 USD Freeport-McMoRan Inc -32273.99000000 USD -292725.07000000 USD Genuine Parts Co -1815.65000000 USD -151443.58000000 USD Alexandria Real Estate Equities Inc -996.89000000 USD -153242.44000000 USD Equinix Inc -224.37000000 USD -156529.69000000 USD Eversource Energy -2016.06000000 USD -168743.86000000 USD Fastenal Co -1912.03000000 USD -78890.35000000 USD Crown Castle International Corp -962.35000000 USD -165677.96000000 USD International Flavors & Fragrances Inc -1078.09000000 USD -143591.17000000 USD Duke Realty Corp -4520.15000000 USD -155854.76000000 USD Prudential Financial Inc -2292.89000000 USD -139774.77000000 USD Centene Corp -3205.77000000 USD -212382.39000000 USD Marathon Petroleum Corp -9337.82000000 USD -328131.07000000 USD Occidental Petroleum Corp -17915.87000000 USD -232010.47000000 USD ONEOK Inc -9772.29000000 USD -358545.42000000 USD Ventas Inc -2712.22000000 USD -94791.92000000 USD Vornado Realty Trust -3583.83000000 USD -129770.48000000 USD Boston Scientific Corp -11574.27000000 USD -439706.33000000 USD Albemarle Corp -2376.72000000 USD -181866.90000000 USD Fiserv Inc -1361.79000000 USD -145397.85000000 USD First Republic Bank/CA -678.59000000 USD -73403.14000000 USD Live Nation Entertainment Inc -6631.96000000 USD -326027.28000000 USD ViacomCBS Inc -4147.00000000 USD -86008.68000000 USD Twitter Inc -9807.39000000 USD -303734.98000000 USD Fifth Third Bancorp -3841.28000000 USD -74482.42000000 USD Invesco Ltd -17086.23000000 USD -136177.25000000 USD TransDigm Group Inc -781.34000000 USD -331927.23000000 USD Capri Holdings Ltd -9779.30000000 USD -147080.68000000 USD Wynn Resorts Ltd -1688.96000000 USD -140656.93000000 USD FedEx Corp -1154.98000000 USD -150794.60000000 USD Williams Cos Inc/The -14719.03000000 USD -300709.72000000 USD DTE Energy Co -799.67000000 USD -86020.90000000 USD Hess Corp -6166.17000000 USD -292707.89000000 USD Diamondback Energy Inc -6778.50000000 USD -288628.36000000 USD Align Technology Inc -2049.38000000 USD -503369.66000000 USD Sempra Energy -1342.64000000 USD -169588.43000000 USD Archer-Daniels-Midland Co -7774.43000000 USD -305612.83000000 USD Welltower Inc -3180.24000000 USD -161142.94000000 USD Netflix Inc -657.49000000 USD -275970.34000000 USD MarketAxess Holdings Inc -303.52000000 USD -154365.79000000 USD Paycom Software Inc -564.92000000 USD -167911.69000000 USD Phillips 66 -4114.50000000 USD -322000.42000000 USD American Water Works Co Inc -1350.86000000 USD -171559.02000000 USD Alliant Energy Corp -1703.94000000 USD -84106.40000000 USD American International Group Inc -2856.05000000 USD -85852.78000000 USD Noble Energy Inc -31097.71000000 USD -271483.03000000 USD People's United Financial Inc -11409.86000000 USD -130642.91000000 USD CenterPoint Energy Inc -4891.32000000 USD -86967.74000000 USD Apache Corp -24205.49000000 USD -261177.25000000 USD Illumina Inc -680.92000000 USD -247206.96000000 USD Royal Caribbean Cruises Ltd -6697.03000000 USD -347375.03000000 USD Lincoln National Corp -8406.34000000 USD -318852.47000000 USD Franklin Resources Inc -7571.77000000 USD -142879.22000000 USD Chipotle Mexican Grill Inc -156.04000000 USD -156646.09000000 USD ServiceNow Inc -402.11000000 USD -155988.90000000 USD DuPont de Nemours Inc -6058.08000000 USD -307326.58000000 USD Copart Inc -3475.98000000 USD -310717.45000000 USD Starbucks Corp -1850.10000000 USD -144289.37000000 USD Healthpeak Properties Inc -5984.93000000 USD -147468.62000000 USD Kimco Realty Corp -14200.09000000 USD -157762.95000000 USD Marriott International Inc/MD -3221.69000000 USD -285119.19000000 USD Boston Properties Inc -1619.72000000 USD -139263.76000000 USD Fidelity National Information Services I -2111.83000000 USD -293184.75000000 USD Global Payments Inc -1689.17000000 USD -303189.61000000 USD Edison International -2891.40000000 USD -168019.51000000 USD ANSYS Inc -534.03000000 USD -151129.87000000 USD UDR Inc -2278.71000000 USD -84266.69000000 USD PPL Corp -6474.56000000 USD -180899.26000000 USD Federal Realty Investment Trust -1048.98000000 USD -83824.37000000 USD American Express Co -1545.73000000 USD -146952.64000000 USD salesforce.com Inc -873.05000000 USD -152600.52000000 USD CarMax Inc -3841.82000000 USD -338271.98000000 USD Western Digital Corp -3372.51000000 USD -149638.05000000 USD Concho Resources Inc -4812.94000000 USD -262401.35000000 USD Truist Financial Corp -1926.06000000 USD -70840.44000000 USD Stryker Corp -1153.13000000 USD -225702.74000000 USD Darden Restaurants Inc -977.23000000 USD -75109.83000000 USD Dominion Energy Inc -2129.64000000 USD -181041.04000000 USD Marsh & McLennan Cos Inc -1405.96000000 USD -148919.61000000 USD ABIOMED Inc -2270.19000000 USD -508296.43000000 USD Walt Disney Co/The -2588.04000000 USD -303576.79000000 USD Equifax Inc -1980.11000000 USD -304066.24000000 USD Prologis Inc -1733.11000000 USD -158579.85000000 USD Gap Inc/The -8717.69000000 USD -77587.43000000 USD Apartment Investment and Management Co -2255.59000000 USD -83163.56000000 USD Newmont Corp -4476.76000000 USD -261756.38000000 USD PayPal Holdings Inc -565.95000000 USD -87728.16000000 USD Amcor PLC -7863.99000000 USD -80291.35000000 USD PerkinElmer Inc -1178.75000000 USD -118428.74000000 USD Amazon.com Inc -59.72000000 USD -145854.67000000 USD Realty Income Corp -2906.37000000 USD -160751.38000000 USD Xcel Energy Inc -1294.81000000 USD -84201.43000000 USD Westinghouse Air Brake Technologies Corp -5018.16000000 USD -306458.92000000 USD Fortive Corp -1123.61000000 USD -68517.97000000 USD Y equity-performance leg 2020-07-03 0.00000000 USD 0.00000000 USD 189703819.51000000 USD -19081958.49000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 111965.08000000 0.003765578660 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 99476886.00000000 ZAR 5768234.61000000 USD 2020-06-17 111965.08000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6981423.78000000 -0.23479731719 N/A DFE ZA N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 62404138.12000000 USD 974720000.00000000 ZAR 2020-06-17 -6981423.78000000 N N N CITIGROUP GLOBAL MKTS INC S N/A 17327AK63 24000000.00000000 PA USD 23981800.08000000 0.806549279597 Long STIV CORP US N 2 2020-10-06 None 0.00000000 N N N N N N MUFG BK LTD N Y BRH DISC COML C3GTMMZIHMY46P4OIX74 55379W4H6 11000000.00000000 PA USD 11068878.15000000 0.372265454138 Long STIV CORP JP N 2 2020-10-15 Fixed 1.97000000 N N N N N N ING (US) FUNDING LLC N/A 44988GBW7 23500000.00000000 PA USD 23503854.71000000 0.790475152860 Long STIV CORP US N 2 2020-08-10 Floating 0.39000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 108706.62000000 0.003655991033 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 96634689.00000000 ZAR 5603368.43000000 USD 2020-06-17 108706.62000000 N N N NORINCHUKIN BK N/A 65602VE77 10000000.00000000 PA USD 10000727.90000000 0.336341719816 Long STIV CORP JP N 2 2020-07-06 Fixed 0.24000000 N N N N N N BOEING COMPANY RVHJWBXLJ1RFUBSY1F30 09702LL45 12750000.00000000 PA USD 12632081.63000000 0.424838682021 Long STIV CORP US N 2 2020-11-04 None 0.00000000 N N N N N N Energy Select Sector SPDR Fund 54930064FLK0RD4TRU75 81369Y506 2124105.00000000 NS USD 82330309.80000000 2.768910250136 Long EC RF US N 1 N N N RIDGEFIELD FUNDNG CO LLC N/A 76582EDT9 15000000.00000000 PA USD 15001033.35000000 0.504510612268 Long STIV CORP US N 2 2020-06-05 Floating 0.55000000 N N N N N N SHELL INTNL FNC B.V 213800ITMMKU4Z7I4F78 8225X2FW9 15500000.00000000 PA USD 15496996.41000000 0.521190704981 Long STIV CORP US N 2 2020-06-30 None 0.00000000 N N N N N N ENTERGY CORP N/A 29366EF27 13600000.00000000 PA USD 13599215.69000000 0.457365067729 Long STIV CORP US N 2 2020-06-02 None 0.00000000 N N N N N N CIESCO LLC N/A 17177LFA7 19350000.00000000 PA USD 19349187.30000000 0.650746525513 Long STIV CORP US N 2 2020-06-10 None 0.00000000 N N N N N N LVMH MOET HEN LV SE N/A 50244LHM9 19500000.00000000 PA USD 19486987.07000000 0.655380969335 Long STIV CORP FR N 2 2020-08-21 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -24378.99000000 -0.00081990746 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7114282.84000000 USD 212340000.00000000 TWD 2020-06-17 -24378.99000000 N N N MATCHPOINT FINANCE PLC 635400YCKMVA7GIA6Q33 57666AG71 30000000.00000000 PA USD 29990705.10000000 1.008639114342 Long STIV CORP IE N 2 2020-07-07 None 0.00000000 N N N N N N KOREA DEVELOPMENT BANK/THE N/A 5006E0QB5 19000000.00000000 PA USD 18935093.91000000 0.636819850940 Long STIV CORP US N 2 2021-03-11 None 0.00000000 N N N N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 -45906.00000000 NC USD -16240034.15000000 -0.54618034512 N/A DE US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written S&P 500 Index SPX Index 1.00000000 2845.92000000 USD 2020-12-31 XXXX -5180599.34000000 N N N NATIONAL BANK OF CANADA BSGEFEIOM18Y80CKCV46 63307NEF0 10303000.00000000 PA USD 10305452.84000000 0.346590144872 Long STIV CORP CA N 2 2020-08-19 Variable 0.41000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 122400000.00000000 OU Notional Amount 246752.92000000 0.008298726083 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2030-02-26 1555.34000000 MXN 0.00000000 MXN 122400000.00000000 MXN 246679.00000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -20196.19000000 -0.00067923268 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11202157.03000000 USD 2020-06-17 -20196.19000000 N N N VERIZON COMMNTN INC N/A 92344LGD1 11394000.00000000 PA USD 11383816.61000000 0.382857377479 Long STIV CORP US N 2 2020-07-13 None 0.00000000 N N N N N N LVMH N/A 55078TH75 4000000.00000000 PA USD 3998288.88000000 0.134469347798 Long STIV CORP US N 2 2020-08-07 None 0.00000000 N N N N N N KFW INTL FINANCE INC 549300GDPG70E3MBBU98 48246TQ10 24000000.00000000 PA USD 23947008.00000000 0.805379161968 Long STIV CORP US N 2 2021-03-01 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 57300.27000000 0.001927106861 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 48317344.00000000 ZAR 2804631.15000000 USD 2020-06-17 57300.27000000 N N N Goldman Sachs MLP & Energy Fund 5493004HQKOKO2ODA746 38148U239 7616995.68100000 NS USD 54461519.12000000 1.831634775767 Long EC RF US N 1 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 272620000.00000000 OU Notional Amount 539895.67000000 0.018157622123 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2030-02-26 2131.82000000 MXN 0.00000000 MXN 272620000.00000000 MXN 539794.16000000 N N N CREDIT SUISSE NEW YORK ANGGYXNX0JLX3X63JN86 22549LE92 18250000.00000000 PA USD 18251314.37000000 0.613823166223 Long STIV CORP CH N 2 2020-11-18 Floating 0.27000000 N N N N N N NATWEST MARKET N/A 63906EGH9 15000000.00000000 PA USD 14984401.65000000 0.503951259525 Long STIV CORP GB N 2 2020-07-17 None 0.00000000 N N N N N N NORDEA BANK ABP NEW YORK 529900ODI3047E2LIV03 65558TQW8 23000000.00000000 PA USD 23008246.88000000 0.773807007145 Long STIV CORP FI N 2 2020-12-07 Variable 1.11000000 N N N N N N STARBIRD FDG. CORP 549300A8DDPP6QJBB522 85520LJN6 4500000.00000000 PA USD 4496404.01000000 0.151221818335 Long STIV CORP US N 2 2020-09-22 None 0.00000000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 83368YDJ3 11000000.00000000 PA USD 11004640.02000000 0.370105015084 Long STIV CORP FR N 2 2020-08-17 Variable 0.50000000 N N N N N N STANDARD CHARTERED BK/NY RILFO74KP1CM8P6PCT96 85325V3S7 8000000.00000000 PA USD 7979929.20000000 0.268378775822 Long STIV CORP GB N 2 2021-02-08 Variable 0.44000000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 40435RGK1 14400000.00000000 PA USD 14405632.56000000 0.484486257272 Long STIV CORP US N 2 2020-10-23 Floating 1.12000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 45906.00000000 NC USD 16240034.15000000 0.546180345121 N/A DE US N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Purchased S&P 500 Index SPX Index 1.00000000 2845.92000000 USD 2020-12-31 XXXX 9195616.14000000 N N N Goldman Sachs MLP Energy Infrastructure Fund 549300QNI1STTSJRLK10 38150C887 23487198.77400000 NS USD 87842123.41000000 2.954282043813 Long EC RF US N 1 N N N WESTPAC BANKING CORP EN5TNI6CI43VEPAMHL14 9612C4H79 15000000.00000000 PA USD 15009238.35000000 0.504786560563 Long STIV CORP AU N 2 2020-10-30 Floating 0.89000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 500800000.00000000 OU Notional Amount 1000687.59000000 0.033654848765 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2030-02-26 6363.70000000 MXN 0.00000000 MXN 500800000.00000000 MXN 1000384.56000000 N N N THUNDER BAY FNDNG LLC N/A 88602TKN2 18000000.00000000 PA USD 17978464.98000000 0.604646770864 Long STIV CORP US N 2 2020-10-22 None 0.00000000 N N N N N N NATIONAL BANK OF KUWAIT SAKP N/A 63376DCT0 15000000.00000000 PA USD 15004173.30000000 0.504616214200 Long STIV CORP KW N 2 2020-07-07 Fixed 0.55000000 N N N N N N ABN AMRO FUNDING USA LC N/A 00084BLD4 2500000.00000000 PA USD 2493350.00000000 0.083855658856 Long STIV CORP US N 2 2020-11-13 None 0.00000000 N N N N N N COMPASS GROUP PLC N/A 20453PGX6 3400000.00000000 PA USD 3398423.25000000 0.114294832536 Long STIV CORP US N 2 2020-07-31 None 0.00000000 N N N N N N STARBUCKS CORPORATION N/A 8552M2NV1 15500000.00000000 PA USD 15354112.76000000 0.516385281510 Long STIV CORP US N 2 2021-01-29 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1775021.51000000 -0.05969703339 N/A DFE XX N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 233831369.87000000 USD 208970000.00000000 EUR 2020-06-17 -1775021.51000000 N N N LANDESBANK HESSEN-THURINGEN N/A 51489GP43 6000000.00000000 PA USD 5983308.48000000 0.201228978978 Long STIV CORP US N 2 2021-02-04 None 0.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78014XDT1 15000000.00000000 PA USD 15002846.10000000 0.504571578176 Long STIV CORP CA N 2 2020-07-29 Floating 0.41000000 N N N N N N GLAXOSMITHKLINE LLC N/A 37737PHD1 9400000.00000000 PA USD 9387418.66000000 0.315715072773 Long STIV CORP US N 2 2020-08-13 None 0.00000000 N N N N N N BASF AKTIENGESELLSCH N/A 05526LJE8 3000000.00000000 PA USD 2990496.00000000 0.100575535881 Long STIV CORP DE N 2 2020-09-14 None 0.00000000 N N N N N N AIRBUS GROUP FINANCE N/A 00927WFN4 18000000.00000000 PA USD 17998871.94000000 0.605333092109 Long STIV CORP NL N 2 2020-06-22 None 0.00000000 N N N N N N BASF AKTIENGESELLSCH N/A 05526LG68 4900000.00000000 PA USD 4892158.92000000 0.164531738211 Long STIV CORP DE N 2 2020-07-06 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 200426.26000000 0.006740680644 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 99891846.00000000 ZAR 5880290.47000000 USD 2020-06-17 200426.26000000 N N N OLD LINE FUNDING LLC N/A 67984XGC4 15000000.00000000 PA USD 14992061.25000000 0.504208865078 Long STIV CORP US N 2 2020-08-10 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -23227.12000000 -0.00078116808 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 97487348.00000000 ZAR 5519917.00000000 USD 2020-06-17 -23227.12000000 N N N EXXON MOBIL CORP J3WHBG0MTS7O8ZVMDC91 30229AHA0 5000000.00000000 PA USD 4998083.75000000 0.168094172851 Long STIV CORP US N 2 2020-08-10 None 0.00000000 N N N N N N BNZ INTL FUNDING/LONDON 549300HVMZ89HDMELW08 0556X4GB6 18000000.00000000 PA USD 18002446.56000000 0.605453312742 Long STIV CORP NZ N 2 2020-06-25 Floating 0.35000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -10636.96000000 -0.00035773930 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11211716.26000000 USD 2020-06-17 -10636.96000000 N N N COOPERAT RABOBANK UA/NY DG3RU1DBUFHT4ZF9WN62 21684L3X8 8625000.00000000 PA USD 8625872.16000000 0.290102951127 Long STIV CORP NL N 2 2020-06-19 Variable 0.33000000 N N N N N N BAYER CORP N/A 07273LGF9 13400000.00000000 PA USD 13387054.13000000 0.450229708715 Long STIV CORP US N 2 2020-07-15 None 0.00000000 N N N N N N KELLS FDG LLC N/A 48802TU45 11000000.00000000 PA USD 10999672.75000000 0.369937957231 Long STIV CORP US N 2 2020-06-15 None 0.00000000 N N N N N N SOCIETE GENERALE N/A 83369BLC8 10000000.00000000 PA USD 9983300.00000000 0.335755589494 Long STIV CORP FR N 2 2020-11-12 None 0.00000000 N N N N N N SVENSKA HANDLSBNKN A N/A 86959RFQ8 11000000.00000000 PA USD 11066494.45000000 0.372185286198 Long STIV CORP SE N 2 2021-03-03 Fixed 1.15000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 105932.50000000 0.003562692595 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 97771568.00000000 ZAR 5665237.41000000 USD 2020-06-17 105932.50000000 N N N BARTON CAPITAL CORP. 549300KOFKIMD0C37W24 06945LH76 2250000.00000000 PA USD 2248963.13000000 0.075636507113 Long STIV CORP US N 2 2020-08-07 None 0.00000000 N N N N N N BP CAPITAL MARKETS PLC N/A 05568THD4 18000000.00000000 PA USD 17989588.08000000 0.605020859892 Long STIV CORP GB N 2 2020-08-13 None 0.00000000 N N N N N N ALBION CAPITAL CORP N/A 01329WHR5 3000000.00000000 PA USD 2998423.32000000 0.100842145318 Long STIV CORP US N 2 2020-08-25 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 137786.50000000 0.004633997529 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 97203128.00000000 ZAR 5664769.83000000 USD 2020-06-17 137786.50000000 N N N COOPERAT RABOBANK UA/NY DG3RU1DBUFHT4ZF9WN62 21684L3Z3 25000000.00000000 PA USD 25003831.50000000 0.840921958161 Long STIV CORP NL N 2 2020-06-30 Floating 0.33000000 N N N N N N DNB BANK ASA 549300GKFG0RYRRQ1414 2332K4KN3 11000000.00000000 PA USD 10998439.43000000 0.369896478553 Long STIV CORP NO N 2 2021-02-24 Variable 0.27000000 N N N N N N RECKITT BENCKISER TREAS 213800LAXWIUOOBZ3908 7562E0JE7 21480000.00000000 PA USD 21452419.68000000 0.721481856274 Long STIV CORP US N 2 2020-09-14 None 0.00000000 N N N N N N BNG BK N V DISC COML PAPER N/A 09657RJ40 20000000.00000000 PA USD 19990962.20000000 0.672330521774 Long STIV CORP US N 2 2020-09-04 None 0.00000000 N N N N N N VW CR INC 549300UUPJ2NXDB68M19 91842JHB8 12000000.00000000 PA USD 11977800.00000000 0.402834062870 Long STIV CORP US N 2 2020-08-11 None 0.00000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78014XCU9 5500000.00000000 PA USD 5500076.07000000 0.184977039971 Long STIV CORP CA N 2 2020-06-12 Floating 0.33000000 N N N N N N J.P. Morgan Clearing Corp. 549300BRNI54SX6NX725 000000000 149082481.51000000 OU Notional Amount 7118188.37000000 0.239396946130 N/A DE DE N 2 J.P. Morgan Clearing Corp. 549300BRNI54SX6NX725 EURO STOXX Banks Net Return Index SX7T Index Y equity-performance leg 2020-10-02 0.00000000 EUR 0.00000000 EUR 149082481.51000000 EUR 7118188.37000000 N N N CREDIT AGRICOLE CIB NY 1VUV7VQFKUOQSJ21A208 22532XMF2 9000000.00000000 PA USD 9000249.39000000 0.302693902771 Long STIV CORP FR N 2 2020-06-12 Variable 0.38000000 N N N N N N EUROPEAN INVT BNK 5493006YXS1U5GIHE750 29878RJ25 10000000.00000000 PA USD 9995280.00000000 0.336158497547 Long STIV CORP LU N 2 2020-09-02 None 0.00000000 N N N N N N NATIXIS NY N/A 63873QDX9 19000000.00000000 PA USD 19054503.97000000 0.640835817112 Long STIV CORP FR N 2 2020-08-03 Fixed 1.72000000 N N N N N N BANCO ESTADO CHILE/NY 5493004R4EJC0W0XVQ72 05971XSB8 7169000.00000000 PA USD 7170623.20000000 0.241160419857 Long STIV CORP CL N 2 2020-07-23 Floating 1.11000000 N N N N N N CAN AST + CAN LTD JT N/A 13738JH60 5000000.00000000 PA USD 4998112.10000000 0.168095126310 Long STIV CORP US N 2 2020-08-06 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3118260.48000000 0.104872475600 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 110800000.00000000 EUR 126159096.00000000 USD 2020-06-17 3118260.48000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -25094.14000000 -0.00084395918 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7114997.99000000 USD 212340000.00000000 TWD 2020-06-17 -25094.14000000 N N N INTL BUS MACH CORP N/A 45920FFF0 3200000.00000000 PA USD 3199886.66000000 0.107617704751 Long STIV CORP US N 2 2020-06-15 None 0.00000000 N N N N N N BPCE N/A 05571BJ38 8000000.00000000 PA USD 7995451.76000000 0.268900826275 Long STIV CORP FR N 2 2020-09-03 None 0.00000000 N N N N N N COCA-COLA COMPANY N/A 19121AFJ5 4250000.00000000 PA USD 4249756.82000000 0.142926648133 Long STIV CORP US N 2 2020-06-18 None 0.00000000 N N N N N N COLUMBIA FDG CO N/A 19767CHB5 10000000.00000000 PA USD 9993689.40000000 0.336105002927 Long STIV CORP US N 2 2020-08-11 None 0.00000000 N N N N N N CHINA CONSTR BK CORP N/A 16891MGV5 12000000.00000000 PA USD 11989609.68000000 0.403231242767 Long STIV CORP US N 2 2020-07-29 None 0.00000000 N N N N N N BANCO SANTANDER SA/NY 5493006QMFDDMYWIAM13 05971RKL7 23000000.00000000 PA USD 22965960.00000000 0.772384826471 Long DBT CORP ES N 2 2020-10-20 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -27717.58000000 -0.00093218999 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7117621.43000000 USD 212340000.00000000 TWD 2020-06-17 -27717.58000000 N N N OVERSEA-CHINESE BANKING 5493007O3QFXCPOGWK22 69034CJN9 24000000.00000000 PA USD 24009093.12000000 0.807467191584 Long STIV CORP SG N 2 2020-09-03 Variable 1.56000000 N N N N N N COLLATERALIZED CP FLEX N/A 19423JGN1 20000000.00000000 PA USD 19996160.00000000 0.672505332748 Long STIV CORP US N 2 2020-07-22 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3973503.01000000 -0.13363575626 N/A DFE KR N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 116197035.23000000 USD 138350000000.00000000 KRW 2020-06-17 -3973503.01000000 N N N PFIZER INC N/A 71708EJW6 5000000.00000000 PA USD 4997227.20000000 0.168065365598 Long STIV CORP US N 2 2020-09-30 None 0.00000000 N N N N N N BEDFORD ROW FDG CORP N/A 07644AJ21 20000000.00000000 PA USD 19994346.60000000 0.672444344980 Long STIV CORP US N 2 2020-09-02 None 0.00000000 N N N N N N HONEYWELL INTERNATN' N/A 43851TSL1 14000000.00000000 PA USD 13935623.38000000 0.468679038286 Long STIV CORP US N 2 2021-05-20 None 0.00000000 N N N N N N COLLATERALIZED CP FLEX N/A 19423JKE6 8917000.00000000 PA USD 8913376.76000000 0.299772226462 Long STIV CORP US N 2 2020-10-14 None 0.00000000 N N N N N N NATIXIS NY BRANCH KX1WK48MPD4Y2NCUIZ63 63873N4F5 7000000.00000000 PA USD 7001893.50000000 0.235485749168 Long STIV CORP FR N 2 2020-08-06 Variable 0.45000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -23968.18000000 -0.00080609121 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11198385.04000000 USD 2020-06-17 -23968.18000000 N N N NATIXIS NY BRANCH KX1WK48MPD4Y2NCUIZ63 63873N2A8 3000000.00000000 PA USD 3000264.42000000 0.100904064685 Long STIV CORP FR N 2 2020-06-05 Variable 0.59000000 N N N N N N BAYER CORP N/A 07273LGP7 5000000.00000000 PA USD 4993598.60000000 0.167943329524 Long STIV CORP US N 2 2020-07-23 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -20105.48000000 -0.00067618195 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11202247.74000000 USD 2020-06-17 -20105.48000000 N N N NATIXIS NY BRANCH KX1WK48MPD4Y2NCUIZ63 63873QAL8 11000000.00000000 PA USD 11009886.80000000 0.370281473341 Long STIV CORP FR N 2 2020-11-13 Floating 0.63000000 N N N N N N BAYERISCHE LANDESBANK NY VDYMYTQGZZ6DU0912C88 0727MAX30 12554000.00000000 PA USD 12538007.58000000 0.421674809543 Long STIV CORP DE N 2 2021-01-22 Floating 1.30000000 N N N N N N GOTHAM FDG CORP N/A 38346LHU3 5000000.00000000 PA USD 4996208.35000000 0.168031099916 Long STIV CORP US N 2 2020-08-28 None 0.00000000 N N N N N N EUROPEAN INVT BNK 5493006YXS1U5GIHE750 29878RF11 11900000.00000000 PA USD 11899960.37000000 0.400216181923 Long STIV CORP LU N 2 2020-06-01 None 0.00000000 N N N N N N VW CR INC N/A 91842JNV7 14950000.00000000 PA USD 14812646.88000000 0.498174850517 Long STIV CORP US N 2 2021-01-29 None 0.00000000 N N N N N N BASF AKTIENGESELLSCH N/A 05526LG84 5000000.00000000 PA USD 4991777.80000000 0.167882092881 Long STIV CORP DE N 2 2020-07-08 None 0.00000000 N N N N N N MANHATTAN ASSET FDG. N/A 56274LGT5 25000000.00000000 PA USD 24994960.50000000 0.840623611138 Long STIV CORP US N 2 2020-07-27 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2798.91000000 0.000094132168 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11225152.13000000 USD 2020-06-17 2798.91000000 N N N CANADIAN IMP BK COMM NY 2IGI19DL77OX0HC3ZE78 13606B3M6 15000000.00000000 PA USD 15000633.00000000 0.504497147807 Long STIV CORP CA N 2 2020-07-10 Variable 0.33000000 N N N N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 90276JJP2 15500000.00000000 PA USD 15501453.59000000 0.521340607628 Long STIV CORP CH N 2 2020-07-16 Floating 1.17000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 442400000.00000000 OU Notional Amount 1187262.78000000 0.039929694047 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2029-10-15 5409.83000000 MXN 0.00000000 MXN 442400000.00000000 MXN 1186977.51000000 N N N SKANDINAV ENSKILDA BK NY F3JS33DEI6XQ4ZBPTN86 83050PEX3 20000000.00000000 PA USD 20014127.40000000 0.673109607385 Long STIV CORP SE N 2 2020-10-16 Floating 1.35000000 N N N N N N BASF AKTIENGESELLSCH N/A 05526LH42 3000000.00000000 PA USD 2993746.68000000 0.100684861853 Long STIV CORP DE N 2 2020-08-04 None 0.00000000 N N N N N N SHEFFIELD RECEIVABLE N/A 82124LJ11 5000000.00000000 PA USD 4996701.40000000 0.168047682037 Long STIV CORP US N 2 2020-09-01 None 0.00000000 N N N N N N SVENSKA HANDELSBANKEN NY NHBDILHZTYCNBV5UYZ31 86959RCU2 25000000.00000000 PA USD 25016729.75000000 0.841355748544 Long STIV CORP SE N 2 2020-10-16 Floating 1.34000000 N N N N N N Alerian MLP ETF 549300WPBLCQJSVVVV61 00162Q452 2022545.00000000 NS USD 54244656.90000000 1.824341325453 Long EC RF US N 1 N N SCHLUMBERGER HOLDINGS N/A 80686DJF2 2821000.00000000 PA USD 2794453.46000000 0.093982287297 Long STIV CORP US N 2 2020-09-15 None 0.00000000 N N N N N N Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 000000000 -37480000.00000000 OU Notional Amount USD -1736973.12000000 -0.05841740044 N/A DFE US N 2 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Put Written Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 Deutsche Bank Aktiengesellschaft 7LTWFZYICNSX8D621K86 N/A 1.00000000 NC USD -1736973.12000000 -0.06000000 DFE XX 37480000.00000000 USD 849971440.00000000 MXN 2020-11-25 1.00000000 22.67800000 USD 2020-11-25 XXXX 48686.15000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -28672.03000000 -0.00096428979 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7118575.88000000 USD 212340000.00000000 TWD 2020-06-17 -28672.03000000 N N N SUMITOMO MITSUI TRUST NY 5493006GGLR4BTEL8O61 86564F3T8 9000000.00000000 PA USD 9001401.30000000 0.302732643490 Long STIV CORP JP N 2 2020-06-23 Variable 0.39000000 N N N N N N SUMITOMO MITSUI BKG CORP N/A 86565CFF1 11000000.00000000 PA USD 11000288.97000000 0.369958681772 Long STIV CORP JP N 2 2020-09-01 Fixed 0.30000000 N N N N N N STANDARD CHARTERED BK/NY RILFO74KP1CM8P6PCT96 85325V3L2 17000000.00000000 PA USD 17006796.09000000 0.571967871006 Long STIV CORP GB N 2 2020-10-13 Floating 1.40000000 N N N N N N SANOFI 549300E9PC51EN656011 8010M2JE3 10000000.00000000 PA USD 9993460.00000000 0.336097287809 Long STIV CORP FR N 2 2020-09-14 None 0.00000000 N N N N N N EXXON MOBIL CORP J3WHBG0MTS7O8ZVMDC91 30229AH69 10350000.00000000 PA USD 10346310.23000000 0.347964249333 Long STIV CORP US N 2 2020-08-06 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3606681.88000000 0.121298929285 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 98170000.00000000 EUR 112622194.72000000 USD 2020-06-17 3606681.88000000 N N N CHARTA LLC 5493000FNFK79LCM6M65 16115VFA2 17800000.00000000 PA USD 17799454.07000000 0.598626325359 Long STIV CORP US N 2 2020-06-10 None 0.00000000 N N N N N N BANK OF MONTREAL CHICAGO NQQ6HPCNCCU6TUTQYE16 06367BFV6 15000000.00000000 PA USD 14980558.50000000 0.503822007765 Long STIV CORP CA N 2 2021-02-08 Variable 0.26000000 N N N N N N MITSUBISHI UFJ TR&BK NY JBONEPAGQXF4QP29B387 60683BYQ0 15000000.00000000 PA USD 15000830.55000000 0.504503791754 Long STIV CORP JP N 2 2020-06-09 Variable 0.30000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -24331.32000000 -0.00081830423 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7114235.17000000 USD 212340000.00000000 TWD 2020-06-17 -24331.32000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -24855.74000000 -0.00083594138 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7114759.59000000 USD 212340000.00000000 TWD 2020-06-17 -24855.74000000 N N N Goldman Sachs Financial Square Government Fund 549300BRJMXN4GUWZ402 38141W273 839868436.46000000 NS USD 839868436.46000000 28.24622339123 Long EC RF US N 1 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1028.00000000 NC USD 178204.17000000 0.005993313448 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYU0 Comdty 2020-09-21 142761983.33000000 USD 178204.17000000 N N N NATWEST MARKET N/A 63906EP14 15000000.00000000 PA USD 14856676.65000000 0.499655647586 Long STIV CORP GB N 2 2021-02-01 None 0.00000000 N N N N N N SCHLUMBERGER HOLDINGS N/A 80686DFN9 7500000.00000000 PA USD 7487345.03000000 0.251812321005 Long STIV CORP US N 2 2020-06-22 None 0.00000000 N N N N N N CHURCH & DWIGHT CO INC N/A 17133WGQ0 18000000.00000000 PA USD 17978691.96000000 0.604654404593 Long STIV CORP US N 2 2020-07-24 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1668.78000000 0.000056123948 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 97487347.00000000 ZAR 5544812.85000000 USD 2020-06-17 1668.78000000 N N N ALBION CAPITAL CORP N/A 01329WHL8 15000000.00000000 PA USD 14992945.05000000 0.504238588795 Long STIV CORP US N 2 2020-08-20 None 0.00000000 N N N N N N BPCE N/A 05571BNF6 17674000.00000000 PA USD 17625688.12000000 0.592782276900 Long STIV CORP FR N 2 2021-01-15 None 0.00000000 N N N N N N OVERSEA-CHINESE BANKING 5493007O3QFXCPOGWK22 69034CKA5 5000000.00000000 PA USD 5000640.00000000 0.168180143945 Long STIV CORP SG N 2 2020-08-07 Floating 0.59000000 N N N N N N DUPONT DE NEMOURS INC N/A 26082MGH4 2926000.00000000 PA USD 2923072.77000000 0.098307976423 Long STIV CORP US N 2 2020-07-17 None 0.00000000 N N N N N N LANDESBANK HESSEN-THURINGEN N/A 51489GGQ4 5000000.00000000 PA USD 4999066.65000000 0.168127229472 Long STIV CORP US N 2 2020-07-24 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -31522.66000000 -0.00106016139 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11190830.56000000 USD 2020-06-17 -31522.66000000 N N N ERSTE ABWICKLUNGSANSTALT N/A 29604CJ86 10000000.00000000 PA USD 9993993.30000000 0.336115223608 Long STIV CORP DE N 2 2020-09-08 None 0.00000000 N N N N N N DZ BANK AG DEUTSCHE -Z N/A 26820RHJ5 17000000.00000000 PA USD 16993153.25000000 0.571509038777 Long STIV CORP DE N 2 2020-08-18 None 0.00000000 N N N N N N REGENCY MRKTS NO.1 L N/A 7588R0F85 5000000.00000000 PA USD 4999827.80000000 0.168152828259 Long STIV CORP US N 2 2020-06-08 None 0.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 5536971.62000000 OU Notional Amount 557330.17000000 0.018743974414 N/A DE DE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 EURO STOXX Banks Net Return Index SX7T Index Y equity-performance leg 2020-10-02 0.00000000 EUR 0.00000000 EUR 5536971.62000000 EUR 557330.17000000 N N N SKANDINAV ENSKILDA BK NY F3JS33DEI6XQ4ZBPTN86 83050PCF4 25000000.00000000 PA USD 25006409.00000000 0.841008643929 Long STIV CORP SE N 2 2020-07-20 Variable 0.37000000 N N N N N N VICTORY RECEIVABLES 549300D0F37QF0LP7F94 92646KF15 11700000.00000000 PA USD 11699891.78000000 0.393487530337 Long STIV CORP US N 2 2020-06-01 None 0.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1465000000.00000000 OU Notional Amount 3630956.37000000 0.122115322232 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2029-09-21 1831242.50000000 MXN 0.00000000 MXN 1465000000.00000000 MXN 3537840.06000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5531.86000000 0.000186045988 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11227885.08000000 USD 2020-06-17 5531.86000000 N N N AT&T INC N/A 0020A2GM8 11805000.00000000 PA USD 11793407.84000000 0.396632636650 Long STIV CORP US N 2 2020-07-21 None 0.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 478350000.00000000 OU Notional Amount 1652095.29000000 0.055562812696 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2029-11-01 5878.49000000 MXN 0.00000000 MXN 478350000.00000000 MXN 1651790.62000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -33513.75000000 -0.00112712518 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11188839.47000000 USD 2020-06-17 -33513.75000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 12277.00000000 NC -22212413.76000000 -0.74704176736 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long EURO STOXX 50 DIVIDEND POINTS DEDZ1 Index 2021-12-17 110860075.06000000 EUR -22212413.76000000 N N N SUMITOMO MITSUI TRUST NY 5493006GGLR4BTEL8O61 86564F6N8 7000000.00000000 PA USD 7000258.72000000 0.235430768698 Long STIV CORP JP N 2 2020-06-19 Floating 0.22000000 N N N N N N BNZ INTERNATIONAL FNDNG 549300HVMZ89HDMELW08 0556X4GU4 5000000.00000000 PA USD 5000757.35000000 0.168184090628 Long STIV CORP NZ N 2 2020-07-14 Floating 1.35000000 N N N N N N CREDIT INDUST ET COMM NY N4JDFKKH2FTD8RKFXO39 22536UZC7 20000000.00000000 PA USD 19986483.60000000 0.672179898735 Long STIV CORP FR N 2 2020-11-25 Variable 0.21000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 874.00000000 NC USD 24959.67000000 0.000839436730 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUU0 Comdty 2020-09-30 192985650.14000000 USD 24959.67000000 N N N Goldman Sachs Financial Square Government Fund 549300BRJMXN4GUWZ402 38141W273 51307053.35000000 NS USD 51307053.35000000 1.725544653849 Long STIV RF US N 1 N N SHELL INTNL FNC B.V 213800ITMMKU4Z7I4F78 8225X2HX5 11000000.00000000 PA USD 10973546.87000000 0.369059298847 Long STIV CORP US N 2 2020-08-31 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 11913.93000000 0.000400686004 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11234267.15000000 USD 2020-06-17 11913.93000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -19016.92000000 -0.00063957180 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 13835000000.00000000 KRW 11203336.30000000 USD 2020-06-17 -19016.92000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 43245.90000000 0.001454434169 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 45475148.00000000 ZAR 2628969.12000000 USD 2020-06-17 43245.90000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 692330.39000000 0.023284264543 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 2123400000.00000000 TWD 71591368.85000000 USD 2020-06-17 692330.39000000 N N N ABN AMRO FUNDING USA LC N/A 00084BHM9 10250000.00000000 PA USD 10242203.13000000 0.344462948087 Long STIV CORP US N 2 2020-08-21 None 0.00000000 N N N N N N ANZ NEW ZEALAND INTL LTD 213800VD256NU2D97H12 00182HHN5 15000000.00000000 PA USD 15001647.45000000 0.504531265510 Long STIV CORP AU N 2 2020-07-16 Floating 1.18000000 N N N N N N COCA-COLA COMPANY N/A 19121ANM9 5000000.00000000 PA USD 4992165.85000000 0.167895143672 Long STIV CORP US N 2 2021-01-21 None 0.00000000 N N N N N N STANDARD CHARTERED BK/NY RILFO74KP1CM8P6PCT96 85325V2E9 8000000.00000000 PA USD 8008989.04000000 0.269356108339 Long STIV CORP GB N 2 2020-10-30 Floating 0.94000000 N N N N N N GLAXOSMITHKLINE FIN PLC N/A 3773E2JG5 11250000.00000000 PA USD 11227312.46000000 0.377593873113 Long STIV CORP GB N 2 2020-09-16 None 0.00000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -30342.95000000 -0.00102048571 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7120246.80000000 USD 212340000.00000000 TWD 2020-06-17 -30342.95000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -37512.91000000 -0.00126162383 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7127416.76000000 USD 212340000.00000000 TWD 2020-06-17 -37512.91000000 N N N METLIFE SHORT TERM FDG N/A 59157TK93 12240000.00000000 PA USD 12230775.08000000 0.411342050921 Long STIV CORP US N 2 2020-10-09 None 0.00000000 N N N N N N SHELL INTNL FNC B.V 213800ITMMKU4Z7I4F78 8225X2NT7 14300000.00000000 PA USD 14173359.20000000 0.476674503753 Long STIV CORP US N 2 2021-01-27 None 0.00000000 N N N N N N MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 55607NHA1 16000000.00000000 PA USD 16004682.08000000 0.538265049277 Long STIV CORP US N 2 2020-07-09 Floating 0.47000000 N N N N N N DEXIA CREDIT LOCAL SA F4G136OIPBYND1F41110 25215VJE0 12550000.00000000 PA USD 12542244.10000000 0.421817291014 Long STIV CORP FR N 2 2020-09-14 None 0.00000000 N N N N N N SKANDINAV ENSKILDA BK NY F3JS33DEI6XQ4ZBPTN86 83050PFB0 11000000.00000000 PA USD 11008059.92000000 0.370220032217 Long STIV CORP SE N 2 2020-10-21 Floating 1.28000000 N N N N N N NORINCHUKIN BK N/A 65602VF76 5000000.00000000 PA USD 5000306.70000000 0.168168934491 Long STIV CORP JP N 2 2020-08-19 Fixed 0.30000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -21519.84000000 -0.00072374931 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7111423.69000000 USD 212340000.00000000 TWD 2020-06-17 -21519.84000000 N N N NORINCHUKIN BANK (NY) 5493007VSMFZCPV1NB83 65602VZL3 7100000.00000000 PA USD 7092901.92000000 0.238546519224 Long STIV CORP JP N 2 2020-08-27 Floating 0.24000000 N N N N N N CREDIT AGRICOLE CIB NY 1VUV7VQFKUOQSJ21A208 22532XNW4 20000000.00000000 PA USD 20003840.80000000 0.672763651294 Long STIV CORP FR N 2 2020-10-27 Variable 0.33000000 N N N N N N CHEVRON CORP N/A 16677JK13 15000000.00000000 PA USD 14978802.15000000 0.503762938687 Long STIV CORP US N 2 2020-10-01 None 0.00000000 N N N N N N BANK OF MONTREAL CHICAGO NQQ6HPCNCCU6TUTQYE16 06370R2V0 25000000.00000000 PA USD 25008929.75000000 0.841093421097 Long STIV CORP CA N 2 2020-09-11 Variable 0.85000000 N N N N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 19668.64000000 0.000661490270 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 97487348.00000000 ZAR 5562812.76000000 USD 2020-06-17 19668.64000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -35121.32000000 -0.00118119053 N/A DFE TW N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 7125025.17000000 USD 212340000.00000000 TWD 2020-06-17 -35121.32000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 344950000.00000000 OU Notional Amount 977998.47000000 0.032891774545 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2030-02-18 4373.44000000 MXN 0.00000000 MXN 344950000.00000000 MXN 977775.33000000 N N N CAFCO LLC N/A 1247P2F82 15000000.00000000 PA USD 14999704.20000000 0.504465910662 Long STIV CORP US N 2 2020-06-08 None 0.00000000 N N N N N N SUMITOMO MITSUI BANK NY 5U0XI89JRFVHWIBS4F54 86565BGM7 6500000.00000000 PA USD 6501472.06000000 0.218655713450 Long STIV CORP JP N 2 2020-06-18 Floating 1.30000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 577.00000000 NC USD 101240.45000000 0.003404890864 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVU0 Comdty 2020-09-30 72388892.65000000 USD 101240.45000000 N N N FED CAISSES DESJARDINS 549300B2Q47IR0CR5B54 31428HBF7 11000000.00000000 PA USD 11004533.54000000 0.370101433978 Long STIV CORP US N 2 2020-09-11 Variable 0.87000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 442400000.00000000 OU Notional Amount 1152883.49000000 0.038773459257 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2029-10-15 5409.83000000 MXN 0.00000000 MXN 442400000.00000000 MXN 1152598.22000000 N N N MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 24882.15000000 0.000836829599 N/A DFE US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 97487348.00000000 ZAR 5568026.27000000 USD 2020-06-17 24882.15000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 653.00000000 NC USD 17681224.51000000 0.594650061437 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long E-mini S&P 500 Index ESM0 Index 2020-06-19 81640075.49000000 USD 17681224.51000000 N N N TORONTO DOMINION BANK PT3QB789TSUIDF371261 89120DPF0 23000000.00000000 PA USD 23018075.47000000 0.774137559571 Long STIV CORP CA N 2 2020-09-30 Variable 1.56000000 N N N N N N PepsiCo Inc FJSUNZKFNQ5YPJ5OT455 71344TM74 5000000.00000000 PA USD 4981706.65000000 0.167543382745 Long STIV CORP US N 2 2020-12-07 None 0.00000000 N N N N N N PFIZER INC N/A 71708EJP1 10600000.00000000 PA USD 10594694.70000000 0.356317847256 Long STIV CORP US N 2 2020-09-23 None 0.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 95357385.59000000 OU Notional Amount USD 8567092.01000000 0.288126073349 N/A DE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 MSGSSUIT Index MSGSSUIT Alaska Air Group Inc 4330.50000000 USD 148059.83000000 USD Halliburton Co 21569.62000000 USD 253443.02000000 USD Essex Property Trust Inc 441.45000000 USD 107171.41000000 USD Johnson Controls International plc 2337.67000000 USD 73426.23000000 USD Howmet Aerospace Inc 10436.22000000 USD 136505.73000000 USD HP Inc 14247.83000000 USD 215712.09000000 USD Laboratory Corp of America Holdings 335.13000000 USD 58755.43000000 USD PulteGroup Inc 1947.84000000 USD 66168.02000000 USD Lam Research Corp 222.29000000 USD 60834.66000000 USD Xerox Holdings Corp 12516.83000000 USD 198767.33000000 USD Wells Fargo & Co 5288.67000000 USD 139991.00000000 USD Eastman Chemical Co 865.29000000 USD 58908.61000000 USD Schlumberger Ltd 23249.30000000 USD 429414.61000000 USD Allstate Corp/The 719.01000000 USD 70326.74000000 USD Travelers Cos Inc/The 740.62000000 USD 79231.98000000 USD Hartford Financial Services Group Inc/Th 2025.09000000 USD 77540.58000000 USD ConocoPhillips 2699.09000000 USD 113847.66000000 USD United Airlines Holdings Inc 2444.74000000 USD 68550.61000000 USD Progressive Corp/The 1861.53000000 USD 144603.52000000 USD McKesson Corp 394.14000000 USD 62538.66000000 USD Applied Materials Inc 1122.85000000 USD 63081.81000000 USD Chubb Ltd 2771.87000000 USD 338002.28000000 USD Carrier Global Corp 3831.52000000 USD 78431.30000000 USD CF Industries Holdings Inc 8091.76000000 USD 237654.90000000 USD Alexion Pharmaceuticals Inc 508.25000000 USD 60939.18000000 USD Medtronic PLC 1095.18000000 USD 107962.66000000 USD JPMorgan Chase & Co 768.43000000 USD 74775.98000000 USD Bank of New York Mellon Corp/The 1986.26000000 USD 73829.23000000 USD Capital One Financial Corp 2324.78000000 USD 158177.82000000 USD Dover Corp 1437.92000000 USD 139837.73000000 USD General Motors Co 4987.37000000 USD 129073.09000000 USD General Dynamics Corp 1022.12000000 USD 150077.98000000 USD Bank of America Corp 6195.58000000 USD 149437.41000000 USD Unum Group 4378.43000000 USD 66333.19000000 USD Biogen Inc 708.92000000 USD 217701.89000000 USD American International Group Inc 2998.60000000 USD 90137.89000000 USD Regions Financial Corp 14120.92000000 USD 159707.56000000 USD Everest Re Group Ltd 863.37000000 USD 171300.80000000 USD General Electric Co 20224.75000000 USD 132876.63000000 USD Expedia Group Inc 782.54000000 USD 62196.06000000 USD Southwest Airlines Co 12392.72000000 USD 397806.32000000 USD CSX Corp 1007.48000000 USD 72115.38000000 USD Cisco Systems Inc 2541.21000000 USD 121520.77000000 USD Alliance Data Systems Corp 4571.58000000 USD 211801.30000000 USD Cardinal Health Inc 1112.27000000 USD 60829.87000000 USD Comerica Inc 2172.57000000 USD 78972.82000000 USD Fox Corp 2111.17000000 USD 60759.36000000 USD Discover Financial Services 3509.61000000 USD 166741.74000000 USD Synchrony Financial 7699.20000000 USD 156832.61000000 USD PPG Industries Inc 605.10000000 USD 61520.63000000 USD Y equity-performance leg 2020-07-03 0.00000000 USD 0.00000000 USD 95357385.59000000 USD 8567092.01000000 N N N ENBRIDGE (US) INC N/A 29251UF29 10000000.00000000 PA USD 9999637.80000000 0.336305057874 Long STIV CORP US N 2 2020-06-02 None 0.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 234800000.00000000 OU Notional Amount 444125.61000000 0.014936709905 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2030-02-26 2983.62000000 MXN 0.00000000 MXN 234800000.00000000 MXN 443983.52000000 N N N MIZUHO BANK LTD N/A 60710ALS9 18500000.00000000 PA USD 18502254.78000000 0.622262724814 Long STIV CORP JP N 2 2020-07-01 Fixed 0.25000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 320500000.00000000 OU Notional Amount 881602.29000000 0.029649804831 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Mexican Interbank Equilibrium Interest Rate MXIBTIIE Index Y 2030-02-18 2500.59000000 MXN 0.00000000 MXN 320500000.00000000 MXN 881474.80000000 N N N NATIONAL AUSTRALI BANK L F8SB4JFBSYQFRQEH3Z21 63254GLH6 11000000.00000000 PA USD 11001495.12000000 0.369999246675 Long STIV CORP AU N 2 2020-06-25 Floating 0.35000000 N N N N N N NATIONAL SECS CLEARING 549300RYC9NELN2ICA34 63763PF38 350000.00000000 PA USD 349998.05000000 0.011771037793 Long STIV CORP US N 2 2020-06-03 None 0.00000000 N N N N N N 2020-06-30 GOLDMAN SACHS TRUST Peter Fortner Peter Fortner Vice President XXXX